Collective2 Collective2
Featured Strategy Lazy Trading ES +44.6% Cumul. Return since Sep 25, 2024 Hypothetical

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MAR1 QUANT
(139591006)

Created by: EstoTrader EstoTrader
Started: 03/2022
Options
Last trade: Today
Trading style: Options Premium Collecting 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 $20.00 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
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
14.6%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(18.6%)
Max Drawdown
345
Num Trades
54.2%
Win Trades
1.3 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +5.9%(4.8%)+0.7%(6.5%)+2.9%(0.1%)(6.8%)+2.8%+1.7%+1.2%(3.9%)
2023(3.4%)+1.3%(0.2%)+2.5%+2.3%(0.9%)+1.1%(2.2%)(3.3%)(1.9%)+22.0%+0.5%+16.6%
2024(0.3%)(0.2%)(0.1%)+1.5%+27.0%  -  +5.3%(14%)+8.4%+2.5%+1.1%(0.1%)+30.2%

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 4 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 74 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/27/24 9:34 IWM2402X238 IWM Dec2'24 238 put LONG 3 0.32 12/3 8:05 0.00 0.13%
Trade id #150193628
Max drawdown($93)
Time12/2/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.13%
 ($98)
Includes Typical Broker Commissions trade costs of $2.10
11/26/24 9:35 IWM2429W238 IWM Nov29'24 238 put LONG 3 0.71 11/30 9:35 0.00 0.29%
Trade id #150183801
Max drawdown($210)
Time11/29/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.29%
 ($215)
Includes Typical Broker Commissions trade costs of $2.10
11/18/24 15:57 QQQ2420K500 QQQ Nov20'24 500 call LONG 5 3.55 11/20 15:57 3.78 1.8%
Trade id #150116426
Max drawdown($1,265)
Time11/20/24 14:23
Quant open5
Worst price1.02
Drawdown as % of equity-1.80%
 $108
Includes Typical Broker Commissions trade costs of $7.00
11/18/24 15:50 SPY2420K588 SPY Nov20'24 588 call LONG 5 2.79 11/20 15:54 2.67 1.42%
Trade id #150116365
Max drawdown($1,000)
Time11/20/24 14:23
Quant open5
Worst price0.79
Drawdown as % of equity-1.42%
 ($67)
Includes Typical Broker Commissions trade costs of $7.00
11/18/24 15:47 IWM2420K229 IWM Nov20'24 229 call LONG 6 1.33 11/20 15:49 1.20 0.87%
Trade id #150116201
Max drawdown($616)
Time11/20/24 14:19
Quant open6
Worst price0.30
Drawdown as % of equity-0.87%
 ($85)
Includes Typical Broker Commissions trade costs of $8.70
11/19/24 9:37 QQQ2427X570 QQQ Dec27'24 570 put SHORT 1 71.33 11/19 9:43 71.96 n/a ($65)
Includes Typical Broker Commissions trade costs of $2.00
10/11/24 9:33 SPY2415W535 SPY Nov15'24 535 put SHORT 1 2.76 11/16 9:35 0.00 0%
Trade id #149637370
Max drawdown($2)
Time10/11/24 9:48
Quant open1
Worst price2.78
Drawdown as % of equity-0.00%
 $275
Includes Typical Broker Commissions trade costs of $1.00
11/7/24 10:50 IWM2411W233 IWM Nov11'24 233 put LONG 2 0.44 11/12 8:05 0.00 0.12%
Trade id #150028733
Max drawdown($86)
Time11/11/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.12%
 ($90)
Includes Typical Broker Commissions trade costs of $2.00
10/7/24 9:32 SPY2408W530 SPY Nov8'24 530 put SHORT 1 2.80 11/9 9:35 0.00 0.13%
Trade id #149592999
Max drawdown($89)
Time10/7/24 15:46
Quant open1
Worst price3.69
Drawdown as % of equity-0.13%
 $279
Includes Typical Broker Commissions trade costs of $1.00
10/28/24 10:04 IWM2404W212 IWM Nov4'24 212 put SHORT 3 0.31 11/5 8:05 0.00 0.03%
Trade id #149863611
Max drawdown($24)
Time10/31/24 0:00
Quant open3
Worst price0.39
Drawdown as % of equity-0.03%
 $91
Includes Typical Broker Commissions trade costs of $2.10
11/4/24 14:14 IWM ISHARES RUSSELL 2000 INDEX LONG 100 220.80 11/4 14:15 220.79 0%
Trade id #149962436
Max drawdown($1)
Time11/4/24 14:15
Quant open100
Worst price220.79
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
10/29/24 9:31 IWM2401W217 IWM Nov1'24 217 put SHORT 1 1.14 11/2 9:35 0.00 0.03%
Trade id #149873249
Max drawdown($18)
Time10/31/24 0:00
Quant open1
Worst price1.32
Drawdown as % of equity-0.03%
 $113
Includes Typical Broker Commissions trade costs of $1.00
9/24/24 9:33 IWM2401W209 IWM Nov1'24 209 put SHORT 1 1.79 11/2 9:35 0.00 0.17%
Trade id #149491833
Max drawdown($117)
