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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 10/09/2020
Most recent certification approved 10/9/20 11:40 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 182
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 174
Percent signals followed since 10/09/2020 95.6%
This information was last updated 6/12/21 9:44 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 10/09/2020, 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.

OptionsTradingInsight
(131612959)

Created by: SimonKimani2 SimonKimani2
Started: 10/2020
Options
Last trade: 11 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 $500.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

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.
160.0%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(34.1%)
Max Drawdown
98
Num Trades
30.6%
Win Trades
2.0 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (26.3%)+29.8%(4.8%)(8.9%)
2021+115.5%+43.6%(11.2%)+11.6%(3.9%)(3.9%)                                    +183.5%

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.

Trading Record

This strategy has placed 173 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 14 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/9/21 13:48 UBER2121E62.5 UBER May21'21 62.5 call LONG 8 1.76 4/30 14:05 0.56 1.19%
Trade id #135083670
Max drawdown($960)
Time4/30/21 13:48
Quant open8
Worst price0.56
Drawdown as % of equity-1.19%
($971)
Includes Typical Broker Commissions trade costs of $11.20
4/23/21 11:07 NVAX2118F280 NVAX Jun18'21 280 call LONG 1 13.35 4/30 14:04 17.61 0.06%
Trade id #135289974
Max drawdown($45)
Time4/26/21 0:00
Quant open1
Worst price12.90
Drawdown as % of equity-0.06%
$424
Includes Typical Broker Commissions trade costs of $2.00
4/16/21 10:21 MRNA2121E195 MRNA May21'21 195 call LONG 3 4.49 4/30 14:04 6.75 1.21%
Trade id #135185935
Max drawdown($852)
Time4/20/21 0:00
Quant open3
Worst price1.65
Drawdown as % of equity-1.21%
$673
Includes Typical Broker Commissions trade costs of $4.20
4/16/21 10:19 GDX2121E38 GDX May21'21 38 call LONG 25 0.57 4/30 14:04 0.15 1.33%
Trade id #135185871
Max drawdown($1,075)
Time4/30/21 13:56
Quant open25
Worst price0.14
Drawdown as % of equity-1.33%
($1,085)
Includes Typical Broker Commissions trade costs of $35.00
4/16/21 10:24 DOCU2121E260 DOCU May21'21 260 call LONG 5 2.60 4/30 14:03 0.45 1.37%
Trade id #135186010
Max drawdown($1,085)
Time4/29/21 0:00
Quant open5
Worst price0.43
Drawdown as % of equity-1.37%
($1,082)
Includes Typical Broker Commissions trade costs of $7.00
4/9/21 13:43 CCL2121E35 CCL May21'21 35 call LONG 20 0.62 4/30 14:03 0.08 1.36%
Trade id #135083530
Max drawdown($1,080)
Time4/29/21 0:00
Quant open20
Worst price0.08
Drawdown as % of equity-1.36%
($1,108)
Includes Typical Broker Commissions trade costs of $28.00
4/9/21 13:45 BLNK2121E55 BLNK May21'21 55 call LONG 6 2.24 4/30 14:02 0.23 1.6%
Trade id #135083588
Max drawdown($1,242)
Time4/28/21 0:00
Quant open6
Worst price0.17
