Index Spreads
- hypothetical · Annual Return (Compounded)
- 1.7%
- Max Drawdown
- 64.2%
- Trades
- 199
- Win Trades
- 43.7%
- Profit Factor
- 1.20
- Win Months
- 24.2%
About this strategy
Thank you for looking at my trading plan. I have been trading options for over 15 years and have a positive track record for multiple years on Collective 2.
**System parameters were changed, after 2013, to trade with prevailing market direction. With new parameters, 2013 would have had less but more profitable trades and a positive year overall.
Index Spreads is a very simple system with a goal of making 8-16% return on investment per month. The overall goal is to make 60% per year on capital invested (on average). These are only goals and no performance can be guaranteed.
This system sells a call or put spread on the SPY etf when the S&P 500 is overbought or oversold. To determine this, I use a tool that I have customized to work with the parameters of this strategy. I will use this tool roughly 90% of the time, the other 10% being discretionary.
Most brokers only charge for 1 side of an iron condor. It is (obviously) an individual's choice on how much capital to allocate per spread. Everyone�s account and circumstances are different, but it is wise to have some reserve capital for the occasional adjustment of a position.
Here is what I provide with each subscription:
**Exact strikes and credit objective per trade.
**A vested interest in the system's performance- I trade this system in my personal accounts.
**Quick and clear communication to questions.
**Briefing at the end of expiration detailing the past month and what we will be looking forward to in the upcoming weeks.
For more information or if you have any questions, feel free to contact me.
NOTE: You will be able to make significantly better after-commision returns than those reflected here on Collective 2 if you use a discount options broker.
Thanks,
Dave
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 0.1 | 5.4 | 5.5 | ||||||||||
| 2008 | 1.1 | 4.5 | 6.2 | 5.1 | 6.1 | -2.7 | 5.0 | 2.1 | 1.6 | -17.9 | 0.7 | 2.2 | 12.0 |
| 2009 | 0.1 | 2.2 | 7.9 | 2.4 | 4.4 | 8.0 | -13.6 | -0.8 | 6.9 | 2.1 | 7.6 | 2.3 | 31.3 |
| 2010 | -3.6 | 9.3 | -12.9 | -7.4 | 5.7 | 0.9 | 11.2 | 2.9 | -1.9 | -6.4 | 5.2 | -2.0 | -1.9 |
| 2011 | -12.9 | -2.1 | -0.7 | 2.3 | 16.2 | 0.4 | 6.5 | -11.0 | 8.2 | -4.8 | 12.8 | 8.6 | 20.8 |
| 2012 | 3.6 | -2.0 | 3.3 | 6.4 | 2.8 | 6.0 | 6.5 | 5.8 | 2.3 | 2.4 | 4.6 | 6.1 | 58.9 |
| 2013 | -4.4 | -6.3 | -7.5 | -14.3 | -14.7 | 13.4 | -39.5 | -3.0 | 7.9 | 6.7 | -8.3 | 15.1 | -51.1 |
| 2014 | -2.2 | 1.7 | 12.2 | 15.5 | 2.5 | -4.9 | -0.7 | -18.8 | 37.6 | -40.0 | -17.4 | 0.0 | -30.9 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 11/28/2007 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 229 months |
| What it trades | Options |
| # Trades | 199 |
| # Profitable | 87 |
| % Profitable | 43.7% |
| Avg trade duration | 26.7 days |
| Max peak-to-valley drawdown | 64.2% |
| drawdown period | Jan 09, 2013 - Oct 17, 2014 |
| Annual Return (Compounded) | 1.7% |
| Avg win | $1,324 |
| Avg loss | $891 |
Ratios
| W:L ratio | 1.15 |
|---|---|
| Sharpe Ratio | 0 |
| Sortino Ratio | 0.01 |
| Calmar Ratio | 0.05 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.03 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 418.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -43.1% |
Return Statistics
| Ann Return (w trading costs) | 1.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 5.1% |
Slump
| Current Slump as Pcnt Equity | 216.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | — |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 623 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $891 |
|---|---|
| Avg Win | $1,324 |
| # Winners | 87 |
| Sum Trade PL (losers) | $99,787 |
| Sum Trade PL (winners) | $115,164 |
| Num Months Winners | 55 |
| # Losers | 112 |
| % Winners | 43.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 227 |
|---|
Frequency
| Avg Position Time (mins) | 38518.53 |
|---|---|
| Avg Position Time (hrs) | 641.98 |
| Avg Trade Length | 26.70 |
| Last Trade Ago | 4313 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.03 |
| Treynor Index | 0.02 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.09 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.09 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.10 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 17.91 |
| MAE:PL (avg, all trades) | -0.24 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 24.03 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 39.12 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.13 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.31 |
