Quant Companion MCP

{ "strategy": "covered_call", "config": { "initialCapital": 100000, "riskFreeRate": 0.04, "daysToExpiration": 30, "targetDelta": 0.3, "optionSlippagePct": 0.02, "commissionPerContract": 0.65, "positionSizing": "percent_of_capital", "capitalPercentage": 0.25 }, "period": { "start": "2015-01-01", "end": "2025-12-01" }, "finalCapital": 175626.95674579672, "riskMetrics": { "totalReturn": 0.7533484380206583, "annualizedReturn": 0.10446452926094296, "annualizedVol": 0.3177451907815959, "sharpe": 0.32876824666953747, "sortino": 0.5416029081104459, "maxDrawdown": 0.4225929234060738, "sampleSize": 2712, "isReliable": true }, "stats": { "totalTrades": 184, "winningTrades": 26, "losingTrades": 65, "winRate": 0.14130434782608695, "totalPremiumCollected": 3947199.695154276, "totalAssignments": 91, "avgDaysHeld": 14.73913043478261, "avgPremiumPerTrade": 21452.17225627324 }, "tradesSample": [ { "tradeNum": 1, "date": "2015-02-17", "action": "BUY_STOCK", "strike": 0, "premium": 0, "contracts": 0, "stockPrice": 209.77999877929688, "iv": 0, "delta": 1, "daysToExp": 0, "pnl": 0, "equityAfter": 100000 }, { "tradeNum": 2, "date": "2015-02-18", "action": "SELL_CALL", "strike": 147.0770004272461, "premium": 62.245432074862954, "contracts": 4, "stockPrice": 210.11000061035156, "iv": 0.15866646816508667, "delta": 0.9999999999999989, "daysToExp": 30, "pnl": 0, "equityAfter": 125062.17573521863 }, { "tradeNum": 3, "date": "2015-04-01", "action": "EXPIRED", "strike": 147.0770004272461, "premium": 62.245432074862954, "contracts": 4, "stockPrice": 205.6999969482422, "iv": 0.16008678976974433, "delta": 0, "daysToExp": 0, "pnl": 1448.9742215467486, "equityAfter": 99504.29334996472 }, { "tradeNum": 4, "date": "2015-04-01", "action": "SELL_CALL", "strike": 144.50099487304692, "premium": 61.15522369229743, "contracts": 4, "stockPrice": 206.42999267578125, "iv": 0.16008678976974433, "delta": 0.9999999999999982, "daysToExp": 30, "pnl": 0, "equityAfter": 123963.78282688369 }, { "tradeNum": 5, "date": "2015-05-14", "action": "EXPIRED", "strike": 144.50099487304692, "premium": 61.15522369229743, "contracts": 4, "stockPrice": 212.2100067138672, "iv": 0.12194234807189583, "delta": 0, "daysToExp": 0, "pnl": -2621.515259409134, "equityAfter": 99978.94273899308 }, { "tradeNum": 6, "date": "2015-05-14", "action": "SELL_CALL", "strike": 147.0140029907227, "premium": 62.21877051224865, "contracts": 4, "stockPrice": 210.02000427246094, "iv": 0.12194234807189583, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 124863.85094389254 }, { "tradeNum": 7, "date": "2015-06-26", "action": "EXPIRED", "strike": 147.0140029907227, "premium": 62.21877051224865, "contracts": 4, "stockPrice": 209.82000732421875, "iv": 0.10808511438752064, "delta": 0, "daysToExp": 0, "pnl": -234.89352849895658, "equityAfter": 98603.80950102146 }, { "tradeNum": 8, "date": "2015-06-26", "action": "SELL_CALL", "strike": 146.90200042724615, "premium": 62.17136916508465, "contracts": 4, "stockPrice": 209.86000061035156, "iv": 0.10808511438752064, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 123469.75716705533 }, { "tradeNum": 9, "date": "2015-08-10", "action": "EXPIRED", "strike": 146.90200042724615, "premium": 62.17136916508465, "contracts": 4, "stockPrice": 210.57000732421875, "iv": 0.10747777248983999, "delta": 0, "daysToExp": 0, "pnl": -598.6550927551798, "equityAfter": 98359.55440826628 }, { "tradeNum": 10, "date": "2015-08-10", "action": "SELL_CALL", "strike": 145.56499786376958, "premium": 61.605527449472795, "contracts": 4, "stockPrice": 207.9499969482422, "iv": 0.10747777248983999, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 122999.16538805541 }, { "tradeNum": 11, "date": "2015-09-22", "action": "EXPIRED", "strike": 145.56499786376958, "premium": 61.605527449472795, "contracts": 4, "stockPrice": 193.91000366210938, "iv": 0.34556535492098817, "delta": 0, "daysToExp": 0, "pnl": 5304.208660453198, "equityAfter": 95731.00132555541 }, { "tradeNum": 12, "date": "2015-09-22", "action": "SELL_CALL", "strike": 