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Silver Alpha

Options · Started Feb 2011

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
106
Win Trades
35.8%
Profit Factor
0.90
Win Months
2.1%

About this strategy

System supports manual and auto-trading. Signals are sent out real-time between the hours of 0930 and 1600 EST (East Coast USA regular equity market hours).

Accounts trading this system must be:
1) Margin accounts
2) Options enabled
3) Able to sell covered options

The minimum recommended account size is $5,000.

Silver Alpha WILL NOT violate the "Pattern-day trader" rule, meaning this system will never execute 4 or more day trades within a consecutive 5 day period. This control exists for subscribers with accounts below $25k.

Silver Alpha strategies vary based on market conditions, but they are all limited-risk strategies that look to exploit volatility, time decay and market direction. Strategies include, but are not limited to, butterflies, long options condors, backspreads, calenders, debit and credit spreads, straddles and strangles. Due to the volatile nature of this market we do not employ any naked short strategies. Directionally, we at times be neutral, bullish or bearish depending what we feel the right market condition is. We apply hedging strategies whenever a directional stance is taken.

Research: Technical analysis, fundamental analysis, COT (Commitment of Trader) data, bullion lease rates and forward-thinking market intelligence augmented by macroeconomic and Fed policy analysis.

In addition to trading signals you will be provided with weekly commentary in the system forum and highly-responsive customer service in the form of less than 24hr response to any private messages. I usually respond within 1 to 4 hours of receiving your message.

Why focus on silver?
1) Silver has been one of the best performing commodities over the past 3, 5 and 10 years. That trend will continue for another 10 years.
2) Recent drastic changes to global monetary policy are casting a spotlight on the meaning of "fiat" vs "hard" currency. As a result an increasing number of financial players are re-awakening to the fact that gold and silver are currencies. This is evident in the massive increase in volumes in the SLV ETF, the liquidity of which now occasionally surpasses even the S&P 500 ETF (SPY).
3) I have real world professional experience trading silver. By combining my options risk-management experience with a focus on silver I aim to provide my subscribers with a competitive advantage and produce out-sized returns.

Silver is known for its volatility, a well-deserved reputation. My tutelage in the "art" of trading silver has not come easy; think many years and many tears. By subscribing to this system, you are, in essence, directly benefiting (or suffering?) from my harrowing market education in return for a monthly subscription fee. As the gold/silver ratio continues its compression from 70-to-1 (2001) to the inevitable 7:1 (2012? 2015? Ask Bernanke!), I recognize that there will be increasing demand from traders and investors for a system attuned to the specifics of this white metal market.

You will not see me advertised by any brokers because my strategy is not broker-commission-friendly, it aims to provide best possible absolute returns to subscribers. Hence the name "Silver Alpha", not "Silver Broker's Dream".

Liquidity is a priority objective, behind only performance and capital preservation.

Closed trade data is delayed for 5 days in order to allow non-subscribers to see an up-to-date snapshot of performance while maintaining the integrity of subscriber privilege.

About Me:
- BSc in Economics from The Wharton School at the University of Pennsylvania. Finance concentration.
- 8 years of financial services experience spanning corporate finance, investment banking, commodities and hedge funds.

I have been trading the silver market for years using the principles represented by the Silver Alpha system. I have recently become an independent money manager and decided to take advantage of the C2 platform due to no longer being contractually restricted by an employer.

NOTE: This is an options system for investors seeking outsized returns over time, not an FX system that one can over-leverage in order to opportunistically take advantage of a low drawdown. I've noticed that FX systems are incredibly popular here on C2 for this very reason, which is comical since one large drawdown would wipeout your entire account using that strategy.

Welcome to a new pattern of absolute return, and Silver Alpha.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201129.239.359.112.8-95.6-509.4-28.5-4.9-4.7-4.5-4.3-188.8
2012-4.1-13.20.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/8/2011
Suggested Minimum Capital$5,000
Age190 months
What it tradesOptions
# Trades106
# Profitable38
% Profitable35.8%
Avg trade duration11.9 days
Max peak-to-valley drawdown100.0%
drawdown periodAug 09, 2011 - Feb 03, 2012
Annual Return (Compounded)0.0%
Avg win$1,358
Avg loss$810

Ratios

W:L ratio0.94
Sharpe Ratio-1.32
Sortino Ratio-1.32
Calmar Ratio-0.35

CORRELATION STATISTICS

Correlation to SP500-0.11
Return Percent SP500 (cumu) during strategy life470.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-238.0%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-7.5%

Slump

Current Slump as Pcnt Equity
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options1.0%
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 loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

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$810
Avg Win$1,358
# Winners38
Sum Trade PL (losers)$55,105
Sum Trade PL (winners)$51,588
Num Months Winners4
# Losers68
% Winners35.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table6

Frequency

Avg Position Time (mins)17148.83
Avg Position Time (hrs)285.81
Avg Trade Length11.90
Last Trade Ago5326

Regression

Alpha0
Beta-2.20
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.07
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0.03
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades-9.88
MAE:PL (avg, all trades)-0.38
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats21.02
MAE:PL - Winning Trades - this strat Percentile of All Strats44.82
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.27
Avg(MAE) / Avg(PL) - Losing trades-1.09
Hold-and-Hope Ratio-0.10

