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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Index Spreads
(29396333)

Created by: DS_Capital_Trading DS_Capital_Trading
Started: 11/2007
Options
Last trade: 3,499 days ago

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 $99.00 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.

1.7%
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.

(64.2%)
Max Drawdown
199
Num Trades
43.7%
Win Trades
1.2 : 1
Profit Factor
27.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                                      +0.1%+5.4%+5.5%
2008+1.1%+4.5%+6.2%+5.1%+6.1%(2.7%)+5.0%+2.1%+1.6%(17.9%)+0.7%+2.2%+12.0%
2009+0.1%+2.2%+7.9%+2.4%+4.4%+8.0%(13.6%)(0.8%)+6.9%+2.1%+7.6%+2.3%+31.3%
2010(3.6%)+9.3%(12.9%)(7.4%)+5.7%+0.9%+11.2%+2.9%(1.9%)(6.4%)+5.2%(2%)(1.9%)
2011(12.9%)(2.1%)(0.7%)+2.3%+16.2%+0.4%+6.5%(11%)+8.2%(4.8%)+12.8%+8.6%+20.8%
2012+3.6%(2%)+3.3%+6.4%+2.8%+6.0%+6.5%+5.8%+2.3%+2.4%+4.6%+6.1%+58.9%
2013(4.4%)(6.3%)(7.5%)(14.8%)(14.2%)+13.4%(39.5%)(3%)+7.9%+6.7%(8.3%)+15.1%(51.1%)
2014(2.2%)+1.7%+12.2%+15.5%+2.5%(4.9%)(0.7%)(18.8%)+37.6%(40%)(17.4%)  -  (30.9%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -                                      0.0

