Option Driven Value Investing
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | +4.9% | +1.7% | +0.8% | (0.4%) | +9.8% | (0.9%) | +5.9% | |||||
| 2012 | +3.0% | +5.2% | +3.2% | (1.6%) | (2.3%) | +6.6% | +5.6% | +4.9% | +1.2% | (5.8%) | (1.5%) | +2.7% |
| 2013 | +0.1% | +1.0% | +1.6% | +3.0% | +3.0% | (1.5%) |
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| Instruments | Mostly Options; (some stocks) |
|---|---|
| Strategies | Buy undervalue |
| System started | 6/6/2011 (25 months ago) |
| System developer |
Christian 
(Last login to C2: 6/11/13 11:27) C2 Score: 994  |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 4/18/13 12:16 | SELL | 2 | GOOG1418M810 | GOOG Jan14 810 put (exp 01/18/2014) | 78.40 | 5/22 15:27 |
49.90 | n/a | $5,696 |
| 5/6/13 13:05 | SELL | 2 | MSFT1310Q34 | MSFT May13 34 put (exp 05/10/2013) | 0.49 | 5/11 9:01 |
0.00 | Low | $96 |
| 1/29/13 9:40 | SELL | 1 | MSFT1319V29 | MSFT Oct13 29 put (exp 10/19/2013) | 2.91 | 5/7 13:04 |
0.49 | Low | $240 |
| 4/26/13 11:47 | SELL | 1 | MSFT1303Q32 | MSFT May13 32 put (exp 05/03/2013) | 0.68 | 5/4 9:00 |
0.00 | Low | $67 |
| 4/19/13 12:43 | SELL | 1 | MSFT1326P31.5 | MSFT Apr13 31.50 put (exp 04/26/2013) | 1.82 | 4/27 9:01 |
0.00 | Low | $181 |
| 12/23/12 9:03 | BUY | 100 | IRBT | IROBOT CORP | 22.50 | 4/16/13 10:52 | 24.51 | Low | $199 |
| 2/4/13 12:23 | SELL | 1 | IRBT1321I25 | IRBT Sep13 25 call (exp 09/21/2013) | 2.35 | 4/16 10:52 |
2.55 | Low | ($22) |
| 12/12/12 12:48 | SELL | 1 | BRKB1322R92.5 | BRK/B Jun13 92.50 put (exp 06/22/2013) | 5.00 | 2/13/13 11:48 | 1.47 | Low | $351 |
| 1/3/13 10:10 | SELL | 2 | BRKB1517M85 | BRK/B Jan15 85 put (exp 01/17/2015) | 5.05 | 2/13 11:47 |
4.60 | Low | $86 |
| 8/20/12 12:37 | SELL | 1 | AXP1418M62.5 | AXP Jan14 62.50 put (exp 01/18/2014) | 10.85 | 2/13/13 11:37 | 5.45 | Low | $538 |
| 8/20/12 12:33 | SELL | 1 | AXP1418M60 | AXP Jan14 60 put (exp 01/18/2014) | 9.40 | 2/13/13 11:37 | 4.35 | Low | $503 |
| 11/20/12 9:34 | SELL | 1 | GOOG1418M750 | GOOG Jan14 750 put (exp 01/18/2014) | 122.50 | 2/11/13 15:41 | 54.70 | Low | $6,778 |
| 10/8/12 14:55 | SELL | 1 | IRBT1316O22.5 | IRBT Mar13 22.50 put (exp 03/16/2013) | 2.20 | 2/4/13 12:21 | 1.30 | Low | $88 |
| 9/29/11 10:25 | BUY | 1,200 | KO | COCA-COLA CO | 34.73 | 1/20/13 9:02 | 35.83 | Low | $1,296 |
| 3/16/12 10:17 | SELL | 2 | KO1319A37.5 | KO Jan13 37.5 call | 0.61 | 1/20/13 9:01 | 0.00 | Low | $120 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 109 |
| # Profitable | 103 (94.5%) |
| # months tracked | 25 |
| Profitable months | 18 (72.0%) |
| Avg trade duration | 90.3 days |
| Annual Return | 30.1% |
| Average win | $905 |
| Average loss | $5,163 |
| Profit factor | 3.2:1 |
| Max peak-to-valley drawdown (historical) | 16.98% |
| drawdown period | Sept 20, 2012 to Nov 16, 2012 |
| Correlation w/ S&P | 0.353 |
| Sharpe ratio | 1.18 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 41.5% |
| Chance of 20% account loss | 10.5% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.62 |
| Average P/L per unit traded | $425.53 |
| Sum of dividends and cash expir. in model account | $2,427 |
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System Description
Value Investing is known as a defensive strategy to lastingly grow a portfolio with low risk. The trading method uses options to acquire stocks that technically as well as fundamentally have been analyzed.
Put options are thereby used to buy stocks if the price falls below the strike price and call options are used to sell the stocks (no short sales of stocks). As expiring put options below strike price only result in buying the underlying stocks at strike price the risk of this strategy is not higher than directly buying the appropriate amount of stocks.
Because as 'Mr. Market' is one of the protagonists in every value portfolio the performance chart may be volatile. However there should be quite a more or less stable output. But of course, no performance and no output can be guaranteed, and the actual real-world results may be vastly different from these goals.
Put options are thereby used to buy stocks if the price falls below the strike price and call options are used to sell the stocks (no short sales of stocks). As expiring put options below strike price only result in buying the underlying stocks at strike price the risk of this strategy is not higher than directly buying the appropriate amount of stocks.
Because as 'Mr. Market' is one of the protagonists in every value portfolio the performance chart may be volatile. However there should be quite a more or less stable output. But of course, no performance and no output can be guaranteed, and the actual real-world results may be vastly different from these goals.
- 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.