Time10/1/24 0:00
Quant open1
Worst price2.96
Drawdown as % of equity-0.17%
 $178
Includes Typical Broker Commissions trade costs of $1.00
9/23/24 9:32 QQQ2401W454 QQQ Nov1'24 454 put SHORT 1 3.63 11/2 9:35 0.00 0.11%
Trade id #149482055
Max drawdown($77)
Time10/1/24 0:00
Quant open1
Worst price4.40
Drawdown as % of equity-0.11%
 $362
Includes Typical Broker Commissions trade costs of $1.00
10/31/24 9:32 SPY2401K581 SPY Nov1'24 581 call LONG 2 0.86 11/2 9:35 0.00 0.24%
Trade id #149914851
Max drawdown($170)
Time11/1/24 0:00
Quant open2
Worst price0.01
Drawdown as % of equity-0.24%
 ($174)
Includes Typical Broker Commissions trade costs of $2.00
10/16/24 9:34 IWM2408W209 IWM Nov8'24 209 put SHORT 3 1.30 10/28 9:55 0.96 0.22%
Trade id #149672742
Max drawdown($156)
Time10/23/24 0:00
Quant open3
Worst price1.82
Drawdown as % of equity-0.22%
 $98
Includes Typical Broker Commissions trade costs of $4.20
9/20/24 9:36 QQQ2425V455 QQQ Oct25'24 455 put SHORT 1 3.35 10/26 9:35 0.00 0.11%
Trade id #149466247
Max drawdown($73)
Time9/20/24 11:16
Quant open1
Worst price4.08
Drawdown as % of equity-0.11%
 $334
Includes Typical Broker Commissions trade costs of $1.00
9/20/24 9:32 IWM2425V211 IWM Oct25'24 211 put SHORT 1 1.98 10/26 9:35 0.00 0.15%
Trade id #149466173
Max drawdown($100)
Time10/3/24 0:00
Quant open1
Worst price2.98
Drawdown as % of equity-0.15%
 $197
Includes Typical Broker Commissions trade costs of $1.00
10/21/24 11:37 IWM2425V217 IWM Oct25'24 217 put SHORT 1 0.53 10/26 9:35 0.00 0.11%
Trade id #149740063
Max drawdown($78)
Time10/23/24 0:00
Quant open1
Worst price1.31
Drawdown as % of equity-0.11%
 $52
Includes Typical Broker Commissions trade costs of $1.00
10/21/24 10:19 IWM2425V222 IWM Oct25'24 222 put SHORT 1 1.09 10/25 15:50 3.02 0.5%
Trade id #149730495
Max drawdown($351)
Time10/23/24 0:00
Quant open1
Worst price4.60
Drawdown as % of equity-0.50%
 ($195)
Includes Typical Broker Commissions trade costs of $2.00
10/22/24 9:32 IWM2423J224 IWM Oct23'24 224 call LONG 4 0.31 10/24 8:05 0.00 0.17%
Trade id #149782835
Max drawdown($120)
Time10/23/24 0:00
Quant open4
Worst price0.01
Drawdown as % of equity-0.17%
 ($127)
Includes Typical Broker Commissions trade costs of $2.80
8/19/24 11:25 TSLA2418V220 TSLA Oct18'24 220 put LONG 1 18.25 10/19 9:35 0.00 2.59%
Trade id #148953777
Max drawdown($1,824)
Time10/18/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-2.59%
 ($1,826)
Includes Typical Broker Commissions trade costs of $1.00
8/19/24 11:26 TSLA2418J220 TSLA Oct18'24 220 call SHORT 1 20.30 10/19 9:35 0.00 4.18%
Trade id #148953983
Max drawdown($2,855)
Time9/30/24 0:00
Quant open1
Worst price48.85
Drawdown as % of equity-4.18%
 $2,029
Includes Typical Broker Commissions trade costs of $1.00
4/29/24 11:09 TSLA TESLA INC. LONG 700 203.94 10/19 9:35 202.86 7.94%
Trade id #148038842
Max drawdown($5,769)
Time8/5/24 0:00
Quant open300
Worst price182.00
Drawdown as % of equity-7.94%
 ($769)
Includes Typical Broker Commissions trade costs of $14.00
10/10/24 9:33 IWM2411J218 IWM Oct11'24 218 call LONG 3 0.46 10/11 15:46 3.27 0.09%
Trade id #149626952
Max drawdown($64)
Time10/10/24 9:49
Quant open3
Worst price0.25
Drawdown as % of equity-0.09%
 $837
Includes Typical Broker Commissions trade costs of $4.80
10/8/24 9:32 IWM2409J220 IWM Oct9'24 220 call LONG 3 0.29 10/10 8:05 0.00 0.12%
Trade id #149604128
Max drawdown($83)
Time10/9/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.12%
 ($88)
Includes Typical Broker Commissions trade costs of $2.40
10/4/24 10:10 QQQ2404J485 QQQ Oct4'24 485 call LONG 2 0.90 10/4 15:48 2.05 0.11%
Trade id #149579055
Max drawdown($74)
Time10/4/24 11:49
Quant open2
Worst price0.53
Drawdown as % of equity-0.11%
 $227
Includes Typical Broker Commissions trade costs of $2.80
10/4/24 10:37 IWM2404J218 IWM Oct4'24 218 call LONG 1 0.60 10/4 15:43 1.21 0.01%
Trade id #149579259
Max drawdown($10)
Time10/4/24 11:22
Quant open1
Worst price0.50
Drawdown as % of equity-0.01%
 $59
Includes Typical Broker Commissions trade costs of $2.00
10/2/24 9:34 IWM2402J220 IWM Oct2'24 220 call LONG 2 0.07 10/3 8:05 0.00 0.02%
