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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 02/01/2017
Most recent certification approved 2/1/17 9:30 ET
Trades at broker Interactive Brokers (Server 3)
Scaling percentage used 100%
# trading signals issued by system since certification 516
# trading signals executed in manager's Interactive Brokers (Server 3) account 463
Percent signals followed since 02/01/2017 89.7%
This information was last updated 12/15/18 7:20 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 02/01/2017, 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 RandBots calculates the hypothetical results you see on this web site.

R Option Mini
(109107515)

Started: 01/2017
Options
Last trade: 8 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 $89.00 per month.

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.
11.9%
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.

(48.5%)
Max Drawdown
173
Num Trades
84.4%
Win Trades
1.5 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017(0.1%)+5.5%+2.5%+0.8%+6.2%(2%)+12.2%+2.2%+0.3%+2.5%+1.0%+1.4%+36.7%
2018+3.1%(20.4%)(0.2%)+2.4%(0.1%)(0.3%)+1.8%+2.3%(0.1%)+1.8%+4.3%(1.9%)(9.7%)

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 463 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/19/18 10:58 SPY1828W261 SPY Nov28'18 261 put SHORT 1 0.52 11/29 8:06 0.00 0.31%
Trade id #121045875
Max drawdown($224)
Time11/20/18 10:16
Quant open-1
Worst price2.76
Drawdown as % of equity-0.31%
$51
Includes Typical Broker Commissions trade costs of $1.00
11/26/18 13:59 SPY1828W256 SPY Nov28'18 256 put SHORT 1 0.05 11/29 8:06 0.00 0%
Trade id #121171428
Max drawdown($1)
Time11/26/18 14:06
Quant open-1
Worst price0.06
Drawdown as % of equity-0.00%
$4
Includes Typical Broker Commissions trade costs of $1.00
11/19/18 10:51 SPY1826W262 SPY Nov26'18 262 put SHORT 2 0.54 11/27 8:06 0.00 0.56%
Trade id #121045713
Max drawdown($405)
Time11/20/18 10:16
Quant open-2
Worst price2.57
Drawdown as % of equity-0.56%
$107
Includes Typical Broker Commissions trade costs of $2.00
11/23/18 9:58 SPY1826W260 SPY Nov26'18 260 put SHORT 1 0.39 11/27 8:06 0.00 0.03%
Trade id #121134958
Max drawdown($19)
Time11/23/18 13:15
Quant open-1
Worst price0.59
Drawdown as % of equity-0.03%
$38
Includes Typical Broker Commissions trade costs of $1.00
11/19/18 11:15 SPY1823W263 SPY Nov23'18 263 put SHORT 1 0.30 11/23 10:07 0.25 0.31%
Trade id #121046389
Max drawdown($227)
Time11/20/18 10:16
Quant open-1
Worst price2.57
Drawdown as % of equity-0.31%
$3
Includes Typical Broker Commissions trade costs of $2.00
11/19/18 10:37 QQQ1823W159 QQQ Nov23'18 159 put SHORT 1 0.51 11/23 9:33 0.39 0.67%
Trade id #121045187
Max drawdown($511)
Time11/20/18 9:31
Quant open-1
Worst price5.62
Drawdown as % of equity-0.67%
$11
Includes Typical Broker Commissions trade costs of $2.00
11/19/18 10:39 SPY1821W263 SPY Nov21'18 263 put SHORT 1 0.21 11/22 8:06 0.00 0.27%
Trade id #121045271
Max drawdown($195)
Time11/20/18 10:16
Quant open-1
Worst price2.16
Drawdown as % of equity-0.27%
$20
Includes Typical Broker Commissions trade costs of $1.00
11/16/18 12:48 SPY1819W258 SPY Nov19'18 258 put SHORT 1 0.03 11/20 8:06 0.00 n/a $2
Includes Typical Broker Commissions trade costs of $1.00
11/15/18 9:51 SPY1819W251 SPY Nov19'18 251 put SHORT 1 0.11 11/20 8:06 0.00 0%
Trade id #120965020
Max drawdown($2)
Time11/15/18 10:12
Quant open-1
Worst price0.13
Drawdown as % of equity-0.00%
$10
Includes Typical Broker Commissions trade costs of $1.00
10/18/18 12:07 QQQ1816W155 QQQ Nov16'18 155 put SHORT 3 0.78 11/17 9:36 0.06 1%
Trade id #120422121
Max drawdown($747)
Time10/29/18 15:44
Quant open-3
Worst price3.27
Drawdown as % of equity-1.00%
$213
Includes Typical Broker Commissions trade costs of $3.50
10/25/18 10:12 SPY1816W246 SPY Nov16'18 246 put SHORT 5 1.08 11/17 9:36 0.09 0.82%
Trade id #120538336
Max drawdown($615)
Time10/29/18 15:45
Quant open-5
Worst price2.31
Drawdown as % of equity-0.82%
$490
Includes Typical Broker Commissions trade costs of $6.20
11/15/18 10:05 QQQ1816W155.5 QQQ Nov16'18 155.5 put SHORT 1 0.07 11/17 9:36 0.00 0%
Trade id #120965584
Max drawdown$0
