SolidOptionTrader
- hypothetical · Annual Return (Compounded)
- -7.0%
- Max Drawdown
- 61.8%
- Trades
- 325
- Win Trades
- 93.5%
- Profit Factor
- 1.80
- Win Months
- 37.7%
About this strategy
SolidOptionTrader sells (writes) uncovered Put-Options and some uncovered Call-Options. The goal is to keep the premium received by selling the options and by limiting the risk associated to every trade. By doing this over and over again and by adding a sound money management system, which is incorporated in SolidOptionTrader, we aim to grow the account consistently month after month.
Every position will be opened as a limit order. No stop-loss orders will be used, instead we will usually close out a losing position as soon as the price of the underlying is approaching the strike price. On some occasions we will let a position go In-The-Money when a reversal of the underlying is expected. On some rare occasions (on put options only) we will even let to be assigned the underlying stock after the option expires if we expect an immediate reversal of the stock - in this case we will then sell the stock at break-even (or better) or sell a (covered) Call-Option. All trades are monitored in realtime by our proprietary Software.
Subscribe now and secure a FREE subscription as long as there are free spots available! The FREE subscription is for the first 10 subscribers only and will remain free for them as long as they are subscribed. After the 10 spots on the free subscription are gone, the price will increase gradually after every 10 subscribers by $10 to a max of 200 subscribers!
UPDATE - Free subscriptions for the first 10 subscribers are gone! The price will increase gradually after every 10 subscribers by $10. Max. 200 subscribers allowed!
Every position will be opened as a limit order. No stop-loss orders will be used, instead we will usually close out a losing position as soon as the price of the underlying is approaching the strike price. On some occasions we will let a position go In-The-Money when a reversal of the underlying is expected. On some rare occasions (on put options only) we will even let to be assigned the underlying stock after the option expires if we expect an immediate reversal of the stock - in this case we will then sell the stock at break-even (or better) or sell a (covered) Call-Option. All trades are monitored in realtime by our proprietary Software.
Subscribe now and secure a FREE subscription as long as there are free spots available! The FREE subscription is for the first 10 subscribers only and will remain free for them as long as they are subscribed. After the 10 spots on the free subscription are gone, the price will increase gradually after every 10 subscribers by $10 to a max of 200 subscribers!
UPDATE - Free subscriptions for the first 10 subscribers are gone! The price will increase gradually after every 10 subscribers by $10. Max. 200 subscribers allowed!
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | -0.0 | -3.0 | 4.1 | 3.0 | 4.9 | 4.4 | 6.1 | 5.6 | 3.2 | -4.9 | 25.4 | ||
| 2014 | 3.2 | 10.9 | 2.3 | 0.1 | 2.6 | 3.2 | 5.3 | 5.7 | 1.6 | -7.4 | -17.1 | -7.9 | -0.7 |
| 2015 | -0.4 | 0.9 | 1.6 | -5.3 | -2.2 | -1.3 | -9.4 | 3.2 | -8.6 | 4.0 | -7.7 | -6.8 | -28.6 |
| 2016 | -19.2 | 4.1 | -7.1 | -5.4 | -2.6 | 13.4 | -2.5 | 6.7 | 18.4 | -18.3 | 1.0 | -5.8 | -21.8 |
| 2017 | 0.6 | -3.2 | -3.3 | 6.2 | 7.1 | -1.6 | -6.0 | 1.9 | 0.6 | 18.2 | -2.8 | 12.3 | 31.0 |
| 2018 | 3.2 | 20.0 | -8.6 | -0.0 | 12.8 | 22.3 | -0.7 | -15.5 | -14.9 | 16.2 | -7.2 | -7.4 | 11.5 |
| 2019 | 9.6 | -1.3 | 3.6 | 14.7 | -1.4 | -8.1 | 5.6 | 11.6 | -2.8 | 0.0 | -15.2 | 10.8 | |
| 2020 | -0.2 | 2.4 | 1.9 | -7.3 | -0.3 | 1.0 | 12.3 | 10.2 | -1.8 | 20.7 | -6.4 | 14.0 | 51.9 |
| 2021 | -6.1 | 10.4 | 6.7 | 6.3 | -10.2 | 15.2 | 1.9 | -8.0 | -2.0 | -10.7 | -10.6 | -5.6 | -15.8 |
| 2022 | -17.2 | -0.2 | 8.1 | 27.2 | -19.9 | -0.2 | 1.6 | 0.6 | 6.8 | 16.7 | 1.5 | 0.0 | 17.4 |
| 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 | 3/17/2013 |
|---|---|
| Suggested Minimum Capital | $30,000 |
| Age | 164 months |
| What it trades | Options |
| # Trades | 325 |
| # Profitable | 304 |
| % Profitable | 93.5% |
| Avg trade duration | 21.6 days |
| Max peak-to-valley drawdown | 61.8% |
| drawdown period | Oct 03, 2014 - May 25, 2016 |
| Annual Return (Compounded) | -7.0% |
| Avg win | $178 |
