Collective2 Collective2
Featured Strategy Iberia Capital Strategy +15.0% Cumul. Return since Apr 15, 2026 Hypothetical

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Cheetah Index

By CheetahTrader

Futures, Options · Started Aug 2008

hypothetical · Annual Return (Compounded)
4.9%
Max Drawdown
30.2%
Trades
431
Win Trades
59.6%
Profit Factor
1.30
Win Months
6.9%

About this strategy

See blog for this system at http://cheetahindex.blogspot.com


NOTE--The realism factor below 90 is due to the use of index options (which are actually very liquid).




THE PLAN


Cheetah Index primarily trades the ES futures (long and short trades) and buys and sells index options.



IMPORTANT CONSIDERATIONS


System developer trades this system.



TRADE METHOD


Cheetah Index utilizes a combination of ES futures and index options to maintain positions based on expected market direction. Trades are made to adjust positions according to perceived risks. Generally, Cheetah Index takes option positions within each monthly cycle and then trades the ES and the options as the risk within the position changes due to market movement and sentiment.




Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200844.922.248.9-26.119.4132.8
2009-8.79.1-13.014.92.812.26.36.62.5-11.41.30.420.0
2010-1.53.68.7-8.9-14.2-0.5-0.4-0.10.00.00.0-0.0-14.2
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.0-0.00.00.00.0-0.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began8/4/2008
Suggested Minimum Capital$15,000
Age220 months
What it tradesOptions, Futures
# Trades431
# Profitable257
% Profitable59.6%
Avg trade duration2.8 days
Max peak-to-valley drawdown30.2%
drawdown periodOct 27, 2009 - Feb 05, 2010
Annual Return (Compounded)4.9%
Avg win$700
Avg loss$820

Ratios

W:L ratio1.26
Sharpe Ratio0.23
Sortino Ratio0.36
Calmar Ratio0.18

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life511.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-373.2%

Return Statistics

Ann Return (w trading costs)4.9%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)7.2%

Slump

Current Slump as Pcnt Equity36.8%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.7%
Percent Trades Options0.3%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss13.3%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$820
Avg Win$700
# Winners257
Sum Trade PL (losers)$142,594
Sum Trade PL (winners)$179,865
Num Months Winners16
# Losers174
% Winners59.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table218

Frequency

Avg Position Time (mins)3964.90
Avg Position Time (hrs)66.08
Avg Trade Length2.80
Last Trade Ago5971

Regression

Alpha0.01
Beta-0.01
Treynor Index-0.89

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades9.39
MAE:PL (avg, all trades)0.16
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats43.74
MAE:PL - Winning Trades - this strat Percentile of All Strats46.11
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.57
Avg(MAE) / Avg(PL) - Losing trades-1.40
Hold-and-Hope Ratio0.11