Drawdown as % of equity-1.60%
($1,214)
Includes Typical Broker Commissions trade costs of $8.40
4/9/21 13:46 UPS2121E190 UPS May21'21 190 call LONG 10 1.44 4/30 14:02 15.61 0.97%
Trade id #135083623
Max drawdown($690)
Time4/26/21 0:00
Quant open10
Worst price0.75
Drawdown as % of equity-0.97%
$14,156
Includes Typical Broker Commissions trade costs of $14.00
3/19/21 10:56 GDX2116D37 GDX Apr16'21 37 call LONG 40 0.34 4/17 9:37 0.00 1.78%
Trade id #134733700
Max drawdown($1,320)
Time4/12/21 0:00
Quant open40
Worst price0.01
Drawdown as % of equity-1.78%
($1,388)
Includes Typical Broker Commissions trade costs of $28.00
3/19/21 11:09 QS2116D70 QS Apr16'21 70 call LONG 4 3.48 4/17 9:36 0.00 1.86%
Trade id #134734124
Max drawdown($1,388)
Time4/8/21 0:00
Quant open4
Worst price0.01
Drawdown as % of equity-1.86%
($1,395)
Includes Typical Broker Commissions trade costs of $2.80
3/19/21 10:54 MJ2116D26 MJ Apr16'21 26 call LONG 11 1.17 4/17 9:36 0.00 1.72%
Trade id #134733651
Max drawdown($1,276)
Time4/12/21 0:00
Quant open11
Worst price0.01
Drawdown as % of equity-1.72%
($1,295)
Includes Typical Broker Commissions trade costs of $7.70
3/8/21 15:13 BBBY2116P27 BBBY Apr16'21 27 put LONG 6 2.25 3/18 15:15 1.27 0.85%
Trade id #134495258
Max drawdown($682)
Time3/18/21 12:19
Quant open6
Worst price1.11
Drawdown as % of equity-0.85%
($594)
Includes Typical Broker Commissions trade costs of $8.40
3/8/21 15:12 BBBY2116D35 BBBY Apr16'21 35 call LONG 6 2.28 3/18 15:15 2.08 0.79%
Trade id #134495235
Max drawdown($660)
Time3/11/21 0:00
Quant open6
Worst price1.18
Drawdown as % of equity-0.79%
($131)
Includes Typical Broker Commissions trade costs of $8.40
3/11/21 12:55 DDD2109D31 DDD Apr9'21 31 call LONG 4 2.99 3/18 15:14 2.60 0.54%
Trade id #134566551
Max drawdown($436)
Time3/17/21 0:00
Quant open4
Worst price1.90
Drawdown as % of equity-0.54%
($162)
Includes Typical Broker Commissions trade costs of $5.60
3/3/21 13:28 RKT ROCKET COMPANIES INC LONG 205 29.76 3/18 15:14 23.77 1.59%
Trade id #134395973
Max drawdown($1,287)
Time3/5/21 0:00
Quant open205
Worst price23.48
Drawdown as % of equity-1.59%
($1,230)
Includes Typical Broker Commissions trade costs of $2.04
3/3/21 15:45 SKT2116D19 SKT Apr16'21 19 call LONG 6 2.56 3/18 15:13 0.97 1.6%
Trade id #134399943
Max drawdown($1,320)
Time3/10/21 0:00
Quant open6
Worst price0.36
Drawdown as % of equity-1.60%
($963)
Includes Typical Broker Commissions trade costs of $8.40
3/3/21 13:30 SKT TANGER FACTORY OUTLET LONG 335 18.12 3/18 15:13 17.43 1.21%
Trade id #134396042
Max drawdown($978)
Time3/5/21 0:00
Quant open335
Worst price15.20
Drawdown as % of equity-1.21%
($234)
Includes Typical Broker Commissions trade costs of $3.36
3/11/21 12:58 TDOC2116D250 TDOC Apr16'21 250 call LONG 4 2.84 3/18 15:12 0.97 1.17%
Trade id #134566594
Max drawdown($936)
Time3/17/21 0:00
Quant open4
Worst price0.50
Drawdown as % of equity-1.17%
($754)
Includes Typical Broker Commissions trade costs of $5.60
3/11/21 10:16 PYPL2109D275 PYPL Apr9'21 275 call LONG 3 3.98 3/18 15:12 1.34 1.03%
