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These are hypothetical performance results that have certain inherent limitations. Learn more

Contrarian Value Trading
(114146885)

Created by: Quantastic Quantastic
Started: 10/2017
Options
Last trade: 94 days ago
Trading style: Options Premium Collecting Directional Bets

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 $79.00 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.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
59.3%
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.

(67.3%)
Max Drawdown
403
Num Trades
71.5%
Win Trades
2.4 : 1
Profit Factor
55.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               (2.5%)+9.5%+8.8%+16.2%
2018(3.4%)(4.2%)+1.2%+0.7%(9.8%)+6.8%(8.3%)(2.4%)(11.8%)+8.3%(1%)(8.6%)(29.5%)
2019(12.3%)(15%)+3.6%(16.5%)  -  (22.9%)(8.9%)(0.4%)+45.5%+27.4%(10.5%)
2020+54.3%+10.6%(36.4%)+98.5%+7.1%+23.8%+42.1%+64.2%(6.5%)+0.5%+33.4%+14.1%+853.6%
2021+37.6%(15.6%)(16.3%)+11.9%(10.3%)+11.8%(0.1%)+5.0%+11.7%+45.2%+3.2%+5.5%+102.1%
2022(5.2%)+3.3%+3.3%+5.9%+3.5%(2.1%)+2.9%(4.9%)+3.0%(1.1%)+2.5%(0.4%)+10.4%
2023+19.8%(7.7%)+16.8%+9.4%(8.7%)(0.5%)+4.7%(7.7%)(14.5%)+17.9%(1.7%)+16.6%+43.3%
2024(18.6%)(15.5%)+30.3%+3.9%                                                (6.9%)

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.

System developer has asked us to delay this information by 100 hours.

