Welcome to RandBots

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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 584
# trading signals executed in manager's Interactive Brokers (Server 3) account 527
Percent signals followed since 02/01/2017 90.2%
This information was last updated 1/23/19 17:23 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: 9 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 $450.00 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.
6.9%
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.

(51.4%)
Max Drawdown
194
Num Trades
85.6%
Win Trades
1.6 : 1
Profit Factor
64.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017(0.8%)+5.5%+1.3%+0.2%+5.8%(2.6%)+12.1%+1.8%(0.2%)+2.2%+0.6%+1.0%+29.5%
2018+2.8%(22.1%)(0.9%)+2.1%(0.7%)(0.9%)+1.4%+1.9%(0.7%)+1.5%+4.2%(3.8%)(16.8%)
2019+6.1%                                                                  +6.1%

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 524 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/7/19 13:09 SPY1915N242 SPY Feb15'19 242 put SHORT 2 2.46 1/14 15:19 1.31 0.09%
Trade id #121824457
Max drawdown($74)
Time1/8/19 10:55
Quant open-2
Worst price2.83
Drawdown as % of equity-0.09%
$227
Includes Typical Broker Commissions trade costs of $2.80
1/3/19 11:58 SPY1918M234 SPY Jan18'19 234 put SHORT 1 1.25 1/14 15:17 0.02 0.08%
Trade id #121767288
Max drawdown($62)
Time1/3/19 16:00
Quant open-1
Worst price1.88
Drawdown as % of equity-0.08%
$121
Includes Typical Broker Commissions trade costs of $2.00
1/4/19 14:50 SPY1918M240 SPY Jan18'19 240 put SHORT 2 1.02 1/14 15:17 0.26 0.02%
Trade id #121797149
Max drawdown($16)
Time1/4/19 14:59
Quant open-2
Worst price1.10
Drawdown as % of equity-0.02%
$150
Includes Typical Broker Commissions trade costs of $3.40
1/7/19 13:16 SPY1909M246 SPY Jan9'19 246 put SHORT 1 0.12 1/10 8:06 0.00 0.01%
Trade id #121824916
Max drawdown($8)
Time1/7/19 14:56
Quant open-1
Worst price0.20
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commissions trade costs of $1.00
1/7/19 13:23 QQQ1911M150 QQQ Jan11'19 150 put SHORT 1 0.20 1/9 16:07 0.02 0.01%
Trade id #121825369
Max drawdown($9)
Time1/7/19 15:00
Quant open-1
Worst price0.29
Drawdown as % of equity-0.01%
$16
Includes Typical Broker Commissions trade costs of $2.00
1/4/19 13:58 QQQ1918M154 QQQ Jan18'19 154 put SHORT 13 2.39 1/9 15:42 0.90 0.19%
Trade id #121794477
Max drawdown($150)
Time1/4/19 14:58
Quant open-12
Worst price2.59
Drawdown as % of equity-0.19%
$1,915
Includes Typical Broker Commissions trade costs of $18.80
1/4/19 13:39 SPY1918M241 SPY Jan18'19 241 put SHORT 4 1.16 1/7 12:47 0.56 0.04%
Trade id #121793566
Max drawdown($28)
Time1/4/19 14:04
Quant open-3
Worst price1.25
Drawdown as % of equity-0.04%
$234
Includes Typical Broker Commissions trade costs of $5.90
1/3/19 11:54 SPY1904M237 SPY Jan4'19 237 put SHORT 1 0.10 1/5 9:36 0.00 0.04%
Trade id #121767105
Max drawdown($27)
Time1/4/19 9:43
Quant open-1
Worst price0.37
Drawdown as % of equity-0.04%
$9
Includes Typical Broker Commissions trade costs of $1.00
1/3/19 10:27 QQQ1904M144 QQQ Jan4'19 144 put SHORT 2 0.11 1/5 9:36 0.00 0.02%
Trade id #121764104
Max drawdown($18)
Time1/3/19 10:45
Quant open-2
Worst price0.20
Drawdown as % of equity-0.02%
$21
Includes Typical Broker Commissions trade costs of $1.40
12/19/18 15:22 QQQ1918M156 QQQ Jan18'19 156 put SHORT 9 6.72 1/4/19 13:58 3.23 9.19%
Trade id #121581784
Max drawdown($6,198)
Time12/24/18 13:08
Quant open-9
Worst price13.61
Drawdown as % of equity-9.19%
$3,132
Includes Typical Broker Commissions trade costs of $12.60
1/3/19 11:48 SPY1918M233 SPY Jan18'19 233 put SHORT 5 0.97 1/4 12:38 0.46 0.49%
Trade id #121766650
Max drawdown($369)
Time1/3/19 16:00
Quant open-5
Worst price1.71
Drawdown as % of equity-0.49%
$249
Includes Typical Broker Commissions trade costs of $7.00
1/3/19 12:01 SPY1918M235 SPY Jan18'19 235 put SHORT 1 1.44 1/4 12:36 0.60 0.09%