RATIO STATISTICS

Mean0.45
SD1.29
Sharpe ratio (Glass type estimate)0.35
Sharpe ratio (Hedges UMVUE)0.34
df25
t0.51
p0.31
Lowerbound of 95% confidence interval for Sharpe Ratio-0.99
Upperbound of 95% confidence interval for Sharpe Ratio1.68
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.00
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.67
Sortino ratio0.60
Upside Potential Ratio1.74
Upside part of mean1.30
Downside part of mean-0.85
Upside SD1.03
Downside SD0.75
N nonnegative terms4
N negative terms22
N of observations26
Mean of predictor0.22
Mean of criterion0.45
SD of predictor0.19
SD of criterion1.29
Covariance0.07
r0.26
b (slope, estimate of beta)1.75
a (intercept, estimate of alpha)0.07
Mean Square Error1.62
DF error24
t(b)1.33
p(b)0.10
t(a)0.08
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.97
Upperbound of 95% confidence interval for beta4.46
Lowerbound of 95% confidence interval for alpha-1.80
Upperbound of 95% confidence interval for alpha1.95
Treynor index (mean / b)0.26
Jensen alpha (a)0.07
Mean-0.57
SD1.69
Sharpe ratio (Glass type estimate)-0.34
Sharpe ratio (Hedges UMVUE)-0.33
df25
t-0.50
p0.69
Lowerbound of 95% confidence interval for Sharpe Ratio-1.67
Upperbound of 95% confidence interval for Sharpe Ratio1.00
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.66
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.01
Sortino ratio-0.38
Upside Potential Ratio0.64
Upside part of mean0.96
Downside part of mean-1.53
Upside SD0.74
Downside SD1.49
N nonnegative terms4
N negative terms22
N of observations26
Mean of predictor0.20
Mean of criterion-0.57
SD of predictor0.19
SD of criterion1.69
Covariance0.06
r0.18
b (slope, estimate of beta)1.65
a (intercept, estimate of alpha)-0.90
Mean Square Error2.88
DF error24
t(b)0.92
p(b)0.18
t(a)-0.74
p(a)0.77
Lowerbound of 95% confidence interval for beta-2.05
Upperbound of 95% confidence interval for beta5.36
Lowerbound of 95% confidence interval for alpha-3.38
Upperbound of 95% confidence interval for alpha1.59
Treynor index (mean / b)-0.35
Jensen alpha (a)-0.90
VaR(95%)0.57
Expected Shortfall on VaR0.65
VaR(95%)0.22
Expected Shortfall on VaR0.47
Mean0.33
SD1.32
Sharpe ratio (Glass type estimate)0.25
Sharpe ratio (Hedges UMVUE)0.25
df751
t0.36
p0.36
Lowerbound of 95% confidence interval for Sharpe Ratio-1.08
Upperbound of 95% confidence interval for Sharpe Ratio1.57
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.57
Sortino ratio0.40
Upside Potential Ratio3.77
Upside part of mean3.04
Downside part of mean-2.71
Upside SD1.05
Downside SD0.81
N nonnegative terms80
N negative terms672
N of observations752
Mean of predictor0.22
Mean of criterion0.33
SD of predictor0.23
SD of criterion1.32
Covariance-0.02
r-0.06
b (slope, estimate of beta)-0.34
a (intercept, estimate of alpha)0.28
Mean Square Error1.74
DF error750
t(b)-1.62
p(b)0.95
t(a)0.45
p(a)0.33
Lowerbound of 95% confidence interval for beta-0.75
Upperbound of 95% confidence interval for beta0.07
Lowerbound of 95% confidence interval for alpha-1.35
Upperbound of 95% confidence interval for alpha2.15
Treynor index (mean / b)-0.96
Jensen alpha (a)0.40
Mean-0.57
SD1.41
Sharpe ratio (Glass type estimate)-0.40
Sharpe ratio (Hedges UMVUE)-0.40
df751
t-0.59
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.73
Upperbound of 95% confidence interval for Sharpe Ratio0.92
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.73
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92
Sortino ratio-0.49
Upside Potential Ratio2.29
Upside part of mean2.66
Downside part of mean-3.23
Upside SD0.79
Downside SD1.16
N nonnegative terms80
N negative terms672
N of observations752
Mean of predictor0.19
Mean of criterion-0.57
SD of predictor0.23
SD of criterion1.41
Covariance-0.01
r-0.02
b (slope, estimate of beta)-0.15
a (intercept, estimate of alpha)-0.54
Mean Square Error1.98
DF error750
t(b)-0.68
p(b)0.75
t(a)-0.56
p(a)0.71
Lowerbound of 95% confidence interval for beta-0.59
Upperbound of 95% confidence interval for beta0.29
Lowerbound of 95% confidence interval for alpha-2.41
Upperbound of 95% confidence interval for alpha1.33
Treynor index (mean / b)3.72
Jensen alpha (a)-0.54
VaR(95%)0.12
Expected Shortfall on VaR0.15
VaR(95%)0.03
Expected Shortfall on VaR0.06
Mean-0.01
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 ratio-18.55
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.04
Mean of criterion-0.01
SD of predictor0.23
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
Mean-0.01
SD0
Sharpe ratio (Glass type estimate)-3.15763010599649e+16