| Hold-and-Hope Ratio | 0.05 |
RATIO STATISTICS
| Mean | 0.12 |
|---|---|
| SD | 0.21 |
| Sharpe ratio (Glass type estimate) | 0.57 |
| Sharpe ratio (Hedges UMVUE) | 0.57 |
| df | 105 |
| t | 1.70 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.09 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.10 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.23 |
| Sortino ratio | 0.75 |
| Upside Potential Ratio | 1.94 |
| Upside part of mean | 0.31 |
| Downside part of mean | -0.19 |
| Upside SD | 0.14 |
| Downside SD | 0.16 |
| N nonnegative terms | 60 |
| N negative terms | 46 |
| N of observations | 106 |
| Mean of predictor | 0.06 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.15 |
| SD of criterion | 0.21 |
| Covariance | -0.00 |
| r | -0.04 |
| b (slope, estimate of beta) | -0.06 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.04 |
| DF error | 104 |
| t(b) | -0.42 |
| p(b) | 0.52 |
| t(a) | 1.73 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | -0.32 |
| Upperbound of 95% confidence interval for beta | 0.21 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.26 |
| Treynor index (mean / b) | -2.08 |
| Jensen alpha (a) | 0.12 |
| Mean | 0.10 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 0.43 |
| Sharpe ratio (Hedges UMVUE) | 0.43 |
| df | 105 |
| t | 1.29 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.23 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.10 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.09 |
| Sortino ratio | 0.54 |
| Upside Potential Ratio | 1.70 |
| Upside part of mean | 0.30 |
| Downside part of mean | -0.20 |
| Upside SD | 0.13 |
| Downside SD | 0.18 |
| N nonnegative terms | 60 |
| N negative terms | 46 |
| N of observations | 106 |
| Mean of predictor | 0.04 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.15 |
| SD of criterion | 0.22 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.04 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.05 |
| DF error | 104 |
| t(b) | -0.29 |
| p(b) | 0.51 |
| t(a) | 1.31 |
| p(a) | 0.44 |
| Lowerbound of 95% confidence interval for beta | -0.32 |
| Upperbound of 95% confidence interval for beta | 0.24 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | -2.33 |
| Jensen alpha (a) | 0.10 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.12 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
| Mean | 0.11 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 0.59 |
| Sharpe ratio (Hedges UMVUE) | 0.59 |
| df | 3050 |
| t | 1.75 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.25 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.25 |
| Sortino ratio | 0.80 |
| Upside Potential Ratio | 6.24 |
| Upside part of mean | 0.89 |
| Downside part of mean | -0.78 |
| Upside SD | 0.13 |
| Downside SD | 0.14 |
| N nonnegative terms | 1003 |
| N negative terms | 2048 |
| N of observations | 3051 |
| Mean of predictor | 0.07 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.22 |
| SD of criterion | 0.19 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.04 |
| DF error | 3049 |
| t(b) | 3.39 |
| p(b) | 0.00 |
| t(a) | 1.70 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 2.08 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.10 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 0.49 |
| Sharpe ratio (Hedges UMVUE) | 0.49 |
| df | 3050 |
| t | 1.45 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.17 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.15 |
| Sortino ratio | 0.65 |
| Upside Potential Ratio | 6.05 |
| Upside part of mean | 0.89 |
| Downside part of mean | -0.79 |
| Upside SD | 0.13 |
| Downside SD | 0.15 |
| N nonnegative terms | 1003 |
| N negative terms | 2048 |
| N of observations | 3051 |
| Mean of predictor | 0.04 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.22 |
| SD of criterion | 0.19 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.06 |
| a (intercept, estimate of alpha) | 0.09 |
| Mean Square Error | 0.04 |
| DF error | 3049 |
| t(b) | 3.42 |
| p(b) | 0.00 |
| t(a) | 1.42 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | 1.71 |
| Jensen alpha (a) | 0.09 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.01 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.16 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.08 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.01 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -3.15763010599649e+16 |
| Sharpe ratio (Hedges UMVUE) | -3.14375993861079e+16 |
| df | 171 |
| t | -2.23277998051164e+16 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.47694997228749e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.81057999810724e+16 |
