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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 02/01/2017
Most recent certification approved 2/1/17 9:30 ET
Trades at broker Interactive Brokers (Server 3)
Scaling percentage used 100%
# trading signals issued by system since certification 395
# trading signals executed in manager's Interactive Brokers (Server 3) account 376
Percent signals followed since 02/01/2017 95.2%
This information was last updated 10/15/18 17:08 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 02/01/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

R Option Mini
(109107515)

Created by: RandBots RandBots
Started: 01/2017
Options
Last trade: 7 days ago
Trading style: Options 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 $169.00 per month.

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
8.9%
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.

(49.2%)
Max Drawdown
134
Num Trades
82.1%
Win Trades
1.5 : 1
Profit Factor
68.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017  -  +5.1%+2.5%+0.6%+6.1%(2.1%)+12.0%+2.0%+0.2%+2.4%+1.0%+1.3%+34.9%
2018+3.0%(20.8%)(0.4%)+2.4%(0.3%)(0.5%)+1.4%+2.2%(0.2%)+1.2%            (13.6%)

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 168 hours.

Trading Record

This strategy has placed 369 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/3/18 13:36 SPY1805V280 SPY Oct5'18 280 put SHORT 5 0.03 10/6 9:36 0.00 0.06%
Trade id #120166478
Max drawdown($45)
Time10/4/18 13:02
Quant open-4
Worst price0.14
Drawdown as % of equity-0.06%
$11
Includes Typical Broker Commissions trade costs of $4.10
10/2/18 12:10 SPY1805V275 SPY Oct5'18 275 put SHORT 4 0.02 10/6 9:36 0.00 0.03%
Trade id #120138341
Max drawdown($19)
Time10/4/18 13:12
Quant open-4
Worst price0.07
Drawdown as % of equity-0.03%
$6
Includes Typical Broker Commissions trade costs of $3.10
10/4/18 11:10 SPY1805V274 SPY Oct5'18 274 put SHORT 3 0.02 10/6 9:36 0.00 0.01%
Trade id #120183667
Max drawdown($6)
Time10/4/18 12:12
Quant open-3
Worst price0.04
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $2.10
8/21/18 13:20 SPY1821U277 SPY Sep21'18 277 put SHORT 8 1.06 8/31 13:08 0.47 0.27%
Trade id #119536422
Max drawdown($195)
Time8/22/18 10:03
Quant open-7
Worst price1.31
Drawdown as % of equity-0.27%
$456
Includes Typical Broker Commissions trade costs of $12.40
8/21/18 13:45 QQQ1821U174 QQQ Sep21'18 174 put SHORT 9 1.10 8/29 12:53 0.31 0.28%
Trade id #119537031
Max drawdown($209)
Time8/22/18 10:03
Quant open-8
Worst price1.34
Drawdown as % of equity-0.28%
$696
Includes Typical Broker Commissions trade costs of $13.50
8/7/18 10:00 QQQ1817T172 QQQ Aug17'18 172 put SHORT 10 0.11 8/18 9:37 0.00 0.1%
Trade id #119317456
Max drawdown($75)
Time8/10/18 14:30
Quant open-10
Worst price0.19
Drawdown as % of equity-0.10%
$107
Includes Typical Broker Commissions trade costs of $7.00
8/15/18 10:24 SPY1817T274 SPY Aug17'18 274 put SHORT 1 0.26 8/18 9:36 0.00 0.01%
Trade id #119449984
Max drawdown($4)
Time8/15/18 10:56
Quant open-1
