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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 11/23/2016
Most recent certification approved 11/23/16 10:35 ET
Trades at broker Interactive Brokers (Direct Connection non-US)
Scaling percentage used 100%
# trading signals issued by system since certification 759
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) account 725
Percent signals followed since 11/23/2016 95.5%
This information was last updated 11/13/18 18:05 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 11/23/2016, 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 AGM - Access to Global Markets calculates the hypothetical results you see on this web site.

R Option
(102125034)

Created by: RandBots RandBots
Started: 01/2013
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 $199.00 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.
65.3%
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.

(41.7%)
Max Drawdown
409
Num Trades
86.3%
Win Trades
3.6 : 1
Profit Factor
81.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+0.2%+2.6%+3.2%+9.1%+3.6%+6.3%+5.4%+11.8%+13.2%+8.2%+4.3%+13.0%+116.8%
2014+12.2%+20.9%+13.2%  -  +2.1%+11.1%+3.1%+13.9%+3.2%+31.0%(0.1%)+12.9%+212.1%
2015+5.9%+1.2%+6.0%+4.3%+3.3%(14.5%)+43.6%+1.0%+5.5%+3.1%+2.2%+2.2%+72.5%
2016+3.8%(0.9%)+5.0%(0.2%)+9.5%(4.9%)+14.3%+1.6%+3.4%(2.2%)+3.0%+0.4%+36.4%
2017+4.1%+2.8%+2.0%+0.4%+3.7%  -  +5.2%+1.1%+0.2%+1.5%+0.7%+0.7%+24.7%
2018+1.4%(10.8%)  -  +1.5%  -  (0.5%)+1.8%+1.3%  -  +1.3%+0.4%      (4.4%)

