Collective2 Collective2
Featured Strategy Easiest +106.8% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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This is an archived track record. This track record was archived on 10/5/20 16:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Z111
(128034374)

Created by: WallStreetFreedom WallStreetFreedom
Started: 03/2020
Options
Last trade: 1,292 days ago
Trading style: Options Directional Bets

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
238.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(76.2%)
Max Drawdown
320
Num Trades
41.6%
Win Trades
1.6 : 1
Profit Factor
10.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (6.5%)+50.3%+12.1%+13.5%(25.5%)+52.7%(4.9%)+4.2%  -    -  +101.6%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 47 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1390 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/5/20 10:54 MRVL2115A45 MRVL Jan15'21 45 call LONG 4 2.63 10/5 16:55 2.66 n/a $6
Includes Typical Broker Commissions trade costs of $5.60
10/1/20 10:34 LULU2020K400 LULU Nov20'20 400 call LONG 2 5.00 10/5 16:55 4.10 0.38%
Trade id #131460433
Max drawdown($370)
Time10/2/20 0:00
Quant open2
Worst price3.15
Drawdown as % of equity-0.38%
 ($183)
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 12:08 PYPL2020K230 PYPL Nov20'20 230 call LONG 4 3.85 10/5 16:55 3.25 0.64%
Trade id #131440056
Max drawdown($616)
Time10/2/20 0:00
Quant open4
Worst price2.31
Drawdown as % of equity-0.64%
 ($246)
Includes Typical Broker Commissions trade costs of $5.60
9/24/20 12:57 DRI2016J120 DRI Oct16'20 120 call LONG 10 0.35 10/5 16:55 0.14 0.31%
Trade id #131346187
Max drawdown($300)
Time9/29/20 0:00
Quant open10
Worst price0.05
Drawdown as % of equity-0.31%
 ($224)
Includes Typical Broker Commissions trade costs of $14.00
9/24/20 9:48 MSFT2115A230 MSFT Jan15'21 230 call LONG 2 6.95 10/5 16:55 8.20 0.16%
Trade id #131340388
Max drawdown($150)
Time9/30/20 0:00
Quant open2
Worst price6.20
Drawdown as % of equity-0.16%
 $247
Includes Typical Broker Commissions trade costs of $2.80
9/23/20 9:53 DIS2115A150 DIS Jan15'21 150 call LONG 4 2.18 10/5 16:55 1.40 0.38%
Trade id #131313644
Max drawdown($372)
Time10/2/20 0:00
Quant open4
Worst price1.25
Drawdown as % of equity-0.38%
 ($318)
Includes Typical Broker Commissions trade costs of $5.60
9/23/20 9:50 FB2020K300 FB Nov20'20 300 call LONG 4 6.20 10/5 16:55 5.95 0.5%
Trade id #131313494
Max drawdown($480)
Time10/2/20 0:00
Quant open4
Worst price5.00
Drawdown as % of equity-0.50%
 ($106)
Includes Typical Broker Commissions trade costs of $5.60
9/22/20 10:03 YY2020K100 YY Nov20'20 100 call LONG 4 2.42 10/5 16:55 1.87 0.23%
Trade id #131291395
Max drawdown($220)
Time9/25/20 0:00
Quant open2
Worst price1.35
Drawdown as % of equity-0.23%
 ($228)
Includes Typical Broker Commissions trade costs of $5.60
9/18/20 13:19 XLK2016V105 XLK Oct16'20 105 put LONG 5 1.99 10/5 16:55 0.53 0.71%
Trade id #131246922
Max drawdown($684)
Time10/1/20 0:00
Quant open4
Worst price0.28
Drawdown as % of equity-0.71%
 ($737)
Includes Typical Broker Commissions trade costs of $7.60
9/18/20 12:16 NVDA2020K700 NVDA Nov20'20 700 call LONG 4 6.28 10/5 16:55 6.32 0.37%
Trade id #131245522
Max drawdown($360)
Time9/23/20 0:00
Quant open2
Worst price3.70
Drawdown as % of equity-0.37%
 $14
Includes Typical Broker Commissions trade costs of $5.90
9/17/20 13:17 GE2020K6 GE Nov20'20 6 call LONG 4 1.25 10/5 16:55 0.75 0.3%
Trade id #131226622
Max drawdown($288)
Time10/2/20 0:00
Quant open4
Worst price0.53
Drawdown as % of equity-0.30%
 ($206)
Includes Typical Broker Commissions trade costs of $5.60
9/15/20 9:50 NFLX2016J600 NFLX Oct16'20 600 call LONG 4 3.98 10/5 16:55 1.25 1.57%
Trade id #131179853
Max drawdown($1,522)
Time9/30/20 0:00
Quant open4
Worst price0.17
Drawdown as % of equity-1.57%
 ($1,096)
Includes Typical Broker Commissions trade costs of $5.60
9/14/20 10:21 SBUX2016J90 SBUX Oct16'20 90 call LONG 4 1.59 10/5 16:55 1.00 0.51%
Trade id #131160146
Max drawdown($496)
Time9/25/20 0:00
Quant open4
Worst price0.35
Drawdown as % of equity-0.51%