Worst price0.30
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $1.00
8/13/18 12:21 SPY1817T276 SPY Aug17'18 276 put SHORT 17 0.17 8/18 9:36 0.00 0.71%
Trade id #119412726
Max drawdown($519)
Time8/15/18 10:56
Quant open-17
Worst price0.48
Drawdown as % of equity-0.71%
$285
Includes Typical Broker Commissions trade costs of $11.90
8/6/18 13:45 SPY1817T278 SPY Aug17'18 278 put SHORT 12 0.27 8/14 14:29 0.17 0.68%
Trade id #119304207
Max drawdown($497)
Time8/13/18 13:05
Quant open-12
Worst price0.68
Drawdown as % of equity-0.68%
$98
Includes Typical Broker Commissions trade costs of $16.80
7/2/18 10:23 QQQ1820S160 QQQ Jul20'18 160 put SHORT 12 0.70 7/12 14:43 0.30 0%
Trade id #118743086
Max drawdown$0
Time7/2/18 11:51
Quant open-12
Worst price0.70
Drawdown as % of equity0.00%
$467
Includes Typical Broker Commissions trade costs of $17.40
6/22/18 15:07 SPY1820S262 SPY Jul20'18 262 put SHORT 14 0.76 7/12 14:43 0.29 3.04%
Trade id #118602119
Max drawdown($2,142)
Time6/25/18 14:55
Quant open-14
Worst price2.29
Drawdown as % of equity-3.04%
$634
Includes Typical Broker Commissions trade costs of $19.60
6/6/18 15:49 QQQ1815R167 QQQ Jun15'18 167 put SHORT 21 0.17 6/11 9:30 0.16 0.42%
Trade id #118297643
Max drawdown($305)
Time6/8/18 9:31
Quant open-21
Worst price0.32
Drawdown as % of equity-0.42%
($5)
Includes Typical Broker Commissions trade costs of $29.40
6/1/18 15:57 QQQ1815R165 QQQ Jun15'18 165 put SHORT 7 0.27 6/5 11:36 0.18 0.02%
Trade id #118220267
Max drawdown($14)
Time6/1/18 16:15
Quant open-7
Worst price0.29
Drawdown as % of equity-0.02%
$56
Includes Typical Broker Commissions trade costs of $9.80
3/29/18 15:14 SPY1820P252 SPY Apr20'18 252 put SHORT 9 1.24 4/9 12:38 0.87 4.14%
Trade id #117304487
Max drawdown($2,798)
Time4/2/18 14:46
Quant open-9
Worst price4.35
Drawdown as % of equity-4.14%
$321
Includes Typical Broker Commissions trade costs of $12.60
3/29/18 15:14 QQQ1820P150 QQQ Apr20'18 150 put SHORT 16 0.96 4/9 12:38 0.57 4.43%
Trade id #117304474
Max drawdown($2,992)
Time4/2/18 14:43
Quant open-16
Worst price2.83
Drawdown as % of equity-4.43%
$594
Includes Typical Broker Commissions trade costs of $22.40
3/23/18 15:57 QQQ1820P148 QQQ Apr20'18 148 put SHORT 15 1.65 3/26 11:23 1.43 0.15%
Trade id #117215253
Max drawdown($103)
Time3/23/18 16:00
Quant open-15
Worst price1.72
Drawdown as % of equity-0.15%
$313
Includes Typical Broker Commissions trade costs of $21.00
3/23/18 15:58 SPY1820P247 SPY Apr20'18 247 put SHORT 9 2.73 3/26 11:22 2.25 0.07%
Trade id #117215259
Max drawdown($49)
Time3/23/18 16:00
Quant open-9
Worst price2.79
Drawdown as % of equity-0.07%
$424
Includes Typical Broker Commissions trade costs of $12.60
2/8/18 12:45 SPY1816O270 SPY Mar16'18 270 put SHORT 5 10.02 2/21 15:10 3.74 9.56%
Trade id #116396741
Max drawdown($4,539)
Time2/9/18 13:39
Quant open-5
Worst price19.10
Drawdown as % of equity-9.56%
$3,132
Includes Typical Broker Commissions trade costs of $7.00
2/5/18 13:32 SPY1816O272 SPY Mar16'18 272 put SHORT 9 5.99 2/21 15:09 4.42 26.86%
Trade id #116304520