Time11/15/18 10:30
Quant open-1
Worst price0.07
Drawdown as % of equity0.00%
$6
Includes Typical Broker Commissions trade costs of $1.00
11/9/18 14:58 SPY1816W266 SPY Nov16'18 266 put SHORT 5 0.33 11/17 9:36 0.00 0.88%
Trade id #120860883
Max drawdown($660)
Time11/15/18 10:38
Quant open-5
Worst price1.65
Drawdown as % of equity-0.88%
$162
Includes Typical Broker Commissions trade costs of $3.50
11/12/18 9:38 QQQ1816W163 QQQ Nov16'18 163 put SHORT 4 0.76 11/17 9:36 0.00 0.35%
Trade id #120880880
Max drawdown($263)
Time11/14/18 14:06
Quant open-4
Worst price1.42
Drawdown as % of equity-0.35%
$300
Includes Typical Broker Commissions trade costs of $4.00
10/15/18 13:09 SPY1816W260 SPY Nov16'18 260 put SHORT 6 1.18 11/17 9:36 0.28 2.41%
Trade id #120358184
Max drawdown($1,808)
Time10/29/18 15:45
Quant open-4
Worst price6.18
Drawdown as % of equity-2.41%
$529
Includes Typical Broker Commissions trade costs of $8.10
10/15/18 12:51 QQQ1816W159 QQQ Nov16'18 159 put SHORT 3 1.29 11/17 9:36 0.05 1.37%
Trade id #120357712
Max drawdown($1,029)
Time10/29/18 15:45
Quant open-3
Worst price4.72
Drawdown as % of equity-1.37%
$369
Includes Typical Broker Commissions trade costs of $3.10
11/7/18 15:12 SPY1816W270 SPY Nov16'18 270 put SHORT 5 0.48 11/15 10:43 2.88 1.87%
Trade id #120805974
Max drawdown($1,410)
Time11/15/18 9:33
Quant open-5
Worst price3.30
Drawdown as % of equity-1.87%
($1,210)
Includes Typical Broker Commissions trade costs of $7.90
11/7/18 14:53 QQQ1816W166 QQQ Nov16'18 166 put SHORT 5 0.43 11/15 10:37 2.37 1.58%
Trade id #120805485
Max drawdown($1,199)
Time11/14/18 14:07
Quant open-5
Worst price2.83
Drawdown as % of equity-1.58%
($978)
Includes Typical Broker Commissions trade costs of $7.60
11/13/18 10:14 SPY1814W260 SPY Nov14'18 260 put SHORT 2 0.03 11/15 8:05 0.00 0.01%
Trade id #120905459
Max drawdown($4)
Time11/13/18 10:43
Quant open-2
Worst price0.05
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $2.00
11/12/18 13:19 SPY1814W259 SPY Nov14'18 259 put SHORT 3 0.09 11/15 8:05 0.01 0%
Trade id #120887461
Max drawdown($3)
Time11/12/18 16:00
Quant open-3
Worst price0.10
Drawdown as % of equity-0.00%
$21
Includes Typical Broker Commissions trade costs of $3.10
11/1/18 10:47 QQQ1809W161.5 QQQ Nov9'18 161.5 put SHORT 1 0.85 11/7 14:29 0.03 0.03%
Trade id #120667837
Max drawdown($24)
Time11/2/18 13:02
Quant open-1
Worst price1.09
Drawdown as % of equity-0.03%
$80
Includes Typical Broker Commissions trade costs of $2.00
11/2/18 10:07 SPY1805W261 SPY Nov5'18 261 put SHORT 2 0.06 11/6 8:06 0.00 0.04%
Trade id #120694910
Max drawdown($32)
Time11/2/18 12:57
Quant open-2
Worst price0.22
Drawdown as % of equity-0.04%
$9
Includes Typical Broker Commissions trade costs of $2.00
11/2/18 9:54 SPY1805W263 SPY Nov5'18 263 put SHORT 1 0.05 11/6 8:06 0.00 0.04%
Trade id #120694332
Max drawdown($34)
Time11/2/18 12:58
Quant open-1
Worst price0.39
Drawdown as % of equity-0.04%
$4
Includes Typical Broker Commissions trade costs of $1.00
10/25/18 10:36 QQQ1802W152.5 QQQ Nov2'18 152.5 put SHORT 1 0.22 11/3 9:36 0.00 0.14%
Trade id #120539274
Max drawdown($108)
Time10/29/18 15:46
Quant open-1
Worst price1.30
Drawdown as % of equity-0.14%
$21
Includes Typical Broker Commissions trade costs of $1.00
10/26/18 11:47 SPY1829V251.5 SPY Oct29'18 251.5 put SHORT 1 0.26 10/30 8:06 0.00 0%
Trade id #120566059
Max drawdown($3)
Time10/26/18 14:23
Quant open-1
Worst price0.29
Drawdown as % of equity-0.00%
$25
Includes Typical Broker Commissions trade costs of $1.00
10/24/18 15:44 SPY1826V252 SPY Oct26'18 252 put SHORT 2 0.21 10/27 9:36 0.04 0.05%
Trade id #120521179
Max drawdown($40)
Time10/24/18 15:59
Quant open-2
Worst price0.41
Drawdown as % of equity-0.05%
$31
Includes Typical Broker Commissions trade costs of $3.00
10/23/18 9:45 QQQ1826V160 QQQ Oct26'18 160 put SHORT 1 0.31 10/27 9:36 0.00 0.09%
Trade id #120486189
Max drawdown($68)
Time10/24/18 15:58
Quant open-1
Worst price1.00
Drawdown as % of equity-0.09%
$30
Includes Typical Broker Commissions trade costs of $1.00
10/22/18 9:31 QQQ1826V163 QQQ Oct26'18 163 put SHORT 6 0.24 10/26 13:35 0.25 1.26%
Trade id #120466276
Max drawdown($924)
Time10/24/18 15:59
Quant open-6
