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Featured Strategy S2Prox0 +64.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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VXX Iron Condor Daily
(119171549)

Created by: Kees_vanHeugten Kees_vanHeugten
Started: 07/2018
Options
Last trade: 2,065 days ago

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 $70.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

3.3%
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.

(15.0%)
Max Drawdown
87
Num Trades
47.1%
Win Trades
1.5 : 1
Profit Factor
2.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          (0.1%)+18.9%+1.6%  -    -    -  +20.7%
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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.

Trading Record

This strategy has placed 75 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2073 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/20/18 10:23 VXX1831H31 VXX Aug31'18 31 call LONG 49 0.72 9/1 9:37 0.00 9.68%
Trade id #119512321
Max drawdown($3,507)
Time9/1/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-9.68%
 ($3,541)
Includes Typical Broker Commissions trade costs of $34.30
8/23/18 9:48 VXX1831T27 VXX Aug31'18 27 put SHORT 17 0.20 9/1 9:37 0.00 0.15%
Trade id #119566125
Max drawdown($52)
Time8/23/18 9:54
Quant open-17
Worst price0.23
Drawdown as % of equity-0.15%
 $327
Includes Typical Broker Commissions trade costs of $11.90
8/22/18 9:52 VXX1831T26.5 VXX Aug31'18 26.5 put SHORT 17 0.12 9/1 9:37 0.00 0.15%
Trade id #119548737
Max drawdown($51)
Time8/22/18 10:37
Quant open-17
Worst price0.15
Drawdown as % of equity-0.15%
 $192
Includes Typical Broker Commissions trade costs of $11.90
8/20/18 10:23 VXX1831T26 VXX Aug31'18 26 put SHORT 32 0.14 9/1 9:37 0.03 1.81%
Trade id #119512319
Max drawdown($633)
Time8/24/18 12:19
Quant open-15
Worst price0.56
Drawdown as % of equity-1.81%
 $322
Includes Typical Broker Commissions trade costs of $34.30
8/20/18 10:23 VXX1831T25 VXX Aug31'18 25 put LONG 49 0.04 9/1 9:37 0.00 0.49%
Trade id #119512317
Max drawdown($178)
Time9/1/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-0.49%
 ($212)
Includes Typical Broker Commissions trade costs of $34.30
8/22/18 9:52 VXX1831H30.5 VXX Aug31'18 30.5 call SHORT 17 0.95 9/1 9:37 0.00 0.2%
Trade id #119548741
Max drawdown($68)
Time8/22/18 9:56
Quant open-17
Worst price0.99
Drawdown as % of equity-0.20%
 $1,603
Includes Typical Broker Commissions trade costs of $11.90
8/22/18 9:52 VXX1831H31.5 VXX Aug31'18 31.5 call LONG 17 0.77 9/1 9:37 0.00 3.61%
Trade id #119548739
Max drawdown($1,309)
Time9/1/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-3.61%
 ($1,321)
Includes Typical Broker Commissions trade costs of $11.90
8/20/18 10:23 VXX1831H30 VXX Aug31'18 30 call SHORT 49 0.89 9/1 9:37 0.00 2.26%
Trade id #119512323
Max drawdown($771)
Time8/21/18 14:56
Quant open-32
Worst price1.23
Drawdown as % of equity-2.26%
 $4,332
Includes Typical Broker Commissions trade costs of $34.30
8/16/18 10:58 VXX1824T27.5 VXX Aug24'18 27.5 put SHORT 32 0.08 8/25 9:36 0.00 8.07%
Trade id #119469578
Max drawdown($2,716)
Time8/20/18 11:46
Quant open-32
Worst price0.93
Drawdown as % of equity-8.07%
 $238
Includes Typical Broker Commissions trade costs of $22.40
8/14/18 10:42 VXX1824H33.5 VXX Aug24'18 33.5 call LONG 16 0.94 8/25 9:36 0.00 4.25%
Trade id #119430563
Max drawdown($1,504)
Time8/25/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-4.25%
 ($1,515)
Includes Typical Broker Commissions trade costs of $11.20
8/16/18 10:58 VXX1824H31.5 VXX Aug24'18 31.5 call SHORT 32 0.92 8/25 9:36 0.00 1.35%
Trade id #119469605
Max drawdown($449)
Time8/17/18 10:25
Quant open-32
Worst price1.06
Drawdown as % of equity-1.35%
 $2,921
Includes Typical Broker Commissions trade costs of $22.40
8/14/18 10:42 VXX1824T26 VXX Aug24'18 26 put LONG 16 0.07 8/25 9:36 0.00 0.31%
Trade id #119430561
Max drawdown($110)
Time8/25/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.31%
 ($121)
Includes Typical Broker Commissions trade costs of $11.20
8/16/18 10:58 VXX1824T26.5 VXX Aug24'18 26.5 put LONG 32 0.03 8/25 9:36 0.00 0.26%
Trade id #119469590
Max drawdown($92)
Time8/25/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.26%
 ($114)
Includes Typical Broker Commissions trade costs of $22.40
8/14/18 10:42 VXX1824T27 VXX Aug24'18 27 put SHORT 16 0.14 8/25 9:36 0.00 0.11%