Max drawdown($12,752)
Time2/9/18 13:41
Quant open-9
Worst price20.16
Drawdown as % of equity-26.86%
$1,400
Includes Typical Broker Commissions trade costs of $12.60
2/2/18 15:11 SPY1816O275 SPY Mar16'18 275 put SHORT 9 4.83 2/21 15:09 5.87 34.64%
Trade id #116257220
Max drawdown($16,443)
Time2/9/18 13:38
Quant open-9
Worst price23.10
Drawdown as % of equity-34.64%
($946)
Includes Typical Broker Commissions trade costs of $12.60
2/9/18 12:10 SPY1814O250 SPY Mar14'18 250 put LONG 8 5.13 2/14 15:37 1.06 4.99%
Trade id #116420724
Max drawdown($3,257)
Time2/14/18 15:37
Quant open4
Worst price0.96
Drawdown as % of equity-4.99%
($3,268)
Includes Typical Broker Commissions trade costs of $11.20
2/9/18 9:30 VIX1814B50 VIX Feb14'18 50 call LONG 2 0.48 2/14 8:05 0.00 0.16%
Trade id #116413830
Max drawdown($96)
Time2/14/18 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.16%
($98)
Includes Typical Broker Commissions trade costs of $2.00
1/12/18 13:07 SPY1816N260 SPY Feb16'18 260 put LONG 4 0.29 2/12 10:07 1.94 0.08%
Trade id #115862635
Max drawdown($73)
Time1/26/18 12:55
Quant open4
Worst price0.11
Drawdown as % of equity-0.08%
$651
Includes Typical Broker Commissions trade costs of $6.20
2/9/18 12:10 SPY1814O245 SPY Mar14'18 245 put LONG 5 4.99 2/12 10:02 2.23 2.6%
Trade id #116420718
Max drawdown($1,474)
Time2/12/18 9:36
Quant open5
Worst price2.04
Drawdown as % of equity-2.60%
($1,387)
Includes Typical Broker Commissions trade costs of $7.30
2/7/18 10:30 QQQ1816N147.5 QQQ Feb16'18 147.5 put LONG 5 0.21 2/12 9:54 0.37 0.04%
Trade id #116369536
Max drawdown($34)
Time2/7/18 11:37
Quant open5
Worst price0.14
Drawdown as % of equity-0.04%
$73
Includes Typical Broker Commissions trade costs of $7.00
2/2/18 14:54 QQQ1816N148 QQQ Feb16'18 148 put LONG 4 0.16 2/12 9:51 0.83 0.03%
Trade id #116256723
Max drawdown($27)
Time2/5/18 10:49
Quant open4
Worst price0.09
Drawdown as % of equity-0.03%
$263
Includes Typical Broker Commissions trade costs of $6.20
2/9/18 12:10 SPY1814O240 SPY Mar14'18 240 put LONG 14 4.05 2/12 9:36 1.75 5.68%
Trade id #116420716
Max drawdown($3,222)
Time2/12/18 9:36
Quant open4
Worst price1.63
Drawdown as % of equity-5.68%
($3,242)
Includes Typical Broker Commissions trade costs of $19.60
2/2/18 14:54 QQQ1816N160 QQQ Feb16'18 160 put SHORT 9 0.94 2/9 10:51 7.35 8.14%
Trade id #116256731
Max drawdown($5,845)
Time2/5/18 16:04
Quant open-9
Worst price7.43
Drawdown as % of equity-8.14%
($5,786)
Includes Typical Broker Commissions trade costs of $12.60
1/17/18 12:49 SPY1816N270 SPY Feb16'18 270 put SHORT 5 0.97 2/8 12:45 7.92 8.91%
Trade id #115933913
Max drawdown($6,399)
Time2/6/18 9:32
Quant open-5
Worst price13.77
Drawdown as % of equity-8.91%
($3,479)
Includes Typical Broker Commissions trade costs of $7.00
1/12/18 13:07 SPY1816N272 SPY Feb16'18 272 put SHORT 12 1.20 2/5 13:32 3.03 3.41%
Trade id #115862637
Max drawdown($2,793)
Time2/5/18 13:29
Quant open-9
Worst price4.30
Drawdown as % of equity-3.41%
($2,217)
Includes Typical Broker Commissions trade costs of $18.30