Worst price1.78
Drawdown as % of equity-1.26%
($13)
Includes Typical Broker Commissions trade costs of $9.00
10/19/18 11:06 SPY1824V257 SPY Oct24'18 257 put SHORT 3 0.20 10/25 8:06 0.00 0.04%
Trade id #120441264
Max drawdown($27)
Time10/23/18 10:19
Quant open-3
Worst price0.29
Drawdown as % of equity-0.04%
$57
Includes Typical Broker Commissions trade costs of $3.00
10/18/18 11:51 SPY1822V261 SPY Oct22'18 261 put SHORT 1 0.20 10/23 8:06 0.00 0.01%
Trade id #120421840
Max drawdown($7)
Time10/18/18 13:49
Quant open-1
Worst price0.28
Drawdown as % of equity-0.01%
$19
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    1/29/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    684.73
  • Age
    23 months ago
  • What it trades
    Options
  • # Trades
    173
  • # Profitable
    146
  • % Profitable
    84.40%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    48.53%
  • drawdown period
    Jan 29, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    11.6%
  • Avg win
    $325.58
  • Avg loss
    $1,145
  • Model Account Values (Raw)
  • Cash
    $78,229
  • Margin Used
    $35,199
  • Buying Power
    $43,030
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.533
  • Sortino Ratio
    0.689
  • Calmar Ratio
    0.384
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.26400
  • Return Statistics
  • Ann Return (w trading costs)
    11.6%
  • Ann Return (Compnd, No Fees)
    15.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.50%
  • Chance of 20% account loss
    33.00%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    838
  • C2 Score
    13.1
  • Trades-Own-System Certification
  • Trades Own System?
    183865
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,146
  • Avg Win
    $337
  • # Winners
    146
  • # Losers
    27
  • % Winners
    84.4%
  • Frequency
  • Avg Position Time (mins)
    12940.00
  • Avg Position Time (hrs)
    215.67
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14245
  • SD
    0.18228
  • Sharpe ratio (Glass type estimate)
    0.78147
  • Sharpe ratio (Hedges UMVUE)
    0.75317
  • df
    21.00000
  • t
    1.05812
  • p
    0.35799
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21851
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05015
  • Upside Potential Ratio
    1.90467
  • Upside part of mean
    0.25836
  • Downside part of mean
    -0.11591
  • Upside SD
    0.12251
  • Downside SD
    0.13565
  • N nonnegative terms
    17.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.06742
  • Mean of criterion
    0.14245
  • SD of predictor
    0.07901
  • SD of criterion
    0.18228
  • Covariance
    0.00355
  • r
    0.24655
  • b (slope, estimate of beta)
    0.56884
  • a (intercept, estimate of alpha)
    0.10410
  • Mean Square Error
    0.03277
  • DF error
    20.00000
  • t(b)
    1.13775
  • p(b)
    0.37672
  • t(a)
    0.75504
  • p(a)
    0.41676
  • Lowerbound of 95% confidence interval for beta
    -0.47408
  • Upperbound of 95% confidence interval for beta
    1.61176
  • Lowerbound of 95% confidence interval for alpha
    -0.18350
  • Upperbound of 95% confidence interval for alpha
    0.39170
  • Treynor index (mean / b)
    0.25042
  • Jensen alpha (a)
    0.10410
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12462
  • SD
    0.19077
  • Sharpe ratio (Glass type estimate)
    0.65322
  • Sharpe ratio (Hedges UMVUE)
    0.62957
  • df
    21.00000
  • t
    0.88447
  • p
    0.38008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08956
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83480
  • Upside Potential Ratio
    1.67940
  • Upside part of mean
    0.25069
  • Downside part of mean
    -0.12608
  • Upside SD
    0.11726
  • Downside SD
    0.14928
  • N nonnegative terms
    17.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.06411
  • Mean of criterion
    0.12462
  • SD of predictor
    0.07889
  • SD of criterion
    0.19077
  • Covariance
    0.00361
  • r
    0.23999
  • b (slope, estimate of beta)
    0.58032
  • a (intercept, estimate of alpha)
    0.08741
  • Mean Square Error
    0.03601
  • DF error
    20.00000
  • t(b)
    1.10557
  • p(b)
    0.38001