 ($242)
Includes Typical Broker Commissions trade costs of $5.60
9/10/20 14:14 BABA2016J320 BABA Oct16'20 320 call LONG 2 2.11 10/5 16:55 0.58 0.37%
Trade id #131114609
Max drawdown($360)
Time9/24/20 0:00
Quant open2
Worst price0.31
Drawdown as % of equity-0.37%
 ($309)
Includes Typical Broker Commissions trade costs of $2.80
9/3/20 10:21 RL2016J85 RL Oct16'20 85 call LONG 4 2.20 10/5 16:55 1.94 0.54%
Trade id #130978036
Max drawdown($500)
Time9/9/20 0:00
Quant open4
Worst price0.95
Drawdown as % of equity-0.54%
 ($109)
Includes Typical Broker Commissions trade costs of $6.20
8/24/20 13:42 QCOM2020K140 QCOM Nov20'20 140 call LONG 4 1.72 10/5 16:55 2.97 0.2%
Trade id #130762254
Max drawdown($184)
Time9/21/20 0:00
Quant open2
Worst price0.80
Drawdown as % of equity-0.20%
 $496
Includes Typical Broker Commissions trade costs of $5.60
8/13/20 13:29 MNST2018L100 MNST Dec18'20 100 call LONG 4 1.30 10/5 16:55 0.30 0.33%
Trade id #130606314
Max drawdown($320)
Time10/2/20 0:00
Quant open4
Worst price0.50
Drawdown as % of equity-0.33%
 ($406)
Includes Typical Broker Commissions trade costs of $5.60
8/5/20 10:14 TSM2115A100 TSM Jan15'21 100 call LONG 8 3.75 10/5 16:55 2.90 1.43%
Trade id #130469003
Max drawdown($1,380)
Time9/24/20 0:00
Quant open6
Worst price1.45
Drawdown as % of equity-1.43%
 ($693)
Includes Typical Broker Commissions trade costs of $11.20
7/28/20 13:39 TLRY2115A10 TLRY Jan15'21 10 call LONG 4 1.01 10/5 16:55 0.48 0.28%
Trade id #130321829
Max drawdown($258)
Time9/21/20 0:00
Quant open3
Worst price0.15
Drawdown as % of equity-0.28%
 ($218)
Includes Typical Broker Commissions trade costs of $5.90
6/16/20 12:19 LKNCY2221A5 LKNCY Jan21'22 5 call LONG 100 1.06 10/5 16:55 0.93 9.96%
Trade id #129583613
Max drawdown($7,296)
Time7/29/20 0:00
Quant open100
Worst price0.33
Drawdown as % of equity-9.96%
 ($1,436)
Includes Typical Broker Commissions trade costs of $140.00
6/11/20 10:24 EROS2221A5 EROS Jan21'22 5 call LONG 4 1.80 10/5 16:55 0.00 0.49%
Trade id #129493907
Max drawdown($460)
Time9/15/20 0:00
Quant open4
Worst price0.65
Drawdown as % of equity-0.49%
 ($726)
Includes Typical Broker Commissions trade costs of $5.60
6/4/20 11:05 LKNCY2115A5 LKNCY Jan15'21 5 call LONG 145 0.98 10/5 16:55 0.78 13.81%
Trade id #129356654
Max drawdown($9,164)
Time8/26/20 0:00
Quant open100
Worst price0.06
Drawdown as % of equity-13.81%
 ($3,086)
Includes Typical Broker Commissions trade costs of $203.00
9/30/20 10:02 LAC2020K12.5 LAC Nov20'20 12.5 call LONG 2 1.60 10/5 9:50 3.65 0.02%
Trade id #131435926
Max drawdown($20)
Time9/30/20 14:48
Quant open2
Worst price1.50
Drawdown as % of equity-0.02%
 $407
Includes Typical Broker Commissions trade costs of $3.40
9/28/20 10:06 DDOG2020K110 DDOG Nov20'20 110 call LONG 2 4.00 9/30 12:03 8.50 0.14%
Trade id #131393378
Max drawdown($140)
Time9/29/20 0:00
Quant open2
Worst price3.30
Drawdown as % of equity-0.14%
 $897
Includes Typical Broker Commissions trade costs of $2.80
9/21/20 13:14 TTD2016J550 TTD Oct16'20 550 call LONG 4 4.40 9/30 10:36 5.75 0.81%
Trade id #131275852
Max drawdown($780)
Time9/24/20 0:00
Quant open3
Worst price1.80
Drawdown as % of equity-0.81%
 $533
Includes Typical Broker Commissions trade costs of $6.80
7/23/20 12:42 TWTR2115A50 TWTR Jan15'21 50 call LONG 4 2.18 9/23 14:44 3.85 0.67%
Trade id #130242583
Max drawdown($444)
Time8/3/20 0:00
Quant open4
Worst price1.07
Drawdown as % of equity-0.67%
 $662
Includes Typical Broker Commissions trade costs of $5.90
9/14/20 10:22 CRWD2016J150 CRWD Oct16'20 150 call LONG 2 2.95 9/22 14:39 4.47 0.36%
Trade id #131160159
Max drawdown($332)
Time9/21/20 0:00
Quant open2
Worst price1.29
Drawdown as % of equity-0.36%
 $302
Includes Typical Broker Commissions trade costs of $3.40
9/16/20 13:10 CVNA2025I200 CVNA Sep25'20 200 call LONG 4 1.15 9/22 9:36 10.40 0.48%
Trade id #131204819
Max drawdown($444)
Time9/21/20 0:00
Quant open4
Worst price0.04
Drawdown as % of equity-0.48%
 $3,694
Includes Typical Broker Commissions trade costs of $5.60
9/21/20 15:37 AAPL2009J105 AAPL Oct9'20 105 call LONG 1 7.25 9/22 9:32 9.05 0%
Trade id #131279000
Max drawdown($2)
Time9/21/20 15:40