Trade id #134561178
Max drawdown($811)
Time3/18/21 15:06
Quant open3
Worst price1.28
Drawdown as % of equity-1.03%
($798)
Includes Typical Broker Commissions trade costs of $4.20
3/11/21 9:54 GOGO GOGO INC. COMMON STOCK LONG 450 13.99 3/18 15:11 10.15 2.2%
Trade id #134560160
Max drawdown($1,741)
Time3/18/21 14:36
Quant open450
Worst price10.12
Drawdown as % of equity-2.20%
($1,733)
Includes Typical Broker Commissions trade costs of $4.50
2/10/21 13:35 MTCH2112C210 MTCH Mar12'21 210 call LONG 14 1.10 3/13 9:35 0.00 0.93%
Trade id #133980046
Max drawdown($840)
Time2/12/21 0:00
Quant open14
Worst price0.50
Drawdown as % of equity-0.93%
($1,550)
Includes Typical Broker Commissions trade costs of $9.80
3/11/21 12:38 GME GAMESTOP SHORT 50 250.66 3/11 12:44 253.25 0.28%
Trade id #134566197
Max drawdown($232)
Time3/11/21 12:42
Quant open50
Worst price255.31
Drawdown as % of equity-0.28%
($132)
Includes Typical Broker Commissions trade costs of $2.00
3/3/21 13:29 GME GAMESTOP LONG 50 119.87 3/11 12:38 250.54 0.33%
Trade id #134396002
Max drawdown($268)
Time3/3/21 14:23
Quant open50
Worst price114.50
Drawdown as % of equity-0.33%
$6,532
Includes Typical Broker Commissions trade costs of $2.00
3/3/21 14:30 QQQ2131O296 QQQ Mar31'21 296 put LONG 2 6.34 3/9 12:16 4.34 0.49%
Trade id #134397937
Max drawdown($401)
Time3/9/21 12:16
Quant open2
Worst price4.33
Drawdown as % of equity-0.49%
($403)
Includes Typical Broker Commissions trade costs of $2.80
3/3/21 14:32 IWM2131O210 IWM Mar31'21 210 put LONG 3 4.86 3/9 12:16 2.65 0.82%
Trade id #134398029
Max drawdown($664)
Time3/9/21 12:16
Quant open3
Worst price2.65
Drawdown as % of equity-0.82%
($668)
Includes Typical Broker Commissions trade costs of $4.20
2/12/21 11:00 INO2119C20 INO Mar19'21 20 call LONG 6 2.28 3/3 14:20 0.08 1.61%
Trade id #134035858
Max drawdown($1,332)
Time3/3/21 12:25
Quant open6
Worst price0.06
Drawdown as % of equity-1.61%
($1,328)
Includes Typical Broker Commissions trade costs of $8.40
2/12/21 12:04 QS2112C65 QS Mar12'21 65 call LONG 2 6.60 3/3 14:19 0.31 1.54%
Trade id #134038614
Max drawdown($1,258)
Time3/3/21 14:19
Quant open2
Worst price0.31
Drawdown as % of equity-1.54%
($1,261)
Includes Typical Broker Commissions trade costs of $2.80
2/26/21 15:55 AMAT2101D110 AMAT Apr1'21 110 call LONG 10 12.87 3/3 14:19 11.28 1.02%
Trade id #134318470
Max drawdown($834)
Time3/3/21 14:19
Quant open2
Worst price8.70
Drawdown as % of equity-1.02%
($1,605)
Includes Typical Broker Commissions trade costs of $14.00
2/10/21 13:57 RAD2119C30 RAD Mar19'21 30 call LONG 6 2.33 3/3 14:18 0.09 1.63%
Trade id #133991226
Max drawdown($1,374)
Time3/2/21 0:00
Quant open6
Worst price0.04
Drawdown as % of equity-1.63%
($1,352)
Includes Typical Broker Commissions trade costs of $8.40
3/1/21 11:46 RAD2116D24 RAD Apr16'21 24 call LONG 6 1.90 3/3 14:18 1.11 0.74%
Trade id #134342489
Max drawdown($608)
Time3/3/21 11:58
Quant open6
Worst price0.89
Drawdown as % of equity-0.74%
($486)
Includes Typical Broker Commissions trade costs of $8.40