  • t(a)
    0.60643
  • p(a)
    0.43281
  • Lowerbound of 95% confidence interval for beta
    -0.51462
  • Upperbound of 95% confidence interval for beta
    1.67526
  • Lowerbound of 95% confidence interval for alpha
    -0.21326
  • Upperbound of 95% confidence interval for alpha
    0.38807
  • Treynor index (mean / b)
    0.21474
  • Jensen alpha (a)
    0.08741
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07707
  • Expected Shortfall on VaR
    0.09788
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01133
  • Expected Shortfall on VaR
    0.03094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.81961
  • Quartile 1
    1.00345
  • Median
    1.01706
  • Quartile 3
    1.02822
  • Maximum
    1.12433
  • Mean of quarter 1
    0.96697
  • Mean of quarter 2
    1.01015
  • Mean of quarter 3
    1.02217
  • Mean of quarter 4
    1.05816
  • Inter Quartile Range
    0.02477
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04545
  • Mean of outliers low
    0.81961
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.09625
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.98643
  • VaR(95%) (moments method)
    0.00035
  • Expected Shortfall (moments method)
    0.00035
  • Extreme Value Index (regression method)
    2.34798
  • VaR(95%) (regression method)
    0.01382
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01077
  • Quartile 1
    0.05535
  • Median
    0.09993
  • Quartile 3
    0.14452
  • Maximum
    0.18910
  • Mean of quarter 1
    0.01077
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18910
  • Inter Quartile Range
    0.08916
  • 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)
    0.17598
  • Compounded annual return (geometric extrapolation)
    0.16477
  • Calmar ratio (compounded annual return / max draw down)
    0.87135
  • Compounded annual return / average of 25% largest draw downs
    0.87135
  • Compounded annual return / Expected Shortfall lognormal
    1.68345
  • 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
    0.17207
  • SD
    0.32222
  • Sharpe ratio (Glass type estimate)
    0.53400
  • Sharpe ratio (Hedges UMVUE)
    0.53318
  • df
    486.00000
  • t
    0.72805
  • p
    0.23347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97172
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97116
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68901
  • Upside Potential Ratio
    3.93670
  • Upside part of mean
    0.98313
  • Downside part of mean
    -0.81106
  • Upside SD
    0.20337
  • Downside SD
    0.24973
  • N nonnegative terms
    220.00000
  • N negative terms
    267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    487.00000
  • Mean of predictor
    0.05021
  • Mean of criterion
    0.17207
  • SD of predictor
    0.12364
  • SD of criterion
    0.32222
  • Covariance
    0.01048
  • r
    0.26295
  • b (slope, estimate of beta)
    0.68529
  • a (intercept, estimate of alpha)
    0.13800
  • Mean Square Error
    0.09685
  • DF error
    485.00000
  • t(b)
    6.00200
  • p(b)
    0.00000
  • t(a)
    0.60290
  • p(a)
    0.27343
  • Lowerbound of 95% confidence interval for beta
    0.46095
  • Upperbound of 95% confidence interval for beta
    0.90963
  • Lowerbound of 95% confidence interval for alpha
    -0.31098
  • Upperbound of 95% confidence interval for alpha
    0.58631
  • Treynor index (mean / b)
    0.25109
  • Jensen alpha (a)
    0.13766
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11766
  • SD
    0.33458
  • Sharpe ratio (Glass type estimate)
    0.35168
  • Sharpe ratio (Hedges UMVUE)
    0.35113
  • df
    486.00000
  • t
    0.47947
  • p
    0.31591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78931
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78889
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43279
  • Upside Potential Ratio
    3.54409
  • Upside part of mean
    0.96354
  • Downside part of mean
    -0.84587
  • Upside SD
    0.19456
  • Downside SD
    0.27187
  • N nonnegative terms
    220.00000
  • N negative terms
    267.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    487.00000
  • Mean of predictor
