ELLIOTT WAVE OPTIONS
Volatility Strategy Performance
Summary Statistics
Figures Assume $5,000 Starting Capital
0
Total Trades
0%
Winning Trades %
0%
Cumulative Return on Account
0%
Monthly CAGR %
Performance Summary
| Period | Total Trades | Winning Trades | Win Rate % | Cumulative Return | Monthly CAGR % | Avg. Trade Size | Avg. Days per Trade | Avg. P/L per Trade | Win:Loss Ratio | Max Draw- down | Max. Consec. Winners | Max. Consec. losers |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| All | 132 | 102 | 77% | 310% | 54.8% | $434 | 49.5 | 35% | 3:1 | -35.9% | 20 | 3 |
| 2021 | 16 | 15 | 94% | 41% | 5.8% | $440 | 48.1 | 31% | 15:1 | -12.1% | 11 | 1 |
| 2020 | 36 | 30 | 83% | 71% | 4.6% | $428 | 74.6 | 28% | 5:1 | -35.9% | 10 | 3 |
| 2019 | 32 | 23 | 72% | 86% | 5.4% | $425 | 48.4 | 44% | 2:1 | -8.9% | 8 | 2 |
| 2018 | 48 | 34 | 71% | 112% | 6.5% | $419 | 32.0 | 39% | 2:1 | -15.4% | 9 | 3 |
Monthly Portfolio Returns
Non-compounded returns based on starting capital, reset each year. Results attributed to the month and year the trade was marked as closed.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 37.7% | 0.7% | 3.4% | -12.7% | 9.6% | 2.6% | – | – | – | – | – | – |
| 2020 | 7.50 | -21.80% | 5.10% | 3.20% | 12.30% | 6.00% | 5.00% | 4.20% | 9.4% | 14.3% | 13.8% | 12.0% |
| 2019 | 6.80% | 6.90% | 13.30% | 1.60% | 34.20% | 2.90% | 9.80% | 4.00% | 2.50% | 2.50% | 1.00% | 0.00% |
| 2018 | -5.10% | 31.40% | 11.90% | 0.60% | 0.00% | -16.60% | 7.00% | 13.00% | 0.00% | 25.40% | 23.20% | 21.20% |
Monthly Trade Returns
Returns based on initial entry debit or net initial margin requirement if a credit position.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 60.0% | 4.2% | 15.9% | -78.7% | 57.5% | 39.8% | – | – | – | – | – | – |
| 2020 | 15.10% | -66.30% | 31.30% | 37.40% | 38.30% | 38.50% | 18.10% | 44.20% | 52.7% | 41.0% | 38.0% | 44.0% |
| 2019 | 21.10% | 71.10% | 45.40% | 6.60% | 181.00% | 6.30% | 93.50% | 13.00% | 5.70% | 28.70% | 6.00% | 0.00% |
| 2018 | -21.70% | 53.40% | 46.50% | 2.00% | 0.00% | -48.00% | 39.80% | 80.20% | 0.20% | 29.50% | 56.00% | 46.10% |
Individual Trade History
Example Historical Trade Format
Trade ID: 216
MHK
Long Strangle
EWO Volatility Strategy
WIN
1 x Contracts
21Aug20
60 Put/105 Call
Entry
May 22, 2020
4.45 Db Fill
Exit
May 28, 2020
7.20 Cr Fill
5 Days in Trade
61.8% Return in
Capital
$275 P&L