Statistics

  • Strategy began
    10/9/2020
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    245.99
  • Age
    8 months ago
  • What it trades
    Options
  • # Trades
    98
  • # Profitable
    30
  • % Profitable
    30.60%
  • Avg trade duration
    11.7 days
  • Max peak-to-valley drawdown
    34.12%
  • drawdown period
    Oct 12, 2020 - Nov 04, 2020
  • Cumul. Return
    160.6%
  • Avg win
    $3,636
  • Avg loss
    $814.44
  • Model Account Values (Raw)
  • Cash
    $64,309
  • Margin Used
    $0
  • Buying Power
    $67,371
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    1.38
  • Sortino Ratio
    6.46
  • Calmar Ratio
    14.588
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    138.39%
  • Correlation to SP500
    -0.07490
  • Return Percent SP500 (cumu) during strategy life
    22.15%
  • Return Statistics
  • Ann Return (w trading costs)
    307.8%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.606%
  • Instruments
  • Percent Trades Options
    0.80%
  • Percent Trades Stocks
    0.20%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    357.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.50%
  • Chance of 20% account loss
    15.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    478
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    893
  • Popularity (7 days, Percentile 1000 scale)
    731
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $814
  • Avg Win
    $3,637
  • Sum Trade PL (losers)
    $55,382.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $109,109.000
  • # Winners
    30
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    228
  • Win / Loss
  • # Losers
    68
  • % Winners
    30.6%
  • Frequency
  • Avg Position Time (mins)
    16907.10
  • Avg Position Time (hrs)
    281.79
  • Avg Trade Length
    11.7 days
  • Last Trade Ago
    12
  • Leverage
  • Daily leverage (average)
    4.00
  • Daily leverage (max)
    14.72
  • Regression
  • Alpha
    0.56
  • Beta
    -0.57
  • Treynor Index
    -0.91
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.567
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.099
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    0.244
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.79225
  • SD
    1.93088
  • Sharpe ratio (Glass type estimate)
    1.44610
  • Sharpe ratio (Hedges UMVUE)
    1.25612
  • df
    6.00000
  • t
    1.10448
  • p
    0.15585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29505
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91892
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.15510
  • Upside Potential Ratio
    21.31460
  • Upside part of mean
    3.10704
  • Downside part of mean
    -0.31479
  • Upside SD
    1.95554
  • Downside SD
    0.14577
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.31182
  • Mean of criterion
    2.79225
  • SD of predictor
    0.08997
  • SD of criterion
    1.93088
  • Covariance
    0.07896
  • r
    0.45450
  • b (slope, estimate of beta)
    9.75376
  • a (intercept, estimate of alpha)
    -0.24912
  • Mean Square Error
    3.54977
  • DF error
    5.00000
  • t(b)
    1.14093
  • p(b)
    0.15279
  • t(a)
    -0.06859
  • p(a)
    0.52601
  • Lowerbound of 95% confidence interval for beta
    -12.22290
  • Upperbound of 95% confidence interval for beta
    31.73040
  • Lowerbound of 95% confidence interval for alpha
    -9.58578
  • Upperbound of 95% confidence interval for alpha
    9.08754
  • Treynor index (mean / b)
    0.28627
  • Jensen alpha (a)
    -0.24912
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.76542
  • SD
    1.20082
  • Sharpe ratio (Glass type estimate)
    1.47018
  • Sharpe ratio (Hedges UMVUE)
    1.27703
  • df
    6.00000
  • t
    1.12287
  • p
    0.15220
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38894
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94301
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.69430
  • Upside Potential Ratio
    13.84830
  • Upside part of mean
    2.09059
  • Downside part of mean
    -0.32517
  • Upside SD
    1.21363
  • Downside SD
