Collective2 Collective2
Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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Spy options

By SkyCapital

Options · Started Nov 2007

hypothetical · Annual Return (Compounded)
-15.3%
Max Drawdown
—
Trades
370
Win Trades
51.6%
Profit Factor
0.90
Win Months
3.1%

About this strategy

Usually initiate starting positions between 5-20% of equity and add to the position if necessary.

Spy options is recommended to be part of a portfolio of securities(not to be used as 100% of trading capital)

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2007-6.925.617.0
200816.114.820.3-25.0-54.471.57.2-50.6282.7-7.7-18.7-18.316.7
2009-55.7-83.1-312.2-86.2-43.3-1.7-47.2-12.0-3.5-12.8-7.0-0.7-166.7
2010-0.7-0.7-6.5-14.2-16.9-0.7-3.2-21.0-44.1-4.00.0-0.0
20110.0-0.40.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.0-0.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began11/8/2007
Suggested Minimum Capital$10,000
Age230 months
What it tradesOptions
# Trades370
# Profitable191
% Profitable51.6%
Avg trade duration1.5 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)-7.0%
Avg win$593
Avg loss$675

Ratios

W:L ratio0.94
Sharpe Ratio0.18
Sortino Ratio0.43
Calmar Ratio-0.21

CORRELATION STATISTICS

Correlation to SP500-0.05
Return Percent SP500 (cumu) during strategy life417.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-88.8%

Return Statistics

Ann Return (w trading costs)-15.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-7.0%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options1.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)73.9%
Chance of 90% account loss (Monte Carlo)33.3%
Chance of 100% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$675
Avg Win$593
# Winners191
Sum Trade PL (losers)$120,770
Sum Trade PL (winners)$113,319
Num Months Winners7
# Losers179
% Winners51.6%

Dividends

Dividends Received in Model Acct13

Age

Num Months filled monthly returns table17

Frequency

Avg Position Time (mins)2101.48
Avg Position Time (hrs)35.03
Avg Trade Length1.50
Last Trade Ago5812

Regression

Alpha0
Beta-0.32
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.10
MAE:Equity, 95th Percentile Value for this strat1.05
MAE:Equity, average, losing trades0.13
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.06
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-12.68
MAE:PL (avg, all trades)-0.26
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats27.86
MAE:PL - Winning Trades - this strat Percentile of All Strats29.62
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.76
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio-0.08

RATIO STATISTICS

a (intercept, estimate of alpha)4.05
VAR (95 Confidence Intrvl)0.21

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)566
Last 4 Months - Pcnt Negative1.0%

Trading record

Placed 510 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SPY1016V102 long27Sep 1, 2010Oct 17, 2010($3,646)
SPY1018U109 long10Jul 28, 2010Aug 25, 2010$2,176
SPY1017G104 long10Jul 6, 2010Jul 7, 2010$326
SPY1022Q106 short2May 20, 2010May 23, 2010$85
SPY1022Q110 long40Mar 25, 2010May 5, 2010$34
SWGWA long10Oct 27, 2009Nov 3, 2009$916
SZCVG long10Jul 21, 2009Oct 18, 2009($1,837)
SZCTH long15Jun 30, 2009Aug 23, 2009($2,486)
SZCTH long10Jun 12, 2009Jun 23, 2009$966
SZCRG long10May 5, 2009Jun 21, 2009($2,357)
SZCPR long40Mar 16, 2009Apr 19, 2009($4,128)
SZCDW long10Mar 12, 2009Mar 12, 2009$1,236
SZCCR long30Mar 5, 2009Mar 5, 2009($882)
SZCCW long20Mar 3, 2009Mar 3, 2009$12
SZCCW long20Mar 3, 2009Mar 3, 2009($488)
SZCCX long20Mar 2, 2009Mar 2, 2009($388)
SZCOR long15Mar 2, 2009Mar 2, 2009$99
SZCCX long30Mar 2, 2009Mar 2, 2009($582)
SZCCY long30Feb 26, 2009Feb 27, 2009($4,562)
SZCCY long20Feb 25, 2009Feb 26, 2009$422
SZCCY long30Feb 23, 2009Feb 23, 2009($1,352)
SZCOW long20Feb 19, 2009Feb 19, 2009$292
SZCOW long20Feb 19, 2009Feb 19, 2009$252
SZCCF long25Feb 18, 2009Feb 18, 2009($135)
SZCOB long15Feb 13, 2009Feb 13, 2009$579
SZCBG long25Feb 10, 2009Feb 10, 2009($910)
SZCBJ long20Feb 9, 2009Feb 9, 2009$172
SZCNG long20Feb 6, 2009Feb 6, 2009$292
SZCOB long10Feb 5, 2009Feb 5, 2009$116
SZCBG long20Feb 4, 2009Feb 4, 2009($48)

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.