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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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Sapient Options Portfolio

By BullsAndBears

Stocks, Options · Started Dec 2010

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
100.0%
Trades
231
Win Trades
46.8%
Profit Factor
0.90
Win Months
0.5%

About this strategy

Sapient has been established to guide the subscriber through the very profitable world of professional options trading.

This is a unique opportunity to "ride along" with a professional options trader. Historically this world has been a closed door to the public. There are many reasons, but the most obvious is because there has never been vested interest to share. This venue allows me to earn while educating. Although I have faith in the system itself, an added bonus for the subscriber is a different view into the way options work and a way to take advantage of the inherent opportunities. Sapient gives the subscriber base a framework in which to build.

I imagine a developing community around this framework. Specific stock thesis can be modeled into the portfolio. Great ideas will be implemented using options strategies.

Enjoy the ride and happy trading!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010123.2123.2
2011-73.6-138.3-7.4-6.9-6.4-6.00.00.00.00.00.00.0-113.1
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
20150.00.00.00.00.00.00.00.00.00.00.00.0
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
20200.00.00.00.0-31.9-3.5-0.00.00.00.00.00.0
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 began12/1/2010
Suggested Minimum Capital$50,000
Age192 months
What it tradesStocks, Options
# Trades231
# Profitable108
% Profitable46.8%
Avg trade duration3.4 days
Max peak-to-valley drawdown100.0%
drawdown periodFeb 17, 2011 - Feb 22, 2011
Annual Return (Compounded)0.0%
Avg win$2,904
Avg loss$2,793

Ratios

W:L ratio0.91
Sharpe Ratio-0.30
Sortino Ratio-0.43
Calmar Ratio-0.25

CORRELATION STATISTICS

Correlation to SP5000.33
Return Percent SP500 (cumu) during strategy life526.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-674.8%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-5.6%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.3%
Percent Trades Stocks0.7%

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)100.0%
Chance of 90% account loss (Monte Carlo)100.0%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,793
Avg Win$2,904
# Winners108
Sum Trade PL (losers)$343,527
Sum Trade PL (winners)$313,619
Num Months Winners1
# Losers123
% Winners46.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table3

Frequency

Avg Position Time (mins)4956.32
Avg Position Time (hrs)82.61
Avg Trade Length3.40
Last Trade Ago2256

Regression

Alpha0
Beta17.49
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-5.62
MAE:PL (avg, all trades)-0.58
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats14.54
MAE:PL - Winning Trades - this strat Percentile of All Strats10.31
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.21
Avg(MAE) / Avg(PL) - Losing trades-1.05
Hold-and-Hope Ratio-0.18