Trading Record

This strategy has placed 111 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 620 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/23 10:33 GOLD2419A22 GOLD Jan19'24 22 call SHORT 45 0.28 1/20/24 9:35 0.00 31355.82%
Trade id #145173974
Max drawdown($24,260,000)
Time8/28/23 0:00
Quant open45
Worst price5391.38
Drawdown as % of equity-31355.82%
$1,229
Includes Typical Broker Commissions trade costs of $31.50
7/3/23 9:59 GOLD2315L20 GOLD Dec15'23 20 call SHORT 4 0.51 12/16 9:35 0.00 2787.06%
Trade id #145099625
Max drawdown($2,156,350)
Time8/28/23 0:00
Quant open4
Worst price5391.38
Drawdown as % of equity-2787.06%
$201
Includes Typical Broker Commissions trade costs of $2.80
7/10/23 12:36 GOLD2318H18 GOLD Aug18'23 18 call SHORT 30 0.19 8/19 9:35 0.00 1.42%
Trade id #145164533
Max drawdown($1,260)
Time7/18/23 0:00
Quant open30
Worst price0.61
Drawdown as % of equity-1.42%
$549
Includes Typical Broker Commissions trade costs of $21.00
7/12/23 10:16 TSLA2314S267.5 TSLA Jul14'23 267.5 put SHORT 1 1.48 7/13 10:27 1.35 0.08%
Trade id #145193619
Max drawdown($67)
Time7/12/23 11:57
Quant open1
Worst price2.15
Drawdown as % of equity-0.08%
$11
Includes Typical Broker Commissions trade costs of $2.00
6/8/23 12:49 SPY2317W430 SPY Nov17'23 430 put LONG 2 14.19 7/7 9:33 10.01 1.43%
Trade id #144874198
Max drawdown($1,185)
Time6/30/23 0:00
Quant open2
Worst price8.26
Drawdown as % of equity-1.43%
($838)
Includes Typical Broker Commissions trade costs of $3.40
7/6/23 10:02 TSLA2307G285 TSLA Jul7'23 285 call SHORT 1 0.73 7/7 9:32 0.94 0.05%
Trade id #145131645
Max drawdown($43)
Time7/6/23 12:37
Quant open1
Worst price1.16
Drawdown as % of equity-0.05%
($23)
Includes Typical Broker Commissions trade costs of $2.00
7/5/23 15:26 TSLA2307S272.5 TSLA Jul7'23 272.5 put SHORT 1 1.01 7/7 9:32 0.32 0.29%
Trade id #145124779
Max drawdown($249)
Time7/6/23 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-0.29%
$67
Includes Typical Broker Commissions trade costs of $2.00
6/15/23 11:35 SPY2318H440 SPY Aug18'23 440 call LONG 1 10.99 7/6 13:17 8.98 0.71%
Trade id #144933883
Max drawdown($583)
Time6/26/23 0:00
Quant open1
Worst price5.16
Drawdown as % of equity-0.71%
($203)
Includes Typical Broker Commissions trade costs of $2.00
6/15/23 11:35 SPY2318T440 SPY Aug18'23 440 put LONG 1 8.38 7/6 13:17 7.04 0.43%
Trade id #144933878
Max drawdown($359)
Time6/30/23 0:00
Quant open1
Worst price4.79
Drawdown as % of equity-0.43%
($136)
Includes Typical Broker Commissions trade costs of $2.00
7/5/23 14:13 TSLA2314S262.5 TSLA Jul14'23 262.5 put SHORT 1 2.19 7/6 9:37 2.81 0.08%
Trade id #145124008
Max drawdown($71)
Time7/6/23 9:37
Quant open1
Worst price2.90
Drawdown as % of equity-0.08%
($64)
Includes Typical Broker Commissions trade costs of $2.00
7/5/23 9:41 TSLA2307S272.5 TSLA Jul7'23 272.5 put SHORT 1 1.84 7/5 14:19 1.56 0.04%
Trade id #145118171
Max drawdown($35)
Time7/5/23 12:01
Quant open1
Worst price2.19
Drawdown as % of equity-0.04%
$26
Includes Typical Broker Commissions trade costs of $2.00
7/3/23 9:31 TSLA2307S265 TSLA Jul7'23 265 put SHORT 2 1.64 7/5 9:40 0.68 n/a $188
Includes Typical Broker Commissions trade costs of $3.40
6/30/23 9:33 TSLA2307S240 TSLA Jul7'23 240 put SHORT 1 2.01 7/3 9:51 0.12 n/a $187
Includes Typical Broker Commissions trade costs of $2.00
6/30/23 10:31 TSLA2330R260 TSLA Jun30'23 260 put SHORT 1 0.56 7/1 9:35 0.00 0.02%
Trade id #145079543
Max drawdown($17)
Time6/30/23 11:45
Quant open1
Worst price0.73
Drawdown as % of equity-0.02%
$55
Includes Typical Broker Commissions trade costs of $1.00
6/30/23 9:30 TSLA2330R255 TSLA Jun30'23 255 put SHORT 1 0.72 7/1 9:35 0.00 n/a $71
Includes Typical Broker Commissions trade costs of $1.00
5/17/23 14:48 GOLD2316R18 GOLD Jun16'23 18 put SHORT 5 0.44 6/17 9:35 0.00 0.65%
Trade id #144654750
Max drawdown($545)
Time6/15/23 0:00
Quant open5
Worst price1.53
Drawdown as % of equity-0.65%
$217
Includes Typical Broker Commissions trade costs of $3.50
6/6/23 14:43 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 100 78.53 6/8 15:56 79.64 0.07%
Trade id #144851352
Max drawdown($58)
Time6/7/23 0:00
Quant open100
Worst price77.95
Drawdown as % of equity-0.07%
$109
Includes Typical Broker Commissions trade costs of $2.00
5/15/23 13:35 GOLD2326E20 GOLD May26'23 20 call SHORT 10 0.17 5/27 9:35 0.00 0.01%
Trade id #144617694
Max drawdown($10)
Time5/15/23 13:42
Quant open10
Worst price0.18
Drawdown as % of equity-0.01%
$163
Includes Typical Broker Commissions trade costs of $7.00
5/12/23 10:16 TSLA2319Q162.5 TSLA May19'23 162.5 put SHORT 1 1.10 5/20 9:35 0.00 0.2%
Trade id #144598529
Max drawdown($189)
Time5/15/23 0:00
Quant open1
Worst price2.99
Drawdown as % of equity-0.20%
$109
Includes Typical Broker Commissions trade costs of $1.00
5/8/23 9:44 GOLD2312Q20 GOLD May12'23 20 put SHORT 30 0.27 5/13 9:35 0.00 2.29%