RATIO STATISTICS

Mean0.14
SD0.26
Sharpe ratio (Glass type estimate)0.54
Sharpe ratio (Hedges UMVUE)0.53
df69
t1.30
p0.10
Lowerbound of 95% confidence interval for Sharpe Ratio-0.28
Upperbound of 95% confidence interval for Sharpe Ratio1.35
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.35
Sortino ratio1.12
Upside Potential Ratio1.99
Upside part of mean0.25
Downside part of mean-0.11
Upside SD0.23
Downside SD0.13
N nonnegative terms60
N negative terms10
N of observations70
Mean of predictor0.32
Mean of criterion0.14
SD of predictor0.33
SD of criterion0.26
Covariance-0.02
r-0.29
b (slope, estimate of beta)-0.23
a (intercept, estimate of alpha)0.22
Mean Square Error0.06
DF error68
t(b)-2.52
p(b)0.99
t(a)1.99
p(a)0.03
Lowerbound of 95% confidence interval for beta-0.42
Upperbound of 95% confidence interval for beta-0.05
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0.43
Treynor index (mean / b)-0.60
Jensen alpha (a)0.22
Mean0.11
SD0.24
Sharpe ratio (Glass type estimate)0.45
Sharpe ratio (Hedges UMVUE)0.44
df69
t1.08
p0.14
Lowerbound of 95% confidence interval for Sharpe Ratio-0.37
Upperbound of 95% confidence interval for Sharpe Ratio1.26
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.37
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.26
Sortino ratio0.78
Upside Potential Ratio1.63
Upside part of mean0.23
Downside part of mean-0.12
Upside SD0.20
Downside SD0.14
N nonnegative terms60
N negative terms10
N of observations70
Mean of predictor0.27
Mean of criterion0.11
SD of predictor0.31
SD of criterion0.24
Covariance-0.02
r-0.30
b (slope, estimate of beta)-0.24
a (intercept, estimate of alpha)0.17
Mean Square Error0.05
DF error68
t(b)-2.62
p(b)0.99
t(a)1.74
p(a)0.04
Lowerbound of 95% confidence interval for beta-0.42
Upperbound of 95% confidence interval for beta-0.06
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.37
Treynor index (mean / b)-0.46
Jensen alpha (a)0.17
VaR(95%)0.10
Expected Shortfall on VaR0.13
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.54
SD1.07
Sharpe ratio (Glass type estimate)0.50
Sharpe ratio (Hedges UMVUE)0.50
df1548
t1.22
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.30
Upperbound of 95% confidence interval for Sharpe Ratio1.31
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.30
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.31
Sortino ratio1.09
Upside Potential Ratio3.92
Upside part of mean1.94
Downside part of mean-1.40
Upside SD0.95
Downside SD0.49
N nonnegative terms1329
N negative terms220
N of observations1549
Mean of predictor0.46
Mean of criterion0.54
SD of predictor0.51
SD of criterion1.07
Covariance-0.27
r-0.49
b (slope, estimate of beta)-1.01
a (intercept, estimate of alpha)1.00
Mean Square Error0.87
DF error1547
t(b)-21.87
p(b)0.80
t(a)2.61
p(a)0.46
Lowerbound of 95% confidence interval for beta-1.10
Upperbound of 95% confidence interval for beta-0.92
Lowerbound of 95% confidence interval for alpha0.25
Upperbound of 95% confidence interval for alpha1.76
Treynor index (mean / b)-0.53
Jensen alpha (a)1.00
Mean0.11
SD0.89
Sharpe ratio (Glass type estimate)0.12
Sharpe ratio (Hedges UMVUE)0.12
df1548
t0.29
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.69
Upperbound of 95% confidence interval for Sharpe Ratio0.93
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.69
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.93
Sortino ratio0.18
Upside Potential Ratio2.76
Upside part of mean1.67
Downside part of mean-1.56
Upside SD0.66
Downside SD0.60
N nonnegative terms1329
N negative terms220
N of observations1549
Mean of predictor0.33
Mean of criterion0.11
SD of predictor0.51
SD of criterion0.89
Covariance-0.24
r-0.52
b (slope, estimate of beta)-0.92
a (intercept, estimate of alpha)0.41
Mean Square Error0.58
DF error1547
t(b)-24.24
p(b)0.82
t(a)1.31
p(a)0.48
Lowerbound of 95% confidence interval for beta-0.99
Upperbound of 95% confidence interval for beta-0.84
Lowerbound of 95% confidence interval for alpha-0.20
Upperbound of 95% confidence interval for alpha1.02
Treynor index (mean / b)-0.12
Jensen alpha (a)0.41
VaR(95%)0.09
Expected Shortfall on VaR0.11
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.55
Mean of criterion0
SD of predictor0.54
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.40
Mean of criterion0