RATIO STATISTICS

Mean0.06
SD0.90
Sharpe ratio (Glass type estimate)0.07
Sharpe ratio (Hedges UMVUE)0.07
df43
t0.13
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio-0.96
Upperbound of 95% confidence interval for Sharpe Ratio1.09
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.96
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09
Sortino ratio0.15
Upside Potential Ratio0.98
Upside part of mean0.41
Downside part of mean-0.35
Upside SD0.79
Downside SD0.42
N nonnegative terms41
N negative terms3
N of observations44
Mean of predictor0.54
Mean of criterion0.06
SD of predictor0.27
SD of criterion0.90
Covariance0.01
r0.04
b (slope, estimate of beta)0.14
a (intercept, estimate of alpha)-0.01
Mean Square Error0.83
DF error42
t(b)0.28
p(b)0.39
t(a)-0.03
p(a)0.51
Lowerbound of 95% confidence interval for beta-0.90
Upperbound of 95% confidence interval for beta1.18
Lowerbound of 95% confidence interval for alpha-1.13
Upperbound of 95% confidence interval for alpha1.10
Treynor index (mean / b)0.44
Jensen alpha (a)-0.01
Mean-0.25
SD0.80
Sharpe ratio (Glass type estimate)-0.31
Sharpe ratio (Hedges UMVUE)-0.31
df43
t-0.60
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.34
Upperbound of 95% confidence interval for Sharpe Ratio0.72
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.33
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72
Sortino ratio-0.40
Upside Potential Ratio0.40
Upside part of mean0.25
Downside part of mean-0.50
Upside SD0.48
Downside SD0.63
N nonnegative terms41
N negative terms3
N of observations44
Mean of predictor0.50
Mean of criterion-0.25
SD of predictor0.26
SD of criterion0.80
Covariance0.01
r0.06
b (slope, estimate of beta)0.19
a (intercept, estimate of alpha)-0.35
Mean Square Error0.65
DF error42
t(b)0.42
p(b)0.34
t(a)-0.72
p(a)0.76
Lowerbound of 95% confidence interval for beta-0.74
Upperbound of 95% confidence interval for beta1.13
Lowerbound of 95% confidence interval for alpha-1.31
Upperbound of 95% confidence interval for alpha0.62
Treynor index (mean / b)-1.28
Jensen alpha (a)-0.35
VaR(95%)0.33
Expected Shortfall on VaR0.39
VaR(95%)0.01
Expected Shortfall on VaR0.04
Mean0.74
SD1.51
Sharpe ratio (Glass type estimate)0.49
Sharpe ratio (Hedges UMVUE)0.49
df963
t0.93
p0.18
Lowerbound of 95% confidence interval for Sharpe Ratio-0.54
Upperbound of 95% confidence interval for Sharpe Ratio1.51
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.54
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.51
Sortino ratio0.98
Upside Potential Ratio3.09
Upside part of mean2.33
Downside part of mean-1.60
Upside SD1.31
Downside SD0.75
N nonnegative terms922
N negative terms42
N of observations964
Mean of predictor0.55
Mean of criterion0.74
SD of predictor0.31
SD of criterion1.51
Covariance0.01
r0.01
b (slope, estimate of beta)0.07
a (intercept, estimate of alpha)0.70
Mean Square Error2.30
DF error962
t(b)0.42
p(b)0.34
t(a)0.88
p(a)0.19
Lowerbound of 95% confidence interval for beta-0.24
Upperbound of 95% confidence interval for beta0.38
Lowerbound of 95% confidence interval for alpha-0.86
Upperbound of 95% confidence interval for alpha2.26
Treynor index (mean / b)11.13
Jensen alpha (a)0.70
Mean-0.25
SD1.41
Sharpe ratio (Glass type estimate)-0.18
Sharpe ratio (Hedges UMVUE)-0.18
df963
t-0.34
p0.63
Lowerbound of 95% confidence interval for Sharpe Ratio-1.20
Upperbound of 95% confidence interval for Sharpe Ratio0.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.20
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85
Sortino ratio-0.23
Upside Potential Ratio1.69
Upside part of mean1.79
Downside part of mean-2.04
Upside SD0.93
Downside SD1.06
N nonnegative terms922
N negative terms42
N of observations964
Mean of predictor0.50
Mean of criterion-0.25
SD of predictor0.31
SD of criterion1.41
Covariance0.01
r0.02
b (slope, estimate of beta)0.09
a (intercept, estimate of alpha)-0.29
Mean Square Error1.99
DF error962
t(b)0.63
p(b)0.27
t(a)-0.40
p(a)0.65
Lowerbound of 95% confidence interval for beta-0.20
Upperbound of 95% confidence interval for beta0.38
Lowerbound of 95% confidence interval for alpha-1.74
Upperbound of 95% confidence interval for alpha1.16
Treynor index (mean / b)-2.69
Jensen alpha (a)-0.29
VaR(95%)0.13
Expected Shortfall on VaR0.16
VaR(95%)0
Expected Shortfall on VaR0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.38
Mean of criterion0
SD of predictor0.37
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.32
Mean of criterion0
SD of predictor0.36
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.13
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations44
Minimum0.36
Quartile 11
Median1
Quartile 31
Maximum2.51
Mean of quarter 10.88
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.14
Inter Quartile Range0
Number outliers low3
Percentage of outliers low0.07
Mean of outliers low0.57
Number of outliers high2
Percentage of outliers high0.05
Mean of outliers high1.76
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-1.10
VaR(95%) (regression method)0.39
Expected Shortfall (regression method)0.62
Number of observations964
Minimum0.32
Quartile 11
Median1
Quartile 31
Maximum2.35
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.04
Inter Quartile Range0
Number outliers low42
Percentage of outliers low0.04
Mean of outliers low0.86
Number of outliers high33
Percentage of outliers high0.03
Mean of outliers high1.26
Extreme Value Index (moments method)1.17
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0.19
VaR(95%) (regression method)-0.01
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations1
Minimum0.84
Quartile 10.84
Median0.84
Quartile 30.84
Maximum0.84
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations8
Minimum0.00
Quartile 10.18
Median0.23
Quartile 30.36
Maximum0.88
Mean of quarter 10.05
Mean of quarter 20.21
Mean of quarter 30.27
Mean of quarter 40.71
Inter Quartile Range0.18
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.12
Mean of outliers high0.88
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-390788160
Max Equity Drawdown (num days)5
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.16
Compounded annual return (geometric extrapolation)-0.22
Calmar ratio (compounded annual return / max draw down)-0.26
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.57
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.16
Compounded annual return (geometric extrapolation)-0.22
Calmar ratio (compounded annual return / max draw down)-0.25
Compounded annual return / average of 25% largest draw downs-0.31
Compounded annual return / Expected Shortfall lognormal-1.33
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