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 41 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4013 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/14 10:22 SPY1422K211 SPY Nov22'14 211 call LONG 50 0.04 11/23 10:01 0.00 0.79%
Trade id #90628091
Max drawdown($200)
Time11/23/14 10:01
Quant open0
Worst price0.00
Drawdown as % of equity-0.79%
($235)
Includes Typical Broker Commissions trade costs of $35.00
11/5/14 10:24 SPY1422K206 SPY Nov22'14 206 call SHORT 50 0.44 11/21 15:38 0.76 23.41%
Trade id #90628143
Max drawdown($6,550)
Time11/21/14 9:31
Quant open-50
Worst price1.75
Drawdown as % of equity-23.41%
($1,670)
Includes Typical Broker Commissions trade costs of $70.00
10/10/14 9:38 SPY1424V186 SPY Oct24'14 186 put SHORT 40 0.91 10/25 9:01 0.00 63.59%
Trade id #90185516
Max drawdown($18,960)
Time10/15/14 13:28
Quant open-40
Worst price5.65
Drawdown as % of equity-63.59%
$3,612
Includes Typical Broker Commissions trade costs of $28.00
10/10/14 9:38 SPY1424V181 SPY Oct24'14 181 put LONG 40 0.48 10/25 9:01 0.00 3.18%
Trade id #90185468
Max drawdown($1,920)
Time10/25/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-3.18%
($1,948)
Includes Typical Broker Commissions trade costs of $28.00
10/19/14 9:04 SPY SPDR S&P 500 LONG 4,000 191.00 10/20 9:30 188.13 45.61%
Trade id #90325051
Max drawdown($11,720)
Time10/20/14 9:31
Quant open4,000
Worst price188.07
Drawdown as % of equity-45.61%
($11,485)
Includes Typical Broker Commissions trade costs of $5.00
9/25/14 10:47 SPY1418V191 SPY Oct18'14 191 put SHORT 40 1.15 10/19 9:04 0.00 106.65%
Trade id #89898910
Max drawdown($31,800)
Time10/15/14 13:29
Quant open-40
Worst price9.10
Drawdown as % of equity-106.65%
$4,572
Includes Typical Broker Commissions trade costs of $28.00
9/25/14 10:46 SPY1418V186 SPY Oct18'14 186 put LONG 40 0.60 10/19 9:04 0.00 9.4%
Trade id #89898893
Max drawdown($2,400)
Time10/19/14 9:04
Quant open0
Worst price0.00
Drawdown as % of equity-9.40%
($2,428)
Includes Typical Broker Commissions trade costs of $28.00
8/18/14 9:35 SPY1412I200 SPY Sep12'14 200 call SHORT 35 0.54 9/13 9:01 0.00 18.21%
Trade id #89126225
Max drawdown($5,460)
Time9/4/14 11:04
Quant open-35
Worst price2.10
Drawdown as % of equity-18.21%
$1,866
Includes Typical Broker Commissions trade costs of $24.50
8/18/14 9:34 SPY1412I205 SPY Sep12'14 205 call LONG 35 0.03 9/13 9:01 0.00 0.3%
Trade id #89126218
Max drawdown($105)
Time9/13/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-0.30%
($130)
Includes Typical Broker Commissions trade costs of $24.50
8/6/14 15:36 SPY1422T181 SPY Aug22'14 181 put LONG 30 0.40 8/23 9:02 0.00 3.89%
Trade id #88956879
Max drawdown($1,200)
Time8/23/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-3.89%
($1,221)
Includes Typical Broker Commissions trade costs of $21.00
8/6/14 15:37 SPY1422T186 SPY Aug22'14 186 put SHORT 30 0.84 8/23 9:02 0.00 2.87%
Trade id #88956885
Max drawdown($900)
Time8/7/14 15:26
Quant open-30
Worst price1.14
Drawdown as % of equity-2.87%
$2,499
Includes Typical Broker Commissions trade costs of $21.00
7/22/14 9:33 SPY1416H205 SPY Aug16'14 205 call LONG 30 0.04 8/17 9:05 0.00 0.37%
Trade id #88691427
Max drawdown($120)
Time8/17/14 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.37%
($141)
Includes Typical Broker Commissions trade costs of $21.00
7/22/14 9:33 SPY1416H200 SPY Aug16'14 200 call SHORT 30 0.86 8/17 9:05 0.00 3.75%
Trade id #88691450
Max drawdown($1,200)
Time7/24/14 11:35
Quant open-30
Worst price1.26
Drawdown as % of equity-3.75%
$2,559
Includes Typical Broker Commissions trade costs of $21.00
7/29/14 12:02 SPY1416T188 SPY Aug16'14 188 put LONG 30 0.26 8/6 15:35 0.68 0.27%
Trade id #88810812
Max drawdown($90)
Time7/29/14 12:37
Quant open30
Worst price0.23
Drawdown as % of equity-0.27%
$1,218
Includes Typical Broker Commissions trade costs of $42.00
7/29/14 12:03 SPY1416T193 SPY Aug16'14 193 put SHORT 30 0.63 8/6 15:35 2.25 21.98%
Trade id #88810866
Max drawdown($7,170)
Time8/1/14 11:58
Quant open-30
Worst price3.02