Statistics

  • Strategy began
    1/29/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    624.14
  • Age
    21 months ago
  • What it trades
    Options
  • # Trades
    134
  • # Profitable
    110
  • % Profitable
    82.10%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    49.23%
  • drawdown period
    Jan 29, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $399.45
  • Avg loss
    $1,192
  • Model Account Values (Raw)
  • Cash
    $76,933
  • Margin Used
    $80,757
  • Buying Power
    ($3,823)
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.505
  • Sortino Ratio
    0.647
  • Calmar Ratio
    0.361
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.24200
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Ann Return (Compnd, No Fees)
    14.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.00%
  • Chance of 20% account loss
    36.00%
  • Chance of 30% account loss
    10.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    335
  • Popularity (Last 6 weeks)
    799
  • C2 Score
    12.6
  • Trades-Own-System Certification
  • Trades Own System?
    183865
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $1,192
  • Avg Win
    $399
  • # Winners
    110
  • # Losers
    24
  • % Winners
    82.1%
  • Frequency
  • Avg Position Time (mins)
    12978.30
  • Avg Position Time (hrs)
    216.30
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12424
  • SD
    0.19080
  • Sharpe ratio (Glass type estimate)
    0.65117
  • Sharpe ratio (Hedges UMVUE)
    0.62506
  • df
    19.00000
  • t
    0.84066
  • p
    0.38017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88922
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15620
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87331
  • Upside Potential Ratio
    1.76953
  • Upside part of mean
    0.25174
  • Downside part of mean
    -0.12750
  • Upside SD
    0.12502
  • Downside SD
    0.14227
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.11595
  • Mean of criterion
    0.12424
  • SD of predictor
    0.06475
  • SD of criterion
    0.19080
  • Covariance
    0.00479
  • r
    0.38775
  • b (slope, estimate of beta)
    1.14261
  • a (intercept, estimate of alpha)
    -0.00825
  • Mean Square Error
    0.03265
  • DF error
    18.00000
  • t(b)
    1.78469
  • p(b)
    0.30613
  • t(a)
    -0.05204
  • p(a)
    0.50613
  • Lowerbound of 95% confidence interval for beta
    -0.20246
  • Upperbound of 95% confidence interval for beta
    2.48769
  • Lowerbound of 95% confidence interval for alpha
    -0.34110
  • Upperbound of 95% confidence interval for alpha
    0.32461
  • Treynor index (mean / b)
    0.10874
  • Jensen alpha (a)
    -0.00825
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10513
  • SD
    0.19964
  • Sharpe ratio (Glass type estimate)
    0.52659
  • Sharpe ratio (Hedges UMVUE)
    0.50548
  • df
    19.00000
  • t
    0.67983
  • p
    0.40229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00743
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04709
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03215
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67150
  • Upside Potential Ratio
    1.55732
  • Upside part of mean
    0.24382
  • Downside part of mean
    -0.13869
  • Upside SD
    0.11947
  • Downside SD
    0.15656
  • N nonnegative terms
    15.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.11318
  • Mean of criterion
    0.10513
  • SD of predictor
    0.06397
  • SD of criterion
    0.19964
  • Covariance
    0.00493
  • r
    0.38585
  • b (slope, estimate of beta)
    1.20421
  • a (intercept, estimate of alpha)
    -0.03117
  • Mean Square Error
    0.03581
  • DF error
    18.00000
  • t(b)
    1.77442
  • p(b)
    0.30708
  • t(a)
    -0.18834
  • p(a)
    0.52217
  • Lowerbound of 95% confidence interval for beta
    -0.22158
  • Upperbound of 95% confidence interval for beta
    2.63001
  • Lowerbound of 95% confidence interval for alpha
    -0.37884
  • Upperbound of 95% confidence interval for alpha
    0.31650
  • Treynor index (mean / b)
    0.08730
  • Jensen alpha (a)
    -0.03117
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08244
  • Expected Shortfall on VaR
    0.10407
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01362
  • Expected Shortfall on VaR
    0.03605
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.81961
  • Quartile 1
    1.00226
  • Median
    1.01448
  • Quartile 3
    1.02430
  • Maximum
    1.12433
  • Mean of quarter 1
    0.95983
  • Mean of quarter 2
    1.00740
  • Mean of quarter 3
    1.02017
  • Mean of quarter 4
    1.06332
  • Inter Quartile Range
    0.02204
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.81961
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.09625
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.98643
  • VaR(95%) (moments method)
    0.00035
  • Expected Shortfall (moments method)
    0.00035
  • Extreme Value Index (regression method)
    2.34798
  • VaR(95%) (regression method)
    0.01729
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01077
  • Quartile 1
    0.05535
  • Median
    0.09993
  • Quartile 3
    0.14452
  • Maximum
    0.18910
  • Mean of quarter 1
    0.01077
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18910