Trade id #149558885
Max drawdown($12)
Time10/2/24 12:38
Quant open2
Worst price0.01
Drawdown as % of equity-0.02%
 ($15)
Includes Typical Broker Commissions trade costs of $1.40
9/16/24 9:32 IWM2420U213 IWM Sep20'24 213 put SHORT 1 1.25 9/21 9:35 0.00 0.07%
Trade id #149400580
Max drawdown($47)
Time9/16/24 10:33
Quant open1
Worst price1.72
Drawdown as % of equity-0.07%
 $124
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    3/1/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1008.02
  • Age
    34 months ago
  • What it trades
    Options
  • # Trades
    345
  • # Profitable
    187
  • % Profitable
    54.20%
  • Avg trade duration
    15.7 days
  • Max peak-to-valley drawdown
    18.57%
  • drawdown period
    July 11, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    14.6%
  • Avg win
    $551.14
  • Avg loss
    $491.09
  • Model Account Values (Raw)
  • Cash
    $46,509
  • Margin Used
    $7,494
  • Buying Power
    $43,773
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.68
  • Sortino Ratio
    1.1
  • Calmar Ratio
    1.276
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.77%
  • Correlation to SP500
    0.35130
  • Return Percent SP500 (cumu) during strategy life
    40.43%
  • Return Statistics
  • Ann Return (w trading costs)
    14.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • Instruments
  • Short Options - Percent Covered
    14.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.146%
  • Instruments
  • Percent Trades Options
    0.92%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    25.50%
  • Chance of 30% account loss
    5.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    569
  • Popularity (Last 6 weeks)
    856
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    949
  • Popularity (7 days, Percentile 1000 scale)
    848
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $492
  • Avg Win
    $552
  • Sum Trade PL (losers)
    $77,733.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $103,201.000
  • # Winners
    187
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    158
  • % Winners
    54.2%
  • Frequency
  • Avg Position Time (mins)
    22546.90
  • Avg Position Time (hrs)
    375.78
  • Avg Trade Length
    15.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.85
  • Daily leverage (max)
    7.37
  • Regression
  • Alpha
    0.03
  • Beta
    0.33
  • Treynor Index
    0.11
  • 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)
    -2.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.305
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.031
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.127
  • Hold-and-Hope Ratio
    0.076
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15541
  • SD
    0.21019
  • Sharpe ratio (Glass type estimate)
    0.73939
  • Sharpe ratio (Hedges UMVUE)
    0.72072
  • df
    30.00000
  • t
    1.18840
  • p
    0.12200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95371
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84555
  • Upside Potential Ratio
    3.66623
  • Upside part of mean
    0.30873
  • Downside part of mean
    -0.15332
  • Upside SD
    0.19410
  • Downside SD
    0.08421
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.11418
  • Mean of criterion
    0.15541
  • SD of predictor
    0.16505
  • SD of criterion
    0.21019
  • Covariance
    0.02065
  • r
    0.59528
  • b (slope, estimate of beta)
    0.75807
  • a (intercept, estimate of alpha)
    0.06885
  • Mean Square Error
    0.02951
  • DF error
    29.00000
  • t(b)
    3.98954
  • p(b)
    0.00021
  • t(a)
    0.63137
  • p(a)
    0.26637
  • Lowerbound of 95% confidence interval for beta
    0.36945
  • Upperbound of 95% confidence interval for beta
    1.14669
  • Lowerbound of 95% confidence interval for alpha
    -0.15419
  • Upperbound of 95% confidence interval for alpha
    0.29190
  • Treynor index (mean / b)
    0.20501
  • Jensen alpha (a)
    0.06885
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13444
  • SD
    0.19870