137.52200469970705, "premium": 58.202141174923774, "contracts": 4, "stockPrice": 196.4600067138672, "iv": 0.34556535492098817, "delta": 0.999884685842455, "daysToExp": 30, "pnl": 0, "equityAfter": 119009.25779552491 }, { "tradeNum": 13, "date": "2015-11-03", "action": "EXPIRED", "strike": 137.52200469970705, "premium": 58.202141174923774, "contracts": 4, "stockPrice": 211, "iv": 0.13171965782510772, "delta": 0, "daysToExp": 0, "pnl": -6110.341650147671, "equityAfter": 97752.89793224368 }, { "tradeNum": 14, "date": "2015-11-03", "action": "SELL_CALL", "strike": 147.27299957275392, "premium": 62.32838217217932, "contracts": 4, "stockPrice": 210.38999938964844, "iv": 0.13171965782510772, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 122681.65080111541 }, { "tradeNum": 15, "date": "2015-12-16", "action": "EXPIRED", "strike": 147.27299957275392, "premium": 62.32838217217932, "contracts": 4, "stockPrice": 208.02999877929688, "iv": 0.1692165926608275, "delta": 0, "daysToExp": 0, "pnl": 628.5531862545431, "equityAfter": 96965.13053744353 }, { "tradeNum": 16, "date": "2015-12-16", "action": "SELL_CALL", "strike": 143.52099914550786, "premium": 60.74047320571566, "contracts": 4, "stockPrice": 205.02999877929688, "iv": 0.1692165926608275, "delta": 0.9999999999999508, "daysToExp": 30, "pnl": 0, "equityAfter": 121258.7198197298 }, { "tradeNum": 17, "date": "2016-02-01", "action": "EXPIRED", "strike": 143.52099914550786, "premium": 60.74047320571566, "contracts": 4, "stockPrice": 193.64999389648438, "iv": 0.2639736992667844, "delta": 0, "daysToExp": 0, "pnl": 4244.591381895658, "equityAfter": 94362.23959512044 }, { "tradeNum": 18, "date": "2016-02-01", "action": "SELL_CALL", "strike": 135.6040008544922, "premium": 57.38987017933132, "contracts": 4, "stockPrice": 193.72000122070312, "iv": 0.2639736992667844, "delta": 0.9999991826726222, "daysToExp": 30, "pnl": 0, "equityAfter": 117315.58766685297 }, { "tradeNum": 19, "date": "2016-03-15", "action": "EXPIRED", "strike": 135.6040008544922, "premium": 57.38987017933132, "contracts": 4, "stockPrice": 202.1699981689453, "iv": 0.1740417078523953, "delta": 0, "daysToExp": 0, "pnl": -3670.4508540487186, "equityAfter": 94744.71077476314 }, { "tradeNum": 20, "date": "2016-03-15", "action": "SELL_CALL", "strike": 141.75000000000006, "premium": 59.99095692039514, "contracts": 4, "stockPrice": 202.5, "iv": 0.1740417078523953, "delta": 0.9999999999997726, "daysToExp": 30, "pnl": 0, "equityAfter": 118738.49354292119 }, { "tradeNum": 21, "date": "2016-04-27", "action": "EXPIRED", "strike": 141.75000000000006, "premium": 59.99095692039514, "contracts": 4, "stockPrice": 209.35000610351562, "iv": 0.10980354288751867, "delta": 0, "daysToExp": 0, "pnl": -3043.619673248173, "equityAfter": 95116.17487837044 }, { "tradeNum": 22, "date": "2016-04-27", "action": "SELL_CALL", "strike": 146.24399871826176, "premium": 61.89289190104776, "contracts": 4, "stockPrice": 208.9199981689453, "iv": 0.10980354288751867, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 119870.73163878954 }, { "tradeNum": 23, "date": "2016-06-09", "action": "EXPIRED", "strike": 146.24399871826176, "premium": 61.89289190104776, "contracts": 4, "stockPrice": 212.0800018310547, "iv": 0.10648500181773246, "delta": 0, "daysToExp": 0, "pnl": -1577.2444846980652, "equityAfter": 94835.80835998096 }, { "tradeNum": 24, "date": "2016-06-09", "action": "SELL_CALL", "strike": 148.6589965820313, "premium": 62.91495915189956, "contracts": 4, "stockPrice": 212.3699951171875, "iv": 0.10648500181773246, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 119999.19202074078 }, { "tradeNum": 25, "date": "2016-07-22", "action": "EXPIRED", "strike": 148.6589965820313, "premium": 62.91495915189956, "contracts": 4, "stockPrice": 217.24000549316406, "iv": 0.22336340701049665, "delta": 0, "daysToExp": 0, "pnl": -2266.4199036932805, "equityAfter": 95022.95019945175 }, { "tradeNum": 26, "date": "2016-07-22", "action": "SELL_CALL", "strike": 151.3890029907227, "premium": 