Trade id #121767377
Max drawdown($65)
Time1/3/19 16:00
Quant open-1
Worst price2.10
Drawdown as % of equity-0.09%
$82
Includes Typical Broker Commissions trade costs of $2.00
12/31/18 11:54 QQQ1904M151 QQQ Jan4'19 151 put SHORT 2 1.40 1/3/19 10:06 1.27 0.16%
Trade id #121723025
Max drawdown($121)
Time1/2/19 9:31
Quant open-2
Worst price2.01
Drawdown as % of equity-0.16%
$24
Includes Typical Broker Commissions trade costs of $3.40
12/28/18 11:16 SPY1918M225 SPY Jan18'19 225 put SHORT 4 1.48 1/3/19 10:06 0.54 0.02%
Trade id #121699361
Max drawdown($11)
Time12/28/18 11:25
Quant open-2
Worst price1.53
Drawdown as % of equity-0.02%
$369
Includes Typical Broker Commissions trade costs of $5.90
12/28/18 10:50 SPY1918M233 SPY Jan18'19 233 put SHORT 5 2.60 1/2/19 15:52 1.22 0.12%
Trade id #121698384
Max drawdown($90)
Time12/28/18 11:06
Quant open-5
Worst price2.78
Drawdown as % of equity-0.12%
$681
Includes Typical Broker Commissions trade costs of $7.30
12/27/18 10:50 QQQ1831X147 QQQ Dec31'18 147 put SHORT 4 1.42 1/1/19 8:05 0.07 0.55%
Trade id #121678575
Max drawdown($392)
Time12/27/18 14:17
Quant open-4
Worst price2.40
Drawdown as % of equity-0.55%
$535
Includes Typical Broker Commissions trade costs of $3.80
12/28/18 10:56 QQQ1831X151 QQQ Dec31'18 151 put SHORT 2 1.15 12/31 11:53 0.12 0.04%
Trade id #121698637
Max drawdown($31)
Time12/28/18 11:03
Quant open-2
Worst price1.31
Drawdown as % of equity-0.04%
$204
Includes Typical Broker Commissions trade costs of $2.80
12/20/18 15:30 QQQ1828X151 QQQ Dec28'18 151 put SHORT 2 2.17 12/28 11:09 0.68 1.43%
Trade id #121604788
Max drawdown($1,005)
Time12/24/18 9:55
Quant open-2
Worst price7.20
Drawdown as % of equity-1.43%
$295
Includes Typical Broker Commissions trade costs of $4.00
12/19/18 15:37 SPY1918M270 SPY Jan18'19 270 put SHORT 1 20.46 12/27 9:54 28.74 2.33%
Trade id #121582193
Max drawdown($1,574)
Time12/24/18 13:08
Quant open-1
Worst price36.20
Drawdown as % of equity-2.33%
($830)
Includes Typical Broker Commissions trade costs of $2.00
12/26/18 9:50 SPY1918M225 SPY Jan18'19 225 put SHORT 1 3.86 12/27 9:52 2.75 0.13%
Trade id #121661013
Max drawdown($89)
Time12/26/18 10:55
Quant open-1
Worst price4.75
Drawdown as % of equity-0.13%
$108
Includes Typical Broker Commissions trade costs of $2.00
12/14/18 10:26 QQQ1821X152 QQQ Dec21'18 152 put SHORT 1 0.20 12/20 15:31 1.05 0.31%
Trade id #121500613
Max drawdown($225)
Time12/20/18 14:13
Quant open-1
Worst price2.45
Drawdown as % of equity-0.31%
($87)
Includes Typical Broker Commissions trade costs of $2.00
12/14/18 15:58 QQQ1821X151.5 QQQ Dec21'18 151.5 put SHORT 1 0.31 12/20 15:30 0.94 0.25%
Trade id #121509326
Max drawdown($179)
Time12/20/18 14:13
Quant open-1
Worst price2.10
Drawdown as % of equity-0.25%
($65)
Includes Typical Broker Commissions trade costs of $2.00
12/17/18 15:21 QQQ1821X148.5 QQQ Dec21'18 148.5 put SHORT 1 0.30 12/20 15:22 0.27 0.07%
Trade id #121534717
Max drawdown($53)
Time12/20/18 14:15
Quant open-1
Worst price0.84
Drawdown as % of equity-0.07%
$1
Includes Typical Broker Commissions trade costs of $2.00
12/12/18 13:24 QQQ1821X156 QQQ Dec21'18 156 put SHORT 9 0.47 12/20 14:29 3.71 4.05%
Trade id #121466409
Max drawdown($2,916)
Time12/20/18 14:29
Quant open7
Worst price4.28
Drawdown as % of equity-4.05%
($2,929)
Includes Typical Broker Commissions trade costs of $12.90
11/15/18 9:33 SPY1821X270 SPY Dec21'18 270 put SHORT 5 7.60 12/19 15:37 7.41 1.83%
Trade id #120964016
Max drawdown($1,424)
Time12/19/18 15:07
Quant open-1
Worst price21.84
Drawdown as % of equity-1.83%
$85
Includes Typical Broker Commissions trade costs of $8.20
11/15/18 9:41 QQQ1821X166 QQQ Dec21'18 166 put SHORT 5 5.86 12/19 14:23 4.34 2.96%
Trade id #120964471
Max drawdown($2,151)
Time11/20/18 10:15
Quant open-5
Worst price10.16
Drawdown as % of equity-2.96%
$750
Includes Typical Broker Commissions trade costs of $8.20