| Avg loss | $1,426 |
Ratios
| W:L ratio | 1.81 |
|---|---|
| Sharpe Ratio | 0.18 |
| Sortino Ratio | 0.25 |
| Calmar Ratio | 0.25 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.20 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 386.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -75.5% |
Return Statistics
| Ann Return (w trading costs) | -7.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 4.5% |
Slump
| Current Slump as Pcnt Equity | 28.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.4% |
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% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| 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 | $1,426 |
|---|---|
| Avg Win | $178 |
| # Winners | 304 |
| Sum Trade PL (losers) | $29,955 |
| Sum Trade PL (winners) | $53,969 |
| Num Months Winners | 61 |
| # Losers | 21 |
| % Winners | 93.5% |
Dividends
| Dividends Received in Model Acct | 168 |
|---|
Age
| Num Months filled monthly returns table | 163 |
|---|
Frequency
| Avg Position Time (mins) | 31172.62 |
|---|---|
| Avg Position Time (hrs) | 519.54 |
| Avg Trade Length | 21.60 |
| Last Trade Ago | 1410 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.38 |
| Treynor Index | 0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.10 |
| MAE:Equity, average, losing trades | 0.05 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 5.88 |
| MAE:PL (avg, all trades) | 1.78 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 54.35 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 41.78 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.77 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.28 |
| Hold-and-Hope Ratio | 0.17 |
RATIO STATISTICS
| Mean | -0.05 |
|---|---|
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | -0.21 |
| Sharpe ratio (Hedges UMVUE) | -0.21 |
| df | 38 |
| t | -0.38 |
| p | 0.65 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.88 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.88 |
| Sortino ratio | -0.26 |
| Upside Potential Ratio | 1.57 |
| Upside part of mean | 0.28 |
| Downside part of mean | -0.33 |
| Upside SD | 0.13 |
| Downside SD | 0.18 |
| N nonnegative terms | 23 |
| N negative terms | 16 |
| N of observations | 39 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.05 |
| SD of predictor | 0.14 |
| SD of criterion | 0.22 |
| Covariance | 0.00 |
| r | 0.15 |
| b (slope, estimate of beta) | 0.24 |
| a (intercept, estimate of alpha) | -0.08 |
| Mean Square Error | 0.05 |
| DF error | 37 |
| t(b) | 0.94 |
| p(b) | 0.18 |
| t(a) | -0.61 |
| p(a) | 0.73 |
| Lowerbound of 95% confidence interval for beta | -0.28 |
| Upperbound of 95% confidence interval for beta | 0.77 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.18 |
| Treynor index (mean / b) | -0.19 |
| Jensen alpha (a) | -0.08 |
| Mean | -0.07 |
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | -0.31 |
| Sharpe ratio (Hedges UMVUE) | -0.31 |
| df | 38 |
| t | -0.57 |
| p | 0.71 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.78 |
| Sortino ratio | -0.38 |
| Upside Potential Ratio | 1.43 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.35 |
| Upside SD | 0.12 |
| Downside SD | 0.19 |
| N nonnegative terms | 23 |
| N negative terms | 16 |
| N of observations | 39 |
| Mean of predictor | 0.12 |
| Mean of criterion | -0.07 |
| SD of predictor | 0.14 |
| SD of criterion | 0.23 |
| Covariance | 0.01 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.29 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.05 |
| DF error | 37 |
| t(b) | 1.07 |
| p(b) | 0.15 |
| t(a) | -0.81 |
| p(a) | 0.79 |
| Lowerbound of 95% confidence interval for beta | -0.26 |
| Upperbound of 95% confidence interval for beta | 0.84 |
| Lowerbound of 95% confidence interval for alpha | -0.37 |
| Upperbound of 95% confidence interval for alpha | 0.16 |
| Treynor index (mean / b) | -0.25 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.13 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.11 |
| Mean | -0.03 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | -0.12 |
| Sharpe ratio (Hedges UMVUE) | -0.12 |
| df | 1117 |
| t | -0.22 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.96 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.96 |
| Sortino ratio | -0.16 |
| Upside Potential Ratio | 5.78 |
| Upside part of mean | 1.22 |
