Trading Study : SPK – E-Mini S&P 500 Option

Year-to-Date
0.00%
Mar Performance
0.00%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.50%
Sharpe (RFR=1%)
0.10
CAROR
1.47%
Assets
$ 0k
Worst DD
-12.79
S&P Correlation
-0.19

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
SPK – E-Mini S&P 500 Option 0.00 - 0.00 -2.40 4.28 0.89 - 14.73
S&P 500 1.79 - 13.07 7.33 36.22 49.85 - 170.73
+/- S&P 500 -1.79 - -13.07 -9.73 -31.94 -48.96 - -156.00

Strategy Description

Summary

SPK option trading is the proprietary model which has personally developed by Alexander Shpak and offered to our clients since September 2009. The SPK trading model is based on a technical analysis (Scheme Charts - charts compression technique) and statistical research of the last... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 15k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
6500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
8.37%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
95.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-purchasing
65.00%
Option-spreads
15.00%
Option-writing
10.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

SPK option trading is the proprietary model which has personally developed by Alexander Shpak and offered to our clients since September 2009. The SPK trading model is based on a technical analysis (Scheme Charts - charts compression technique) and statistical research of the last 20 years (since 1996) of the daily and intra-day changes of the United States stock markets.The strategy involves the trading of various series mini S&P puts and calls options on the S&P 500 future (ES, EW, EOM option series).

Investment Strategy

The trading involves combination of options strategies by buying and selling E-Mini S&P 500 options, usually between 2-6 weeks until expiration and depending on the current market conditions.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-12.79 8 2 6/1/2017 2/1/2018
-10.96 3 - 6/1/2018 9/1/2018
-8.37 3 7 9/1/2014 12/1/2014
-6.43 3 12 7/1/2015 10/1/2015
-3.95 5 5 6/1/2010 11/1/2010
-2.48 2 5 8/1/2013 10/1/2013
-2.26 2 3 4/1/2014 6/1/2014
-1.76 4 3 10/1/2016 2/1/2017
-1.56 1 3 4/1/2013 5/1/2013
-0.80 3 1 1/1/2010 4/1/2010
-0.48 20 1 7/1/2011 3/1/2013
-0.17 1 1 1/1/0001 10/1/2009
-0.02 1 1 5/1/2011 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
24.50 4 3/1/2018 6/1/2018
7.40 5 1/1/2015 5/1/2015
6.64 3 11/1/2009 1/1/2010
4.59 3 8/1/2016 10/1/2016
4.51 6 12/1/2010 5/1/2011
4.48 4 1/1/2014 4/1/2014
4.19 2 5/1/2010 6/1/2010
2.86 1 7/1/2015 7/1/2015
2.37 3 4/1/2016 6/1/2016
2.11 1 9/1/2015 9/1/2015
2.01 2 11/1/2015 12/1/2015
1.57 2 5/1/2017 6/1/2017
1.45 1 9/1/2014 9/1/2014
1.37 1 3/1/2017 3/1/2017
1.36 1 4/1/2013 4/1/2013
1.28 1 6/1/2013 6/1/2013
1.19 1 11/1/2014 11/1/2014
1.05 1 2/1/2016 2/1/2016
1.03 1 7/1/2014 7/1/2014
0.93 1 8/1/2013 8/1/2013
0.75 1 7/1/2011 7/1/2011
0.33 1 11/1/2013 11/1/2013
0.20 1 12/1/2017 12/1/2017
0.10 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.96 9 7/1/2018 3/1/2019
-7.60 5 7/1/2017 11/1/2017
-6.24 1 10/1/2014 10/1/2014
-6.22 1 8/1/2015 8/1/2015
-5.81 2 1/1/2018 2/1/2018
-3.95 5 7/1/2010 11/1/2010
-3.42 1 12/1/2014 12/1/2014
-2.48 2 9/1/2013 10/1/2013
-2.29 1 10/1/2015 10/1/2015
-2.26 2 5/1/2014 6/1/2014
-1.56 1 5/1/2013 5/1/2013
-1.14 2 1/1/2017 2/1/2017
-1.00 1 3/1/2016 3/1/2016
-0.82 1 1/1/2016 1/1/2016
-0.80 3 2/1/2010 4/1/2010
-0.73 1 11/1/2016 11/1/2016
-0.52 1 7/1/2013 7/1/2013
-0.48 20 8/1/2011 3/1/2013
-0.37 1 7/1/2016 7/1/2016
-0.17 1 10/1/2009 10/1/2009
-0.14 1 6/1/2015 6/1/2015
-0.11 1 8/1/2014 8/1/2014
-0.02 1 4/1/2017 4/1/2017
-0.02 1 6/1/2011 6/1/2011
-0.01 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods113.00112.00109.00103.0097.0091.0079.0067.0055.00
Percent Profitable42.4850.0055.0563.1167.0168.1381.0179.1087.27
Average Period Return0.140.450.591.311.582.132.903.413.97
Average Gain1.593.053.533.423.854.244.234.835.05
Average Loss-1.39-3.10-4.10-2.73-3.02-2.39-2.76-1.96-3.41
Best Period13.5819.6918.2910.8510.5014.4114.0814.7915.15
Worst Period-6.24-12.84-22.39-10.23-15.74-14.25-9.82-7.48-9.02
Standard Deviation2.164.395.213.794.234.523.893.974.37
Gain Standard Deviation2.053.993.952.492.533.512.832.963.31
Loss Standard Deviation1.733.214.452.793.112.802.462.403.65
Sharpe Ratio (1%)0.030.040.020.080.020.03-0.03-0.16-0.26
Average Gain / Average Loss1.140.980.861.251.271.771.532.471.48
Profit / Loss Ratio1.271.411.442.542.593.796.539.3410.15
Downside Deviation (10%)1.543.224.705.197.339.2713.4318.5624.05
Downside Deviation (5%)1.392.723.662.603.152.992.873.233.71
Downside Deviation (0%)1.362.623.452.162.472.061.591.381.71
Sortino Ratio (10%)-0.17-0.24-0.40-0.71-0.82-0.88-0.96-0.98-0.98
Sortino Ratio (5%)0.040.070.030.120.030.04-0.05-0.20-0.30
Sortino Ratio (0%)0.110.170.170.610.641.031.832.462.32

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 7 0.00 2/2019
Option Strategy Index Month 6 0.00 12/2018
Option Strategy Index Month 6 0.00 10/2018
Option Strategy Index Month 10 -3.90 7/2018
Option Strategy Index Month 1 4.02 6/2018
Stock Index Trader Index Month 1 4.02 6/2018
Discretionary Trader Index Month 5 4.02 6/2018
Option Strategy Index Month 7 0.11 5/2018
Stock Index Trader Index Month 3 5.26 4/2018
IASG CTA Index Month 3 5.26 4/2018
Discretionary Trader Index Month 3 5.26 4/2018
Option Strategy Index Month 2 5.26 4/2018
IASG CTA Index Month 3 5.26 4/2018
Stock Index Trader Index Month 3 5.26 4/2018
Discretionary Trader Index Month 3 5.26 4/2018
Option Strategy Index Month 2 5.26 4/2018
Stock Index Trader Index Month 1 13.58 3/2018
Option Strategy Index Month 1 13.58 3/2018
IASG CTA Index Month 2 13.58 3/2018
Discretionary Trader Index Month 2 13.58 3/2018
Option Strategy Index Month 5 -1.13 2/2018
Option Strategy Index Month 7 0.20 12/2017
Option Strategy Index Month 10 -0.21 7/2017
Option Strategy Index Month 10 1.37 3/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.