  • Sharpe ratio (Glass type estimate)
    0.67660
  • Sharpe ratio (Hedges UMVUE)
    0.65952
  • df
    30.00000
  • t
    1.08748
  • p
    0.14274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89031
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55392
  • Upside Potential Ratio
    3.36437
  • Upside part of mean
    0.29107
  • Downside part of mean
    -0.15663
  • Upside SD
    0.17952
  • Downside SD
    0.08652
  • N nonnegative terms
    16.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.10041
  • Mean of criterion
    0.13444
  • SD of predictor
    0.16405
  • SD of criterion
    0.19870
  • Covariance
    0.01966
  • r
    0.60324
  • b (slope, estimate of beta)
    0.73065
  • a (intercept, estimate of alpha)
    0.06108
  • Mean Square Error
    0.02598
  • DF error
    29.00000
  • t(b)
    4.07310
  • p(b)
    0.00016
  • t(a)
    0.59944
  • p(a)
    0.27677
  • Lowerbound of 95% confidence interval for beta
    0.36377
  • Upperbound of 95% confidence interval for beta
    1.09753
  • Lowerbound of 95% confidence interval for alpha
    -0.14731
  • Upperbound of 95% confidence interval for alpha
    0.26946
  • Treynor index (mean / b)
    0.18400
  • Jensen alpha (a)
    0.06108
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07978
  • Expected Shortfall on VaR
    0.10137
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02904
  • Expected Shortfall on VaR
    0.05482
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.92515
  • Quartile 1
    0.98561
  • Median
    1.00509
  • Quartile 3
    1.02902
  • Maximum
    1.22464
  • Mean of quarter 1
    0.95915
  • Mean of quarter 2
    0.99634
  • Mean of quarter 3
    1.01199
  • Mean of quarter 4
    1.09322
  • Inter Quartile Range
    0.04340
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.16186
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.76863
  • VaR(95%) (moments method)
    0.03739
  • Expected Shortfall (moments method)
    0.03845
  • Extreme Value Index (regression method)
    -0.48920
  • VaR(95%) (regression method)
    0.05878
  • Expected Shortfall (regression method)
    0.07071
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00486
  • Quartile 1
    0.04072
  • Median
    0.07658
  • Quartile 3
    0.10003
  • Maximum
    0.12348
  • Mean of quarter 1
    0.00486
  • Mean of quarter 2
    0.07658
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12348
  • Inter Quartile Range
    0.05931
  • 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)
    0.20169
  • Compounded annual return (geometric extrapolation)
    0.17627
  • Calmar ratio (compounded annual return / max draw down)
    1.42752
  • Compounded annual return / average of 25% largest draw downs
    1.42752
  • Compounded annual return / Expected Shortfall lognormal
    1.73879
  • 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
    0.14596
  • SD
    0.16182
  • Sharpe ratio (Glass type estimate)
    0.90194
  • Sharpe ratio (Hedges UMVUE)
    0.90095
  • df
    679.00000
  • t
    1.45306
  • p
    0.07333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11848
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45158
  • Upside Potential Ratio
    6.36321
  • Upside part of mean
    0.63982
  • Downside part of mean
    -0.49387
  • Upside SD
    0.12696
  • Downside SD
    0.10055
  • N nonnegative terms
    368.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    680.00000
  • Mean of predictor
    0.11843
  • Mean of criterion
    0.14596
  • SD of predictor
    0.17949
  • SD of criterion
    0.16182
  • Covariance
    0.01056
  • r
    0.36359
  • b (slope, estimate of beta)
    0.32780
  • a (intercept, estimate of alpha)
    0.10700
  • Mean Square Error
    0.02276
  • DF error
    678.00000
  • t(b)
    10.16290
  • p(b)
    0.00000
  • t(a)
    1.14315
  • p(a)
    0.12669
  • Lowerbound of 95% confidence interval for beta
    0.26447
  • Upperbound of 95% confidence interval for beta
    0.39113
  • Lowerbound of 95% confidence interval for alpha
    -0.07688
  • Upperbound of 95% confidence interval for alpha