Trade id #144556145
Max drawdown($2,190)
Time5/12/23 0:00
Quant open30
Worst price1.00
Drawdown as % of equity-2.29%
$789
Includes Typical Broker Commissions trade costs of $21.00
5/8/23 9:51 TSLA2312Q165 TSLA May12'23 165 put SHORT 1 1.51 5/13 9:35 0.00 0.08%
Trade id #144556293
Max drawdown($78)
Time5/9/23 0:00
Quant open1
Worst price2.29
Drawdown as % of equity-0.08%
$150
Includes Typical Broker Commissions trade costs of $1.00
5/3/23 12:05 GOLD2312E20.5 GOLD May12'23 20.5 call SHORT 10 0.26 5/13 9:35 0.00 0.35%
Trade id #144514657
Max drawdown($340)
Time5/4/23 0:00
Quant open10
Worst price0.60
Drawdown as % of equity-0.35%
$253
Includes Typical Broker Commissions trade costs of $7.00
5/12/23 9:43 GOLD2319Q19 GOLD May19'23 19 put SHORT 4 0.27 5/12 14:32 0.25 0.01%
Trade id #144597776
Max drawdown($12)
Time5/12/23 10:23
Quant open4
Worst price0.30
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $5.60
5/10/23 9:33 TSLA2319Q165 TSLA May19'23 165 put SHORT 1 1.82 5/10 10:44 2.27 0.05%
Trade id #144574964
Max drawdown($46)
Time5/10/23 10:44
Quant open1
Worst price2.28
Drawdown as % of equity-0.05%
($47)
Includes Typical Broker Commissions trade costs of $2.00
5/4/23 13:04 TSLA2312Q152.5 TSLA May12'23 152.5 put SHORT 1 1.78 5/8 9:55 0.14 n/a $162
Includes Typical Broker Commissions trade costs of $2.00
4/26/23 10:49 GOLD2305E19.5 GOLD May5'23 19.5 call SHORT 20 0.31 5/6 9:35 0.00 1.94%
Trade id #144429773
Max drawdown($1,880)
Time5/4/23 0:00
Quant open20
Worst price1.25
Drawdown as % of equity-1.94%
$606
Includes Typical Broker Commissions trade costs of $14.00
5/3/23 9:50 ARKK2305Q35 ARKK May5'23 35 put SHORT 2 0.50 5/6 9:35 0.00 0.05%
Trade id #144511766
Max drawdown($44)
Time5/3/23 15:39
Quant open2
Worst price0.72
Drawdown as % of equity-0.05%
$98
Includes Typical Broker Commissions trade costs of $2.00
5/3/23 9:57 TSLA2305E165 TSLA May5'23 165 call SHORT 1 2.22 5/6 9:35 0.00 0.36%
Trade id #144511972
Max drawdown($353)
Time5/5/23 0:00
Quant open1
Worst price5.75
Drawdown as % of equity-0.36%
$221
Includes Typical Broker Commissions trade costs of $1.00
4/22/23 9:35 TSLA TESLA INC. LONG 100 172.50 5/6 9:35 165.00 2.19%
Trade id #144393598
Max drawdown($2,013)
Time4/27/23 0:00
Quant open100
Worst price152.37
Drawdown as % of equity-2.19%
($752)
Includes Typical Broker Commissions trade costs of $2.00
5/3/23 9:59 GOLD2305E20 GOLD May5'23 20 call SHORT 10 0.25 5/6 9:35 0.00 0.56%
Trade id #144512035
Max drawdown($540)
Time5/4/23 0:00
Quant open10
Worst price0.79
Drawdown as % of equity-0.56%
$243
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    10/10/2017
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    2382.15
  • Age
    80 months ago
  • What it trades
    Options
  • # Trades
    403
  • # Profitable
    288
  • % Profitable
    71.50%
  • Avg trade duration
    31.7 days
  • Max peak-to-valley drawdown
    67.34%
  • drawdown period
    June 18, 2018 - Oct 11, 2019
  • Annual Return (Compounded)
    59.3%
  • Avg win
    $523.40
  • Avg loss
    $564.84
  • Model Account Values (Raw)
  • Cash
    $22,439
  • Margin Used
    $0
  • Buying Power
    $10,153
  • Ratios
  • W:L ratio
    2.37:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    1.7
  • Calmar Ratio
    2.49
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1904.64%
  • Correlation to SP500
    0.26410
  • Return Percent SP500 (cumu) during strategy life
    96.44%
  • Return Statistics
  • Ann Return (w trading costs)
    59.3%
  • Slump
  • Current Slump as Pcnt Equity
    13.30%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    18.77%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.593%
  • Instruments
  • Percent Trades Options
    0.80%
  • Percent Trades Stocks
    0.19%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    60.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    52.50%
  • Chance of 30% account loss
    35.50%
  • Chance of 40% account loss
    30.00%
  • Chance of 60% account loss (Monte Carlo)
    7.00%
  • Chance of 70% account loss (Monte Carlo)
    1.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.29%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    14.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    512
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $565
  • Avg Win
    $523
  • Sum Trade PL (losers)
    $64,957.000
  • Age
  • Num Months filled monthly returns table
    79
  • Win / Loss
  • Sum Trade PL (winners)
    $150,739.000
  • # Winners
    288
  • Num Months Winners
    43
  • Dividends
  • Dividends Received in Model Acct
    3324
  • Win / Loss
  • # Losers
    115
  • % Winners
    71.5%
  • Frequency
  • Avg Position Time (mins)
    45611.40
  • Avg Position Time (hrs)
    760.19
  • Avg Trade Length
    31.7 days
  • Last Trade Ago
    90
  • Leverage
  • Daily leverage (average)
