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Riskarb HighSharpe
(9848374)

Created by: SCrowne2 SCrowne2
Started: 01/2004
Options
Last trade: 5,542 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. You can subscribe to this system for free.

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.

26.2%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
64
Num Trades
64.1%
Win Trades
1.8 : 1
Profit Factor
38.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2004+5.0%+39.9%+7.1%  -  (35.7%)(9.1%)+13.1%+3.4%(247.1%)(173.1%)+1.0%+95.5%
2005(1%)(1.1%)+0.1%(0.9%)+1.3%+0.6%+0.3%+0.1%+0.1%(4.5%)+4.9%(0.4%)(0.9%)
2006(0.9%)(0.7%)(0.2%)(0.4%)(0.3%)+0.4%(0.5%)(0.2%)(19.6%)(20.2%)+56.2%(0.8%)(3.3%)
2007+0.2%  -  (0.6%)(0.2%)+64.3%+0.1%  -    -  +0.3%(118.2%)(649.5%)(0.5%)+63.5%
2008+0.1%(0.2%)  -  (0.2%)  -  (0.4%)(0.2%)(0.2%)(0.5%)(0.1%)(0.1%)(0.1%)(1.9%)
2009  -    -  +0.1%  -    -  +0.1%  -  +0.2%(517.4%)(42.1%)(141.3%)  -  +0.3%
2010+0.2%+0.1%(0.1%)+0.2%(0.1%)  -    -    -  +0.1%+0.2%(0.1%)+0.2%+0.7%
2011  -  +0.1%  -  +0.2%+0.3%(0.2%)+0.1%(0.2%)(0.1%)+0.1%  -    -  +0.1%
2012+0.1%+0.1%+0.1%  -  (0.2%)  -  +0.2%+0.3%  -  +0.1%(0.1%)+0.2%+0.8%
2013+0.2%  -    -  +0.1%+0.3%(0.1%)+0.3%(0.1%)+0.2%(0.1%)  -  (0.1%)+0.4%
2014+0.1%  -  (0.1%)(0.1%)  -  +0.1%  -  +0.2%(0.1%)(0.1%)+0.1%(0.1%)0.0
2015  -  +0.2%  -  +0.1%(0.1%)(0.1%)+0.1%(0.1%)(0.1%)+0.3%  -    -  +0.4%
2016(0.2%)(0.1%)+0.2%  -    -  (0.1%)+0.3%(0.1%)  -    -  +0.3%(0.1%)+0.2%
2017+0.2%+0.3%  -  (0.1%)+0.2%+0.1%+0.3%(0.1%)(0.2%)  -              