64.07034327458452, "contracts": 4, "stockPrice": 216.27000427246094, "iv": 0.22336340701049665, "delta": 0.9999999921057926, "daysToExp": 30, "pnl": 0, "equityAfter": 120648.48750928557 }, { "tradeNum": 27, "date": "2016-09-02", "action": "EXPIRED", "strike": 151.3890029907227, "premium": 64.07034327458452, "contracts": 4, "stockPrice": 218.3699951171875, "iv": 0.059076194039843516, "delta": 0, "daysToExp": 0, "pnl": -1164.2595407521112, "equityAfter": 94393.96571973478 }, { "tradeNum": 28, "date": "2016-09-02", "action": "SELL_CALL", "strike": 152.17299957275395, "premium": 64.40214364597071, "contracts": 4, "stockPrice": 217.38999938964844, "iv": 0.059076194039843516, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 120152.22317812307 }, { "tradeNum": 29, "date": "2016-10-17", "action": "EXPIRED", "strike": 152.17299957275395, "premium": 64.40214364597071, "contracts": 4, "stockPrice": 212.3800048828125, "iv": 0.11012299886902038, "delta": 0, "daysToExp": 0, "pnl": 1678.0553343648644, "equityAfter": 93218.18570253714 }, { "tradeNum": 30, "date": "2016-10-17", "action": "SELL_CALL", "strike": 149.18399658203128, "premium": 63.13714788123439, "contracts": 4, "stockPrice": 213.1199951171875, "iv": 0.11012299886902038, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 118470.4448550309 }, { "tradeNum": 31, "date": "2016-11-29", "action": "EXPIRED", "strike": 149.18399658203128, "premium": 63.13714788123439, "contracts": 4, "stockPrice": 220.91000366210938, "iv": 0.1194141578362306, "delta": 0, "daysToExp": 0, "pnl": -3435.543679537481, "equityAfter": 93840.32144194498 }, { "tradeNum": 32, "date": "2016-11-29", "action": "SELL_CALL", "strike": 154.33599700927738, "premium": 65.31756012592417, "contracts": 4, "stockPrice": 220.47999572753906, "iv": 0.1194141578362306, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 119964.74549231466 }, { "tradeNum": 33, "date": "2017-01-12", "action": "EXPIRED", "strike": 154.33599700927738, "premium": 65.31756012592417, "contracts": 4, "stockPrice": 226.52999877929688, "iv": 0.08533116577167957, "delta": 0, "daysToExp": 0, "pnl": -2750.5766576381284, "equityAfter": 93762.2624600881 }, { "tradeNum": 34, "date": "2017-01-12", "action": "SELL_CALL", "strike": 158.97000427246098, "premium": 67.2787490507527, "contracts": 4, "stockPrice": 227.10000610351562, "iv": 0.08533116577167957, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 120671.16208038917 }, { "tradeNum": 35, "date": "2017-02-27", "action": "EXPIRED", "strike": 158.97000427246098, "premium": 67.2787490507527, "contracts": 4, "stockPrice": 237.11000061035156, "iv": 0.05881550569026979, "delta": 0, "daysToExp": 0, "pnl": -4344.498914855154, "equityAfter": 94451.24441681497 }, { "tradeNum": 36, "date": "2017-02-27", "action": "SELL_CALL", "strike": 165.71800384521492, "premium": 70.13461467098493, "contracts": 4, "stockPrice": 236.74000549316406, "iv": 0.05881550569026979, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 122502.49028520894 }, { "tradeNum": 37, "date": "2017-04-10", "action": "EXPIRED", "strike": 165.71800384521492, "premium": 70.13461467098493, "contracts": 4, "stockPrice": 235.33999633789062, "iv": 0.08075576263103205, "delta": 0, "daysToExp": 0, "pnl": 205.04887132369186, "equityAfter": 93811.17125444725 }, { "tradeNum": 38, "date": "2017-04-10", "action": "SELL_CALL", "strike": 164.63999786376957, "premium": 69.67838461530373, "contracts": 4, "stockPrice": 235.1999969482422, "iv": 0.08075576263103205, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 121679.92510056874 }, { "tradeNum": 39, "date": "2017-05-23", "action": "EXPIRED", "strike": 164.63999786376957, "premium": 69.67838461530373, "contracts": 4, "stockPrice": 240.0500030517578, "iv": 0.09182934564165701, "delta": 0, "daysToExp": 0, "pnl": -2292.648229073806, "equityAfter": 93757.88622117424 }, { "tradeNum": 40, "date": "2017-05-23", "action": "SELL_CALL", "strike": 167.66400299072274, "premium": 70.95819386608392, "contracts": 4, "stockPrice": 239.52000427246094, "iv": 