Trade id #119430559
Max drawdown($36)
Time8/14/18 15:08
Quant open-16
Worst price0.16
Drawdown as % of equity-0.11%
 $209
Includes Typical Broker Commissions trade costs of $11.20
8/17/18 10:06 VXX1824H32.5 VXX Aug24'18 32.5 call LONG 16 0.77 8/25 9:36 0.00 3.5%
Trade id #119486947
Max drawdown($1,239)
Time8/25/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-3.50%
 ($1,250)
Includes Typical Broker Commissions trade costs of $11.20
8/15/18 11:25 VXX1824H35.5 VXX Aug24'18 35.5 call SHORT 20 1.25 8/21 10:30 0.11 1.86%
Trade id #119452115
Max drawdown($512)
Time8/15/18 14:19
Quant open-20
Worst price1.51
Drawdown as % of equity-1.86%
 $2,260
Includes Typical Broker Commissions trade costs of $28.00
8/15/18 11:25 VXX1824H43 VXX Aug24'18 43 call LONG 20 0.48 8/21 10:30 0.05 2.56%
Trade id #119452113
Max drawdown($868)
Time8/21/18 9:59
Quant open20
Worst price0.05
Drawdown as % of equity-2.56%
 ($896)
Includes Typical Broker Commissions trade costs of $28.00
8/7/18 15:53 VXX1817T26.5 VXX Aug17'18 26.5 put SHORT 41 0.14 8/18 9:36 0.07 0.49%
Trade id #119327625
Max drawdown($143)
Time8/8/18 15:17
Quant open-11
Worst price0.27
Drawdown as % of equity-0.49%
 $229
Includes Typical Broker Commissions trade costs of $46.20
8/6/18 12:03 VXX1817T26 VXX Aug17'18 26 put LONG 16 0.06 8/18 9:36 0.00 0.28%
Trade id #119301058
Max drawdown($96)
Time8/18/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.28%
 ($107)
Includes Typical Broker Commissions trade costs of $11.20
8/7/18 15:53 VXX1817T25.5 VXX Aug17'18 25.5 put LONG 43 0.04 8/18 9:36 0.01 0.48%
Trade id #119327622
Max drawdown($161)
Time8/18/18 9:36
Quant open11
Worst price0.00
Drawdown as % of equity-0.48%
 ($199)
Includes Typical Broker Commissions trade costs of $38.10
8/6/18 12:03 VXX1817H31.5 VXX Aug17'18 31.5 call LONG 11 0.65 8/16 11:14 0.20 1.48%
Trade id #119301061
Max drawdown($495)
Time8/16/18 11:03
Quant open11
Worst price0.20
Drawdown as % of equity-1.48%
 ($511)
Includes Typical Broker Commissions trade costs of $15.70
8/16/18 11:04 VXX1817H31 VXX Aug17'18 31 call SHORT 15 0.32 8/16 11:06 0.32 0%
Trade id #119470003
Max drawdown$0
Time8/16/18 11:06
Quant open-15
Worst price0.32
Drawdown as % of equity0.00%
 ($21)
Includes Typical Broker Commissions trade costs of $21.00
8/10/18 11:14 VXX1817H32 VXX Aug17'18 32 call LONG 48 0.81 8/16 11:03 0.16 9.33%
Trade id #119380654
Max drawdown($3,126)
Time8/16/18 11:02
Quant open48
Worst price0.16
Drawdown as % of equity-9.33%
 ($3,193)
Includes Typical Broker Commissions trade costs of $67.20
8/10/18 11:14 VXX1817H31 VXX Aug17'18 31 call SHORT 48 1.05 8/16 11:03 0.31 37.84%
Trade id #119380656
Max drawdown($10,084)
Time8/15/18 10:57
Quant open-48
Worst price3.15
Drawdown as % of equity-37.84%
 $3,481
Includes Typical Broker Commissions trade costs of $67.20
8/6/18 12:03 VXX1817T27 VXX Aug17'18 27 put SHORT 16 0.17 8/16 11:00 0.01 1.68%
Trade id #119301056
Max drawdown($464)
Time8/15/18 15:34
Quant open-16
Worst price0.46
Drawdown as % of equity-1.68%
 $234
Includes Typical Broker Commissions trade costs of $22.40
8/3/18 11:14 VXX1817H37.5 VXX Aug17'18 37.5 call LONG 5 0.33 8/16 10:59 0.02 0.55%
Trade id #119271949
Max drawdown($156)
Time8/16/18 10:59
Quant open0
Worst price0.02
Drawdown as % of equity-0.55%
 ($163)
Includes Typical Broker Commissions trade costs of $7.00
8/3/18 11:14 VXX1817T27.5 VXX Aug17'18 27.5 put SHORT 5 0.19 8/16 10:58 0.01 0.85%
Trade id #119271943
Max drawdown($250)
Time8/8/18 15:17
Quant open-5
Worst price0.69
Drawdown as % of equity-0.85%
 $83
Includes Typical Broker Commissions trade costs of $7.00
8/7/18 15:53 VXX1817H29.5 VXX Aug17'18 29.5 call SHORT 16 0.74 8/16 10:58 0.92 21.98%
Trade id #119327628
Max drawdown($5,856)
Time8/15/18 10:53
Quant open-16
Worst price4.40
Drawdown as % of equity-21.98%
 ($310)
Includes Typical Broker Commissions trade costs of $22.40
8/14/18 10:42 VXX1824H32.5 VXX Aug24'18 32.5 call SHORT 16 1.12 8/16 10:58 0.66 9.66%
Trade id #119430565
Max drawdown($2,574)
Time8/15/18 10:54
Quant open-16
Worst price2.73
Drawdown as % of equity-9.66%
 $716
Includes Typical Broker Commissions trade costs of $22.40
8/1/18 16:00 VXX1810T28 VXX Aug10'18 28 put LONG 25 0.08 8/11 9:36 0.00 0.64%
Trade id #119235874
Max drawdown($204)
Time8/11/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.64%
 ($222)
Includes Typical Broker Commissions trade costs of $17.50
Next