    0.15096
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.30384
  • Mean of criterion
    1.76542
  • SD of predictor
    0.08763
  • SD of criterion
    1.20082
  • Covariance
    0.04211
  • r
    0.40021
  • b (slope, estimate of beta)
    5.48422
  • a (intercept, estimate of alpha)
    0.09910
  • Mean Square Error
    1.45322
  • DF error
    5.00000
  • t(b)
    0.97650
  • p(b)
    0.18683
  • t(a)
    0.04263
  • p(a)
    0.48382
  • Lowerbound of 95% confidence interval for beta
    -8.95322
  • Upperbound of 95% confidence interval for beta
    19.92170
  • Lowerbound of 95% confidence interval for alpha
    -5.87634
  • Upperbound of 95% confidence interval for alpha
    6.07454
  • Treynor index (mean / b)
    0.32191
  • Jensen alpha (a)
    0.09910
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.34496
  • Expected Shortfall on VaR
    0.42885
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05641
  • Expected Shortfall on VaR
    0.09521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.91828
  • Quartile 1
    0.95254
  • Median
    1.05238
  • Quartile 3
    1.14392
  • Maximum
    2.48153
  • Mean of quarter 1
    0.92858
  • Mean of quarter 2
    1.00929
  • Mean of quarter 3
    1.13678
  • Mean of quarter 4
    1.81629
  • Inter Quartile Range
    0.19138
  • 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
    0.14286
  • Mean of outliers high
    2.48153
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03380
  • Quartile 1
    0.04746
  • Median
    0.06111
  • Quartile 3
    0.07142
  • Maximum
    0.08172
  • Mean of quarter 1
    0.03380
  • Mean of quarter 2
    0.06111
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08172
  • Inter Quartile Range
    0.02396
  • 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)
    3.16550
  • Compounded annual return (geometric extrapolation)
    5.00939
  • Calmar ratio (compounded annual return / max draw down)
    61.29680
  • Compounded annual return / average of 25% largest draw downs
    61.29680
  • Compounded annual return / Expected Shortfall lognormal
    11.68080
  • 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
    2.16028
  • SD
    1.13101
  • Sharpe ratio (Glass type estimate)
    1.91005
  • Sharpe ratio (Hedges UMVUE)
    1.90073
  • df
    154.00000
  • t
    1.46913
  • p
    0.44122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65629
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45775
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.55034
  • Upside Potential Ratio
    17.10120
  • Upside part of mean
    4.32071
  • Downside part of mean
    -2.16043
  • Upside SD
    1.10676
  • Downside SD
    0.25266
  • N nonnegative terms
    60.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    155.00000
  • Mean of predictor
    0.32284
  • Mean of criterion
    2.16028
  • SD of predictor
    0.15721
  • SD of criterion
    1.13101
  • Covariance
    -0.01048
  • r
    -0.05896
  • b (slope, estimate of beta)
    -0.42415
  • a (intercept, estimate of alpha)
    2.29700
  • Mean Square Error
    1.28307
  • DF error
    153.00000
  • t(b)
    -0.73055
  • p(b)
    0.53751
  • t(a)
    1.54740
  • p(a)
    0.42118
  • Lowerbound of 95% confidence interval for beta
    -1.57117
  • Upperbound of 95% confidence interval for beta
    0.72286
  • Lowerbound of 95% confidence interval for alpha
    -0.63567
  • Upperbound of 95% confidence interval for alpha
    5.23011
  • Treynor index (mean / b)
    -5.09315
  • Jensen alpha (a)
    2.29722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.67745
  • SD
    0.91522
  • Sharpe ratio (Glass type estimate)
    1.83282
  • Sharpe ratio (Hedges UMVUE)
    1.82388
  • df
    154.00000
  • t
    1.40973
  • p
    0.44356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38020
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.48305
  • Upside Potential Ratio
    14.95920
  • Upside part of mean
    3.87058
  • Downside part of mean
    -2.19314
  • Upside SD
    0.88092
  • Downside SD
    0.25874
  • N nonnegative terms
