Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $153,000 Hypothetical

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Crazy options 2016
(98846459)

Created by: tsvika_elberger tsvika_elberger
Started: 12/2015
Options
Last trade: 2,878 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $129.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-11.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(91.4%)
Max Drawdown
83
Num Trades
81.9%
Win Trades
1.1 : 1
Profit Factor
4.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             +89.0%+89.0%
2016+80.2%+22.4%(2.4%)(11.7%)+13.2%(91.2%)  -    -    -    -    -    -  (81.1%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 761 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/7/16 14:53 CMG1610F440 CMG Jun10'16 440 call LONG 200 2.43 6/11 9:35 0.69 240.18%
Trade id #102726162
Max drawdown($34,787)
Time6/11/16 9:35
Quant open60
Worst price0.00
Drawdown as % of equity-240.18%
 ($34,969)
Includes Typical Broker Commissions trade costs of $182.00
5/31/16 12:48 SPY1603F210 SPY Jun3'16 210 call LONG 200 0.73 6/1 12:24 0.79 11.98%
Trade id #102610635
Max drawdown($6,045)
Time6/1/16 9:36
Quant open200
Worst price0.43
Drawdown as % of equity-11.98%
 $775
Includes Typical Broker Commissions trade costs of $280.00
5/27/16 11:47 TSLA1627E220 TSLA May27'16 220 call LONG 40 2.02 5/27 11:56 2.36 1.24%
Trade id #102570441
Max drawdown($570)
Time5/27/16 11:49
Quant open30
Worst price1.75
Drawdown as % of equity-1.24%
 $1,309
Includes Typical Broker Commissions trade costs of $56.00
5/25/16 11:09 QQQ1627E109 QQQ May27'16 109 call LONG 60 0.51 5/25 12:04 0.55 0.52%
Trade id #102529534
Max drawdown($240)
Time5/25/16 11:15
Quant open40
Worst price0.47
Drawdown as % of equity-0.52%
 $126
Includes Typical Broker Commissions trade costs of $84.00
5/25/16 11:27 NFLX1627E98 NFLX May27'16 98 call LONG 5 1.51 5/25 11:51 1.72 n/a $97
Includes Typical Broker Commissions trade costs of $8.50
5/20/16 13:49 TSLA1620E220 TSLA May20'16 220 call LONG 50 0.12 5/20 14:41 0.21 n/a $396
Includes Typical Broker Commissions trade costs of $70.00
5/20/16 11:08 TSLA1620E220 TSLA May20'16 220 call LONG 550 0.32 5/20 12:22 0.34 n/a $523
Includes Typical Broker Commissions trade costs of $770.00
5/20/16 11:10 BIDU1620E170 BIDU May20'16 170 call LONG 60 0.34 5/20 11:39 0.45 n/a $634
Includes Typical Broker Commissions trade costs of $84.00
5/18/16 11:11 TSLA1620E220 TSLA May20'16 220 call LONG 280 0.68 5/19 9:45 0.65 n/a ($1,174)
Includes Typical Broker Commissions trade costs of $392.00
5/16/16 10:05 AMZN1620E720 AMZN May20'16 720 call LONG 30 2.77 5/16 11:37 3.18 n/a $1,184
Includes Typical Broker Commissions trade costs of $42.00
5/9/16 9:52 VRX1613E35 VRX May13'16 35 call LONG 80 0.18 5/14 9:35 0.00 3.3%
Trade id #102249993
Max drawdown($1,424)
Time5/14/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-3.30%
 ($1,480)
Includes Typical Broker Commissions trade costs of $56.00
5/11/16 10:48 NFLX1613E91 NFLX May13'16 91 call LONG 35 0.69 5/14 9:35 0.00 5.64%
Trade id #102293204
Max drawdown($2,432)
Time5/14/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-5.64%
 ($2,457)
Includes Typical Broker Commissions trade costs of $24.50
5/13/16 10:40 NFLX1613E86 NFLX May13'16 86 call LONG 40 0.88 5/13 10:55 1.12 0.78%
Trade id #102335797
Max drawdown($323)
Time5/13/16 10:44
Quant open40
Worst price0.80
Drawdown as % of equity-0.78%
 $907
Includes Typical Broker Commissions trade costs of $56.00
5/12/16 10:30 BIDU1613E160 BIDU May13'16 160 call LONG 70 1.62 5/12 11:43 1.85 5.25%
Trade id #102312812
Max drawdown($2,035)
Time5/12/16 10:55
Quant open60
Worst price1.28
Drawdown as % of equity-5.25%
 $1,494
Includes Typical Broker Commissions trade costs of $98.00
5/9/16 11:01 GS1613E157.5 GS May13'16 157.5 call LONG 120 1.94 5/9 15:28 2.01 6.79%
Trade id #102251985
Max drawdown($2,760)
Time5/9/16 11:16
Quant open110
Worst price1.67