Quant open1
Worst price7.23
Drawdown as % of equity-0.00%
 $178
Includes Typical Broker Commissions trade costs of $2.00
9/19/20 9:35 RTX RAYTHEON TECHNOLOGIES CORP LONG 500 62.00 9/21 13:30 60.15 1.31%
Trade id #131254048
Max drawdown($1,185)
Time9/21/20 11:33
Quant open500
Worst price59.63
Drawdown as % of equity-1.31%
 ($935)
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    3/13/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1495.13
  • Age
    50 months ago
  • What it trades
    Options
  • # Trades
    320
  • # Profitable
    133
  • % Profitable
    41.60%
  • Avg trade duration
    15.4 days
  • Max peak-to-valley drawdown
    76.22%
  • drawdown period
    June 08, 2020 - Aug 19, 2020
  • Cumul. Return
    101.5%
  • Avg win
    $1,143
  • Avg loss
    $520.80
  • Model Account Values (Raw)
  • Cash
    $104,731
  • Margin Used
    $0
  • Buying Power
    $104,731
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    1.37
  • Calmar Ratio
    2.803
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    76.10%
  • Correlation to SP500
    0.12620
  • Return Percent SP500 (cumu) during strategy life
    83.82%
  • Return Statistics
  • Ann Return (w trading costs)
    238.6%
  • Slump
  • Current Slump as Pcnt Equity
    8.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.015%
  • Instruments
  • Percent Trades Options
    0.88%
  • Percent Trades Stocks
    0.12%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.7%
  • Automation
  • Percentage Signals Automated
    2.44%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    819
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    566
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $521
  • Avg Win
    $1,144
  • Sum Trade PL (losers)
    $97,389.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $152,120.000
  • # Winners
    133
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    187
  • % Winners
    41.6%
  • Frequency
  • Avg Position Time (mins)
    22169.20
  • Avg Position Time (hrs)
    369.49
  • Avg Trade Length
    15.4 days
  • Last Trade Ago
    1289
  • Leverage
  • Daily leverage (average)
    5.30
  • Daily leverage (max)
    25.45
  • Regression
  • Alpha
    0.04
  • Beta
    0.19
  • Treynor Index
    0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.61
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.429
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.332
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.316
  • Hold-and-Hope Ratio
    0.226
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.77458
  • SD
    1.08611
  • Sharpe ratio (Glass type estimate)
    1.63389
  • Sharpe ratio (Hedges UMVUE)
    1.37369
  • df
    5.00000
  • t
    1.15534
  • p
    0.15008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50581
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27331
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.56924
  • Upside Potential Ratio
    7.68483
  • Upside part of mean
    2.44869
  • Downside part of mean
    -0.67411
  • Upside SD
    1.06954
  • Downside SD
    0.31864
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.44136
  • Mean of criterion
    1.77458
  • SD of predictor
    0.12441
  • SD of criterion
    1.08611
  • Covariance
    -0.04117
  • r
    -0.30467
  • b (slope, estimate of beta)
    -2.65972
  • a (intercept, estimate of alpha)
    2.94847
  • Mean Square Error
    1.33767
  • DF error
    4.00000
  • t(b)
    -0.63975
  • p(b)
    0.72143
  • t(a)
    1.19949
  • p(a)
    0.14826
  • Lowerbound of 95% confidence interval for beta
    -14.20490
  • Upperbound of 95% confidence interval for beta
    8.88546
  • Lowerbound of 95% confidence interval for alpha
    -3.87766
  • Upperbound of 95% confidence interval for alpha
    9.77461
  • Treynor index (mean / b)
    -0.66721
  • Jensen alpha (a)
    2.94847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.28723
  • SD
    0.93655
  • Sharpe ratio (Glass type estimate)
    1.37443
  • Sharpe ratio (Hedges UMVUE)
    1.15555
  • df
    5.00000
  • t
    0.97187
  • p
