Thank you
The projected return of 40.29%… that would be calculated for one year?
Can you please explain the “Relative Risk” at 100%?
Hello all. So, risk is projected forward from 100% scaling. How much additional risk from the current risk you would be taking on if you scaled at 200%, 300% etc. This is based on the slope $2625. Currently the projected Risk of Ruin Monte-Carlo risk for the strategy of a 10% percent loss over the next year is N/A. I have noticed that C2 only has historically provided the following values to us for this strategy. Namely N/A, 0.5%, 1.0% and 2.0%. I believe N/A means the actual value has been rounded down to N/A so it is less than 0.25%. The Monte-Carlo value provided by C2 uses as its input the Maximum Drawdown. My MAXDD is $1500. So, back to the slope $2625. $2625 is MAXDD * 1.75 or $1500 padded by an additional 75%. If based on a MAXDD ($1500) the likelihood of a 10% loss is low (Monte-Carlo N/A), the likelihood of a $2625 loss is even less. The 75% pad was arbitrarily assigned by me. If that risk is extremely low then the only risk left is the extra risk you would have by having more than $25,000 invested I.e. more capital at risk. Therefore the relative risk of 200% is 9.5% more actual risk than 100% because the only additional risk is having a $30,250 investment vs a $27,650 investment at 100%. By the way, the investment at 100% of $27,650 is $25,000 (the Pattern Day Trade minimum) plus the $2625 (the historical MAXDD plus 75%); I don’t want to go below the PDT minimum and blow up the brokerage account and no longer be able to day trade(Note1 below). For each additional tranche of risk for each increment (200%, 300%, …) over 100% scaling, the slope ($2625) needs to be added to the associated capital requirement as additional options contracts will be being purchased (linearly more). If the risk at 100% scaling is quantified by $2625, the risk at 200% scaling is doubled ($5250) as twice the options contracts are being purchased. The daily profit also doubles. So if the daily profit at 100% was $150, the daily profit at 200% scaling would be $300. At 300% scaling, daily profit would be $450… etc. All of this is represented in the spreadsheet but all boils down to the formula for a line y=mx+b or y=($2625*x)+$25000 where y is capital investment required and x is scale factor. Return at any given scale factor starts at the annual return of 40.29%. This was the C2 annual return with trading cost at the time I made the spreadsheet. So, return goes up accordingly as you add more capital and risk relative to a scale of 100% and linearly more options contracts (or more daily profit). However, the most important factor in the equation is the slope m; which is $2625 or the historical max drawdown plus a 75% “comfort pad”. If the Monte-Carlo risk at $1500 drawdown is low then it should even be lower at slope m of $2625. The “black swan” event will be if a new MAXDD greater than $1500 occurs in the future. Then the slope m would need to be amended. However, I have even less risk now than I had when I had the $1500 drawdown.Because instead of trading so many options contracts in the driving IBKR brokerage account that C2 mirrors, I now became a subscriber to my strategy. Long winded answer. I hope it helps.
(Note1 to above): I need $25000 plus MAXDD plus comfort pad as a minimum in my driving brokerage account. If I don’t have that as a minimum, I risk no longer being able to day trade if the account falls below $25000. I can’t have a worse MAXDD greater than my historical worst, or I can’t have a string of losing days where the account falls below $25000. I mitigate one risk by adding more capital to the brokerage account, but I increase my total capital at risk. On the one hand I am lowering the risk of not being able to day trade but if Armageddon happens my total loss would be greater. Right now my IBKR accounts are at like $60,000 to both trade the GlennConti main manager account plus to scale at 200% in GlennConti3 username account.
Are there any brokers that give 4x buying power for U.S. equity options? Whenever I try to submit an IB order for a similar option transaction, the order screen says that my $27k can only buy $27k worth of option premium (which would control about $750,000 of TSLA shares using short-term at the money options).
Options require 100% margin (stock and future) anywhere. The 4* margin applies to stocks and some etf’s only.
Not to blame the trader and topic starter, but just to show why 1-2 months of the trading stats are negligible for parameters such as Sharpe, Calmar etc
Sep 26 (9 days ago):
Sharpe Ratio - 3.02
Sortino Ratio - 4.2
Calmar Ratio - 24.958
Today Oct 5:
Sharpe Ratio - 1.06
Sortino Ratio - 1.39
Calmar Ratio - 8.378
Forgot to add - nothing bad is happened, just around 8% drawdown.
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good luck @GlennConti - reviewing the grid there are no pure option plays with a drawdown lower than 35% that have lasted longer than a year.
Assuming most investors jump at 25% DD you may well be the first to break the trend - unfortunately C2’s stats suggests otherwise…
Regardless of your answer it is just money. We have all made and lost money if we have been doing this for any significant length of time. So I hope you are doing well @GlennConti. I did want to know though if you feel that you are still on track with your plan or have things changed for some reason?
I have been experimenting recently since the beginning of the month. I need more flexibility than I have when I try to go for small consistent gains that the subscribers desire. I should not take subscribers on the ride with me as I experiment. Therefore, I have closed the strategy to new subscribers.
They should probably look up for the bank account. 
In trading small consistent gains are followed by sudden large loss. Typically.