Drawdown as % of equity-6.79%
 $682
Includes Typical Broker Commissions trade costs of $168.00
5/9/16 9:41 AAPL1613E93 AAPL May13'16 93 call LONG 10 1.22 5/9 10:08 1.30 0.36%
Trade id #102249866
Max drawdown($154)
Time5/9/16 9:59
Quant open10
Worst price1.07
Drawdown as % of equity-0.36%
 $62
Includes Typical Broker Commissions trade costs of $14.00
5/6/16 12:20 VRX1606E32 VRX May6'16 32 call LONG 80 0.21 5/6 13:15 0.22 0.98%
Trade id #102227901
Max drawdown($419)
Time5/6/16 12:55
Quant open70
Worst price0.15
Drawdown as % of equity-0.98%
 ($30)
Includes Typical Broker Commissions trade costs of $112.00
5/4/16 10:34 AAPL1606E94 AAPL May6'16 94 call LONG 40 0.70 5/4 15:24 0.74 0.95%
Trade id #102176576
Max drawdown($401)
Time5/4/16 13:11
Quant open30
Worst price0.58
Drawdown as % of equity-0.95%
 $137
Includes Typical Broker Commissions trade costs of $56.00
5/4/16 12:34 GS1606E160 GS May6'16 160 call LONG 35 1.24 5/4 14:23 1.36 0.37%
Trade id #102180648
Max drawdown($155)
Time5/4/16 12:51
Quant open20
Worst price1.20
Drawdown as % of equity-0.37%
 $368
Includes Typical Broker Commissions trade costs of $49.00
5/3/16 10:14 QQQ1606E106 QQQ May6'16 106 call LONG 10 0.60 5/3 12:51 0.76 n/a $146
Includes Typical Broker Commissions trade costs of $14.00
4/28/16 13:03 NFLX1629D92 NFLX Apr29'16 92 call LONG 55 0.43 4/30 9:35 0.03 5.12%
Trade id #102081189
Max drawdown($2,174)
Time4/30/16 9:35
Quant open10
Worst price0.00
Drawdown as % of equity-5.12%
 ($2,220)
Includes Typical Broker Commissions trade costs of $45.50
4/26/16 9:45 NFLX1629D92 NFLX Apr29'16 92 call LONG 45 1.62 4/26 13:47 1.77 3.48%
Trade id #102029477
Max drawdown($1,495)
Time4/26/16 11:20
Quant open30
Worst price1.28
Drawdown as % of equity-3.48%
 $644
Includes Typical Broker Commissions trade costs of $63.30
4/22/16 11:11 AMZN1622D615 AMZN Apr22'16 615 call LONG 5 2.00 4/22 11:31 2.70 0.12%
Trade id #101982784
Max drawdown($51)
Time4/22/16 11:13
Quant open5
Worst price1.90
Drawdown as % of equity-0.12%
 $341
Includes Typical Broker Commissions trade costs of $8.50
4/19/16 12:23 QQQ1622D110 QQQ Apr22'16 110 call LONG 30 0.80 4/19 13:14 0.90 0.53%
Trade id #101904234
Max drawdown($229)
Time4/19/16 12:48
Quant open30
Worst price0.72
Drawdown as % of equity-0.53%
 $276
Includes Typical Broker Commissions trade costs of $42.00
4/18/16 12:54 AAPL1622D108 AAPL Apr22'16 108 call LONG 25 0.97 4/18 15:57 1.03 0.66%
Trade id #101879780
Max drawdown($282)
Time4/18/16 15:25
Quant open25
Worst price0.86
Drawdown as % of equity-0.66%
 $117
Includes Typical Broker Commissions trade costs of $35.30
4/11/16 11:33 QQQ1615D111 QQQ Apr15'16 111 call LONG 140 0.12 4/13 9:45 0.26 3.31%
Trade id #101759622
Max drawdown($1,346)
Time4/12/16 10:16
Quant open140
Worst price0.02
Drawdown as % of equity-3.31%
 $1,755
Includes Typical Broker Commissions trade costs of $197.80
4/6/16 13:17 CMG1608D475 CMG Apr8'16 475 call LONG 33 0.69 4/9 9:35 0.00 5.52%
Trade id #101688495
Max drawdown($2,276)
Time4/9/16 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-5.52%
 ($2,299)
Includes Typical Broker Commissions trade costs of $23.10
4/7/16 10:27 QQQ1608D109 QQQ Apr8'16 109 call LONG 300 0.58 4/8 10:05 0.47 21.84%
Trade id #101707119
Max drawdown($8,267)
Time4/7/16 15:01
Quant open300
Worst price0.30
Drawdown as % of equity-21.84%
 ($3,503)
Includes Typical Broker Commissions trade costs of $420.00
4/5/16 10:44 BIDU1608D185 BIDU Apr8'16 185 call LONG 30 1.54 4/5 14:08 1.71 0.9%
Trade id #101659704
Max drawdown($409)
Time4/5/16 12:00
Quant open30
Worst price1.40
Drawdown as % of equity-0.90%
 $472
Includes Typical Broker Commissions trade costs of $42.00
4/4/16 10:43 NFLX1608D108 NFLX Apr8'16 108 call LONG 30 0.47 4/4 14:47 0.54 0.34%
Trade id #101637154
Max drawdown($154)
Time4/4/16 13:46
Quant open30
Worst price0.42
Drawdown as % of equity-0.34%
 $163
Includes Typical Broker Commissions trade costs of $42.00
Next