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/21/04 12:46 GOOG ALPHABET INC CLASS C SHORT 1,000 117.66 10/4 12:35 133.58 n/a ($15,927)
Includes Typical Broker Commissions trade costs of $9.00
9/16/04 14:21 RIMM SHORT 10,606 24.40 10/4 12:34 24.87 n/a ($4,967)
Includes Typical Broker Commissions trade costs of $12.50
9/16/04 14:19 RUPVM SHORT 200 1.70 10/4 12:33 0.25 n/a $28,720
Includes Typical Broker Commissions trade costs of $280.00
9/21/04 12:45 GOQVB SHORT 50 2.20 10/4 12:32 0.10 n/a $10,430
Includes Typical Broker Commissions trade costs of $70.00
9/20/04 14:27 UPYVG SHORT 30 2.85 9/21 12:43 4.40 n/a ($4,692)
Includes Typical Broker Commissions trade costs of $42.00
9/20/04 14:26 UPYJG SHORT 30 4.50 9/21 12:42 0.95 n/a $10,608
Includes Typical Broker Commissions trade costs of $42.00
9/16/04 14:15 RUPVK SHORT 200 0.40 9/16 14:18 0.50 n/a ($2,280)
Includes Typical Broker Commissions trade costs of $280.00
9/7/04 10:18 RIMM SHORT 6,236 21.52 9/16 14:14 24.12 n/a ($29,956)
Includes Typical Broker Commissions trade costs of $15.00
9/7/04 10:19 RUPVK SHORT 250 1.36 9/16 14:12 0.45 n/a $22,525
Includes Typical Broker Commissions trade costs of $350.00
8/23/04 10:33 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 6 1372.50 9/7 10:15 1382.25 n/a ($1,218)
Includes Typical Broker Commissions trade costs of $48.00
8/23/04 10:27 NDTUP SHORT 7 9.00 9/7 10:14 2.25 n/a $4,715
Includes Typical Broker Commissions trade costs of $9.80
8/27/04 9:42 GOQIA SHORT 8 7.70 8/27 10:33 6.90 n/a $629
Includes Typical Broker Commissions trade costs of $11.20
8/5/04 9:46 NDTHR SHORT 5 14.90 8/21 10:10 0.00 n/a $7,447
Includes Typical Broker Commissions trade costs of $3.50
8/5/04 9:44 NDTTR SHORT 5 31.70 8/21 10:10 0.00 n/a $15,847
Includes Typical Broker Commissions trade costs of $3.50
8/5/04 19:41 @ESU4 E-MINI S&P 500 SHORT 10 1078.50 8/19 16:15 1091.25 n/a ($6,455)
Includes Typical Broker Commissions trade costs of $80.00
8/4/04 15:07 SOX.X PHLX SEMICONDUCT SECTOR LONG 300 408.53 8/5 9:34 408.37 n/a ($54)
Includes Typical Broker Commissions trade costs of $6.00
8/4/04 9:42 SOX.X PHLX SEMICONDUCT SECTOR LONG 70 404.33 8/4 14:38 407.16 n/a $198
Includes Typical Broker Commissions trade costs of $1.40
8/4/04 9:30 SOX.X PHLX SEMICONDUCT SECTOR LONG 10 402.92 8/4 9:32 404.12 n/a $12
Includes Typical Broker Commissions trade costs of $0.20
7/9/04 9:47 CME CME GROUP SHORT 80,000 5.30 7/23 14:03 5.15 n/a $12,070
Includes Typical Broker Commissions trade costs of $20.00
7/8/04 9:45 CMETH SHORT 25 6.00 7/23 14:02 16.10 n/a ($25,285)
Includes Typical Broker Commissions trade costs of $35.00
7/8/04 9:43 CMEHH SHORT 25 8.70 7/23 14:02 0.55 n/a $20,340
Includes Typical Broker Commissions trade costs of $35.00
7/8/04 9:50 CMEHF SHORT 50 11.20 7/19 11:14 2.40 n/a $43,930
Includes Typical Broker Commissions trade costs of $70.00
7/8/04 9:52 CMETF SHORT 50 2.70 7/19 10:34 12.20 n/a ($47,570)
Includes Typical Broker Commissions trade costs of $70.00
7/8/04 9:46 CMEHF LONG 20 15.30 7/8 9:48 14.60 n/a ($1,428)
Includes Typical Broker Commissions trade costs of $28.00
6/25/04 9:45 RIMM LONG 5,030 21.56 7/8 9:33 22.06 n/a $4,500
Includes Typical Broker Commissions trade costs of $10.00
6/4/04 10:50 RUPGJ SHORT 20 9.55 7/8 9:33 17.10 n/a ($15,128)
Includes Typical Broker Commissions trade costs of $28.00
6/4/04 10:51 RUPSJ SHORT 80 1.91 7/8 9:32 0.05 n/a $14,788
Includes Typical Broker Commissions trade costs of $112.00
6/3/04 10:55 RUPGK SHORT 40 5.95 7/8 9:32 12.30 n/a ($25,456)
Includes Typical Broker Commissions trade costs of $56.00
6/3/04 10:56 RUPSK SHORT 40 3.75 7/8 9:32 0.10 n/a $14,544
Includes Typical Broker Commissions trade costs of $56.00
6/4/04 10:59 RIMM SHORT 6,461 18.97 6/24 9:34 19.70 n/a ($5,293)
Includes Typical Broker Commissions trade costs of $12.50

Statistics

  • Strategy began
    1/4/2004
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5813.09
  • Age
    194 months ago
  • What it trades
    Stocks, Options
  • # Trades
    64
  • # Profitable
    41
  • % Profitable
    64.10%
  • Avg trade duration
    619.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual return (compounded)
    7.5%
  • Avg win
    $11,982
  • Avg loss
    $11,825
  • Model Account Values (Raw)
  • Cash
    $305,925
  • Margin Used
    $268,400
  • Buying Power
    $43,445
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.23
  • Calmar Ratio
    0.161
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00510
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    160.97%
  • Return Percent SP500 (cumu) during strategy life
    183.80%
  • Return Statistics
  • Ann Return (w trading costs)
    26.2%
  • Instruments
  • Percent Trades Options
    0.57%
  • Percent Trades Futures
    0.13%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Percent Trades Stocks
    0.30%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $11,982
  • Avg Loss
    $11,826
  • Sum Trade PL (losers)
    $271,995.000
  • Sum Trade PL (winners)
    $491,269.000
  • # Winners
    41
  • Dividends
  • Dividends Received in Model Acct
    391
  • Win / Loss
  • Num Months Winners
    6
  • Age
  • Num Months (Age strategy)
    10
  • Win / Loss
  • # Losers
    23
  • % Winners
    64.1%
  • Frequency
  • Avg Position Time (mins)
    891377.00
  • Avg Position Time (hrs)
    14856.30
  • Avg Trade Length
    619.0 days
  • Last Trade Ago
    5493
  • Regression
  • Alpha
    -174850000.00
  • Beta
    -6352790.00
  • Treynor Index
    27.54
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    1.35
  • MAE:Equity, average, all trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.349
  • 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
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    -
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.349
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    118259.00000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.75300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    705
  • Last 4 Months - Pcnt Negative
    0.50%

Strategy Description

Short gamma volty-trades maintaining skew-edge in equity and equity index option markets.

Summary Statistics

Strategy began
2004-01-04
Suggested Minimum Capital
$100,000
# Trades
64
# Profitable
41
% Profitable
64.1%
Net Dividends
Correlation S&P500
-0.005
Sharpe Ratio
-0.23
Sortino Ratio
-0.23
Beta
-6352790.00
Alpha
-174850000.00

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.