    0.04253
  • Mean of criterion
    0.11766
  • SD of predictor
    0.12417
  • SD of criterion
    0.33458
  • Covariance
    0.01054
  • r
    0.25379
  • b (slope, estimate of beta)
    0.68381
  • a (intercept, estimate of alpha)
    0.08858
  • Mean Square Error
    0.10495
  • DF error
    485.00000
  • t(b)
    5.77828
  • p(b)
    0.00000
  • t(a)
    0.37272
  • p(a)
    0.35476
  • Lowerbound of 95% confidence interval for beta
    0.45129
  • Upperbound of 95% confidence interval for beta
    0.91634
  • Lowerbound of 95% confidence interval for alpha
    -0.37840
  • Upperbound of 95% confidence interval for alpha
    0.55557
  • Treynor index (mean / b)
    0.17207
  • Jensen alpha (a)
    0.08858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03299
  • Expected Shortfall on VaR
    0.04128
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00724
  • Expected Shortfall on VaR
    0.01698
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    487.00000
  • Minimum
    0.78963
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00245
  • Maximum
    1.16687
  • Mean of quarter 1
    0.98787
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.01431
  • Inter Quartile Range
    0.00245
  • Number outliers low
    60.00000
  • Percentage of outliers low
    0.12320
  • Mean of outliers low
    0.97641
  • Number of outliers high
    73.00000
  • Percentage of outliers high
    0.14990
  • Mean of outliers high
    1.02125
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94531
  • VaR(95%) (moments method)
    0.00582
  • Expected Shortfall (moments method)
    0.12710
  • Extreme Value Index (regression method)
    0.53300
  • VaR(95%) (regression method)
    0.00968
  • Expected Shortfall (regression method)
    0.03005
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00086
  • Median
    0.00354
  • Quartile 3
    0.02193
  • Maximum
    0.40758
  • Mean of quarter 1
    0.00015
  • Mean of quarter 2
    0.00235
  • Mean of quarter 3
    0.01084
  • Mean of quarter 4
    0.10083
  • Inter Quartile Range
    0.02107
  • 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
    0.07143
  • Mean of outliers high
    0.24173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.77281
  • VaR(95%) (moments method)
    0.10347
  • Expected Shortfall (moments method)
    0.46428
  • Extreme Value Index (regression method)
    1.47862
  • VaR(95%) (regression method)
    0.09036
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16717
  • Compounded annual return (geometric extrapolation)
    0.15670
  • Calmar ratio (compounded annual return / max draw down)
    0.38446
  • Compounded annual return / average of 25% largest draw downs
    1.55403
  • Compounded annual return / Expected Shortfall lognormal
    3.79582
  • 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
    0.15976
  • SD
    0.15513
  • Sharpe ratio (Glass type estimate)
    1.02982
  • Sharpe ratio (Hedges UMVUE)
    1.02387
  • df
    130.00000
  • t
    0.72820
  • p
    0.46813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79847
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60012
  • Upside Potential Ratio
    7.05888
  • Upside part of mean
    0.70478
  • Downside part of mean
    -0.54502
  • Upside SD
    0.11837
  • Downside SD
    0.09984
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15229
  • Mean of criterion
    0.15976
  • SD of predictor
    0.15041
  • SD of criterion
    0.15513
  • Covariance
    0.01122
  • r
    0.48084
  • b (slope, estimate of beta)
    0.49595
  • a (intercept, estimate of alpha)
    0.23529
  • Mean Square Error
    0.01865
  • DF error
    129.00000
  • t(b)
    6.22855
  • p(b)
    0.20613
  • t(a)
    1.21604
  • p(a)
    0.43235
  • Lowerbound of 95% confidence interval for beta
    0.33841
  • Upperbound of 95% confidence interval for beta
    0.65350
  • Lowerbound of 95% confidence interval for alpha
    -0.14753
  • Upperbound of 95% confidence interval for alpha
    0.61811
  • Treynor index (mean / b)
    0.32213
  • Jensen alpha (a)
    0.23529
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14778
  • SD
    0.15490