Statistics

  • Strategy began
    7/28/2018
  • Suggested Minimum Cap
    $28,800
  • Strategy Age (days)
    2093.69
  • Age
    70 months ago
  • What it trades
    Options
  • # Trades
    87
  • # Profitable
    41
  • % Profitable
    47.10%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    15%
  • drawdown period
    Aug 13, 2018 - Aug 15, 2018
  • Annual Return (Compounded)
    3.3%
  • Avg win
    $603.83
  • Avg loss
    $364.87
  • Model Account Values (Raw)
  • Cash
    $36,773
  • Margin Used
    $0
  • Buying Power
    $36,773
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    0.15
  • Sortino Ratio
    0.34
  • Calmar Ratio
    2.597
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -55.53%
  • Correlation to SP500
    0.01800
  • Return Percent SP500 (cumu) during strategy life
    80.93%
  • Return Statistics
  • Ann Return (w trading costs)
    3.3%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.033%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $365
  • Avg Win
    $604
  • Sum Trade PL (losers)
    $16,784.000
  • Age
  • Num Months filled monthly returns table
    70
  • Win / Loss
  • Sum Trade PL (winners)
    $24,757.000
  • # Winners
    41
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    46
  • % Winners
    47.1%
  • Frequency
  • Avg Position Time (mins)
    6410.08
  • Avg Position Time (hrs)
    106.83
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2058
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.55
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.15
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.49
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    9.358
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.127
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.332
  • Hold-and-Hope Ratio
    0.107
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29930
  • SD
    0.27962
  • Sharpe ratio (Glass type estimate)
    1.07037
  • Sharpe ratio (Hedges UMVUE)
    0.97819
  • df
    9.00000
  • t
    0.97711
  • p
    0.17702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15899
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17226
  • Statistics related to Sortino ratio
  • Sortino ratio
    41.48870
  • Upside Potential Ratio
    44.58710
  • Upside part of mean
    0.32165
  • Downside part of mean
    -0.02235
  • Upside SD
    0.27889
  • Downside SD
    0.00721
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.69699
  • Mean of criterion
    0.29930
  • SD of predictor
    0.53782
  • SD of criterion
    0.27962
  • Covariance
    -0.01166
  • r
    -0.07755
  • b (slope, estimate of beta)
    -0.04032
  • a (intercept, estimate of alpha)
    0.32740
  • Mean Square Error
    0.08743
  • DF error
    8.00000
  • t(b)
    -0.22001
  • p(b)
    0.58431
  • t(a)
    0.94030
  • p(a)
    0.18729
  • Lowerbound of 95% confidence interval for beta
    -0.46292
  • Upperbound of 95% confidence interval for beta
    0.38228
  • Lowerbound of 95% confidence interval for alpha
    -0.47552
  • Upperbound of 95% confidence interval for alpha
    1.13032
  • Treynor index (mean / b)
    -7.42327
  • Jensen alpha (a)
    0.32740
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26536
  • SD
    0.24882
  • Sharpe ratio (Glass type estimate)
    1.06645
  • Sharpe ratio (Hedges UMVUE)
    0.97460
  • df
    9.00000
  • t
    0.97353
  • p
    0.17786
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16833
  • Statistics related to Sortino ratio
  • Sortino ratio
    36.82710
  • Upside Potential Ratio
    39.92550
  • Upside part of mean
    0.28769
  • Downside part of mean
    -0.02233
  • Upside SD
    0.24807
  • Downside SD
    0.00721
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.56382
  • Mean of criterion
    0.26536
  • SD of predictor
    0.49609
  • SD of criterion
    0.24882
  • Covariance
    -0.00775
  • r
    -0.06276
  • b (slope, estimate of beta)
    -0.03148
  • a (intercept, estimate of alpha)
    0.28311
  • Mean Square Error
    0.06938
  • DF error
    8.00000
  • t(b)
    -0.17786
  • p(b)
    0.56837
  • t(a)
    0.92729
  • p(a)
    0.19045
  • Lowerbound of 95% confidence interval for beta
    -0.43960
  • Upperbound of 95% confidence interval for beta
    0.37664
  • Lowerbound of 95% confidence interval for alpha
    -0.42093
  • Upperbound of 95% confidence interval for alpha
    0.98714
  • Treynor index (mean / b)
    -8.43020
  • Jensen alpha (a)
    0.28311
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09157
  • Expected Shortfall on VaR
    0.11812
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.25655
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.09090
  • Inter Quartile Range
    0.00000
  • 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
    0.20000
  • Mean of outliers high
    1.13635
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.33221
  • Compounded annual return (geometric extrapolation)
    0.34080
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.88521
  • 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
    0.26992
  • SD
    0.24859
  • Sharpe ratio (Glass type estimate)
    1.08580