    1.50
  • Daily leverage (max)
    6.41
  • Regression
  • Alpha
    0.14
  • Beta
    0.78
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.95
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    79.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    82.67
  • MAE:Equity, average, winning trades
    1.35
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    344.891
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    179.860
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.161
  • Hold-and-Hope Ratio
    0.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.46347
  • SD
    1.60077
  • Sharpe ratio (Glass type estimate)
    0.91423
  • Sharpe ratio (Hedges UMVUE)
    0.89697
  • df
    40.00000
  • t
    1.68989
  • p
    0.04941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97537
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.83343
  • Upside Potential Ratio
    9.64947
  • Upside part of mean
    1.80276
  • Downside part of mean
    -0.33928
  • Upside SD
    1.62589
  • Downside SD
    0.18682
  • N nonnegative terms
    22.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.18882
  • Mean of criterion
    1.46347
  • SD of predictor
    0.22407
  • SD of criterion
    1.60077
  • Covariance
    0.13150
  • r
    0.36663
  • b (slope, estimate of beta)
    2.61927
  • a (intercept, estimate of alpha)
    0.96890
  • Mean Square Error
    2.27488
  • DF error
    39.00000
  • t(b)
    2.46099
  • p(b)
    0.00919
  • t(a)
    1.15295
  • p(a)
    0.12797
  • Lowerbound of 95% confidence interval for beta
    0.46649
  • Upperbound of 95% confidence interval for beta
    4.77205
  • Lowerbound of 95% confidence interval for alpha
    -0.73089
  • Upperbound of 95% confidence interval for alpha
    2.66869
  • Treynor index (mean / b)
    0.55873
  • Jensen alpha (a)
    0.96890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83586
  • SD
    0.91196
  • Sharpe ratio (Glass type estimate)
    0.91655
  • Sharpe ratio (Hedges UMVUE)
    0.89924
  • df
    40.00000
  • t
    1.69417
  • p
    0.04900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16802
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99012
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97773
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21145
  • Upside Potential Ratio
    6.01210
  • Upside part of mean
    1.19323
  • Downside part of mean
    -0.35738
  • Upside SD
    0.91116
  • Downside SD
    0.19847
  • N nonnegative terms
    22.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.16355
  • Mean of criterion
    0.83586
  • SD of predictor
    0.21838
  • SD of criterion
    0.91196
  • Covariance
    0.06841
  • r
    0.34352
  • b (slope, estimate of beta)
    1.43453
  • a (intercept, estimate of alpha)
    0.60123
  • Mean Square Error
    0.75234
  • DF error
    39.00000
  • t(b)
    2.28428
  • p(b)
    0.01394
  • t(a)
    1.25163
  • p(a)
    0.10908
  • Lowerbound of 95% confidence interval for beta
    0.16428
  • Upperbound of 95% confidence interval for beta
    2.70478
  • Lowerbound of 95% confidence interval for alpha
    -0.37039
  • Upperbound of 95% confidence interval for alpha
    1.57285
  • Treynor index (mean / b)
    0.58267
  • Jensen alpha (a)
    0.60123
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30467
  • Expected Shortfall on VaR
    0.37425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06256
  • Expected Shortfall on VaR
    0.11901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.84675
  • Quartile 1
    0.96761
  • Median
    1.02287
  • Quartile 3
    1.06893
  • Maximum
    3.35605
  • Mean of quarter 1
    0.90620
  • Mean of quarter 2
    0.99490
  • Mean of quarter 3
    1.04654
  • Mean of quarter 4
    1.57130
  • Inter Quartile Range
    0.10133
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07317
  • Mean of outliers high
    2.56339
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.08983
  • VaR(95%) (moments method)
    0.08123
  • Expected Shortfall (moments method)
    0.08248
  • Extreme Value Index (regression method)
    -1.04442
  • VaR(95%) (regression method)
    0.11019
  • Expected Shortfall (regression method)
    0.11876
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02102
  • Quartile 1
    0.05859
  • Median
    0.11494
  • Quartile 3
    0.14531
  • Maximum
    0.42662
  • Mean of quarter 1
    0.03055
  • Mean of quarter 2
    0.11415
  • Mean of quarter 3
    0.11573
  • Mean of quarter 4
    0.29089
  • Inter Quartile Range
    0.08672
  • 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
    0.16667
  • Mean of outliers high
    0.42662
  • 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)
    5.30594
  • Compounded annual return (geometric extrapolation)
    1.37207
  • Calmar ratio (compounded annual return / max draw down)