Statistics

  • Strategy began
    12/18/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3052.99
  • Age
    102 months ago
  • What it trades
    Options
  • # Trades
    83
  • # Profitable
    68
  • % Profitable
    81.90%
  • Avg trade duration
    14.0 hours
  • Max peak-to-valley drawdown
    91.42%
  • drawdown period
    March 01, 2016 - June 11, 2016
  • Annual Return (Compounded)
    -11.6%
  • Avg win
    $977.88
  • Avg loss
    $4,180
  • Model Account Values (Raw)
  • Cash
    $13,783
  • Margin Used
    $0
  • Buying Power
    $13,783
  • Ratios
  • W:L ratio
    1.06:1
  • Sharpe Ratio
    -0.17
  • Sortino Ratio
    -0.2
  • Calmar Ratio
    0.04
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -218.53%
  • Correlation to SP500
    0.02670
  • Return Percent SP500 (cumu) during strategy life
    154.30%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.6%
  • Slump
  • Current Slump as Pcnt Equity
    1065.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.116%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,181
  • Avg Win
    $978
  • Sum Trade PL (losers)
    $62,712.000
  • Age
  • Num Months filled monthly returns table
    101
  • Win / Loss
  • Sum Trade PL (winners)
    $66,496.000
  • # Winners
    68
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    15
  • % Winners
    81.9%
  • Frequency
  • Avg Position Time (mins)
    839.75
  • Avg Position Time (hrs)
    14.00
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    2877
  • Regression
  • Alpha
    -0.02
  • Beta
    0.06
  • Treynor Index
    -0.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.17
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    91.58
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.43
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.65
  • Avg(MAE) / Avg(PL) - All trades
    -1331.090
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    1.414
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.125
  • Hold-and-Hope Ratio
    -0.001
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53240
  • SD
    1.17902
  • Sharpe ratio (Glass type estimate)
    0.45156
  • Sharpe ratio (Hedges UMVUE)
    0.43785
  • df
    25.00000
  • t
    0.66468
  • p
    0.25617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77491
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11681
  • Upside Potential Ratio
    1.84712
  • Upside part of mean
    0.88055
  • Downside part of mean
    -0.34815
  • Upside SD
    1.06442
  • Downside SD
    0.47672
  • N nonnegative terms
    4.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.34758
  • Mean of criterion
    0.53240
  • SD of predictor
    0.21363
  • SD of criterion
    1.17902
  • Covariance
    -0.07322
  • r
    -0.29070
  • b (slope, estimate of beta)
    -1.60436
  • a (intercept, estimate of alpha)
    1.09005
  • Mean Square Error
    1.32564
  • DF error
    24.00000
  • t(b)
    -1.48844
  • p(b)
    0.92517
  • t(a)
    1.25684
  • p(a)
    0.11045
  • Lowerbound of 95% confidence interval for beta
    -3.82900
  • Upperbound of 95% confidence interval for beta
    0.62028
  • Lowerbound of 95% confidence interval for alpha
    -0.69996
  • Upperbound of 95% confidence interval for alpha
    2.88005
  • Treynor index (mean / b)
    -0.33185
  • Jensen alpha (a)
    1.09005
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00124
  • SD
    1.07071
  • Sharpe ratio (Glass type estimate)
    0.00115
  • Sharpe ratio (Hedges UMVUE)
    0.00112
  • df
    25.00000
  • t
    0.00170
  • p
    0.49933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33265
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00151
  • Upside Potential Ratio
    0.71057
  • Upside part of mean
    0.58119
  • Downside part of mean
    -0.57995
  • Upside SD
    0.65828
  • Downside SD
    0.81792
  • N nonnegative terms
    4.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.32126
  • Mean of criterion
    0.00124
  • SD of predictor
    0.20700
  • SD of criterion
    1.07071
  • Covariance
    -0.04548
  • r
    -0.20522
  • b (slope, estimate of beta)
    -1.06154
  • a (intercept, estimate of alpha)
    0.34227
  • Mean Square Error
    1.14389
  • DF error
    24.00000
  • t(b)
    -1.02726
  • p(b)
    0.84273
  • t(a)
    0.42845
  • p(a)
    0.33607
  • Lowerbound of 95% confidence interval for beta
    -3.19433
  • Upperbound of 95% confidence interval for beta
    1.07124
  • Lowerbound of 95% confidence interval for alpha
    -1.30648
  • Upperbound of 95% confidence interval for alpha
    1.99102
  • Treynor index (mean / b)
    -0.00116
  • Jensen alpha (a)
    0.34227
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.39848
  • Expected Shortfall on VaR
    0.46805
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09081
  • Expected Shortfall on VaR
    0.20256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.30072
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.53637
  • Mean of quarter 1
    0.89956
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.27388
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.64845
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.47929
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    6.50454
  • VaR(95%) (regression method)
    0.01510
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00383
  • Quartile 1
    0.17769
  • Median
    0.35155
  • Quartile 3
    0.52541
  • Maximum
    0.69928
  • Mean of quarter 1
    0.00383
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.69928
  • Inter Quartile Range
    0.34772
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03008
  • Compounded annual return (geometric extrapolation)
    0.02957