    0.18787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20665
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01839
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69292
  • Upside Potential Ratio
    5.79101
  • Upside part of mean
    2.01855
  • Downside part of mean
    -0.73132
  • Upside SD
    0.86459
  • Downside SD
    0.34857
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.42745
  • Mean of criterion
    1.28723
  • SD of predictor
    0.11976
  • SD of criterion
    0.93655
  • Covariance
    -0.03337
  • r
    -0.29752
  • b (slope, estimate of beta)
    -2.32663
  • a (intercept, estimate of alpha)
    2.28175
  • Mean Square Error
    0.99935
  • DF error
    4.00000
  • t(b)
    -0.62327
  • p(b)
    0.71656
  • t(a)
    1.07031
  • p(a)
    0.17238
  • Lowerbound of 95% confidence interval for beta
    -12.69290
  • Upperbound of 95% confidence interval for beta
    8.03969
  • Lowerbound of 95% confidence interval for alpha
    -3.63839
  • Upperbound of 95% confidence interval for alpha
    8.20188
  • Treynor index (mean / b)
    -0.55326
  • Jensen alpha (a)
    2.28175
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28640
  • Expected Shortfall on VaR
    0.35956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13142
  • Expected Shortfall on VaR
    0.22099
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.81315
  • Quartile 1
    0.90099
  • Median
    1.12549
  • Quartile 3
    1.30937
  • Maximum
    1.62633
  • Mean of quarter 1
    0.84512
  • Mean of quarter 2
    0.97271
  • Mean of quarter 3
    1.27828
  • Mean of quarter 4
    1.47303
  • Inter Quartile Range
    0.40838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02729
  • Quartile 1
    0.09217
  • Median
    0.15704
  • Quartile 3
    0.22192
  • Maximum
    0.28680
  • Mean of quarter 1
    0.02729
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28680
  • Inter Quartile Range
    0.12975
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.80669
  • Compounded annual return (geometric extrapolation)
    2.62272
  • Calmar ratio (compounded annual return / max draw down)
    9.14487
  • Compounded annual return / average of 25% largest draw downs
    9.14487
  • Compounded annual return / Expected Shortfall lognormal
    7.29432
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.67561
  • SD
    0.86249
  • Sharpe ratio (Glass type estimate)
    1.94277
  • Sharpe ratio (Hedges UMVUE)
    1.93179
  • df
    133.00000
  • t
    1.38938
  • p
    0.42404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68221
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.16249
  • Upside Potential Ratio
    14.03720
  • Upside part of mean
    4.55611
  • Downside part of mean
    -2.88050
  • Upside SD
    0.80231
  • Downside SD
    0.32457
  • N nonnegative terms
    65.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.46403
  • Mean of criterion
    1.67561
  • SD of predictor
    0.37408
  • SD of criterion
    0.86249
  • Covariance
    0.05429
  • r
    0.16825
  • b (slope, estimate of beta)
    0.38794
  • a (intercept, estimate of alpha)
    0.73400
  • Mean Square Error
    0.72830
  • DF error
    132.00000
  • t(b)
    1.96106
  • p(b)
    0.41587
  • t(a)
    1.24963
  • p(a)
    0.44594
  • Lowerbound of 95% confidence interval for beta
    -0.00337
  • Upperbound of 95% confidence interval for beta
    0.77924
  • Lowerbound of 95% confidence interval for alpha
    -0.87186
  • Upperbound of 95% confidence interval for alpha
    3.86306
  • Treynor index (mean / b)
    4.31929
  • Jensen alpha (a)
    1.49560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.34394
  • SD
    0.78990
  • Sharpe ratio (Glass type estimate)
    1.70141
  • Sharpe ratio (Hedges UMVUE)
    1.69180
  • df
    133.00000
  • t
    1.21678
  • p
    0.43333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04988
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43993
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04405
  • Upside Potential Ratio
    12.87530
  • Upside part of mean
    4.27880
  • Downside part of mean
    -2.93486