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 722 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/18 10:07 SPY1805W261 SPY Nov5'18 261 put SHORT 20 0.06 11/6 8:06 0.00 0.02%
Trade id #120694899
Max drawdown($320)
Time11/2/18 12:57
Quant open-20
Worst price0.22
Drawdown as % of equity-0.02%
$106
Includes Typical Broker Commissions trade costs of $14.00
11/2/18 9:55 SPY1805W263 SPY Nov5'18 263 put SHORT 15 0.05 11/6 8:06 0.00 0.03%
Trade id #120694335
Max drawdown($510)
Time11/2/18 12:58
Quant open-15
Worst price0.39
Drawdown as % of equity-0.03%
$65
Includes Typical Broker Commissions trade costs of $10.50
10/25/18 10:36 QQQ1802W152.5 QQQ Nov2'18 152.5 put SHORT 10 0.26 11/3 9:36 0.00 0.05%
Trade id #120539260
Max drawdown($1,040)
Time10/29/18 15:46
Quant open-10
Worst price1.30
Drawdown as % of equity-0.05%
$253
Includes Typical Broker Commissions trade costs of $7.00
10/26/18 11:45 SPY1829V251.5 SPY Oct29'18 251.5 put SHORT 25 0.26 10/30 8:06 0.00 0%
Trade id #120565598
Max drawdown($75)
Time10/26/18 14:23
Quant open-25
Worst price0.29
Drawdown as % of equity-0.00%
$633
Includes Typical Broker Commissions trade costs of $17.50
10/24/18 15:44 SPY1826V252 SPY Oct26'18 252 put SHORT 14 0.19 10/27 9:36 0.04 0.02%
Trade id #120521181
Max drawdown($304)
Time10/24/18 15:59
Quant open-14
Worst price0.41
Drawdown as % of equity-0.02%
$199
Includes Typical Broker Commissions trade costs of $14.70
10/23/18 9:43 QQQ1826V160 QQQ Oct26'18 160 put SHORT 23 0.28 10/27 9:36 0.00 0.09%
Trade id #120486070
Max drawdown($1,667)
Time10/24/18 15:58
Quant open-23
Worst price1.00
Drawdown as % of equity-0.09%
$617
Includes Typical Broker Commissions trade costs of $16.10
10/22/18 9:31 QQQ1826V163 QQQ Oct26'18 163 put SHORT 90 0.27 10/26 13:35 0.25 0.64%
Trade id #120466272
Max drawdown($12,240)
Time10/24/18 15:59
Quant open-80
Worst price1.78
Drawdown as % of equity-0.64%
$19
Includes Typical Broker Commissions trade costs of $126.00
10/19/18 11:05 SPY1824V257 SPY Oct24'18 257 put SHORT 29 0.20 10/25 8:06 0.00 0.01%
Trade id #120441210
Max drawdown($261)
Time10/23/18 10:19
Quant open-29
Worst price0.29
Drawdown as % of equity-0.01%
$560
Includes Typical Broker Commissions trade costs of $20.30
10/18/18 11:51 SPY1822V261 SPY Oct22'18 261 put SHORT 28 0.20 10/23 8:06 0.00 0.01%
Trade id #120421842
Max drawdown($223)
Time10/18/18 13:49
Quant open-28
Worst price0.28
Drawdown as % of equity-0.01%
$541
Includes Typical Broker Commissions trade costs of $19.60
10/12/18 10:44 SPY1819V263 SPY Oct19'18 263 put SHORT 75 0.71 10/20 9:37 0.00 0.47%
Trade id #120323073
Max drawdown($9,150)
Time10/12/18 12:53
Quant open-75
Worst price1.93
Drawdown as % of equity-0.47%
$5,273
Includes Typical Broker Commissions trade costs of $52.50
10/11/18 9:47 SPY1819V264 SPY Oct19'18 264 put SHORT 26 0.65 10/20 9:36 0.20 0.29%
Trade id #120297533
Max drawdown($5,724)
Time10/11/18 14:47
Quant open-26
Worst price2.85
Drawdown as % of equity-0.29%
$1,142
Includes Typical Broker Commissions trade costs of $27.60
10/12/18 10:38 QQQ1819V164 QQQ Oct19'18 164 put SHORT 60 0.46 10/20 9:36 0.00 0.15%
Trade id #120322841
Max drawdown($2,910)
Time10/12/18 12:47
Quant open-60
Worst price0.95
Drawdown as % of equity-0.15%
$2,748
Includes Typical Broker Commissions trade costs of $42.00
10/11/18 9:40 QQQ1819V163 QQQ Oct19'18 163 put SHORT 100 0.68 10/20 9:36 0.16 0.2%
Trade id #120297254
Max drawdown($3,935)
Time10/11/18 14:47
Quant open-50
Worst price1.80
Drawdown as % of equity-0.20%
$5,143
Includes Typical Broker Commissions trade costs of $97.30
10/18/18 11:39 QQQ1826V163 QQQ Oct26'18 163 put SHORT 40 0.44 10/18 11:41 0.46 0%
Trade id #120421146
Max drawdown($80)
Time10/18/18 11:41
Quant open0
Worst price0.46
Drawdown as % of equity-0.00%
($136)
Includes Typical Broker Commissions trade costs of $56.00
10/15/18 14:34 SPY1817V260 SPY Oct17'18 260 put SHORT 10 0.07 10/18 8:06 0.00 0%
Trade id #120360585
Max drawdown($50)
Time10/15/18 16:09