  • Calmar ratio (compounded annual return / max draw down)
    0.04229
  • Compounded annual return / average of 25% largest draw downs
    0.04229
  • Compounded annual return / Expected Shortfall lognormal
    0.06318
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15854
  • SD
    0.53506
  • Sharpe ratio (Glass type estimate)
    0.29630
  • Sharpe ratio (Hedges UMVUE)
    0.29592
  • df
    584.00000
  • t
    0.44275
  • p
    0.32906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01585
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60769
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39005
  • Upside Potential Ratio
    2.50090
  • Upside part of mean
    1.01649
  • Downside part of mean
    -0.85795
  • Upside SD
    0.34741
  • Downside SD
    0.40645
  • N nonnegative terms
    71.00000
  • N negative terms
    514.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    585.00000
  • Mean of predictor
    0.42824
  • Mean of criterion
    0.15854
  • SD of predictor
    0.29914
  • SD of criterion
    0.53506
  • Covariance
    0.00491
  • r
    0.03066
  • b (slope, estimate of beta)
    0.05484
  • a (intercept, estimate of alpha)
    0.13500
  • Mean Square Error
    0.28651
  • DF error
    583.00000
  • t(b)
    0.74069
  • p(b)
    0.22959
  • t(a)
    0.37554
  • p(a)
    0.35370
  • Lowerbound of 95% confidence interval for beta
    -0.09058
  • Upperbound of 95% confidence interval for beta
    0.20027
  • Lowerbound of 95% confidence interval for alpha
    -0.57125
  • Upperbound of 95% confidence interval for alpha
    0.84135
  • Treynor index (mean / b)
    2.89070
  • Jensen alpha (a)
    0.13505
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00037
  • SD
    0.58090
  • Sharpe ratio (Glass type estimate)
    0.00064
  • Sharpe ratio (Hedges UMVUE)
    0.00064
  • df
    584.00000
  • t
    0.00096
  • p
    0.49962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31102
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31230
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00077
  • Upside Potential Ratio
    1.98421
  • Upside part of mean
    0.96265
  • Downside part of mean
    -0.96228
  • Upside SD
    0.31857
  • Downside SD
    0.48516
  • N nonnegative terms
    71.00000
  • N negative terms
    514.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    585.00000
  • Mean of predictor
    0.38223
  • Mean of criterion
    0.00037
  • SD of predictor
    0.30431
  • SD of criterion
    0.58090
  • Covariance
    0.00507
  • r
    0.02867
  • b (slope, estimate of beta)
    0.05473
  • a (intercept, estimate of alpha)
    -0.02055
  • Mean Square Error
    0.33774
  • DF error
    583.00000
  • t(b)
    0.69250
  • p(b)
    0.24445
  • t(a)
    -0.05267
  • p(a)
    0.52099
  • Lowerbound of 95% confidence interval for beta
    -0.10049
  • Upperbound of 95% confidence interval for beta
    0.20994
  • Lowerbound of 95% confidence interval for alpha
    -0.78671
  • Upperbound of 95% confidence interval for alpha
    0.74562
  • Treynor index (mean / b)
    0.00679
  • Jensen alpha (a)
    -0.02055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05732
  • Expected Shortfall on VaR
    0.07127
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01047
  • Expected Shortfall on VaR
    0.02386
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    585.00000
  • Minimum
    0.64194
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.28588
  • Mean of quarter 1
    0.98734
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01560
  • Inter Quartile Range
    0.00000
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.05983
  • Mean of outliers low
    0.94683
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.12137
  • Mean of outliers high
    1.03207
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48478
  • VaR(95%) (moments method)
    0.00116
  • Expected Shortfall (moments method)
    0.00679
  • Extreme Value Index (regression method)
    0.42160
  • VaR(95%) (regression method)
    0.00383
  • Expected Shortfall (regression method)
    0.03992
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00024
  • Quartile 1
    0.01153
  • Median
    0.08959
  • Quartile 3
    0.12687
  • Maximum
    0.71621
  • Mean of quarter 1
    0.00748
  • Mean of quarter 2
    0.05209
  • Mean of quarter 3
    0.12100
  • Mean of quarter 4
    0.45177
  • Inter Quartile Range
    0.11535
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.71621
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31016
  • VaR(95%) (moments method)
    0.38201
  • Expected Shortfall (moments method)
    0.69172
  • Extreme Value Index (regression method)
    2.12883
  • VaR(95%) (regression method)
    1.18947
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02919
  • Compounded annual return (geometric extrapolation)
    0.02868
  • Calmar ratio (compounded annual return / max draw down)
    0.04005
  • Compounded annual return / average of 25% largest draw downs
    0.06349
  • Compounded annual return / Expected Shortfall lognormal
    0.40245
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69356
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.38969
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61714
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39059
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6833880000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.05700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    234003000000000012674254277443584.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338377000
  • Max Equity Drawdown (num days)
    102
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