12/12/18 13:54 QQQ1814X159.5 QQQ Dec14'18 159.5 put SHORT 1 0.11 12/14 10:16 0.04 0.01%
Trade id #121466831
Max drawdown($10)
Time12/12/18 14:51
Quant open-1
Worst price0.21
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $2.00
12/12/18 14:24 QQQ1814X161.5 QQQ Dec14'18 161.5 put SHORT 1 0.30 12/13 9:40 0.15 0.03%
Trade id #121467304
Max drawdown($20)
Time12/12/18 16:02
Quant open-1
Worst price0.50
Drawdown as % of equity-0.03%
$13
Includes Typical Broker Commissions trade costs of $2.00
12/7/18 11:26 SPY1810X249 SPY Dec10'18 249 put SHORT 1 0.09 12/11 8:06 0.00 0.01%
Trade id #121400577
Max drawdown($7)
Time12/7/18 15:18
Quant open-1
Worst price0.16
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $1.00
12/7/18 11:23 SPY1810X256 SPY Dec10'18 256 put SHORT 1 0.23 12/11 8:06 0.00 0.16%
Trade id #121400492
Max drawdown($127)
Time12/10/18 11:46
Quant open-1
Worst price1.51
Drawdown as % of equity-0.16%
$22
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    1/29/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    724.04
  • Age
    24 months ago
  • What it trades
    Options
  • # Trades
    194
  • # Profitable
    166
  • % Profitable
    85.60%
  • Avg trade duration
    8.7 days
  • Max peak-to-valley drawdown
    51.37%
  • drawdown period
    Jan 24, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    6.7%
  • Avg win
    $340.04
  • Avg loss
    $1,228
  • Model Account Values (Raw)
  • Cash
    $82,036
  • Margin Used
    $0
  • Buying Power
    $82,036
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    0.575
  • Sortino Ratio
    0.746
  • Calmar Ratio
    0.425
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31500
  • Return Statistics
  • Ann Return (w trading costs)
    6.7%
  • Ann Return (Compnd, No Fees)
    17.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    65.50%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    11.00%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    889
  • C2 Score
    12.5
  • Trades-Own-System Certification
  • Trades Own System?
    183865
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,229
  • Avg Win
    $340
  • # Winners
    166
  • # Losers
    28
  • % Winners
    85.6%
  • Frequency
  • Avg Position Time (mins)
    12501.20
  • Avg Position Time (hrs)
    208.35
  • Avg Trade Length
    8.7 days
  • Last Trade Ago
    9
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14781
  • SD
    0.17825
  • Sharpe ratio (Glass type estimate)
    0.82925
  • Sharpe ratio (Hedges UMVUE)
    0.80060
  • df
    22.00000
  • t
    1.14804
  • p
    0.13164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25668
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23594
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11417
  • Upside Potential Ratio
    1.94990
  • Upside part of mean
    0.25868
  • Downside part of mean
    -0.11087
  • Upside SD
    0.12088
  • Downside SD
    0.13266
  • N nonnegative terms
    18.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.03899
  • Mean of criterion
    0.14781
  • SD of predictor
    0.08664
  • SD of criterion
    0.17825
  • Covariance
    0.00310
  • r
    0.20055
  • b (slope, estimate of beta)
    0.41258
  • a (intercept, estimate of alpha)
    0.13172
  • Mean Square Error
    0.03195
  • DF error
    21.00000
  • t(b)
    0.93810
  • p(b)
    0.37319
  • t(a)
    1.01142
  • p(a)
    0.36386
  • Lowerbound of 95% confidence interval for beta
    -0.50204
  • Upperbound of 95% confidence interval for beta
    1.32721
  • Lowerbound of 95% confidence interval for alpha
    -0.13912
  • Upperbound of 95% confidence interval for alpha
    0.40257
  • Treynor index (mean / b)
    0.35826
  • Jensen alpha (a)
    0.13172
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13060
  • SD
    0.18657
  • Sharpe ratio (Glass type estimate)
    0.70001
  • Sharpe ratio (Hedges UMVUE)
    0.67583
  • df
    22.00000