  • Sharpe ratio (Hedges UMVUE)
    1.08236
  • df
    237.00000
  • t
    1.03488
  • p
    0.15089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14108
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51225
  • Upside Potential Ratio
    4.16493
  • Upside part of mean
    0.44748
  • Downside part of mean
    -0.17757
  • Upside SD
    0.22421
  • Downside SD
    0.10744
  • N nonnegative terms
    16.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    238.00000
  • Mean of predictor
    0.74894
  • Mean of criterion
    0.26992
  • SD of predictor
    0.47397
  • SD of criterion
    0.24859
  • Covariance
    0.00137
  • r
    0.01160
  • b (slope, estimate of beta)
    0.00609
  • a (intercept, estimate of alpha)
    0.26500
  • Mean Square Error
    0.06205
  • DF error
    236.00000
  • t(b)
    0.17827
  • p(b)
    0.42933
  • t(a)
    1.01050
  • p(a)
    0.15665
  • Lowerbound of 95% confidence interval for beta
    -0.06117
  • Upperbound of 95% confidence interval for beta
    0.07334
  • Lowerbound of 95% confidence interval for alpha
    -0.25199
  • Upperbound of 95% confidence interval for alpha
    0.78271
  • Treynor index (mean / b)
    44.35080
  • Jensen alpha (a)
    0.26536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24113
  • SD
    0.23587
  • Sharpe ratio (Glass type estimate)
    1.02227
  • Sharpe ratio (Hedges UMVUE)
    1.01903
  • df
    237.00000
  • t
    0.97433
  • p
    0.16544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07749
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13533
  • Upside Potential Ratio
    3.76224
  • Upside part of mean
    0.42484
  • Downside part of mean
    -0.18371
  • Upside SD
    0.20706
  • Downside SD
    0.11292
  • N nonnegative terms
    16.00000
  • N negative terms
    222.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    238.00000
  • Mean of predictor
    0.63620
  • Mean of criterion
    0.24113
  • SD of predictor
    0.47428
  • SD of criterion
    0.23587
  • Covariance
    0.00148
  • r
    0.01322
  • b (slope, estimate of beta)
    0.00658
  • a (intercept, estimate of alpha)
    0.23694
  • Mean Square Error
    0.05586
  • DF error
    236.00000
  • t(b)
    0.20315
  • p(b)
    0.41960
  • t(a)
    0.95220
  • p(a)
    0.17098
  • Lowerbound of 95% confidence interval for beta
    -0.05720
  • Upperbound of 95% confidence interval for beta
    0.07035
  • Lowerbound of 95% confidence interval for alpha
    -0.25328
  • Upperbound of 95% confidence interval for alpha
    0.72716
  • Treynor index (mean / b)
    36.66760
  • Jensen alpha (a)
    0.23694
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02279
  • Expected Shortfall on VaR
    0.02870
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00225
  • Expected Shortfall on VaR
    0.00513
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    238.00000
  • Minimum
    0.90040
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.19502
  • Mean of quarter 1
    0.99771
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00680
  • Inter Quartile Range
    0.00000
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03361
  • Mean of outliers low
    0.98279
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.06723
  • Mean of outliers high
    1.02551
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.25150
  • VaR(95%) (moments method)
    -0.00032
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.47753
  • VaR(95%) (regression method)
    -0.00114
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00020
  • Median
    0.00141
  • Quartile 3
    0.01082
  • Maximum
    0.11887
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00074
  • Mean of quarter 3
    0.00209
  • Mean of quarter 4
    0.06630
  • Inter Quartile Range
    0.01062
  • 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
    0.16667
  • Mean of outliers high
    0.11887
  • 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)
    0.30476
  • Compounded annual return (geometric extrapolation)
    0.30870
  • Calmar ratio (compounded annual return / max draw down)
    2.59701
  • Compounded annual return / average of 25% largest draw downs
    4.65602
  • Compounded annual return / Expected Shortfall lognormal
    10.75480
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67433
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.36124
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60860
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.36193
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6829570000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -52412999999999991215076979769344.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -551899000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Call writing with VXX options is profitable based on a backtest.. The VXX has a negative drift, meaning that there is a high probability that written OTM calls remain OTM at expiration. To reduce risk the short call is protected with a long call. In case of a spike in the VXX the call spread can result in a loss, but this loss is limited due to long call (max loss is the spread distance minus the premium received for the spread).