SymbolSideQtyOpenedClosedP/L
EROS long4870Jul 8, 2020Jul 8, 2020($443)
JMIA long5370Jul 8, 2020Jul 8, 2020($757)
NFLX long70Jul 8, 2020Jul 8, 2020$12
TWTR long1200Jul 8, 2020Jul 8, 2020$223
VIPS long1800Jul 8, 2020Jul 8, 2020$121
SOGO long3000Jul 8, 2020Jul 8, 2020($125)
NKLA long800Jul 8, 2020Jul 8, 2020($157)
TWTR long1100Jul 8, 2020Jul 8, 2020$369
CLNE long5000Jul 8, 2020Jul 8, 2020($855)
RIOT long10000Jul 8, 2020Jul 8, 2020($205)
NIO long2800Jul 8, 2020Jul 8, 2020$163
NIO long400Jul 7, 2020Jul 7, 2020($20)
MU long800Jul 7, 2020Jul 7, 2020($117)
NIO long3300Jul 7, 2020Jul 7, 2020$523
NIO long2000Jul 7, 2020Jul 7, 2020$115
WMT long300Jul 7, 2020Jul 7, 2020($6)
FB long150Jul 7, 2020Jul 7, 2020($38)
ROKU long300Jul 7, 2020Jul 7, 2020$267
BBBY long3850Jul 7, 2020Jul 7, 2020($159)
AAPL long100Jul 7, 2020Jul 7, 2020$28
MSFT long200Jul 7, 2020Jul 7, 2020($18)
AMD long720Jul 7, 2020Jul 7, 2020$9
SQ long320Jul 7, 2020Jul 7, 2020$461
TSLA long20Jul 7, 2020Jul 7, 2020($222)
FB long100Jul 6, 2020Jul 6, 2020($21)
WKHS long900Jul 6, 2020Jul 6, 2020($194)
AAPL long100Jul 6, 2020Jul 6, 2020($3)
BIDU long100Jul 6, 2020Jul 6, 2020$12
NIO long3390Jul 6, 2020Jul 6, 2020$373
NIO short390Jul 6, 2020Jul 6, 2020($12)

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.