  • Sharpe ratio (Glass type estimate)
    0.95404
  • Sharpe ratio (Hedges UMVUE)
    0.94852
  • df
    130.00000
  • t
    0.67461
  • p
    0.47047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72646
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82568
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72273
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45684
  • Upside Potential Ratio
    6.87919
  • Upside part of mean
    0.69784
  • Downside part of mean
    -0.55005
  • Upside SD
    0.11664
  • Downside SD
    0.10144
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.16362
  • Mean of criterion
    0.14778
  • SD of predictor
    0.15108
  • SD of criterion
    0.15490
  • Covariance
    0.01128
  • r
    0.48182
  • b (slope, estimate of beta)
    0.49402
  • a (intercept, estimate of alpha)
    0.22861
  • Mean Square Error
    0.01857
  • DF error
    129.00000
  • t(b)
    6.24507
  • p(b)
    0.20559
  • t(a)
    1.18367
  • p(a)
    0.43413
  • Lowerbound of 95% confidence interval for beta
    0.33751
  • Upperbound of 95% confidence interval for beta
    0.65053
  • Lowerbound of 95% confidence interval for alpha
    -0.15352
  • Upperbound of 95% confidence interval for alpha
    0.61074
  • Treynor index (mean / b)
    0.29915
  • Jensen alpha (a)
    0.22861
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01506
  • Expected Shortfall on VaR
    0.01899
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.01159
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95156
  • Quartile 1
    0.99979
  • Median
    1.00000
  • Quartile 3
    1.00167
  • Maximum
    1.04695
  • Mean of quarter 1
    0.99201
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.01054
  • Inter Quartile Range
    0.00188
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98869
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.01396
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73047
  • VaR(95%) (moments method)
    0.00385
  • Expected Shortfall (moments method)
    0.00453
  • Extreme Value Index (regression method)
    0.29601
  • VaR(95%) (regression method)
    0.00840
  • Expected Shortfall (regression method)
    0.01738
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00266
  • Median
    0.00641
  • Quartile 3
    0.02520
  • Maximum
    0.06649
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00477
  • Mean of quarter 3
    0.01659
  • Mean of quarter 4
    0.04309
  • Inter Quartile Range
    0.02254
  • 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
    0.08333
  • Mean of outliers high
    0.06649
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.83849
  • VaR(95%) (moments method)
    0.04928
  • Expected Shortfall (moments method)
    0.05516
  • Extreme Value Index (regression method)
    0.71628
  • VaR(95%) (regression method)
    0.06530
  • Expected Shortfall (regression method)
    0.21147
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18364
  • Compounded annual return (geometric extrapolation)
    0.19207
  • Calmar ratio (compounded annual return / max draw down)
    2.88873
  • Compounded annual return / average of 25% largest draw downs
    4.45722
  • Compounded annual return / Expected Shortfall lognormal
    10.11580

Strategy Description

The goal of "R Option Mini" is to outperform "R Option" results.

The Strategy is managed by Mario Randholm, CEO of Randholm & Co., an investment management company dedicated to managing capital for its clients and employees by adhering to mathematical and statistical methods.

This strategy is a similar to "R Option" designed to enjoy similar signal origination. Entries and exits may differ from "R Option" based on market conditions, leverage and margin requirements.

Commentary:
http://www.mariorandholm.com/2017/01/01/roption/

Description and Performance of R Option:
https://randbots.com/details/102125034

Summary Statistics

Includes fees & commissions
Strategy began
2017-01-29
Suggested Minimum Capital
$35,000
# Trades
173
# Profitable
146
% Profitable
84.4%
Correlation S&P500
0.264
Sharpe Ratio
0.533

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.