  • Inter Quartile Range
    0.08916
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.14894
  • Compounded annual return (geometric extrapolation)
    0.14229
  • Calmar ratio (compounded annual return / max draw down)
    0.75249
  • Compounded annual return / average of 25% largest draw downs
    0.75249
  • Compounded annual return / Expected Shortfall lognormal
    1.36731
  • 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
    0.16621
  • SD
    0.32878
  • Sharpe ratio (Glass type estimate)
    0.50554
  • Sharpe ratio (Hedges UMVUE)
    0.50468
  • df
    442.00000
  • t
    0.65737
  • p
    0.25564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01234
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64673
  • Upside Potential Ratio
    3.63270
  • Upside part of mean
    0.93362
  • Downside part of mean
    -0.76741
  • Upside SD
    0.20471
  • Downside SD
    0.25700
  • N nonnegative terms
    196.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    443.00000
  • Mean of predictor
    0.08904
  • Mean of criterion
    0.16621
  • SD of predictor
    0.11061
  • SD of criterion
    0.32878
  • Covariance
    0.00870
  • r
    0.23930
  • b (slope, estimate of beta)
    0.71131
  • a (intercept, estimate of alpha)
    0.10300
  • Mean Square Error
    0.10214
  • DF error
    441.00000
  • t(b)
    5.17561
  • p(b)
    0.00000
  • t(a)
    0.41806
  • p(a)
    0.33805
  • Lowerbound of 95% confidence interval for beta
    0.44120
  • Upperbound of 95% confidence interval for beta
    0.98142
  • Lowerbound of 95% confidence interval for alpha
    -0.38076
  • Upperbound of 95% confidence interval for alpha
    0.58652
  • Treynor index (mean / b)
    0.23367
  • Jensen alpha (a)
    0.10288
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10943
  • SD
    0.34211
  • Sharpe ratio (Glass type estimate)
    0.31987
  • Sharpe ratio (Hedges UMVUE)
    0.31933
  • df
    442.00000
  • t
    0.41594
  • p
    0.33883
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82677
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39019
  • Upside Potential Ratio
    3.25835
  • Upside part of mean
    0.91385
  • Downside part of mean
    -0.80441
  • Upside SD
    0.19535
  • Downside SD
    0.28046
  • N nonnegative terms
    196.00000
  • N negative terms
    247.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    443.00000
  • Mean of predictor
    0.08288
  • Mean of criterion
    0.10943
  • SD of predictor
    0.11110
  • SD of criterion
    0.34211
  • Covariance
    0.00877
  • r
    0.23074
  • b (slope, estimate of beta)
    0.71052
  • a (intercept, estimate of alpha)
    0.05055
  • Mean Square Error
    0.11106
  • DF error
    441.00000
  • t(b)
    4.97991
  • p(b)
    0.00000
  • t(a)
    0.19702
  • p(a)
    0.42195
  • Lowerbound of 95% confidence interval for beta
    0.43011
  • Upperbound of 95% confidence interval for beta
    0.99093
  • Lowerbound of 95% confidence interval for alpha
    -0.45369
  • Upperbound of 95% confidence interval for alpha
    0.55478
  • Treynor index (mean / b)
    0.15402
  • Jensen alpha (a)
    0.05055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03376
  • Expected Shortfall on VaR
    0.04223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00692
  • Expected Shortfall on VaR
    0.01629
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    443.00000
  • Minimum
    0.78963
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00228
  • Maximum
    1.16687
  • Mean of quarter 1
    0.98854
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00075
  • Mean of quarter 4
    1.01367
  • Inter Quartile Range
    0.00228
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.10384
  • Mean of outliers low
    0.97340
  • Number of outliers high
    63.00000
  • Percentage of outliers high
    0.14221
  • Mean of outliers high
    1.02126
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.20719
  • VaR(95%) (moments method)
    0.00555
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.61589
  • VaR(95%) (regression method)
    0.00760
  • Expected Shortfall (regression method)
    0.02917
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00086
  • Median
    0.00354
  • Quartile 3
    0.02193
  • Maximum
    0.40758
  • Mean of quarter 1
    0.00015
  • Mean of quarter 2
    0.00235
  • Mean of quarter 3
    0.01084
  • Mean of quarter 4
    0.10083
  • Inter Quartile Range
    0.02107
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.24173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77281
  • VaR(95%) (moments method)
    0.10347
  • Expected Shortfall (moments method)
    0.46428
  • Extreme Value Index (regression method)
    1.47862
  • VaR(95%) (regression method)
    0.09036
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15460
  • Compounded annual return (geometric extrapolation)
    0.14722
  • Calmar ratio (compounded annual return / max draw down)
    0.36120
  • Compounded annual return / average of 25% largest draw downs
    1.45999
  • Compounded annual return / Expected Shortfall lognormal
    3.48601
  • 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
    0.07527
  • SD
    0.05884
  • Sharpe ratio (Glass type estimate)
    1.27908
  • Sharpe ratio (Hedges UMVUE)
    1.27169