| Downside part of mean | -1.25 |
| Upside SD | 0.18 |
| Downside SD | 0.21 |
| N nonnegative terms | 613 |
| N negative terms | 505 |
| N of observations | 1118 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.14 |
| SD of criterion | 0.27 |
| Covariance | 0.01 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.35 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.07 |
| DF error | 1116 |
| t(b) | 6.11 |
| p(b) | 0.41 |
| t(a) | -0.53 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 0.24 |
| Upperbound of 95% confidence interval for beta | 0.47 |
| Lowerbound of 95% confidence interval for alpha | -0.37 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | -0.10 |
| Jensen alpha (a) | -0.08 |
| Mean | -0.07 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | -0.26 |
| Sharpe ratio (Hedges UMVUE) | -0.26 |
| df | 1117 |
| t | -0.47 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.83 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.83 |
| Sortino ratio | -0.33 |
| Upside Potential Ratio | 5.50 |
| Upside part of mean | 1.21 |
| Downside part of mean | -1.28 |
| Upside SD | 0.17 |
| Downside SD | 0.22 |
| N nonnegative terms | 613 |
| N negative terms | 505 |
| N of observations | 1118 |
| Mean of predictor | 0.12 |
| Mean of criterion | -0.07 |
| SD of predictor | 0.14 |
| SD of criterion | 0.28 |
| Covariance | 0.01 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.35 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.08 |
| DF error | 1116 |
| t(b) | 5.94 |
| p(b) | 0.41 |
| t(a) | -0.75 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | -0.21 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.55 |
| SD | 0.47 |
| Sharpe ratio (Glass type estimate) | -1.18 |
| Sharpe ratio (Hedges UMVUE) | -1.18 |
| df | 171 |
| t | -0.83 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.95 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.60 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.95 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.60 |
| Sortino ratio | -1.56 |
| Upside Potential Ratio | 7.31 |
| Upside part of mean | 2.59 |
| Downside part of mean | -3.14 |
| Upside SD | 0.31 |
| Downside SD | 0.35 |
| N nonnegative terms | 72 |
| N negative terms | 100 |
| N of observations | 172 |
| Mean of predictor | 0.26 |
| Mean of criterion | -0.55 |
| SD of predictor | 0.20 |
| SD of criterion | 0.47 |
| Covariance | 0.03 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.80 |
| a (intercept, estimate of alpha) | -0.76 |
| Mean Square Error | 0.19 |
| DF error | 170 |
| t(b) | 4.82 |
| p(b) | 0.33 |
| t(a) | -1.21 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 0.47 |
| Upperbound of 95% confidence interval for beta | 1.13 |
| Lowerbound of 95% confidence interval for alpha | -1.99 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | -0.69 |
| Jensen alpha (a) | -0.76 |
| Mean | -0.66 |
| SD | 0.47 |
| Sharpe ratio (Glass type estimate) | -1.41 |
| Sharpe ratio (Hedges UMVUE) | -1.40 |
| df | 171 |
| t | -1.00 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.37 |
| Sortino ratio | -1.82 |
| Upside Potential Ratio | 6.96 |
| Upside part of mean | 2.54 |
| Downside part of mean | -3.20 |
| Upside SD | 0.30 |
| Downside SD | 0.37 |
| N nonnegative terms | 72 |
| N negative terms | 100 |
| N of observations | 172 |
| Mean of predictor | 0.24 |
| Mean of criterion | -0.66 |
| SD of predictor | 0.20 |
| SD of criterion | 0.47 |
| Covariance | 0.03 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.81 |
| a (intercept, estimate of alpha) | -0.85 |
| Mean Square Error | 0.20 |
| DF error | 170 |
| t(b) | 4.81 |
| p(b) | 0.33 |
| t(a) | -1.36 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 0.48 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | 1.14 |
| Lowerbound of 95% confidence interval for alpha | -2.10 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | -0.82 |
| Jensen alpha (a) | -0.85 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 39 |
|---|---|
| Minimum | 0.84 |
| Quartile 1 | 0.96 |
| Median | 1.02 |
| Quartile 3 | 1.04 |
| Maximum | 1.12 |
| Mean of quarter 1 | 0.91 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.84 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -0.17 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | -0.50 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.13 |