  • t
    0.96913
  • p
    0.17151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10555
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89456
  • Upside Potential Ratio
    1.72059
  • Upside part of mean
    0.25120
  • Downside part of mean
    -0.12060
  • Upside SD
    0.11576
  • Downside SD
    0.14599
  • N nonnegative terms
    18.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.03525
  • Mean of criterion
    0.13060
  • SD of predictor
    0.08682
  • SD of criterion
    0.18657
  • Covariance
    0.00312
  • r
    0.19241
  • b (slope, estimate of beta)
    0.41346
  • a (intercept, estimate of alpha)
    0.11603
  • Mean Square Error
    0.03512
  • DF error
    21.00000
  • t(b)
    0.89851
  • p(b)
    0.37827
  • t(a)
    0.85111
  • p(a)
    0.38440
  • Lowerbound of 95% confidence interval for beta
    -0.54350
  • Upperbound of 95% confidence interval for beta
    1.37043
  • Lowerbound of 95% confidence interval for alpha
    -0.16747
  • Upperbound of 95% confidence interval for alpha
    0.39953
  • Treynor index (mean / b)
    0.31587
  • Jensen alpha (a)
    0.11603
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07476
  • Expected Shortfall on VaR
    0.09517
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01038
  • Expected Shortfall on VaR
    0.02879
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.81961
  • Quartile 1
    1.00420
  • Median
    1.01772
  • Quartile 3
    1.02762
  • Maximum
    1.12433
  • Mean of quarter 1
    0.96697
  • Mean of quarter 2
    1.01141
  • Mean of quarter 3
    1.02353
  • Mean of quarter 4
    1.05816
  • Inter Quartile Range
    0.02342
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.81961
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • 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)
    0.01243
  • 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)
    0.18522
  • Compounded annual return (geometric extrapolation)
    0.17176
  • Calmar ratio (compounded annual return / max draw down)
    0.90832
  • Compounded annual return / average of 25% largest draw downs
    0.90832
  • Compounded annual return / Expected Shortfall lognormal
    1.80473
  • 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
    0.18718
  • SD
    0.32526
  • Sharpe ratio (Glass type estimate)
    0.57548
  • Sharpe ratio (Hedges UMVUE)
    0.57464
  • df
    512.00000
  • t
    0.80527
  • p
    0.21052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97576
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74645
  • Upside Potential Ratio
    4.17569
  • Upside part of mean
    1.04711
  • Downside part of mean
    -0.85993
  • Upside SD
    0.20698
  • Downside SD
    0.25076
  • N nonnegative terms
    233.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.05354
  • Mean of criterion
    0.18718
  • SD of predictor
    0.13495
  • SD of criterion
    0.32526
  • Covariance
    0.01381
  • r
    0.31455
  • b (slope, estimate of beta)
    0.75816
  • a (intercept, estimate of alpha)
    0.14700
  • Mean Square Error
    0.09551
  • DF error
    511.00000
  • t(b)
    7.49084
  • p(b)
    -0.00000
  • t(a)
    0.66353
  • p(a)
    0.25365
  • Lowerbound of 95% confidence interval for beta
    0.55932
  • Upperbound of 95% confidence interval for beta
    0.95700
  • Lowerbound of 95% confidence interval for alpha
    -0.28745
  • Upperbound of 95% confidence interval for alpha
    0.58064
  • Treynor index (mean / b)
    0.24689
  • Jensen alpha (a)
    0.14659
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13188
  • SD
    0.33704
  • Sharpe ratio (Glass type estimate)
    0.39129
  • Sharpe ratio (Hedges UMVUE)
    0.39071
  • df
    512.00000
  • t
    0.54752
  • p
    0.29213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00979
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79160
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48462