Quant open-10
Worst price0.12
Drawdown as % of equity-0.00%
$63
Includes Typical Broker Commissions trade costs of $7.00
10/15/18 10:57 SPY1817V252 SPY Oct17'18 252 put SHORT 20 0.03 10/18 8:06 0.00 0%
Trade id #120352669
Max drawdown($60)
Time10/15/18 12:09
Quant open-20
Worst price0.06
Drawdown as % of equity-0.00%
$46
Includes Typical Broker Commissions trade costs of $14.00
10/10/18 10:51 SPY1815V260 SPY Oct15'18 260 put SHORT 100 0.09 10/16 8:06 0.00 0.46%
Trade id #120275843
Max drawdown($8,950)
Time10/11/18 14:47
Quant open-75
Worst price1.28
Drawdown as % of equity-0.46%
$830
Includes Typical Broker Commissions trade costs of $70.00
10/11/18 11:00 SPY1819V260 SPY Oct19'18 260 put SHORT 50 0.79 10/15 15:08 0.15 0.36%
Trade id #120300408
Max drawdown($7,064)
Time10/11/18 14:47
Quant open-50
Worst price2.20
Drawdown as % of equity-0.36%
$3,116
Includes Typical Broker Commissions trade costs of $70.00
10/11/18 15:49 QQQ1812V165.5 QQQ Oct12'18 165.5 put SHORT 10 0.51 10/13 9:36 0.00 n/a $500
Includes Typical Broker Commissions trade costs of $7.00
10/10/18 11:04 SPY1812V265 SPY Oct12'18 265 put SHORT 100 0.04 10/13 9:36 0.00 0.66%
Trade id #120276322
Max drawdown($12,950)
Time10/11/18 14:47
Quant open-100
Worst price1.34
Drawdown as % of equity-0.66%
$380
Includes Typical Broker Commissions trade costs of $70.00
10/8/18 12:25 SPY1810V265 SPY Oct10'18 265 put SHORT 100 0.04 10/11 8:06 0.00 0%
Trade id #120236735
Max drawdown$0
Time10/8/18 12:27
Quant open-100
Worst price0.04
Drawdown as % of equity0.00%
$330
Includes Typical Broker Commissions trade costs of $70.00
10/5/18 15:39 SPY1808V265 SPY Oct8'18 265 put SHORT 100 0.02 10/9 8:06 0.00 0%
Trade id #120212527
Max drawdown$0
Time10/5/18 15:42
Quant open-100
Worst price0.02
Drawdown as % of equity0.00%
$130
Includes Typical Broker Commissions trade costs of $70.00
10/4/18 10:49 SPY1805V280 SPY Oct5'18 280 put SHORT 75 0.05 10/6 9:36 0.00 0.02%
Trade id #120183310
Max drawdown($450)
Time10/4/18 13:02
Quant open-50
Worst price0.14
Drawdown as % of equity-0.02%
$298
Includes Typical Broker Commissions trade costs of $52.50
10/4/18 11:10 SPY1805V274 SPY Oct5'18 274 put SHORT 50 0.02 10/6 9:36 0.00 0.01%
Trade id #120183671
Max drawdown($100)
Time10/4/18 12:12
Quant open-50
Worst price0.04
Drawdown as % of equity-0.01%
$65
Includes Typical Broker Commissions trade costs of $35.00
10/4/18 15:33 SPY1805V282 SPY Oct5'18 282 put SHORT 25 0.07 10/6 9:36 0.00 0%
Trade id #120189919
Max drawdown($33)
Time10/4/18 15:40
Quant open-25
Worst price0.08
Drawdown as % of equity-0.00%
$149
Includes Typical Broker Commissions trade costs of $17.50
10/2/18 12:11 SPY1805V275 SPY Oct5'18 275 put SHORT 50 0.02 10/6 9:36 0.00 0.01%
Trade id #120138399
Max drawdown($250)
Time10/4/18 13:12
Quant open-50
Worst price0.07
Drawdown as % of equity-0.01%
$65
Includes Typical Broker Commissions trade costs of $35.00
8/21/18 13:48 QQQ1821U174 QQQ Sep21'18 174 put SHORT 130 1.08 8/31 13:09 0.30 0.17%
Trade id #119537083
Max drawdown($3,258)
Time8/22/18 10:03
Quant open-120
Worst price1.34
Drawdown as % of equity-0.17%
$9,948
Includes Typical Broker Commissions trade costs of $182.00
8/21/18 13:20 SPY1821U277 SPY Sep21'18 277 put SHORT 120 1.05 8/29 12:11 0.45 0.16%
Trade id #119536420
Max drawdown($3,110)
Time8/22/18 10:03
Quant open-110
Worst price1.31
Drawdown as % of equity-0.16%
$6,936
Includes Typical Broker Commissions trade costs of $168.00
8/15/18 10:25 SPY1817T274 SPY Aug17'18 274 put SHORT 30 0.25 8/18 9:37 0.00 0.01%
Trade id #119450032
Max drawdown($154)
Time8/15/18 10:56
Quant open-30
Worst price0.30
Drawdown as % of equity-0.01%
$725
Includes Typical Broker Commissions trade costs of $21.00
8/7/18 10:00 QQQ1817T172 QQQ Aug17'18 172 put SHORT 133 0.11 8/18 9:37 0.00 0.05%
Trade id #119317454
Max drawdown($1,012)
Time8/10/18 14:30
Quant open-133
Worst price0.19
Drawdown as % of equity-0.05%
$1,422
Includes Typical Broker Commissions trade costs of $93.10