Drawdown as % of equity-21.98%
($4,902)
Includes Typical Broker Commissions trade costs of $42.00
6/23/14 10:59 SPY1419G204 SPY Jul19'14 204 call LONG 30 0.05 7/20 9:02 0.00 0.46%
Trade id #88233074
Max drawdown($150)
Time7/20/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.46%
($171)
Includes Typical Broker Commissions trade costs of $21.00
6/23/14 11:00 SPY1419G199 SPY Jul19'14 199 call SHORT 30 0.44 7/20 9:02 0.00 3.4%
Trade id #88233087
Max drawdown($1,050)
Time7/3/14 12:28
Quant open-30
Worst price0.79
Drawdown as % of equity-3.40%
$1,299
Includes Typical Broker Commissions trade costs of $21.00
5/27/14 15:31 SPY1421F200 SPY Jun21'14 200 call LONG 33 0.05 6/22 9:05 0.00 0.52%
Trade id #87783797
Max drawdown($165)
Time6/22/14 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.52%
($188)
Includes Typical Broker Commissions trade costs of $23.10
5/27/14 15:31 SPY1421F195 SPY Jun21'14 195 call SHORT 33 0.41 6/20 15:21 0.87 26.07%
Trade id #87783814
Max drawdown($7,887)
Time6/19/14 16:01
Quant open-33
Worst price2.80
Drawdown as % of equity-26.07%
($1,564)
Includes Typical Broker Commissions trade costs of $46.20
4/8/14 10:43 SPY1417Q169 SPY May17'14 169 put LONG 30 0.49 5/18 9:07 0.00 4.42%
Trade id #86925203
Max drawdown($1,470)
Time5/18/14 9:07
Quant open0
Worst price0.00
Drawdown as % of equity-4.42%
($1,491)
Includes Typical Broker Commissions trade costs of $21.00
4/8/14 10:45 SPY1417Q174 SPY May17'14 174 put SHORT 30 0.88 5/18 9:07 0.00 3.77%
Trade id #86925275
Max drawdown($1,140)
Time4/15/14 12:59
Quant open-30
Worst price1.26
Drawdown as % of equity-3.77%
$2,619
Includes Typical Broker Commissions trade costs of $21.00
4/22/14 11:36 SPY1417E192 SPY May17'14 192 call SHORT 30 0.53 5/18 9:00 0.00 0.86%
Trade id #87173232
Max drawdown($270)
Time4/22/14 13:40
Quant open-30
Worst price0.62
Drawdown as % of equity-0.86%
$1,569
Includes Typical Broker Commissions trade costs of $21.00
4/22/14 11:35 SPY1417E197 SPY May17'14 197 call LONG 30 0.06 5/18 9:00 0.00 0.54%
Trade id #87173162
Max drawdown($180)
Time5/18/14 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-0.54%
($201)
Includes Typical Broker Commissions trade costs of $21.00
4/2/14 9:38 SPY1419D191 SPY Apr19'14 191 call SHORT 29 0.50 4/20 9:07 0.00 3.9%
Trade id #86818532
Max drawdown($1,131)
Time4/4/14 9:31
Quant open-29
Worst price0.89
Drawdown as % of equity-3.90%
$1,430
Includes Typical Broker Commissions trade costs of $20.30
4/2/14 9:37 SPY1419D196 SPY Apr19'14 196 call LONG 29 0.05 4/20 9:07 0.00 0.46%
Trade id #86818488
Max drawdown($145)
Time4/20/14 9:07
Quant open0
Worst price0.00
Drawdown as % of equity-0.46%
($165)
Includes Typical Broker Commissions trade costs of $20.30
2/20/14 13:42 SPY1422C189 SPY Mar22'14 189 call SHORT 27 0.49 3/23 9:07 0.00 10.57%
Trade id #86086714
Max drawdown($2,781)
Time3/7/14 9:31
Quant open-27
Worst price1.52
Drawdown as % of equity-10.57%
$1,304
Includes Typical Broker Commissions trade costs of $18.90
2/20/14 13:41 SPY1422C194 SPY Mar22'14 194 call LONG 27 0.08 3/23 9:07 0.00 0.73%
Trade id #86086693
Max drawdown($216)
Time3/23/14 9:07
Quant open0
Worst price0.00
Drawdown as % of equity-0.73%
($235)
Includes Typical Broker Commissions trade costs of $18.90
1/24/14 11:30 SPY1422N172 SPY Feb22'14 172 put SHORT 26 0.96 2/23 9:01 0.00 13.13%
Trade id #85364632
Max drawdown($3,562)
Time2/3/14 15:53
Quant open-26
Worst price2.33
Drawdown as % of equity-13.13%
$2,478
Includes Typical Broker Commissions trade costs of $18.20
1/24/14 11:28 SPY1422N167 SPY Feb22'14 167 put LONG 26 0.56 2/23 9:01 0.00 5.09%
Trade id #85364485
Max drawdown($1,456)
Time2/23/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-5.09%
($1,474)
Includes Typical Broker Commissions trade costs of $18.20
11/4/13 9:51 SPY1321L188 SPY Dec21'13 188 call LONG 26 0.12 12/22 9:11 0.00 1.14%
Trade id #83870060
Max drawdown($312)
Time12/22/13 9:11
Quant open0
Worst price0.00
Drawdown as % of equity-1.14%
($330)
Includes Typical Broker Commissions trade costs of $18.20