SD of predictor0.54
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.09
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations70
Minimum0.75
Quartile 11
Median1
Quartile 31.00
Maximum1.44
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.08
Inter Quartile Range0.00
Number outliers low9
Percentage of outliers low0.13
Mean of outliers low0.93
Number of outliers high16
Percentage of outliers high0.23
Mean of outliers high1.09
Extreme Value Index (moments method)-15.18
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.11
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.11
Number of observations1549
Minimum0.53
Quartile 11
Median1
Quartile 31
Maximum2.74
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.03
Inter Quartile Range0
Number outliers low220
Percentage of outliers low0.14
Mean of outliers low0.96
Number of outliers high267
Percentage of outliers high0.17
Mean of outliers high1.04
Extreme Value Index (moments method)0.92
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.08
Extreme Value Index (regression method)0.60
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.06
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations5
Minimum0.07
Quartile 10.07
Median0.09
Quartile 30.14
Maximum0.25
Mean of quarter 10.07
Mean of quarter 20.09
Mean of quarter 30.14
Mean of quarter 40.25
Inter Quartile Range0.07
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high0.25
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 observations19
Minimum0.01
Quartile 10.04
Median0.07
Quartile 30.17
Maximum0.64
Mean of quarter 10.02
Mean of quarter 20.05
Mean of quarter 30.11
Mean of quarter 40.36
Inter Quartile Range0.13
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.11
Mean of outliers high0.62
Extreme Value Index (moments method)0.53
VaR(95%) (moments method)0.44
Expected Shortfall (moments method)0.97
Extreme Value Index (regression method)1.77
VaR(95%) (regression method)0.30
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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
Strat Max DD how much worse than SP500 max DD during strat life?-397609760
Max Equity Drawdown (num days)101
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.15
Compounded annual return (geometric extrapolation)0.12
Calmar ratio (compounded annual return / max draw down)0.47
Compounded annual return / average of 25% largest draw downs0.47
Compounded annual return / Expected Shortfall lognormal0.91
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.15
Compounded annual return (geometric extrapolation)0.11
Calmar ratio (compounded annual return / max draw down)0.18
Compounded annual return / average of 25% largest draw downs0.31
Compounded annual return / Expected Shortfall lognormal1.07
j313dfCOMBRisPar0
j314dfCOMBRisPar0
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 downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 827 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES M0short3May 7, 2010May 9, 2010($2,412)
ES M0short4May 6, 2010May 7, 2010$2,193
SSH1022E32 short18Apr 16, 2010May 7, 2010($3,382)
SSH1022E31 short16Apr 16, 2010May 7, 2010($3,950)
SSH1022E34 short18Apr 16, 2010May 7, 2010($1,402)
SSH1019F37 short12May 6, 2010May 7, 2010($365)
ES M0short2May 5, 2010May 5, 2010$909
ES M0short4May 4, 2010May 5, 2010$1,943
ES M0short1May 4, 2010May 4, 2010$342
ES M0short2Apr 28, 2010Apr 28, 2010($429)
ES M0long2Apr 28, 2010Apr 28, 2010$384
ES M0short2Apr 27, 2010Apr 27, 2010$359
ES M0long2Apr 22, 2010Apr 22, 2010$209
SSH1017D33 short10Mar 26, 2010Apr 18, 2010$453
SSH1017D34 short10Mar 26, 2010Apr 18, 2010$303
SUC1017D43 short40Mar 9, 2010Apr 14, 2010($4,786)
ES M0long2Mar 31, 2010Mar 31, 2010$222
ES M0long4Mar 30, 2010Mar 30, 2010($19)
ES M0long3Mar 30, 2010Mar 30, 2010($249)
ES M0long2Mar 29, 2010Mar 30, 2010($41)
ES M0long2Mar 26, 2010Mar 29, 2010$72
ES M0long5Mar 23, 2010Mar 24, 2010($753)
ES M0long4Mar 19, 2010Mar 22, 2010$968
SSH1020C40 short40Feb 23, 2010Mar 21, 2010$1,552
SSH1020C39 short50Feb 18, 2010Mar 21, 2010$3,235
ES M0short2Mar 11, 2010Mar 15, 2010$734
ES M0short1Mar 10, 2010Mar 11, 2010$167
ES H0short3Mar 2, 2010Mar 2, 2010$526
SSH1020B40 short30Feb 10, 2010Feb 21, 2010$1,369
ES H0short1Feb 11, 2010Feb 12, 2010$42

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.