Statistics

  • Strategy began
    1/9/2013
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2134.23
  • Age
    71 months ago
  • What it trades
    Options
  • # Trades
    409
  • # Profitable
    353
  • % Profitable
    86.30%
  • Avg trade duration
    9.9 days
  • Max peak-to-valley drawdown
    41.7%
  • drawdown period
    Oct 08, 2014 - Oct 16, 2014
  • Annual Return (Compounded)
    65.1%
  • Avg win
    $7,315
  • Avg loss
    $12,867
  • Model Account Values (Raw)
  • Cash
    $2,012,550
  • Margin Used
    $1,822,120
  • Buying Power
    $190,430
  • Ratios
  • W:L ratio
    3.62:1
  • Sharpe Ratio
    1.41
  • Sortino Ratio
    2.476
  • Calmar Ratio
    1.752
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42600
  • Return Statistics
  • Ann Return (w trading costs)
    65.1%
  • Ann Return (Compnd, No Fees)
    66.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    869
  • Popularity (Last 6 weeks)
    961
  • C2 Score
    81.3
  • Trades-Own-System Certification
  • Trades Own System?
    183804
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $12,891
  • Avg Win
    $7,277
  • # Winners
    352
  • # Losers
    56
  • % Winners
    86.3%
  • Frequency
  • Avg Position Time (mins)
    14346.70
  • Avg Position Time (hrs)
    239.11
  • Avg Trade Length
    10.0 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
    0.54765
  • SD
    0.33456
  • Sharpe ratio (Glass type estimate)
    1.63691
  • Sharpe ratio (Hedges UMVUE)
    1.61879
  • df
    68.00000
  • t
    3.92517
  • p
    0.00010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.76924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48024
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45666
  • Upside Potential Ratio
    6.26993
  • Upside part of mean
    0.62927
  • Downside part of mean
    -0.08162
  • Upside SD
    0.35388
  • Downside SD
    0.10036
  • N nonnegative terms
    58.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.08738
  • Mean of criterion
    0.54765
  • SD of predictor
    0.10454
  • SD of criterion
    0.33456
  • Covariance
    0.01472
  • r
    0.42100
  • b (slope, estimate of beta)
    1.34730
  • a (intercept, estimate of alpha)
    0.42992
  • Mean Square Error
    0.09347
  • DF error
    67.00000
  • t(b)
    3.79907
  • p(b)
    0.00016
  • t(a)
    3.27662
  • p(a)
    0.00083
  • Lowerbound of 95% confidence interval for beta
    0.63944
  • Upperbound of 95% confidence interval for beta
    2.05517
  • Lowerbound of 95% confidence interval for alpha
    0.16803
  • Upperbound of 95% confidence interval for alpha
    0.69181
  • Treynor index (mean / b)
    0.40647
  • Jensen alpha (a)
    0.42992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49046
  • SD
    0.28964
  • Sharpe ratio (Glass type estimate)
    1.69336
  • Sharpe ratio (Hedges UMVUE)
    1.67461
  • df
    68.00000
  • t
    4.06052
  • p
    0.00006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.82247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53907
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.52606
  • Upside Potential Ratio
    5.32893
  • Upside part of mean
    0.57746
  • Downside part of mean
    -0.08700
  • Upside SD
    0.30162
  • Downside SD
    0.10836
  • N nonnegative terms
    58.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    69.00000
  • Mean of predictor
    0.08150
  • Mean of criterion
    0.49046
  • SD of predictor
    0.10478
  • SD of criterion
    0.28964
  • Covariance
    0.01286
  • r
    0.42373
  • b (slope, estimate of beta)
    1.17135
  • a (intercept, estimate of alpha)
    0.39500
  • Mean Square Error
    0.06986
  • DF error
    67.00000
  • t(b)
    3.82914
  • p(b)
    0.00014
  • t(a)
    3.49539
  • p(a)
    0.00042
  • Lowerbound of 95% confidence interval for beta
    0.56076
  • Upperbound of 95% confidence interval for beta
    1.78193
  • Lowerbound of 95% confidence interval for alpha
    0.16944
  • Upperbound of 95% confidence interval for alpha
    0.62056