    3.21617
  • Compounded annual return / average of 25% largest draw downs
    4.71675
  • Compounded annual return / Expected Shortfall lognormal
    3.66614
  • 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
    1.10922
  • SD
    0.72442
  • Sharpe ratio (Glass type estimate)
    1.53119
  • Sharpe ratio (Hedges UMVUE)
    1.52992
  • df
    905.00000
  • t
    2.84736
  • p
    0.00225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58626
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99851
  • Upside Potential Ratio
    9.74827
  • Upside part of mean
    3.60613
  • Downside part of mean
    -2.49691
  • Upside SD
    0.62614
  • Downside SD
    0.36993
  • N nonnegative terms
    455.00000
  • N negative terms
    451.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    906.00000
  • Mean of predictor
    0.20575
  • Mean of criterion
    1.10922
  • SD of predictor
    0.27961
  • SD of criterion
    0.72442
  • Covariance
    0.06965
  • r
    0.34384
  • b (slope, estimate of beta)
    0.89083
  • a (intercept, estimate of alpha)
    0.92600
  • Mean Square Error
    0.46325
  • DF error
    904.00000
  • t(b)
    11.00950
  • p(b)
    0.00000
  • t(a)
    2.52718
  • p(a)
    0.00583
  • Lowerbound of 95% confidence interval for beta
    0.73203
  • Upperbound of 95% confidence interval for beta
    1.04963
  • Lowerbound of 95% confidence interval for alpha
    0.20686
  • Upperbound of 95% confidence interval for alpha
    1.64501
  • Treynor index (mean / b)
    1.24516
  • Jensen alpha (a)
    0.92593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86176
  • SD
    0.69134
  • Sharpe ratio (Glass type estimate)
    1.24650
  • Sharpe ratio (Hedges UMVUE)
    1.24547
  • df
    905.00000
  • t
    2.31796
  • p
    0.01034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30173
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30101
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20991
  • Upside Potential Ratio
    8.80050
  • Upside part of mean
    3.43177
  • Downside part of mean
    -2.57001
  • Upside SD
    0.57289
  • Downside SD
    0.38995
  • N nonnegative terms
    455.00000
  • N negative terms
    451.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    906.00000
  • Mean of predictor
    0.16738
  • Mean of criterion
    0.86176
  • SD of predictor
    0.27581
  • SD of criterion
    0.69134
  • Covariance
    0.06769
  • r
    0.35500
  • b (slope, estimate of beta)
    0.88984
  • a (intercept, estimate of alpha)
    0.71281
  • Mean Square Error
    0.41818
  • DF error
    904.00000
  • t(b)
    11.41740
  • p(b)
    0.00000
  • t(a)
    2.04834
  • p(a)
    0.02041
  • Lowerbound of 95% confidence interval for beta
    0.73688
  • Upperbound of 95% confidence interval for beta
    1.04280
  • Lowerbound of 95% confidence interval for alpha
    0.02984
  • Upperbound of 95% confidence interval for alpha
    1.39579
  • Treynor index (mean / b)
    0.96845
  • Jensen alpha (a)
    0.71281
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06477
  • Expected Shortfall on VaR
    0.08120
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02159
  • Expected Shortfall on VaR
    0.04520
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    906.00000
  • Minimum
    0.81439
  • Quartile 1
    0.99038
  • Median
    1.00021
  • Quartile 3
    1.01202
  • Maximum
    1.33347
  • Mean of quarter 1
    0.96637
  • Mean of quarter 2
    0.99578
  • Mean of quarter 3
    1.00559
  • Mean of quarter 4
    1.04958
  • Inter Quartile Range
    0.02165
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.05298
  • Mean of outliers low
    0.92014
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.06954
  • Mean of outliers high
    1.11763
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44292
  • VaR(95%) (moments method)
    0.03192
  • Expected Shortfall (moments method)
    0.06668
  • Extreme Value Index (regression method)
    0.20143
  • VaR(95%) (regression method)
    0.02927
  • Expected Shortfall (regression method)
    0.04714
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00014
  • Quartile 1
    0.01040
  • Median
    0.03071
  • Quartile 3
    0.11709
  • Maximum
    0.57607
  • Mean of quarter 1
    0.00608
  • Mean of quarter 2
    0.01804
  • Mean of quarter 3
    0.05813
  • Mean of quarter 4
    0.25927
  • Inter Quartile Range
    0.10668
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.42231
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29392
  • VaR(95%) (moments method)
    0.27639
  • Expected Shortfall (moments method)
    0.45994
  • Extreme Value Index (regression method)
    0.88660
  • VaR(95%) (regression method)
    0.22315
  • Expected Shortfall (regression method)
    1.30381
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.98085