    60.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    155.00000
  • Mean of predictor
    0.31034
  • Mean of criterion
    1.67745
  • SD of predictor
    0.15726
  • SD of criterion
    0.91522
  • Covariance
    -0.00305
  • r
    -0.02121
  • b (slope, estimate of beta)
    -0.12344
  • a (intercept, estimate of alpha)
    1.71575
  • Mean Square Error
    0.84273
  • DF error
    153.00000
  • t(b)
    -0.26241
  • p(b)
    0.51350
  • t(a)
    1.42692
  • p(a)
    0.42720
  • Lowerbound of 95% confidence interval for beta
    -1.05276
  • Upperbound of 95% confidence interval for beta
    0.80588
  • Lowerbound of 95% confidence interval for alpha
    -0.65973
  • Upperbound of 95% confidence interval for alpha
    4.09123
  • Treynor index (mean / b)
    -13.58930
  • Jensen alpha (a)
    1.71575
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08296
  • Expected Shortfall on VaR
    0.10418
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02156
  • Expected Shortfall on VaR
    0.03934
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    155.00000
  • Minimum
    0.91328
  • Quartile 1
    0.98867
  • Median
    0.99789
  • Quartile 3
    1.00785
  • Maximum
    1.74581
  • Mean of quarter 1
    0.97426
  • Mean of quarter 2
    0.99370
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.06382
  • Inter Quartile Range
    0.01917
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04516
  • Mean of outliers low
    0.94452
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.09032
  • Mean of outliers high
    1.14658
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20658
  • VaR(95%) (moments method)
    0.02632
  • Expected Shortfall (moments method)
    0.04010
  • Extreme Value Index (regression method)
    -0.01725
  • VaR(95%) (regression method)
    0.02314
  • Expected Shortfall (regression method)
    0.03014
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00329
  • Quartile 1
    0.01063
  • Median
    0.04493
  • Quartile 3
    0.18004
  • Maximum
    0.30869
  • Mean of quarter 1
    0.00651
  • Mean of quarter 2
    0.02822
  • Mean of quarter 3
    0.15804
  • Mean of quarter 4
    0.25537
  • Inter Quartile Range
    0.16941
  • 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)
    2.94549
  • Compounded annual return (geometric extrapolation)
    4.50333
  • Calmar ratio (compounded annual return / max draw down)
    14.58850
  • Compounded annual return / average of 25% largest draw downs
    17.63490
  • Compounded annual return / Expected Shortfall lognormal
    43.22830
  • 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
    2.70529
  • SD
    1.16715
  • Sharpe ratio (Glass type estimate)
    2.31786
  • Sharpe ratio (Hedges UMVUE)
    2.30446
  • df
    130.00000
  • t
    1.63897
  • p
    0.42886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.09958
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09038
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.05840
  • Upside Potential Ratio
    20.75340
  • Upside part of mean
    4.29946
  • Downside part of mean
    -1.59417
  • Upside SD
    1.15623
  • Downside SD
    0.20717
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34873
  • Mean of criterion
    2.70529
  • SD of predictor
    0.14426
  • SD of criterion
    1.16715
  • Covariance
    -0.02973
  • r
    -0.17656
  • b (slope, estimate of beta)
    -1.42847
  • a (intercept, estimate of alpha)
    3.20345
  • Mean Square Error
    1.33001
  • DF error
    129.00000
  • t(b)
    -2.03736
  • p(b)
    0.61182
  • t(a)
    1.94244
  • p(a)
    0.39319
  • Lowerbound of 95% confidence interval for beta
    -2.81569
  • Upperbound of 95% confidence interval for beta
    -0.04125
  • Lowerbound of 95% confidence interval for alpha
    -0.05950
  • Upperbound of 95% confidence interval for alpha
    6.46640
  • Treynor index (mean / b)
    -1.89384
  • Jensen alpha (a)
    3.20345
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.20133
  • SD
    0.92491
  • Sharpe ratio (Glass type estimate)
    2.38004
  • Sharpe ratio (Hedges UMVUE)
    2.36628
  • df
    130.00000