Statistics

  • Strategy began
    11/28/2007
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    6048.09
  • Age
    202 months ago
  • What it trades
    Options
  • # Trades
    199
  • # Profitable
    87
  • % Profitable
    43.70%
  • Avg trade duration
    26.7 days
  • Max peak-to-valley drawdown
    64.19%
  • drawdown period
    Jan 09, 2013 - Oct 17, 2014
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $1,323
  • Avg loss
    $890.96
  • Model Account Values (Raw)
  • Cash
    $25,377
  • Margin Used
    $0
  • Buying Power
    $25,377
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.02
  • Calmar Ratio
    0.073
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.10%
  • Correlation to SP500
    0.03200
  • Return Percent SP500 (cumu) during strategy life
    271.99%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    216.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.017%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    623
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $891
  • Avg Win
    $1,324
  • Sum Trade PL (losers)
    $99,787.000
  • Age
  • Num Months filled monthly returns table
    200
  • Win / Loss
  • Sum Trade PL (winners)
    $115,164.000
  • # Winners
    87
  • Num Months Winners
    55
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    112
  • % Winners
    43.7%
  • Frequency
  • Avg Position Time (mins)
    38518.50
  • Avg Position Time (hrs)
    641.98
  • Avg Trade Length
    26.7 days
  • Last Trade Ago
    3496
  • Regression
  • Alpha
    0.00
  • Beta
    0.04
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.09
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.24
  • MAE:Equity, average, winning trades
    0.10
  • MAE:Equity, average, losing trades
    0.09
  • Avg(MAE) / Avg(PL) - All trades
    17.911
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.128
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.312
  • Hold-and-Hope Ratio
    0.053
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11903
  • SD
    0.20843
  • Sharpe ratio (Glass type estimate)
    0.57109
  • Sharpe ratio (Hedges UMVUE)
    0.56700
  • df
    105.00000
  • t
    1.69734
  • p
    0.39643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23090
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74746
  • Upside Potential Ratio
    1.93844
  • Upside part of mean
    0.30870
  • Downside part of mean
    -0.18967
  • Upside SD
    0.13731
  • Downside SD
    0.15925
  • N nonnegative terms
    60.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.05613
  • Mean of criterion
    0.11903
  • SD of predictor
    0.15122
  • SD of criterion
    0.20843
  • Covariance
    -0.00131
  • r
    -0.04151
  • b (slope, estimate of beta)
    -0.05721
  • a (intercept, estimate of alpha)
    0.12225
  • Mean Square Error
    0.04379
  • DF error
    104.00000
  • t(b)
    -0.42365
  • p(b)
    0.52075
  • t(a)
    1.72633
  • p(a)
    0.41655
  • Lowerbound of 95% confidence interval for beta
    -0.32499
  • Upperbound of 95% confidence interval for beta
    0.21057
  • Lowerbound of 95% confidence interval for alpha
    -0.01818
  • Upperbound of 95% confidence interval for alpha
    0.26267
  • Treynor index (mean / b)
    -2.08071
  • Jensen alpha (a)
    0.12225
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09548
  • SD
    0.21965
  • Sharpe ratio (Glass type estimate)
    0.43467
  • Sharpe ratio (Hedges UMVUE)
    0.43156
  • df
    105.00000
  • t
    1.29187
  • p
    0.42058
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22841
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23048
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09359
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.54220
  • Upside Potential Ratio
    1.70066
  • Upside part of mean
    0.29946
  • Downside part of mean
    -0.20399
  • Upside SD
    0.13246
  • Downside SD
    0.17609
  • N nonnegative terms
    60.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.04434
  • Mean of criterion
    0.09548
  • SD of predictor
    0.15462
  • SD of criterion
    0.21965
  • Covariance
    -0.00098
  • r
    -0.02879
  • b (slope, estimate of beta)
    -0.04089
  • a (intercept, estimate of alpha)
    0.09729
  • Mean Square Error
    0.04867
  • DF error
    104.00000
  • t(b)
    -0.29369
  • p(b)
    0.51439
  • t(a)
    1.30615
  • p(a)
    0.43648
  • Lowerbound of 95% confidence interval for beta
    -0.31701
  • Upperbound of 95% confidence interval for beta
    0.23522
  • Lowerbound of 95% confidence interval for alpha
    -0.05042
  • Upperbound of 95% confidence interval for alpha
    0.24499
  • Treynor index (mean / b)
    -2.33471
  • Jensen alpha (a)
    0.09729
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09185
  • Expected Shortfall on VaR
    0.11535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03206
  • Expected Shortfall on VaR
    0.07234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    106.00000
  • Minimum
    0.75539
  • Quartile 1
    1.00000
  • Median
    1.01524
  • Quartile 3
    1.04546
  • Maximum
    1.12689
  • Mean of quarter 1
    0.93936
  • Mean of quarter 2
    1.00184
  • Mean of quarter 3
    1.03226
  • Mean of quarter 4
    1.07000
  • Inter Quartile Range
    0.04546
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.07547
  • Mean of outliers low
    0.85394
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00943
  • Mean of outliers high
    1.12689
  • 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)
    -0.06304
  • VaR(95%) (regression method)
    0.07361
  • Expected Shortfall (regression method)
    0.11637
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00846
  • Quartile 1
    0.05806
  • Median
    0.12217
  • Quartile 3
    0.13946
  • Maximum
    0.39269
  • Mean of quarter 1
    0.01836
  • Mean of quarter 2
    0.08968
  • Mean of quarter 3
    0.13304
  • Mean of quarter 4