  • Compounded annual return (geometric extrapolation)
    1.43432
  • Calmar ratio (compounded annual return / max draw down)
    2.48983
  • Compounded annual return / average of 25% largest draw downs
    5.53206
  • Compounded annual return / Expected Shortfall lognormal
    17.66390
  • 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
    0.57231
  • SD
    0.59657
  • Sharpe ratio (Glass type estimate)
    0.95933
  • Sharpe ratio (Hedges UMVUE)
    0.95378
  • df
    130.00000
  • t
    0.67835
  • p
    0.47030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.73178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72801
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47548
  • Upside Potential Ratio
    7.95223
  • Upside part of mean
    3.08451
  • Downside part of mean
    -2.51220
  • Upside SD
    0.45164
  • Downside SD
    0.38788
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43208
  • Mean of criterion
    0.57231
  • SD of predictor
    0.17459
  • SD of criterion
    0.59657
  • Covariance
    0.01347
  • r
    0.12934
  • b (slope, estimate of beta)
    0.44197
  • a (intercept, estimate of alpha)
    0.38134
  • Mean Square Error
    0.35266
  • DF error
    129.00000
  • t(b)
    1.48153
  • p(b)
    0.41789
  • t(a)
    0.44881
  • p(a)
    0.47487
  • Lowerbound of 95% confidence interval for beta
    -0.14826
  • Upperbound of 95% confidence interval for beta
    1.03220
  • Lowerbound of 95% confidence interval for alpha
    -1.29974
  • Upperbound of 95% confidence interval for alpha
    2.06243
  • Treynor index (mean / b)
    1.29491
  • Jensen alpha (a)
    0.38134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39544
  • SD
    0.59690
  • Sharpe ratio (Glass type estimate)
    0.66249
  • Sharpe ratio (Hedges UMVUE)
    0.65866
  • df
    130.00000
  • t
    0.46845
  • p
    0.47947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43162
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95934
  • Upside Potential Ratio
    7.25107
  • Upside part of mean
    2.98891
  • Downside part of mean
    -2.59346
  • Upside SD
    0.42925
  • Downside SD
    0.41220
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41667
  • Mean of criterion
    0.39544
  • SD of predictor
    0.17375
  • SD of criterion
    0.59690
  • Covariance
    0.01236
  • r
    0.11921
  • b (slope, estimate of beta)
    0.40953
  • a (intercept, estimate of alpha)
    0.22480
  • Mean Square Error
    0.35395
  • DF error
    129.00000
  • t(b)
    1.36365
  • p(b)
    0.42429
  • t(a)
    0.26428
  • p(a)
    0.48519
  • VAR (95 Confidence Intrvl)
    0.06500
  • Lowerbound of 95% confidence interval for beta
    -0.18466
  • Upperbound of 95% confidence interval for beta
    1.00373
  • Lowerbound of 95% confidence interval for alpha
    -1.45818
  • Upperbound of 95% confidence interval for alpha
    1.90779
  • Treynor index (mean / b)
    0.96560
  • Jensen alpha (a)
    0.22480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05743
  • Expected Shortfall on VaR
    0.07176
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02182
  • Expected Shortfall on VaR
    0.04624
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81894
  • Quartile 1
    0.99136
  • Median
    1.00000
  • Quartile 3
    1.01391
  • Maximum
    1.15939
  • Mean of quarter 1
    0.96645
  • Mean of quarter 2
    0.99570
  • Mean of quarter 3
    1.00535
  • Mean of quarter 4
    1.04176
  • Inter Quartile Range
    0.02256
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.91626
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.10101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52153
  • VaR(95%) (moments method)
    0.03157
  • Expected Shortfall (moments method)
    0.07580
  • Extreme Value Index (regression method)
    0.58973
  • VaR(95%) (regression method)
    0.02538
  • Expected Shortfall (regression method)
    0.06441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00716
  • Quartile 1
    0.01221
  • Median
    0.04053
  • Quartile 3
    0.04974
  • Maximum
    0.32558
  • Mean of quarter 1
    0.00968
  • Mean of quarter 2
    0.04053
  • Mean of quarter 3
    0.04974
  • Mean of quarter 4
    0.32558
  • Inter Quartile Range
    0.03754
  • 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
    0.20000
  • Mean of outliers high
    0.32558
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362040000
  • Max Equity Drawdown (num days)
    480
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47149
  • Compounded annual return (geometric extrapolation)
    0.52707
  • Calmar ratio (compounded annual return / max draw down)
    1.61885
  • Compounded annual return / average of 25% largest draw downs
    1.61885
  • Compounded annual return / Expected Shortfall lognormal
    7.34502