0.09182934564165701, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 122138.5637676078 }, { "tradeNum": 41, "date": "2017-07-06", "action": "EXPIRED", "strike": 167.66400299072274, "premium": 70.95819386608392, "contracts": 4, "stockPrice": 240.5500030517578, "iv": 0.0824164575885823, "delta": 0, "daysToExp": 0, "pnl": -771.1224779804616, "equityAfter": 93222.16374319377 }, { "tradeNum": 42, "date": "2017-07-06", "action": "SELL_CALL", "strike": 169.9390029907227, "premium": 71.92101169320138, "contracts": 4, "stockPrice": 242.77000427246094, "iv": 0.0824164575885823, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 121987.96842047432 }, { "tradeNum": 43, "date": "2017-08-17", "action": "EXPIRED", "strike": 169.9390029907227, "premium": 71.92101169320138, "contracts": 4, "stockPrice": 243.08999633789062, "iv": 0.07481881784132377, "delta": 0, "daysToExp": 0, "pnl": -491.9926615866134, "equityAfter": 93936.60788580638 }, { "tradeNum": 44, "date": "2017-08-17", "action": "SELL_CALL", "strike": 172.85800170898443, "premium": 73.1563804858499, "contracts": 4, "stockPrice": 246.94000244140625, "iv": 0.07481881784132377, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 123196.56008014634 }, { "tradeNum": 45, "date": "2017-09-29", "action": "EXPIRED", "strike": 172.85800170898443, "premium": 73.1563804858499, "contracts": 4, "stockPrice": 251.22999572753906, "iv": 0.0656748945227931, "delta": 0, "daysToExp": 0, "pnl": -2086.245413081895, "equityAfter": 95722.40218219715 }, { "tradeNum": 46, "date": "2017-09-29", "action": "SELL_CALL", "strike": 175.24500427246102, "premium": 74.16659966013134, "contracts": 4, "stockPrice": 250.35000610351562, "iv": 0.0656748945227931, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 125386.4420462497 }, { "tradeNum": 47, "date": "2017-11-10", "action": "EXPIRED", "strike": 175.24500427246102, "premium": 74.16659966013134, "contracts": 4, "stockPrice": 258.0899963378906, "iv": 0.05491908096057025, "delta": 0, "daysToExp": 0, "pnl": -3471.356962119309, "equityAfter": 95513.80551060519 }, { "tradeNum": 48, "date": "2017-11-10", "action": "SELL_CALL", "strike": 180.71900939941412, "premium": 76.4832896478073, "contracts": 4, "stockPrice": 258.1700134277344, "iv": 0.05491908096057025, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 126104.52136972811 }, { "tradeNum": 49, "date": "2017-12-26", "action": "EXPIRED", "strike": 180.71900939941412, "premium": 76.4832896478073, "contracts": 4, "stockPrice": 267.19000244140625, "iv": 0.07053383740566938, "delta": 0, "daysToExp": 0, "pnl": -3995.0813576739347, "equityAfter": 95847.7270582047 }, { "tradeNum": 50, "date": "2017-12-26", "action": "SELL_CALL", "strike": 187.25700683593755, "premium": 79.25027887221741, "contracts": 4, "stockPrice": 267.510009765625, "iv": 0.07053383740566938, "delta": 1, "daysToExp": 30, "pnl": 0, "equityAfter": 127545.23860709167 } ], "equityCurveSample": [ 100166.60290527344, 125277.54747532119, 123445.95571441861, 115069.00364489135, 121505.93022006072, 115473.46999107172, 122156.17731977666, 120270.50824388531, 117791.26724550588, 122530.72427397622, 123041.64004669776, 123207.88829636952, 122376.5637676078, 126100.16298541978, 127123.16834238436, 122994.67976920104, 133787.471945335, 131484.62501502404, 139399.29456595288, 127329.53039864187, 130092.68028083022, 136231.61898826732, 135951.27000922197, 133943.8480819435, 135759.00599202845, 137055.83947836992, 135453.33446566082, 132112.21985236608, 133147.31204492084, 139923.47773143012, 141007.18535777915, 146305.41464296778, 141051.48520913173, 147213.4671412422, 151578.7690658315, 135122.8318622713, 143261.2154273258, 128251.6918338525, 127528.03449762214, 144387.59532121604, 144710.18963760984, 140730.29740425432, 148827.70385510166, 144561.08468978718, 146656.1653161907, 153226.79814936212, 153411.38632110506, 155488.7837516298, 157269.63743961332, 160690.761433355, 159216.39110732148, 108369.13899456612, 161649.32697572446, 169387.83616462757, 182062.42475173168 ] }