I like trading and mostly I believe in day trading systems, and using big stocks move with weeklys options (like AAPL, PCLN, NFLX, BIDU, AMZN ans so on)

Timming is everything and i like to spot stocks that move lower too much (or get lower after big gap up). yes i prefer Long with naked options (calls mostly)

Using my sisters systems: Crazy options 2016 9900 options everyone can make combined portfolio with better result in the Gains-Risk parameters(you can try to check it on portfolio builder)

I have great coupons for subscribers that follows 2-3 systems.

Be patient - 80% of my followers care mainly about their subscripation payment and try it for short time and miss the big and the un-expected moves (like january 2016). 20% of the rest gets most of my gains.

this system start with 10K and grow to more them 30K so so you can scale it down and trade 1:2 till 1:3 and try that most of my trades will fit scaling like this (but i can't promise that you get all my trades when you re-scale down).

second way is to trade manually and decide each trade how many calls to buy.
many people use this way. you have more control and less commission. but you should work a little bit.

Feel free to ask me anything.

Tsvika
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-12-18
Suggested Minimum Capital
$25,000
# Trades
83
# Profitable
68
% Profitable
81.9%
Correlation S&P500
0.027
Sharpe Ratio
-0.17
Sortino Ratio
-0.20
Beta
0.06
Alpha
-0.02

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.