  • df
    130.00000
  • t
    0.90445
  • p
    0.46046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04780
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95113
  • Upside Potential Ratio
    5.49012
  • Upside part of mean
    0.21179
  • Downside part of mean
    -0.13652
  • Upside SD
    0.04438
  • Downside SD
    0.03858
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04742
  • Mean of criterion
    0.07527
  • SD of predictor
    0.10421
  • SD of criterion
    0.05884
  • Covariance
    0.00161
  • r
    0.26288
  • b (slope, estimate of beta)
    0.14844
  • a (intercept, estimate of alpha)
    0.06823
  • Mean Square Error
    0.00325
  • DF error
    129.00000
  • t(b)
    3.09463
  • p(b)
    0.33459
  • t(a)
    0.84613
  • p(a)
    0.45275
  • Lowerbound of 95% confidence interval for beta
    0.05354
  • Upperbound of 95% confidence interval for beta
    0.24335
  • Lowerbound of 95% confidence interval for alpha
    -0.09131
  • Upperbound of 95% confidence interval for alpha
    0.22776
  • Treynor index (mean / b)
    0.50704
  • Jensen alpha (a)
    0.06823
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07353
  • SD
    0.05892
  • Sharpe ratio (Glass type estimate)
    1.24801
  • Sharpe ratio (Hedges UMVUE)
    1.24080
  • df
    130.00000
  • t
    0.88248
  • p
    0.46142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02167
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01670
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88683
  • Upside Potential Ratio
    5.40912
  • Upside part of mean
    0.21079
  • Downside part of mean
    -0.13726
  • Upside SD
    0.04412
  • Downside SD
    0.03897
  • N nonnegative terms
    30.00000
  • N negative terms
    101.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04200
  • Mean of criterion
    0.07353
  • SD of predictor
    0.10459
  • SD of criterion
    0.05892
  • Covariance
    0.00162
  • r
    0.26349
  • b (slope, estimate of beta)
    0.14842
  • a (intercept, estimate of alpha)
    0.06729
  • Mean Square Error
    0.00326
  • DF error
    129.00000
  • t(b)
    3.10231
  • p(b)
    0.33422
  • t(a)
    0.83376
  • p(a)
    0.45343
  • Lowerbound of 95% confidence interval for beta
    0.05376
  • Upperbound of 95% confidence interval for beta
    0.24308
  • Lowerbound of 95% confidence interval for alpha
    -0.09239
  • Upperbound of 95% confidence interval for alpha
    0.22698
  • Treynor index (mean / b)
    0.49539
  • Jensen alpha (a)
    0.06729
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00569
  • Expected Shortfall on VaR
    0.00720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00154
  • Expected Shortfall on VaR
    0.00345
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97589
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01519
  • Mean of quarter 1
    0.99826
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00331
  • Inter Quartile Range
    0.00000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.99712
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.24427
  • Mean of outliers high
    1.00341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45476
  • VaR(95%) (moments method)
    0.00143
  • Expected Shortfall (moments method)
    0.00436
  • Extreme Value Index (regression method)
    0.75472
  • VaR(95%) (regression method)
    0.00147
  • Expected Shortfall (regression method)
    0.00728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00071
  • Median
    0.00228
  • Quartile 3
    0.00588
  • Maximum
    0.02468
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00148
  • Mean of quarter 3
    0.00408
  • Mean of quarter 4
    0.01250
  • Inter Quartile Range
    0.00517
  • 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
    0.10000
  • Mean of outliers high
    0.02468
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60191
  • VaR(95%) (moments method)
    0.01594
  • Expected Shortfall (moments method)
    0.04214
  • Extreme Value Index (regression method)
    4.07678
  • VaR(95%) (regression method)
    0.05664
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10405
  • Compounded annual return (geometric extrapolation)
    0.10676
  • Calmar ratio (compounded annual return / max draw down)
    4.32490
  • Compounded annual return / average of 25% largest draw downs
    8.54177
  • Compounded annual return / Expected Shortfall lognormal
    14.82680

Strategy Description

The goal of "R Option Mini" is to outperform "R Option" results.

The Strategy is managed by Mario Randholm, CEO of Randholm & Co., an investment management company dedicated to managing capital for its clients and employees by adhering to mathematical and statistical methods.

This strategy is a similar to "R Option" designed to enjoy similar signal origination. Entries and exits may differ from "R Option" based on market conditions, leverage and margin requirements.

Commentary:
http://www.mariorandholm.com/2017/01/01/roption/

Description and Performance of R Option:
https://randbots.com/details/102125034

Summary Statistics

Strategy began
2017-01-29
Suggested Minimum Capital
$35,000
# Trades
134
# Profitable
110
% Profitable
82.1%
Correlation S&P500
0.242
Sharpe Ratio
0.505

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.