    0.27561
  • Inter Quartile Range
    0.08140
  • 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
    0.12500
  • Mean of outliers high
    0.39269
  • 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)
    0.17408
  • Compounded annual return (geometric extrapolation)
    0.11118
  • Calmar ratio (compounded annual return / max draw down)
    0.28313
  • Compounded annual return / average of 25% largest draw downs
    0.40340
  • Compounded annual return / Expected Shortfall lognormal
    0.96389
  • 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
    0.11398
  • SD
    0.19390
  • Sharpe ratio (Glass type estimate)
    0.58783
  • Sharpe ratio (Hedges UMVUE)
    0.58768
  • df
    3050.00000
  • t
    1.75062
  • p
    0.04006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07051
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24597
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79505
  • Upside Potential Ratio
    6.24267
  • Upside part of mean
    0.89498
  • Downside part of mean
    -0.78100
  • Upside SD
    0.13065
  • Downside SD
    0.14336
  • N nonnegative terms
    1003.00000
  • N negative terms
    2048.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3051.00000
  • Mean of predictor
    0.06702
  • Mean of criterion
    0.11398
  • SD of predictor
    0.21695
  • SD of criterion
    0.19390
  • Covariance
    0.00258
  • r
    0.06126
  • b (slope, estimate of beta)
    0.05475
  • a (intercept, estimate of alpha)
    0.09400
  • Mean Square Error
    0.03747
  • DF error
    3049.00000
  • t(b)
    3.38884
  • p(b)
    0.00036
  • t(a)
    1.69694
  • p(a)
    0.04491
  • Lowerbound of 95% confidence interval for beta
    0.02307
  • Upperbound of 95% confidence interval for beta
    0.08643
  • Lowerbound of 95% confidence interval for alpha
    -0.01715
  • Upperbound of 95% confidence interval for alpha
    0.23777
  • Treynor index (mean / b)
    2.08190
  • Jensen alpha (a)
    0.11031
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09505
  • SD
    0.19488
  • Sharpe ratio (Glass type estimate)
    0.48773
  • Sharpe ratio (Hedges UMVUE)
    0.48761
  • df
    3050.00000
  • t
    1.45252
  • p
    0.07323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14585
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64858
  • Upside Potential Ratio
    6.04986
  • Upside part of mean
    0.88661
  • Downside part of mean
    -0.79156
  • Upside SD
    0.12851
  • Downside SD
    0.14655
  • N nonnegative terms
    1003.00000
  • N negative terms
    2048.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3051.00000
  • Mean of predictor
    0.04345
  • Mean of criterion
    0.09505
  • SD of predictor
    0.21724
  • SD of criterion
    0.19488
  • Covariance
    0.00262
  • r
    0.06187
  • b (slope, estimate of beta)
    0.05550
  • a (intercept, estimate of alpha)
    0.09264
  • Mean Square Error
    0.03785
  • DF error
    3049.00000
  • t(b)
    3.42287
  • p(b)
    0.00031
  • t(a)
    1.41806
  • p(a)
    0.07814
  • Lowerbound of 95% confidence interval for beta
    0.02371
  • Upperbound of 95% confidence interval for beta
    0.08730
  • Lowerbound of 95% confidence interval for alpha
    -0.03545
  • Upperbound of 95% confidence interval for alpha
    0.22073
  • Treynor index (mean / b)
    1.71254
  • Jensen alpha (a)
    0.09264
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01686
  • Expected Shortfall on VaR
    0.02116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00615
  • Expected Shortfall on VaR
    0.01351
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3051.00000
  • Minimum
    0.91291
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00172
  • Maximum
    1.10404
  • Mean of quarter 1
    0.99100
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00028
  • Mean of quarter 4
    1.01017
  • Inter Quartile Range
    0.00172
  • Number outliers low
    446.00000
  • Percentage of outliers low
    0.14618
  • Mean of outliers low
    0.98517
  • Number of outliers high
    531.00000
  • Percentage of outliers high
    0.17404
  • Mean of outliers high
    1.01329
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55139
  • VaR(95%) (moments method)
    0.00475
  • Expected Shortfall (moments method)
    0.01385
  • 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
    107.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00261
  • Median
    0.01088
  • Quartile 3
    0.02248
  • Maximum
    0.41107
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00662
  • Mean of quarter 3
    0.01644
  • Mean of quarter 4
    0.08524
  • Inter Quartile Range
    0.01987
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.11215
  • Mean of outliers high
    0.14764
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64625
  • VaR(95%) (moments method)
    0.08641
  • Expected Shortfall (moments method)
    0.26776
  • Extreme Value Index (regression method)
    0.21354
  • VaR(95%) (regression method)
    0.07787
  • Expected Shortfall (regression method)
    0.12921
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17338
  • Compounded annual return (geometric extrapolation)
    0.11071
  • Calmar ratio (compounded annual return / max draw down)
    0.26932
  • Compounded annual return / average of 25% largest draw downs
    1.29884
  • Compounded annual return / Expected Shortfall lognormal
    5.23145
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16182
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.07603
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15892
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.07584
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22120900000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -22616499999999997391072783237120.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    646
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description



