100% ROE Options
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Hypothetical Monthly Returns (using typical broker commissions)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | (4.2%) | +57.1% | (18.1%) | (9.1%) | (13.2%) | - | - | - | - | |||
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2012 | - | - |
Loading Chart...
| Instruments | Options |
|---|---|
| Strategies | Unclassified |
| System started | 4/14/2010 (22 months ago) |
| System developer |
Genetic Code Research 
(Last login to C2: 1/16/11 2:50) C2 Score: 544  |
| Status | This system is no longer supported. |
Live brokerage trade data is available for this system. Show broker data?
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 7/26/10 9:58 | BUY | 38 | ADBE1021T27 | ADBE Aug10 27 put (exp 08/21/2010) | 0.31 | 8/22 9:11 |
0.00 | Very | ($1,214) |
| 7/26/10 9:57 | BUY | 34 | RIMM1021T47.5 | RIMM Aug10 47.50 put (exp 08/21/2010) | 0.37 | 8/22 9:11 |
0.00 | Very | ($1,290) |
| 5/28/10 10:03 | BUY | 170 | BRCD1019R5 | BRCD Jun10 5 put (exp 06/19/2010) | 0.08 | 6/20 9:01 |
0.00 | High | ($1,522) |
| 5/28/10 10:05 | BUY | 25 | IDCC1019R25 | IDCC Jun10 25 put (exp 06/19/2010) | 0.60 | 6/20 9:01 |
0.00 | High | ($1,524) |
| 4/14/10 11:24 | BUY | 33 | IDCC1022Q26 | IDCC May10 26 put (exp 05/22/2010) | 0.25 | 5/21 10:38 |
0.75 | Low | $1,587 |
| 4/14/10 10:12 | BUY | 60 | BRCD1022Q6 | BRCD May10 6 put (exp 05/22/2010) | 0.15 | 5/21 9:44 |
0.81 | High | $3,846 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 6 |
| # Profitable | 2 (33.3%) |
| # months tracked | 23 |
| Profitable months | 1 (4.3%) |
| Avg trade duration | 29.0 days |
| Annual return (compounded) | 1.7% |
| Average win | $2,805 |
| Average loss | $1,324 |
| Profit factor | 1.1:1 |
| Max peak-to-valley drawdown (historical) | 37.28% |
| drawdown period | June 08, 2010 to Aug 22, 2010 |
| Correlation w/ S&P | -0.191 |
| Sharpe ratio | 0.041 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 68.8% |
| Chance of 20% account loss | 52.9% |
| Chance of 30% account loss | 33.3% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.06 |
| Average P/L per unit traded | ($3.33) |
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System Description
Know the future price - trade today. Arbitrage the difference. Targets minimum 100% ROE on options premium invested.
Trading Strategy:
1) 10% of risk capital on each trade
2) Time frame - 1 week to 8 weeks
3) Up to 2 trades can be open at any one time
Risks:
1) Option can expire worthless
Trading Strategy:
1) 10% of risk capital on each trade
2) Time frame - 1 week to 8 weeks
3) Up to 2 trades can be open at any one time
Risks:
1) Option can expire worthless
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
