Options Quant > Performance
TRADING APPROACH (SUMMARY)
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. The strategy creates a put ratio spread position and dynamically adjusts options positions based on the underlying index price movement.
Options Quant Trading Program uses a 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 buys 5 and sells 10 ES options in a $30,000 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 by buying to cover some short options positions. 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.
PERFORMANCE SUMMARY
ACTUAL TRADING RESULTS (BEFORE FEES)
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.
Former versions of the program:
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% | 0.77% | (1.93%) | The strategy was replaced by a newer version | 9.58% | 1,273.2 | ||
The current version of the trading program:
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul | Aug | Sep | Oct | Nov | Dec | Total | VAMI | |
| 2008 | See the latest strategy Backtesting Report | 9.58% | 1,273.2 | |||||||||||
September 2006 - September 2008: former versions of Options Quant trading programs (short strangles, short puts and short puts with partial hedging); December 2008 forward - the current version of the Options Quant Trading Program (put ratio spreads with adjustments). 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)
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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 OQ-ActualPerf 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.
Contact us to request monthly performance updates.
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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. |
