Performance

Options Quant Trading Program is 100% systematic and focuses on collecting premium by selling short ("writing") put options on S&P 500 e-mini (ES) futures. The objective is to take advantage of time decay and retain all the premium collected as profit. Our strategy dynamically adjusts options positions based on the underlying index price movement.

Options Quant Trading Program uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to forecast market movements, no pattern recognition techniques, no fundamental analysis and no trading rules based on trader's experience. Since the results of these strategies are weakly correlated with other stock or commodity trading strategies, they can be an excellent complement to them.

Options Quant Trading Program sells 4 ES options with different strike prices in a $25,000 account. In determining the types of options to sell, the system considers criteria such as the current price and volatility range, probability to stay inside a range, the amount of time to expiration, current index volatility, and volatility plot skewness and smirkness. They give specific trading signals for the strike prices and expiration month of the options, which will generally expire in 35 days or less. The resulting positions are then implemented in the market. The trading system is always in the market, but portfolio can be adjusted at any time. Leverage is applied in line with client's preferred risk tolerance level. Read more on the trading strategies in the "Trading System" section of our web site. You can read here about the trading system developer.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

2006

1.04%

1.15%

3.24%

2.50%

8.15%

1,081.5

2007

0.51%

(4.80%)

5.47%

1.64%

3.07%

0.69%

(8.84%)

3.67%

1.56%

2.42%

2.63%

0.04%

7.43%

1,161.9

2008

2.40%

1.68%

1.65%

0.84%

1.22%

0.75%

1.94%

10.89%

1,288.4

September 2006 - July 2007: former versions of Options Quant trading programs (short strangles and short puts); August 2007 forward - the current version of the Options Quant Trading Program (put ratio spreads). The above table shows proprietary results of the conservative program, net of commissions, before trading signals/ performance fees. Trading signals fees should be deducted to reflect the actual performance in clients' trading - see this example. Rate of return figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the net performance by the previous month net asset value (NAV). To see the calculations, open this Excel table, and go to the OQ-ActualPerf tab. The chart below shows the growth of $1,000, by compounding yearly (the Value Added Monthly Index - VAMI).

The actual performance is based on end-of-month account equity, while the hypothetical performance (below the actual performance report) is calculated on the third Friday of the month - the options expiration day. For example, the actual February performance takes into account both profit/loss on closed/expired February contracts, as well as open profit/loss from March contracts. The February hypothetical report is based on closed/expired February contracts only. Profit/loss from March contracts is accounted in the March hypothetical performance. End of month returns, which are based on open trade profit/loss, frequently show drawdowns, that are more or less recovered at options expiration day.

Pro Forma Performance Analytics (Based on Actual Trading Results, Net of 20% Performance Fee)

Below are given backtesting results of the currently traded Options Quant Trading Program. These results are extrapolation into the past of the currently traded programs (i.e. how would the programs have performed if live traded in the past). Commissions and trading signals fees are not deducted. Please read the hypothetical performance disclaimer first. Hypothetical performance will be no longer tracked after June 2007 and the actual performance report will be only updated.

The test results below of our latest trading program are based on four (4) put options on S&P 500 e-mini futures contract (ES) hold short in account which size is equal to 1/3 of the nominal ES e-mini futures contract size (currently around $25,000).

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

1990

(3.75%)

3.04%

2.27%

2.35%

2.33%

1.82%

2.04%

(3.20%)

3.10%

2.95%

2.96%

2.55%

19.76%

$1,197.6

1991

2.88%

3.61%

2.26%

1.86%

1.74%

1.85%

1.72%

1.57%

1.61%

1.76%

1.58%

(3.09%)

21.00%

$1,449.0

1992

3.27%

2.46%

1.92%

1.64%

2.01%

1.94%

1.51%

1.63%

1.52%

1.85%

1.51%

25.45%

$1,817.7

1993

1.59%

1.67%

2.39%

1.69%

1.41%

1.61%

1.32%

1.28%

1.48%

1.35%

1.52%

20.25%

$2,185.8

1994

1.47%

1.48%

1.76%

(1.81%)

2.15%

1.41%

(1.81%)

1.46%

1.32%

(1.53%)

1.77%

1.75%

9.70%

$2,397.7

1995

1.70%

1.36%

1.29%

1.50%

1.43%

1.37%

1.55%

1.41%

1.23%

1.28%

1.30%

1.21%

17.94%

$2,827.8

1996

1.37%

2.45%

1.92%

2.06%

1.81%

1.87%

1.86%

1.93%

1.74%

1.64%

1.51%

1.47%

23.90%

$3,503.5

1997

2.36%

2.52%

2.48%

2.35%

2.90%

2.33%

2.14%

2.07%

2.47%

2.28%

(4.43%)