| Number of observations | 1118 |
| Minimum | 0.85 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.12 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 135 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 107 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.61 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 172 |
| Minimum | 0.90 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.12 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.44 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.07 |
| Extreme Value Index (regression method) | 0.45 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.04 |
| Median | 0.04 |
| Quartile 3 | 0.31 |
| Maximum | 0.58 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.58 |
| Inter Quartile Range | 0.27 |
| 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 |
| Number of observations | 51 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.59 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.11 |
| Extreme Value Index (moments method) | 0.83 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.40 |
| Extreme Value Index (regression method) | 1.25 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1 |
| Minimum | 0.36 |
| Quartile 1 | 0.36 |
| Median | 0.36 |
| Quartile 3 | 0.36 |
| Maximum | 0.36 |
| 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) | 600 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.06 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.06 |
| Calmar ratio (compounded annual return / max draw down) | -0.10 |
| Compounded annual return / average of 25% largest draw downs | -0.10 |
| Compounded annual return / Expected Shortfall lognormal | -0.45 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.06 |
| Compounded annual return (geometric extrapolation) | -0.06 |
| Calmar ratio (compounded annual return / max draw down) | -0.10 |
| Compounded annual return / average of 25% largest draw downs | -0.66 |
| Compounded annual return / Expected Shortfall lognormal | -1.97 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.56 |
| Compounded annual return (geometric extrapolation) | -0.48 |
| Calmar ratio (compounded annual return / max draw down) | -1.35 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -9.08 |
Trading record
Placed 262 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TWTR | long | 800 | May 2, 2015 | Oct 27, 2022 | $8,555 |
| TWTR1502V25 | long | 20 | Aug 21, 2015 | Sep 30, 2015 | ($2,188) |
| TWTR1518I31 | long | 16 | Jul 30, 2015 | Sep 19, 2015 | ($3,163) |
| TWTR1518U31 | long | 20 | Jul 30, 2015 | Aug 21, 2015 | $6,812 |
| TWTR1531G42.5 | short | 8 | Jul 15, 2015 | Aug 1, 2015 | $394 |
| SPY1517S199 | short | 5 | Jul 10, 2015 | Jul 18, 2015 | $127 |
| TWTR1531S42.5 | short | 8 | Jul 15, 2015 | Jul 15, 2015 | $93 |
| TWTR1510G38 | short | 8 | Jun 26, 2015 | Jul 11, 2015 | $122 |
| SPY1530R205 | short | 5 | Jun 25, 2015 | Jun 29, 2015 | ($112) |
| TWTR1526F39 | short | 8 | Jun 19, 2015 | Jun 26, 2015 | $98 |
| TWTR1519F39 | short | 8 | Jun 12, 2015 | Jun 19, 2015 | $93 |
| TWTR1512F39 | short | 8 | Jun 5, 2015 | Jun 12, 2015 | $93 |
| TWTR1505F38 | short | 8 | Jun 1, 2015 | Jun 5, 2015 | $93 |
| SPWR1501Q30.5 | short | 10 | Apr 22, 2015 | May 2, 2015 | $163 |
| TWTR1501Q43 | short | 8 | Apr 22, 2015 | May 2, 2015 | $194 |
| FSLR1501Q57 | short | 8 | Apr 27, 2015 | May 1, 2015 | $5 |
| TXN | long | 400 | Apr 25, 2015 | Apr 27, 2015 | $12 |
| TXN1524P56 | short | 4 | Apr 22, 2015 | Apr 25, 2015 | $87 |
| UA1524P77 | short | 6 | Apr 20, 2015 | Apr 25, 2015 | $151 |
| UFPI1517P50 | short | 6 | Apr 15, 2015 | Apr 18, 2015 | $207 |
| NUS1517P57 | short | 6 | Apr 10, 2015 | Apr 18, 2015 | $151 |
| ALTR1517P39 | short | 10 | Apr 10, 2015 | Apr 18, 2015 | $246 |
| PSMT1517P75 | short | 10 | Apr 9, 2015 | Apr 18, 2015 | $287 |
| GPRE1517P26 | short | 10 | Apr 8, 2015 | Apr 18, 2015 | $153 |
| NOW1517P70 | short | 10 | Apr 8, 2015 | Apr 18, 2015 | $294 |
| NUS1510P53 | short | 8 | Mar 30, 2015 | Apr 11, 2015 | $162 |
| NUS1517D57 | short | 6 | Apr 10, 2015 | Apr 10, 2015 | ($48) |
| NUS1502P53 | short | 7 | Mar 20, 2015 | Apr 3, 2015 | $170 |
| TSO1502P84 | short | 6 | Mar 23, 2015 | Apr 3, 2015 | $134 |
| GME1527O35.5 | short | 6 | Mar 19, 2015 | Mar 28, 2015 | $127 |
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.