  • Treynor index (mean / b)
    0.41872
  • Jensen alpha (a)
    0.39500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09213
  • Expected Shortfall on VaR
    0.12289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00555
  • Expected Shortfall on VaR
    0.01729
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    69.00000
  • Minimum
    0.82515
  • Quartile 1
    1.00877
  • Median
    1.02618
  • Quartile 3
    1.06158
  • Maximum
    1.61711
  • Mean of quarter 1
    0.97801
  • Mean of quarter 2
    1.01571
  • Mean of quarter 3
    1.04339
  • Mean of quarter 4
    1.15887
  • Inter Quartile Range
    0.05281
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.86802
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.11594
  • Mean of outliers high
    1.23568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.83529
  • VaR(95%) (regression method)
    0.01851
  • Expected Shortfall (regression method)
    0.19059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00475
  • Quartile 1
    0.01056
  • Median
    0.01621
  • Quartile 3
    0.11376
  • Maximum
    0.17485
  • Mean of quarter 1
    0.00614
  • Mean of quarter 2
    0.01490
  • Mean of quarter 3
    0.10698
  • Mean of quarter 4
    0.14770
  • Inter Quartile Range
    0.10320
  • 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)
    3.25216
  • Compounded annual return (geometric extrapolation)
    0.67928
  • Calmar ratio (compounded annual return / max draw down)
    3.88493
  • Compounded annual return / average of 25% largest draw downs
    4.59921
  • Compounded annual return / Expected Shortfall lognormal
    5.52772
  • 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
    0.56325
  • SD
    0.39919
  • Sharpe ratio (Glass type estimate)
    1.41099
  • Sharpe ratio (Hedges UMVUE)
    1.41030
  • df
    1520.00000
  • t
    3.39969
  • p
    0.45656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22530
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.47603
  • Upside Potential Ratio
    5.99978
  • Upside part of mean
    1.36484
  • Downside part of mean
    -0.80159
  • Upside SD
    0.32971
  • Downside SD
    0.22748
  • N nonnegative terms
    649.00000
  • N negative terms
    872.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1521.00000
  • Mean of predictor
    0.08714
  • Mean of criterion
    0.56325
  • SD of predictor
    0.12491
  • SD of criterion
    0.39919
  • Covariance
    0.02121
  • r
    0.42542
  • b (slope, estimate of beta)
    1.35958
  • a (intercept, estimate of alpha)
    0.44500
  • Mean Square Error
    0.13060
  • DF error
    1519.00000
  • t(b)
    18.32130
  • p(b)
    0.23757
  • t(a)
    2.96273
  • p(a)
    0.45179
  • Lowerbound of 95% confidence interval for beta
    1.21402
  • Upperbound of 95% confidence interval for beta
    1.50514
  • Lowerbound of 95% confidence interval for alpha
    0.15031
  • Upperbound of 95% confidence interval for alpha
    0.73926
  • Treynor index (mean / b)
    0.41428
  • Jensen alpha (a)
    0.44478
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48710
  • SD
    0.38500
  • Sharpe ratio (Glass type estimate)
    1.26518
  • Sharpe ratio (Hedges UMVUE)
    1.26456
  • df
    1520.00000
  • t
    3.04836
  • p
    0.46103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45027
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07967
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07925
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01075
  • Upside Potential Ratio
    5.43544
  • Upside part of mean
    1.31672
  • Downside part of mean
    -0.82962
  • Upside SD
    0.30059
  • Downside SD
    0.24225
  • N nonnegative terms
    649.00000
  • N negative terms
    872.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1521.00000
  • Mean of predictor
    0.07930
  • Mean of criterion
    0.48710
  • SD of predictor
    0.12514
  • SD of criterion
    0.38500
  • Covariance
    0.02100
  • r
    0.43588
  • b (slope, estimate of beta)
    1.34098
  • a (intercept, estimate of alpha)