2.66%

24.24%

$4,352.9

1998

3.17%

2.96%

2.29%

1.98%

2.40%

2.27%

2.29%

(2.78%)

(2.77%)

3.94%

3.62%

2.55%

23.93%

$5,394.6

1999

3.36%

4.01%

3.36%

2.65%

2.74%

2.53%

2.21%

(1.73%)

2.42%

2.45%

2.65%

1.86%

32.41%

$7,142.8

2000

2.84%

2.54%

2.59%

1.12%

2.68%

2.51%

2.31%

1.93%

1.68%

(1.53%)

2.44%

2.38%

26.09%

$9,006.3

2001

3.16%

2.69%

(4.03%)

3.63%

2.82%

2.48%

2.81%

2.43%

(5.47%)

4.41%

3.63%

2.93%

23.08%

$11,085

2002

3.06%

2.80%

2.65%

2.52%

0.11%

(0.70%)

0.63%

3.79%

3.42%

3.90%

3.32%

3.09%

32.49%

$14,686

2003

3.76%

(2.38%)

3.84%

3.60%

2.51%

2.52%

2.33%

2.27%

2.22%

1.95%

2.01%

2.00%

29.96%

$19,086

2004

2.16%

2.26%

2.01%

2.28%

2.18%

2.22%

1.79%

1.87%

1.91%

1.58%

2.27%

1.38%

26.71%

$24,184

2005

1.78%

1.77%

1.42%

1.66%

1.89%

1.59%

1.28%

1.32%

1.49%

1.47%

1.73%

1.16%

20.22%

$29,074

2006

1.43%

1.41%

1.36%

1.52%

1.18%

1.97%

1.93%

1.73%

1.26%

1.29%

1.09%

0.99%

18.56%

$34,471

2007

1.25%

1.24%

(3.02%)

2.16%

1.48%

1.57%

4.69%

$36,086

Testing period	210 months (17.5 years)
Net profit on fixed capital, non-compounded	400.35%
Gross profit	450.07%
Gross loss	(49.72%)
Average annual rate of return (ROR)	23.27%
Average annualized compound ROR	22.74%
Annualized standard deviation of mon. RORs	5.22%
Average month (win&loss) / standard deviation of monthly RORs	1.73% / 1.51%
Approximate profit factor (gross profit / gross loss)	9.05
Winning months	194 (92.4%)
Losing months	16 (7.6%)
Average winning month	2.06%
Average losing month	(3.11%)

Ratio average win./average los. month	0.66
Max. monthly profit / loss	4.88% / (6.40%)
Max. consecutive winning / losing months	48 / 2
Worst drawdown (month end to month end)	(5.65%) / Aug-Sep, 1998
Worst intramonth drawdown, peak to valley	(22.64%) / Jul-Dec, 1998
Longest time to recover from losses	5 months
Sharpe Ratio (risk-free rate of return 4.6%)	3.48
Calmar Ratio	3.64
Type of trading	short ES options
Instruments traded	Options on S&P 500 e-mini (ES) futures
How generated	Back testing - Hypothetical
Account size	$25,000

Monthly rates of return (ROR) have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance by the previous month account equity. To see the calculations, open this Excel table and click on the Options Quant - Hypothetical tab. The VAMI (Value Added Monthly Index) charts above shows the hypothetical growth of $1,000, by compounding yearly. At www.fx-quant.com/formulas.htm you can see ROR formulas and read more on reinvesting.

Compounding is an efficient method for increasing your account equity exponentially by reinvesting profits from trading (see the VAMI chart above). By reinvesting profits and compounding yearly, a $20,000 principal (without yearly additions, at 23% annual ROR) grows into $1,000,000 in 19 years - try this Financial Calculator.

The above tables and charts document Options Quant's historical hypothetical performance based on back testing. Bid/ask spread equal to 10% of option's price is factored into calculations. Please note that performance results reported are before commissions and trading signals fees, which decrease returns, depending on the subscription plan. At the beginning of this page you can see actual trading results.

The nominal account size on January 1 each year should be close to 1/3 of the ES e-mini futures nominal contract size (currently $50 X ES e-mini price / 3 = $25,000). It is not recommended to trade the Options Quant Trading Program in smaller accounts. Up to 70% of the trading account can be invested in 3 month Treasury Bills, which are acceptable as a collateral (initial margin) for the short options positions. Interest from T-Bills adds to profit, but it is not taken into account in the hypothetical performance reports above.

You can further diversify your trading by trading the Options Quant trading program in combination with the FX Quant 11 trading program - see this hypothetical composite performance record.

Hypothetical Performance Disclaimer:

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS 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 THOSE SHOWN.

Risk Disclaimer

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. TRADING IN FOREIGN EXCHANGE IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION. PLEASE SEE THE COMPLETE RISK DISCLOSURE.