  • Upside Potential Ratio
    3.77307
  • Upside part of mean
    1.02676
  • Downside part of mean
    -0.89488
  • Upside SD
    0.19846
  • Downside SD
    0.27213
  • N nonnegative terms
    233.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.04441
  • Mean of criterion
    0.13188
  • SD of predictor
    0.13524
  • SD of criterion
    0.33704
  • Covariance
    0.01388
  • r
    0.30450
  • b (slope, estimate of beta)
    0.75889
  • a (intercept, estimate of alpha)
    0.09817
  • Mean Square Error
    0.10326
  • DF error
    511.00000
  • t(b)
    7.22653
  • p(b)
    -0.00000
  • t(a)
    0.42741
  • p(a)
    0.33463
  • Lowerbound of 95% confidence interval for beta
    0.55258
  • Upperbound of 95% confidence interval for beta
    0.96520
  • Lowerbound of 95% confidence interval for alpha
    -0.35309
  • Upperbound of 95% confidence interval for alpha
    0.54944
  • Treynor index (mean / b)
    0.17378
  • Jensen alpha (a)
    0.09817
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03318
  • Expected Shortfall on VaR
    0.04153
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01791
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    513.00000
  • Minimum
    0.78963
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00251
  • Maximum
    1.16687
  • Mean of quarter 1
    0.98718
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.01532
  • Inter Quartile Range
    0.00251
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.12865
  • Mean of outliers low
    0.97595
  • Number of outliers high
    78.00000
  • Percentage of outliers high
    0.15205
  • Mean of outliers high
    1.02244
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91516
  • VaR(95%) (moments method)
    0.00603
  • Expected Shortfall (moments method)
    0.08538
  • Extreme Value Index (regression method)
    0.43965
  • VaR(95%) (regression method)
    0.01043
  • Expected Shortfall (regression method)
    0.02765
  • 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)
    0.18760
  • Compounded annual return (geometric extrapolation)
    0.17326
  • Calmar ratio (compounded annual return / max draw down)
    0.42509
  • Compounded annual return / average of 25% largest draw downs
    1.71826
  • Compounded annual return / Expected Shortfall lognormal
    4.17188
  • 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
    0.22595
  • SD
    0.22342
  • Sharpe ratio (Glass type estimate)
    1.01135
  • Sharpe ratio (Hedges UMVUE)
    1.00551
  • df
    130.00000
  • t
    0.71514
  • p
    0.46870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.78395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78001
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48874
  • Upside Potential Ratio
    6.85142
  • Upside part of mean
    1.03987
  • Downside part of mean
    -0.81392
  • Upside SD
    0.16338
  • Downside SD
    0.15177
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13842
  • Mean of criterion
    0.22595
  • SD of predictor
    0.18865
  • SD of criterion
    0.22342
  • Covariance
    0.02551
  • r
    0.60533
  • b (slope, estimate of beta)
    0.71686
  • a (intercept, estimate of alpha)
    0.32518
  • Mean Square Error
    0.03187
  • DF error
    129.00000
  • t(b)
    8.63745
  • p(b)
    0.13967
  • t(a)
    1.28668
  • p(a)
    0.42849
  • Lowerbound of 95% confidence interval for beta
    0.55266
  • Upperbound of 95% confidence interval for beta
    0.88107
  • Lowerbound of 95% confidence interval for alpha
    -0.17485
  • Upperbound of 95% confidence interval for alpha
    0.82521
  • Treynor index (mean / b)
    0.31520
  • Jensen alpha (a)
    0.32518
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20099
  • SD
    0.22405
  • Sharpe ratio (Glass type estimate)
    0.89708
  • Sharpe ratio (Hedges UMVUE)
    0.89190
  • df
    130.00000
  • t