  • t
    1.68294
  • p
    0.42699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15297
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.35140
  • Upside Potential Ratio
    17.95140
  • Upside part of mean
    3.81754
  • Downside part of mean
    -1.61621
  • Upside SD
    0.90675
  • Downside SD
    0.21266
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33816
  • Mean of criterion
    2.20133
  • SD of predictor
    0.14411
  • SD of criterion
    0.92491
  • Covariance
    -0.02013
  • r
    -0.15105
  • b (slope, estimate of beta)
    -0.96950
  • a (intercept, estimate of alpha)
    2.52918
  • Mean Square Error
    0.84242
  • DF error
    129.00000
  • t(b)
    -1.73555
  • p(b)
    0.59580
  • t(a)
    1.92818
  • p(a)
    0.39395
  • VAR (95 Confidence Intrvl)
    0.08300
  • Lowerbound of 95% confidence interval for beta
    -2.07473
  • Upperbound of 95% confidence interval for beta
    0.13573
  • Lowerbound of 95% confidence interval for alpha
    -0.06604
  • Upperbound of 95% confidence interval for alpha
    5.12439
  • Treynor index (mean / b)
    -2.27058
  • Jensen alpha (a)
    2.52918
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08203
  • Expected Shortfall on VaR
    0.10349
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01546
  • Expected Shortfall on VaR
    0.03002
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91328
  • Quartile 1
    0.99143
  • Median
    0.99850
  • Quartile 3
    1.00876
  • Maximum
    1.74581
  • Mean of quarter 1
    0.98062
  • Mean of quarter 2
    0.99572
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.06288
  • Inter Quartile Range
    0.01733
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93704
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.15333
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45333
  • VaR(95%) (moments method)
    0.02144
  • Expected Shortfall (moments method)
    0.04219
  • Extreme Value Index (regression method)
    0.43941
  • VaR(95%) (regression method)
    0.02027
  • Expected Shortfall (regression method)
    0.03830
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00329
  • Quartile 1
    0.00667
  • Median
    0.01151
  • Quartile 3
    0.05181
  • Maximum
    0.20204
  • Mean of quarter 1
    0.00445
  • Mean of quarter 2
    0.01063
  • Mean of quarter 3
    0.04837
  • Mean of quarter 4
    0.18004
  • Inter Quartile Range
    0.04515
  • 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
    0.22222
  • Mean of outliers high
    0.18004
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -49.05970
  • VaR(95%) (moments method)
    0.11727
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.27137
  • VaR(95%) (regression method)
    0.28272
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.28551
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318289000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.09680
  • Compounded annual return (geometric extrapolation)
    8.29274
  • Calmar ratio (compounded annual return / max draw down)
    41.04540
  • Compounded annual return / average of 25% largest draw downs
    46.06140
  • Compounded annual return / Expected Shortfall lognormal
    80.13420

Strategy Description

(1) Trade options on stocks with very high momentum
(2) Buy Cheap options costing $1200 to $1600 per position
(3) maintain risk management via position sizing, not via stops
(4) hold a max of 10 positions risking 10% of account size from the point of reset
(5) reset ( sell all ) positions when one of the positions attains the profit target, typical profit target is 10x
(6) stay out of the market during down trends

Summary Statistics

Strategy began
2020-10-09
Suggested Minimum Capital
$80,000
# Trades
98
# Profitable
30
% Profitable
30.6%
Net Dividends
Correlation S&P500
-0.075
Sharpe Ratio
1.38
Sortino Ratio
6.46
Beta
-0.57
Alpha
0.56
Leverage
4.00 Average
14.72 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

AGM - Access to Global Markets calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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