Thank you for looking at my trading plan. I have been trading options for over 15 years and have a positive track record for multiple years on Collective 2.

**System parameters were changed, after 2013, to trade with prevailing market direction. With new parameters, 2013 would have had less but more profitable trades and a positive year overall.

Index Spreads is a very simple system with a goal of making 8-16% return on investment per month. The overall goal is to make 60% per year on capital invested (on average). These are only goals and no performance can be guaranteed.

This system sells a call or put spread on the SPY etf when the S&P 500 is overbought or oversold. To determine this, I use a tool that I have customized to work with the parameters of this strategy. I will use this tool roughly 90% of the time, the other 10% being discretionary.

Most brokers only charge for 1 side of an iron condor. It is (obviously) an individual's choice on how much capital to allocate per spread. Everyone�s account and circumstances are different, but it is wise to have some reserve capital for the occasional adjustment of a position.


Here is what I provide with each subscription:
**Exact strikes and credit objective per trade.
**A vested interest in the system's performance- I trade this system in my personal accounts.
**Quick and clear communication to questions.
**Briefing at the end of expiration detailing the past month and what we will be looking forward to in the upcoming weeks.

For more information or if you have any questions, feel free to contact me.

NOTE: You will be able to make significantly better after-commision returns than those reflected here on Collective 2 if you use a discount options broker.

Thanks,
Dave

Summary Statistics

Strategy began
2007-11-28
Suggested Minimum Capital
$10,000
# Trades
199
# Profitable
87
% Profitable
43.7%
Correlation S&P500
0.032
Sharpe Ratio
0.01
Sortino Ratio
0.02
Beta
0.04
Alpha
0.00

Latest Activity

#PERSONNAME#
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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