    0.63433
  • p
    0.47223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66934
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66582
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29344
  • Upside Potential Ratio
    6.60716
  • Upside part of mean
    1.02670
  • Downside part of mean
    -0.82571
  • Upside SD
    0.16069
  • Downside SD
    0.15539
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.15610
  • Mean of criterion
    0.20099
  • SD of predictor
    0.18865
  • SD of criterion
    0.22405
  • Covariance
    0.02558
  • r
    0.60517
  • b (slope, estimate of beta)
    0.71872
  • a (intercept, estimate of alpha)
    0.31319
  • Mean Square Error
    0.03206
  • DF error
    129.00000
  • t(b)
    8.63386
  • p(b)
    0.13975
  • t(a)
    1.23518
  • p(a)
    0.43131
  • Lowerbound of 95% confidence interval for beta
    0.55402
  • Upperbound of 95% confidence interval for beta
    0.88343
  • Lowerbound of 95% confidence interval for alpha
    -0.18848
  • Upperbound of 95% confidence interval for alpha
    0.81485
  • Treynor index (mean / b)
    0.27965
  • Jensen alpha (a)
    0.31319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02176
  • Expected Shortfall on VaR
    0.02739
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.01677
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93192
  • Quartile 1
    0.99974
  • Median
    1.00000
  • Quartile 3
    1.00221
  • Maximum
    1.04695
  • Mean of quarter 1
    0.98793
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.01542
  • Inter Quartile Range
    0.00248
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.98411
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.02037
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.90520
  • VaR(95%) (moments method)
    0.00434
  • Expected Shortfall (moments method)
    0.00491
  • Extreme Value Index (regression method)
    0.30541
  • VaR(95%) (regression method)
    0.01191
  • Expected Shortfall (regression method)
    0.02491
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00306
  • Median
    0.00614
  • Quartile 3
    0.03603
  • Maximum
    0.15698
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00562
  • Mean of quarter 3
    0.03139
  • Mean of quarter 4
    0.11173
  • Inter Quartile Range
    0.03296
  • 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
    0.11111
  • Mean of outliers high
    0.15698
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.40177
  • VaR(95%) (moments method)
    0.09242
  • Expected Shortfall (moments method)
    0.09706
  • Extreme Value Index (regression method)
    0.57076
  • VaR(95%) (regression method)
    0.18682
  • Expected Shortfall (regression method)
    0.49994
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24251
  • Compounded annual return (geometric extrapolation)
    0.25721
  • Calmar ratio (compounded annual return / max draw down)
    1.63854
  • Compounded annual return / average of 25% largest draw downs
    2.30203
  • Compounded annual return / Expected Shortfall lognormal
    9.39101

Strategy Description

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.

If you wish to review available broker data an NDA must be signed.

With the subscription you will obtain direct access to private blog commentaries as well as direct access to private communication channels.

As of Jan 2019, the account will also deploy a cash management strategy and the account size have change from 60k from inception to 320k on Jan 22 2019.

The data above is hypothetical and may differ from broker data which for example, pays interest on the account cash balance.

Summary Statistics

Includes fees & commissions
Strategy began
2017-01-29
Suggested Minimum Capital
$35,000
# Trades
194
# Profitable
166
% Profitable
85.6%
Correlation S&P500
0.315
Sharpe Ratio
0.575

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.