Strategy Description

If this strategy should get 2 subscribers I will make this strategy TOS. I trade this style successfully in my personal account for nearly 2 years now.

Trading purely contrarian value style. One of the hardest to master but most rewarding style. The most successfull investors like Warren Buffet use this style.
Buying stocks when everybody else sells. Using cash secured Puts to buy the stocks and Covered Calls to sell the stocks when my price target is reached and when euphoria starts to begin. This works like a discounted stock purchase and has absolutely nothing to do with the high risk option strategies busting accounts. Just working wonderfully with contrarian style. So this strategy has the risk of a pure stock buying strategy.
Mostly trading tech stocks cause there i have the most knowledge and edge. I am a multipotentialist and original thinker so I can find connections the most people just dont see.

This trading style works different to normal strategies. So you can expect a low correlation to other strategies and you shouldnt expect stop limits for protection. I buy into massive falling prices and use the reduced prices to add to the positions instead. I base my buys on dtrong fundamental believes. So dont worry if a trade look stuipid. Thats the sense of the contrarian approach. When you want to know why buy or sell a stock just ask me.
Most times io am right in the long run. But you need a time horizon of about 6-18 month. This trading style needs some time.

Also using shorting and earnings plays to balance the risk. So no need to worry the next crash. Anyway black swan events can cause some problems for a short period of time if volatility rises enourmesly. So always keep enough Margin in reserve when using this strategy.

Summary Statistics

Strategy began
2017-10-10
Suggested Minimum Capital
$90,000
# Trades
403
# Profitable
288
% Profitable
71.5%
Net Dividends
Correlation S&P500
0.264
Sharpe Ratio
0.88
Sortino Ratio
1.70
Beta
0.78
Alpha
0.14
Leverage
1.50 Average
6.41 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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

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