  • Upside SD
    0.71815
  • Downside SD
    0.33232
  • N nonnegative terms
    65.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.39360
  • Mean of criterion
    1.34394
  • SD of predictor
    0.37689
  • SD of criterion
    0.78990
  • Covariance
    0.05215
  • r
    0.17516
  • b (slope, estimate of beta)
    0.36711
  • a (intercept, estimate of alpha)
    1.19945
  • Mean Square Error
    0.60938
  • DF error
    132.00000
  • t(b)
    2.04409
  • p(b)
    0.41242
  • t(a)
    1.09656
  • p(a)
    0.45249
  • Lowerbound of 95% confidence interval for beta
    0.01185
  • Upperbound of 95% confidence interval for beta
    0.72237
  • Lowerbound of 95% confidence interval for alpha
    -0.96426
  • Upperbound of 95% confidence interval for alpha
    3.36315
  • Treynor index (mean / b)
    3.66086
  • Jensen alpha (a)
    1.19945
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07239
  • Expected Shortfall on VaR
    0.09096
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02603
  • Expected Shortfall on VaR
    0.04741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.92809
  • Quartile 1
    0.97906
  • Median
    0.99952
  • Quartile 3
    1.01610
  • Maximum
    1.37861
  • Mean of quarter 1
    0.96390
  • Mean of quarter 2
    0.99257
  • Mean of quarter 3
    1.00519
  • Mean of quarter 4
    1.06348
  • Inter Quartile Range
    0.03703
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05224
  • Mean of outliers high
    1.17779
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04401
  • VaR(95%) (moments method)
    0.03794
  • Expected Shortfall (moments method)
    0.04941
  • Extreme Value Index (regression method)
    -0.00045
  • VaR(95%) (regression method)
    0.03201
  • Expected Shortfall (regression method)
    0.03878
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00199
  • Quartile 1
    0.00554
  • Median
    0.01121
  • Quartile 3
    0.09391
  • Maximum
    0.36786
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.00964
  • Mean of quarter 3
    0.08353
  • Mean of quarter 4
    0.25365
  • Inter Quartile Range
    0.08838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.36786
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.26671
  • VaR(95%) (moments method)
    0.22279
  • Expected Shortfall (moments method)
    0.27832
  • Extreme Value Index (regression method)
    1.32685
  • VaR(95%) (regression method)
    0.48569
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.93266
  • Compounded annual return (geometric extrapolation)
    2.83413
  • Calmar ratio (compounded annual return / max draw down)
    7.70440
  • Compounded annual return / average of 25% largest draw downs
    11.17340
  • Compounded annual return / Expected Shortfall lognormal
    31.15740
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.83564
  • SD
    0.86953
  • Sharpe ratio (Glass type estimate)
    2.11107
  • Sharpe ratio (Hedges UMVUE)
    2.09887
  • df
    130.00000
  • t
    1.49275
  • p
    0.43509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88239
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.67205
  • Upside Potential Ratio
    14.40050
  • Upside part of mean
    4.66045
  • Downside part of mean
    -2.82480
  • Upside SD
    0.81144
  • Downside SD
    0.32363
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69809
  • Mean of criterion
    1.83564
  • SD of predictor
    0.31707
  • SD of criterion
    0.86953
  • Covariance
    0.04846
  • r
    0.17577
  • b (slope, estimate of beta)
    0.48204
  • a (intercept, estimate of alpha)
    1.49913
  • Mean Square Error
    0.73841
  • DF error
    129.00000
  • t(b)
    2.02797
  • p(b)
    0.38868
  • t(a)
    1.22227
  • p(a)
    0.43201
  • Lowerbound of 95% confidence interval for beta
    0.01175
  • Upperbound of 95% confidence interval for beta
    0.95233
  • Lowerbound of 95% confidence interval for alpha
    -0.92756
  • Upperbound of 95% confidence interval for alpha
    3.92583
  • Treynor index (mean / b)
    3.80805
  • Jensen alpha (a)
    1.49913
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.49792