    0.38076
  • Mean Square Error
    0.12015
  • DF error
    1519.00000
  • t(b)
    18.87560
  • p(b)
    0.23157
  • t(a)
    2.64472
  • p(a)
    0.45693
  • Lowerbound of 95% confidence interval for beta
    1.20163
  • Upperbound of 95% confidence interval for beta
    1.48033
  • Lowerbound of 95% confidence interval for alpha
    0.09836
  • Upperbound of 95% confidence interval for alpha
    0.66316
  • Treynor index (mean / b)
    0.36324
  • Jensen alpha (a)
    0.38076
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03658
  • Expected Shortfall on VaR
    0.04607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00739
  • Expected Shortfall on VaR
    0.01714
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1521.00000
  • Minimum
    0.81471
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00299
  • Maximum
    1.39997
  • Mean of quarter 1
    0.98803
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.02020
  • Inter Quartile Range
    0.00299
  • Number outliers low
    179.00000
  • Percentage of outliers low
    0.11769
  • Mean of outliers low
    0.97601
  • Number of outliers high
    220.00000
  • Percentage of outliers high
    0.14464
  • Mean of outliers high
    1.03127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.14236
  • VaR(95%) (moments method)
    0.00681
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.67232
  • VaR(95%) (regression method)
    0.00813
  • Expected Shortfall (regression method)
    0.03313
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    152.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00118
  • Median
    0.00554
  • Quartile 3
    0.01797
  • Maximum
    0.38451
  • Mean of quarter 1
    0.00054
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.01198
  • Mean of quarter 4
    0.07842
  • Inter Quartile Range
    0.01680
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.11842
  • Mean of outliers high
    0.13606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77048
  • VaR(95%) (moments method)
    0.07917
  • Expected Shortfall (moments method)
    0.36995
  • Extreme Value Index (regression method)
    0.60212
  • VaR(95%) (regression method)
    0.07125
  • Expected Shortfall (regression method)
    0.20107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.25244
  • Compounded annual return (geometric extrapolation)
    0.67365
  • Calmar ratio (compounded annual return / max draw down)
    1.75198
  • Compounded annual return / average of 25% largest draw downs
    8.59039
  • Compounded annual return / Expected Shortfall lognormal
    14.62230
  • 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
    0.06096
  • SD
    0.05435
  • Sharpe ratio (Glass type estimate)
    1.12151
  • Sharpe ratio (Hedges UMVUE)
    1.11503
  • df
    130.00000
  • t
    0.79303
  • p
    0.46531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66009
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89014
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85181
  • Upside Potential Ratio
    7.05961
  • Upside part of mean
    0.23238
  • Downside part of mean
    -0.17143
  • Upside SD
    0.04315
  • Downside SD
    0.03292
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02535
  • Mean of criterion
    0.06096
  • SD of predictor
    0.12860
  • SD of criterion
    0.05435
  • Covariance
    0.00365
  • r
    0.52250
  • b (slope, estimate of beta)
    0.22083
  • a (intercept, estimate of alpha)
    0.06655
  • Mean Square Error
    0.00216
  • DF error
    129.00000
  • t(b)
    6.96013
  • p(b)
    0.18319
  • t(a)
    1.01151
  • p(a)
    0.44360
  • Lowerbound of 95% confidence interval for beta
    0.15806
  • Upperbound of 95% confidence interval for beta
    0.28361
  • Lowerbound of 95% confidence interval for alpha
    -0.06363
  • Upperbound of 95% confidence interval for alpha
    0.19674
  • Treynor index (mean / b)
    0.27603
  • Jensen alpha (a)
    0.06655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05948
  • SD