    0.29115
  • Treynor index (mean / b)
    0.44526
  • Jensen alpha (a)
    0.10714
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13289
  • SD
    0.16133
  • Sharpe ratio (Glass type estimate)
    0.82373
  • Sharpe ratio (Hedges UMVUE)
    0.82283
  • df
    679.00000
  • t
    1.32706
  • p
    0.09247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04020
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28496
  • Upside Potential Ratio
    6.11052
  • Upside part of mean
    0.63195
  • Downside part of mean
    -0.49906
  • Upside SD
    0.12393
  • Downside SD
    0.10342
  • N nonnegative terms
    368.00000
  • N negative terms
    312.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    680.00000
  • Mean of predictor
    0.10229
  • Mean of criterion
    0.13289
  • SD of predictor
    0.17968
  • SD of criterion
    0.16133
  • Covariance
    0.01067
  • r
    0.36800
  • b (slope, estimate of beta)
    0.33040
  • a (intercept, estimate of alpha)
    0.09909
  • Mean Square Error
    0.02253
  • DF error
    678.00000
  • t(b)
    10.30520
  • p(b)
    0.00000
  • t(a)
    1.06281
  • p(a)
    0.14412
  • Lowerbound of 95% confidence interval for beta
    0.26745
  • Upperbound of 95% confidence interval for beta
    0.39336
  • Lowerbound of 95% confidence interval for alpha
    -0.08398
  • Upperbound of 95% confidence interval for alpha
    0.28216
  • Treynor index (mean / b)
    0.40221
  • Jensen alpha (a)
    0.09909
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01576
  • Expected Shortfall on VaR
    0.01985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00394
  • Expected Shortfall on VaR
    0.00905
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    680.00000
  • Minimum
    0.89869
  • Quartile 1
    0.99905
  • Median
    1.00023
  • Quartile 3
    1.00185
  • Maximum
    1.07942
  • Mean of quarter 1
    0.99289
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00085
  • Mean of quarter 4
    1.00912
  • Inter Quartile Range
    0.00280
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.98616
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.10588
  • Mean of outliers high
    1.01707
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63817
  • VaR(95%) (moments method)
    0.00504
  • Expected Shortfall (moments method)
    0.01628
  • Extreme Value Index (regression method)
    0.33387
  • VaR(95%) (regression method)
    0.00565
  • Expected Shortfall (regression method)
    0.01132
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00029
  • Median
    0.00135
  • Quartile 3
    0.01902
  • Maximum
    0.13672
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00082
  • Mean of quarter 3
    0.01201
  • Mean of quarter 4
    0.07938
  • Inter Quartile Range
    0.01872
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11008
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00463
  • VaR(95%) (moments method)
    0.05549
  • Expected Shortfall (moments method)
    0.07906
  • Extreme Value Index (regression method)
    -1.70454
  • VaR(95%) (regression method)
    0.08987
  • Expected Shortfall (regression method)
    0.09249
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19955
  • Compounded annual return (geometric extrapolation)
    0.17445
  • Calmar ratio (compounded annual return / max draw down)
    1.27598
  • Compounded annual return / average of 25% largest draw downs
    2.19758
  • Compounded annual return / Expected Shortfall lognormal
    8.79046
  • 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
    0.20146
  • SD
    0.19629
  • Sharpe ratio (Glass type estimate)
    1.02633
  • Sharpe ratio (Hedges UMVUE)
    1.02039
  • df
    130.00000
  • t
    0.72572
  • p
    0.46824
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34497
  • Upside Potential Ratio
    4.18010
  • Upside part of mean
    0.62613
  • Downside part of mean
    -0.42467
  • Upside SD
    0.12631
  • Downside SD
    0.14979
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27579
  • Mean of criterion
    0.20146