  • SD
    0.79604
  • Sharpe ratio (Glass type estimate)
    1.88171
  • Sharpe ratio (Hedges UMVUE)
    1.87084
  • df
    130.00000
  • t
    1.33057
  • p
    0.44204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65943
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91028
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65195
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51925
  • Upside Potential Ratio
    13.20480
  • Upside part of mean
    4.37678
  • Downside part of mean
    -2.87886
  • Upside SD
    0.72632
  • Downside SD
    0.33145
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64791
  • Mean of criterion
    1.49792
  • SD of predictor
    0.31455
  • SD of criterion
    0.79604
  • Covariance
    0.04583
  • r
    0.18302
  • b (slope, estimate of beta)
    0.46317
  • a (intercept, estimate of alpha)
    1.19783
  • Mean Square Error
    0.61720
  • DF error
    129.00000
  • t(b)
    2.11437
  • p(b)
    0.38414
  • t(a)
    1.06943
  • p(a)
    0.44041
  • VAR (95 Confidence Intrvl)
    0.05200
  • Lowerbound of 95% confidence interval for beta
    0.02976
  • Upperbound of 95% confidence interval for beta
    0.89658
  • Lowerbound of 95% confidence interval for alpha
    -1.01825
  • Upperbound of 95% confidence interval for alpha
    3.41391
  • Treynor index (mean / b)
    3.23408
  • Jensen alpha (a)
    1.19783
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07242
  • Expected Shortfall on VaR
    0.09114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02517
  • Expected Shortfall on VaR
    0.04648
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92809
  • Quartile 1
    0.98112
  • Median
    0.99976
  • Quartile 3
    1.01677
  • Maximum
    1.37861
  • Mean of quarter 1
    0.96381
  • Mean of quarter 2
    0.99339
  • Mean of quarter 3
    1.00588
  • Mean of quarter 4
    1.06491
  • Inter Quartile Range
    0.03565
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.17779
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02908
  • VaR(95%) (moments method)
    0.03759
  • Expected Shortfall (moments method)
    0.04887
  • Extreme Value Index (regression method)
    -0.01834
  • VaR(95%) (regression method)
    0.03151
  • Expected Shortfall (regression method)
    0.03806
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00199
  • Quartile 1
    0.00319
  • Median
    0.00807
  • Quartile 3
    0.08353
  • Maximum
    0.36786
  • Mean of quarter 1
    0.00268
  • Mean of quarter 2
    0.00562
  • Mean of quarter 3
    0.04217
  • Mean of quarter 4
    0.19875
  • Inter Quartile Range
    0.08033
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    0.36786
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10579
  • VaR(95%) (moments method)
    0.20195
  • Expected Shortfall (moments method)
    0.27258
  • Extreme Value Index (regression method)
    1.52463
  • VaR(95%) (regression method)
    0.39878
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -279229000
  • Max Equity Drawdown (num days)
    72
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.22960
  • Compounded annual return (geometric extrapolation)
    3.47238
  • Calmar ratio (compounded annual return / max draw down)
    9.43945
  • Compounded annual return / average of 25% largest draw downs
    17.47130
  • Compounded annual return / Expected Shortfall lognormal
    38.10080

Strategy Description

Only options strategy. Ideally you need 25K to 50K to be comfortable. Usually 4 to 8 options on a position. I removed 1/4 to 1/2 position on winning trades. Some smaller options have no stop loss, their value is lower and they are more volatile. Most trades has an automatic stop loss, we don't want to hold looser too long. Ask me for rebate before subscribing for your first month.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-03-13
Suggested Minimum Capital
$35,000
# Trades
320
# Profitable
133
% Profitable
41.6%
Correlation S&P500
0.126
Sharpe Ratio
0.53
Sortino Ratio
1.37
Beta
0.19
Alpha
0.04
Leverage
5.30 Average
25.45 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.