    0.05423
  • Sharpe ratio (Glass type estimate)
    1.09691
  • Sharpe ratio (Hedges UMVUE)
    1.09057
  • df
    130.00000
  • t
    0.77563
  • p
    0.46607
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.68015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.68440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86555
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79956
  • Upside Potential Ratio
    7.00180
  • Upside part of mean
    0.23144
  • Downside part of mean
    -0.17195
  • Upside SD
    0.04288
  • Downside SD
    0.03305
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03359
  • Mean of criterion
    0.05948
  • SD of predictor
    0.12904
  • SD of criterion
    0.05423
  • Covariance
    0.00366
  • r
    0.52367
  • b (slope, estimate of beta)
    0.22006
  • a (intercept, estimate of alpha)
    0.06687
  • Mean Square Error
    0.00215
  • DF error
    129.00000
  • t(b)
    6.98155
  • p(b)
    0.18256
  • t(a)
    1.01953
  • p(a)
    0.44316
  • Lowerbound of 95% confidence interval for beta
    0.15770
  • Upperbound of 95% confidence interval for beta
    0.28242
  • Lowerbound of 95% confidence interval for alpha
    -0.06290
  • Upperbound of 95% confidence interval for alpha
    0.19665
  • Treynor index (mean / b)
    0.27030
  • Jensen alpha (a)
    0.06687
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00527
  • Expected Shortfall on VaR
    0.00666
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00180
  • Expected Shortfall on VaR
    0.00389
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98928
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00026
  • Maximum
    1.01956
  • Mean of quarter 1
    0.99769
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.00361
  • Inter Quartile Range
    0.00026
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.99532
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.00433
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08633
  • VaR(95%) (moments method)
    0.00195
  • Expected Shortfall (moments method)
    0.00346
  • Extreme Value Index (regression method)
    -0.53867
  • VaR(95%) (regression method)
    0.00399
  • Expected Shortfall (regression method)
    0.00579
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00010
  • Median
    0.00119
  • Quartile 3
    0.00596
  • Maximum
    0.02143
  • Mean of quarter 1
    0.00005
  • Mean of quarter 2
    0.00079
  • Mean of quarter 3
    0.00357
  • Mean of quarter 4
    0.01584
  • Inter Quartile Range
    0.00585
  • 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
    0.07692
  • Mean of outliers high
    0.02143
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.74670
  • VaR(95%) (moments method)
    0.01245
  • Expected Shortfall (moments method)
    0.01245
  • Extreme Value Index (regression method)
    -0.31803
  • VaR(95%) (regression method)
    0.01358
  • Expected Shortfall (regression method)
    0.01607
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.08933
  • Compounded annual return (geometric extrapolation)
    0.09132
  • Calmar ratio (compounded annual return / max draw down)
    4.26057
  • Compounded annual return / average of 25% largest draw downs
    5.76608
  • Compounded annual return / Expected Shortfall lognormal
    13.71130

Strategy Description

The goal of "R Option" is to generate approximately 100% every three years.

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.

The strategy have more than 10 years of track record with the original algorithm.

A similar strategy "R Option Mini" was created in Jan 2017 to facilitate scaling for smaller accounts.

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

Description and Performance of "R Option Mini":
https://randbots.com/details/109107515

Summary Statistics

Strategy began
2013-01-09
Suggested Minimum Capital
$35,000
# Trades
409
# Profitable
353
% Profitable
86.3%
Net Dividends
Correlation S&P500
0.426
Sharpe Ratio
1.410

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.

0