Althought the VXX has a negative drift, this drift is normally not unlimited. Therefore it is possible to write a OTM put option on the VXX, with a high probability that this option remains OTM at expiration. To avoid losses when the VXX decreases faster than expected, the put spread is protected with a long put.

The long call and long put have a distance of 1 compared with the short call and short put. Although the position has an high probability to result profitable with the short options alone, not only the long positions reduce risk, but also result in less margin requirement.. A short Iron Condor compared with an short Strangle is preferable: the premium received for an Iron Conder is lower compared with the Strangle, but taking into account the required margin results in a better risk return profile for the Iron Condor.

Since the system places Condors on a daily basis, positions are not closed when the short strikes are violated, because in that case a new position is opened. Also there is no dependence on the market condition (contango or backwardation), since the Iron Condor has both a call and put spread.

The risk is that the spreads are violated and the position is ITM at one leg. In that case there is loss. This loss is limited to the spread distance of 1 and te total premium received for the Iron Condor and trading costs. This is the max loss per position.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-07-28
Suggested Minimum Capital
$30,000
# Trades
87
# Profitable
41
% Profitable
47.1%
Correlation S&P500
0.018
Sharpe Ratio
0.15
Sortino Ratio
0.34
Beta
0.01
Alpha
0.00

Latest Activity

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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

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