Sharpe ratio (Hedges UMVUE)-3.14375993861079e+16
df171
t-2.23277998051164e+16
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
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 Ratio0
Upside part of mean0
Downside part of mean-0.01
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms172
N of observations172
Mean of predictor0.02
Mean of criterion-0.01
SD of predictor0.23
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.01
Mean Square Error0
DF error170
t(b)0
p(b)0.50
t(a)-2.22622994063688e+16
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.11
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.01
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-7.12242998758909e+32
Jensen alpha (a)-0.01
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations26
Minimum0.14
Quartile 11
Median1
Quartile 31
Maximum2.16
Mean of quarter 10.74
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.40
Inter Quartile Range0
Number outliers low3
Percentage of outliers low0.12
Mean of outliers low0.39
Number of outliers high4
Percentage of outliers high0.15
Mean of outliers high1.71
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.78
VaR(95%) (regression method)0.41
Expected Shortfall (regression method)0.55
Number of observations752
Minimum0.27
Quartile 11
Median1
Quartile 31
Maximum2.16
Mean of quarter 10.97
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.04
Inter Quartile Range0
Number outliers low79
Percentage of outliers low0.11
Mean of outliers low0.93
Number of outliers high80
Percentage of outliers high0.11
Mean of outliers high1.08
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.42
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.09
Number of observations172
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 observations1
Minimum0.96
Quartile 10.96
Median0.96
Quartile 30.96
Maximum0.96
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
Number of observations9
Minimum0.04
Quartile 10.05
Median0.07
Quartile 30.14
Maximum0.97
Mean of quarter 10.04
Mean of quarter 20.07
Mean of quarter 30.12
Mean of quarter 40.56
Inter Quartile Range0.09
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.11
Mean of outliers high0.97
Extreme Value Index (moments method)0.91
VaR(95%) (moments method)0.59
Expected Shortfall (moments method)6.86
Extreme Value Index (regression method)5.29
VaR(95%) (regression method)6.15
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
Max Equity Drawdown (num days)178
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.32
Compounded annual return (geometric extrapolation)-0.43
Calmar ratio (compounded annual return / max draw down)-0.45
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.66
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.32
Compounded annual return (geometric extrapolation)-0.43
Calmar ratio (compounded annual return / max draw down)-0.44
Compounded annual return / average of 25% largest draw downs-0.76
Compounded annual return / Expected Shortfall lognormal-2.92
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 219 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
VIX1117H24 long4Jun 16, 2011Feb 15, 2012($943)
BVZ1120G20 long11Jun 8, 2011Feb 15, 2012($212)
VIX1120G35 long33Jun 2, 2011Feb 15, 2012($1,273)
SLV1122S29 short30Jun 27, 2011Jul 17, 2011$579
SLV1122S32 long85Jun 2, 2011Jul 17, 2011($7,655)
SLV1108G34 long17Jun 27, 2011Jul 2, 2011($573)
SLV1108G36 long10Jun 23, 2011Jul 2, 2011($237)
SLV1124F37 long40Jun 16, 2011Jun 25, 2011($787)
SLV1124R34 long15Jun 20, 2011Jun 24, 2011($306)
SLV1116S30 short55Jun 20, 2011Jun 23, 2011($77)
VIX1117H17 long3Jun 1, 2011Jun 23, 2011$296
SLV1124R32 long20Jun 6, 2011Jun 19, 2011($339)
SLV1118F35 long20Jun 15, 2011Jun 16, 2011($408)
SLV1118F36 short20Jun 15, 2011Jun 16, 2011$112
SLV1118F34 long15Jun 14, 2011Jun 15, 2011$234
SLV1118F35 short15Jun 14, 2011Jun 15, 2011($81)
SLV1118F35 long15Jun 13, 2011Jun 14, 2011($246)
SLV1116G38 long48Jun 1, 2011Jun 13, 2011($6,381)
SLV1116G39 short48Jun 13, 2011Jun 13, 2011$173
SLV1116G40 long48Jun 13, 2011Jun 13, 2011($115)
SLV1118F40 long25Jun 6, 2011Jun 11, 2011($118)
SLV1118F38 short35Jun 6, 2011Jun 11, 2011$641
VIX1120S17 long4Jun 2, 2011Jun 8, 2011($86)
SLV1110R33 long35Jun 3, 2011Jun 6, 2011($784)
SLV1110R35 long10Jun 2, 2011Jun 6, 2011($719)
SLV1110F37 long30Jun 2, 2011Jun 6, 2011$308
SLV1118R36 long20Jun 1, 2011Jun 3, 2011$2,082
SLV1103R36 long25Jun 1, 2011Jun 2, 2011$508
SLV1103R36 short25Jun 1, 2011Jun 1, 2011($52)
SLV1103F38 short45Jun 1, 2011Jun 1, 2011($873)

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.