| Sortino ratio | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.16 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.08 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0 |
| DF error | 170 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -2.21209004930499e+16 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | -0.01 |
| Treynor index (mean / b) | -2.26164996085431e+31 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 106 |
|---|---|
| Minimum | 0.76 |
| Quartile 1 | 1 |
| Median | 1.02 |
| Quartile 3 | 1.05 |
| Maximum | 1.13 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.85 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.13 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.06 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.12 |
| Number of observations | 3051 |
| Minimum | 0.91 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.10 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 446 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 531 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.55 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 172 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 8 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.06 |
| Median | 0.12 |
| Quartile 3 | 0.14 |
| Maximum | 0.39 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0.13 |
| Mean of quarter 4 | 0.28 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 0.39 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 107 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.41 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 12 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.15 |
| Extreme Value Index (moments method) | 0.65 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.27 |
| Extreme Value Index (regression method) | 0.21 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0.13 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Max Equity Drawdown (num days) | 646 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.17 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 0.28 |
| Compounded annual return / average of 25% largest draw downs | 0.40 |
| Compounded annual return / Expected Shortfall lognormal | 0.96 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.17 |
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 0.27 |
| Compounded annual return / average of 25% largest draw downs | 1.30 |
| Compounded annual return / Expected Shortfall lognormal | 5.23 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 41 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPY1422K211 | long | 50 | Nov 5, 2014 | Nov 23, 2014 | ($235) |
| SPY1422K206 | short | 50 | Nov 5, 2014 | Nov 21, 2014 | ($1,670) |
| SPY1424V186 | short | 40 | Oct 10, 2014 | Oct 25, 2014 | $3,612 |
| SPY1424V181 | long | 40 | Oct 10, 2014 | Oct 25, 2014 | ($1,948) |
| SPY | long | 4000 | Oct 19, 2014 | Oct 20, 2014 | ($11,485) |
| SPY1418V191 | short | 40 | Sep 25, 2014 | Oct 19, 2014 | $4,572 |
| SPY1418V186 | long | 40 | Sep 25, 2014 | Oct 19, 2014 | ($2,428) |
| SPY1412I200 | short | 35 | Aug 18, 2014 | Sep 13, 2014 | $1,866 |
| SPY1412I205 | long | 35 | Aug 18, 2014 | Sep 13, 2014 | ($130) |
| SPY1422T181 | long | 30 | Aug 6, 2014 | Aug 23, 2014 | ($1,221) |
| SPY1422T186 | short | 30 | Aug 6, 2014 | Aug 23, 2014 | $2,499 |
| SPY1416H205 | long | 30 | Jul 22, 2014 | Aug 17, 2014 | ($141) |
| SPY1416H200 | short | 30 | Jul 22, 2014 | Aug 17, 2014 | $2,559 |
| SPY1416T188 | long | 30 | Jul 29, 2014 | Aug 6, 2014 | $1,218 |
| SPY1416T193 | short | 30 | Jul 29, 2014 | Aug 6, 2014 | ($4,902) |
| SPY1419G204 | long | 30 | Jun 23, 2014 | Jul 20, 2014 | ($171) |
| SPY1419G199 | short | 30 | Jun 23, 2014 | Jul 20, 2014 | $1,299 |
| SPY1421F200 | long | 33 | May 27, 2014 | Jun 22, 2014 | ($188) |
| SPY1421F195 | short | 33 | May 27, 2014 | Jun 20, 2014 | ($1,564) |
| SPY1417Q169 | long | 30 | Apr 8, 2014 | May 18, 2014 | ($1,491) |
| SPY1417Q174 | short | 30 | Apr 8, 2014 | May 18, 2014 | $2,619 |
| SPY1417E192 | short | 30 | Apr 22, 2014 | May 18, 2014 | $1,569 |
| SPY1417E197 | long | 30 | Apr 22, 2014 | May 18, 2014 | ($201) |
| SPY1419D191 | short | 29 | Apr 2, 2014 | Apr 20, 2014 | $1,430 |
| SPY1419D196 | long | 29 | Apr 2, 2014 | Apr 20, 2014 | ($165) |
| SPY1422C189 | short | 27 | Feb 20, 2014 | Mar 23, 2014 | $1,304 |
| SPY1422C194 | long | 27 | Feb 20, 2014 | Mar 23, 2014 | ($235) |
| SPY1422N172 | short | 26 | Jan 24, 2014 | Feb 23, 2014 | $2,478 |
| SPY1422N167 | long | 26 | Jan 24, 2014 | Feb 23, 2014 | ($1,474) |
| SPY1321L183 | short | 26 | Nov 4, 2013 | Dec 22, 2013 | $1,360 |
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.