Options in the Green
- hypothetical · Annual Return (Compounded)
- 7.1%
- Max Drawdown
- 74.0%
- Trades
- 62
- Win Trades
- 87.1%
- Profit Factor
- 1.50
- Win Months
- 10.8%
About this strategy
Jan 06: +$3,650 100% winning trades
Feb 06: +$2,930 100% winning trades
Mar 06: +$2,010 1 losing trade
Apr 06: +$2,210 100% winning trades
May 06: -$2,500 so far
June 06: catastrophe
Feb 06: +$2,930 100% winning trades
Mar 06: +$2,010 1 losing trade
Apr 06: +$2,210 100% winning trades
May 06: -$2,500 so far
June 06: catastrophe
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | -0.1 | 9.9 | 21.1 | 1.3 | -16.0 | 13.3 | |||||||
| 2006 | 6.1 | 2.0 | 2.3 | 0.1 | -4.8 | -38.6 | -8.9 | 133.4 | -0.6 | -0.9 | 0.3 | -3.2 | 31.7 |
| 2007 | -0.3 | -0.4 | -1.4 | -0.7 | -0.7 | 0.0 | 0.0 | 0.0 | 0.4 | -0.4 | 0.7 | -1.4 | -4.0 |
| 2008 | -0.7 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.4 |
| 2009 | -0.7 | 0.0 | 0.0 | 0.0 | 0.7 | -0.7 | 1.4 | 0.7 | -0.7 | -0.7 | 0.0 | 0.0 | 0.1 |
| 2010 | -0.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.6 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||
| 2024 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 8/25/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 256 months |
| What it trades | Options |
| # Trades | 62 |
| # Profitable | 54 |
| % Profitable | 87.1% |
| Avg trade duration | 122.6 days |
| Max peak-to-valley drawdown | 74.0% |
| drawdown period | Nov 21, 2005 - Aug 15, 2006 |
| Annual return (compounded) | 1.9% |
| Avg win | $2,791 |
| Avg loss | $12,712 |
Ratios
| W:L ratio | 1.48 |
|---|---|
| Sharpe Ratio | 0.15 |
| Sortino Ratio | 0.37 |
| Calmar Ratio | -0.01 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 531.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 8.2% |
Return Statistics
| Ann Return (w trading costs) | 7.1% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.9% |
Slump
| Current Slump as Pcnt Equity | 13.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.9% |
| Percent Trades Stocks | 0.1% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $12,712 |
|---|---|
| Avg Win | $2,791 |
| # Winners | 54 |
| Sum Trade PL (losers) | $101,695 |
| Sum Trade PL (winners) | $150,717 |
| Num Months Winners | 25 |
| # Losers | 8 |
| % Winners | 87.1% |
Dividends
| Dividends Received in Model Acct | 209 |
|---|
Age
| Num Months filled monthly returns table | 147 |
|---|
Frequency
| Avg Position Time (mins) | 176481.09 |
|---|---|
| Avg Position Time (hrs) | 2941.35 |
| Avg Trade Length | 122.60 |
| Last Trade Ago | 7324 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | 0 |
| Treynor Index | 40.49 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.07 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.13 |
| MAE:Equity, average, losing trades | 0.15 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.05 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 5.14 |
| MAE:PL (avg, all trades) | 3.85 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 12.73 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 89.17 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.57 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.08 |
| Hold-and-Hope Ratio | 0.06 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.29 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.09 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 267 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 9 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| OEYIA | long | 100 | Aug 25, 2006 | Aug 28, 2006 | $9,860 |
| OEBHS | long | 150 | Aug 7, 2006 | Aug 19, 2006 | $62,895 |
| OEBHQ | long | 20 | Aug 1, 2006 | Aug 19, 2006 | $19,386 |
| OEBTP | long | 5 | Jun 13, 2006 | Aug 7, 2006 | ($9,407) |
| OEBSN | long | 7 | Jun 13, 2006 | Jul 22, 2006 | ($9,245) |
| OEBFR | long | 1140 | May 23, 2006 | Jun 17, 2006 | ($34,098) |
| OEBEO | long | 20 | May 18, 2006 | May 19, 2006 | ($4,528) |
| OEBES | long | 10 | May 16, 2006 | May 16, 2006 | $36 |
| OEYQT | long | 10 | May 11, 2006 | May 11, 2006 | $1,986 |
| OEYET | long | 8 | Apr 26, 2006 | Apr 27, 2006 | $589 |
| OEBDR | long | 40 | Apr 7, 2006 | Apr 18, 2006 | $724 |
| OEBPR | long | 10 | Apr 5, 2006 | Apr 6, 2006 | $596 |
| OEBDR | long | 6 | Apr 3, 2006 | Apr 3, 2006 | $412 |
| OEBPS | long | 10 | Mar 31, 2006 | Mar 31, 2006 | $686 |
| OEBPS | long | 12 | Mar 29, 2006 | Mar 30, 2006 | $1,183 |
| OEBPS | long | 4 | Mar 21, 2006 | Mar 28, 2006 | $34 |
| OEBCQ | long | 8 | Mar 6, 2006 | Mar 14, 2006 | $49 |
| OEBCP | long | 10 | Feb 28, 2006 | Mar 1, 2006 | $536 |
| OEBNP | long | 3 | Feb 14, 2006 | Feb 15, 2006 | $26 |
| OEBBO | long | 5 | Feb 13, 2006 | Feb 14, 2006 | $543 |
| OEBNP | long | 10 | Feb 9, 2006 | Feb 9, 2006 | $1,886 |
| OEBNO | long | 5 | Feb 3, 2006 | Feb 3, 2006 | $443 |
| OEBNO | long | 10 | Jan 30, 2006 | Jan 31, 2006 | $536 |
| OEBBP | long | 20 | Jan 25, 2006 | Jan 27, 2006 | $2,972 |
| OEBMP | long | 10 | Jan 5, 2006 | Jan 20, 2006 | $86 |
| XSPAU | long | 20 | Dec 27, 2005 | Jan 4, 2006 | $972 |
| XSPAW | long | 20 | Dec 21, 2005 | Dec 27, 2005 | $72 |
| RZDLO | long | 10 | Dec 19, 2005 | Dec 21, 2005 | $986 |
| OEBLQ | long | 200 | Nov 29, 2005 | Dec 17, 2005 | ($21,740) |
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.