  • SD of predictor
    0.14364
  • SD of criterion
    0.19629
  • Covariance
    0.01164
  • r
    0.41282
  • b (slope, estimate of beta)
    0.56417
  • a (intercept, estimate of alpha)
    0.04587
  • Mean Square Error
    0.03221
  • DF error
    129.00000
  • t(b)
    5.14793
  • p(b)
    0.24486
  • t(a)
    0.17945
  • p(a)
    0.48994
  • Lowerbound of 95% confidence interval for beta
    0.34734
  • Upperbound of 95% confidence interval for beta
    0.78099
  • Lowerbound of 95% confidence interval for alpha
    -0.45987
  • Upperbound of 95% confidence interval for alpha
    0.55160
  • Treynor index (mean / b)
    0.35709
  • Jensen alpha (a)
    0.04587
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18171
  • SD
    0.20055
  • Sharpe ratio (Glass type estimate)
    0.90609
  • Sharpe ratio (Hedges UMVUE)
    0.90085
  • df
    130.00000
  • t
    0.64070
  • p
    0.47195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67482
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15480
  • Upside Potential Ratio
    3.92949
  • Upside part of mean
    0.61832
  • Downside part of mean
    -0.43660
  • Upside SD
    0.12360
  • Downside SD
    0.15735
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26532
  • Mean of criterion
    0.18171
  • SD of predictor
    0.14430
  • SD of criterion
    0.20055
  • Covariance
    0.01239
  • r
    0.42824
  • b (slope, estimate of beta)
    0.59514
  • a (intercept, estimate of alpha)
    0.02381
  • Mean Square Error
    0.03310
  • DF error
    129.00000
  • t(b)
    5.38243
  • p(b)
    0.23595
  • t(a)
    0.09193
  • p(a)
    0.49485
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.37637
  • Upperbound of 95% confidence interval for beta
    0.81391
  • Lowerbound of 95% confidence interval for alpha
    -0.48853
  • Upperbound of 95% confidence interval for alpha
    0.53614
  • Treynor index (mean / b)
    0.30533
  • Jensen alpha (a)
    0.02381
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01949
  • Expected Shortfall on VaR
    0.02455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00307
  • Expected Shortfall on VaR
    0.00757
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89869
  • Quartile 1
    0.99951
  • Median
    1.00026
  • Quartile 3
    1.00159
  • Maximum
    1.06019
  • Mean of quarter 1
    0.99381
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00078
  • Mean of quarter 4
    1.00891
  • Inter Quartile Range
    0.00208
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98107
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.01586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05748
  • VaR(95%) (moments method)
    0.00407
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.90264
  • VaR(95%) (regression method)
    0.00350
  • Expected Shortfall (regression method)
    0.03882
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00055
  • Median
    0.00541
  • Quartile 3
    0.04181
  • Maximum
    0.13672
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00064
  • Mean of quarter 3
    0.01017
  • Mean of quarter 4
    0.13672
  • Inter Quartile Range
    0.04126
  • 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
    0.25000
  • Mean of outliers high
    0.13672
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334535000
  • Max Equity Drawdown (num days)
    107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22100
  • Compounded annual return (geometric extrapolation)
    0.23321
  • Calmar ratio (compounded annual return / max draw down)
    1.70578
  • Compounded annual return / average of 25% largest draw downs
    1.70578
  • Compounded annual return / Expected Shortfall lognormal
    9.50084

Strategy Description

Strategy is fully algorithmic (trading SPY,QQQ and IWM options) out of this i pace discrectional arbitrage trades with collateral (margin not used) money left. Usually those abitrage trades are "conversions" (100 shares +1put -1call) in very liquid underlyings.
Most trades are opened in the first or last 30 minutes of the NYSE session. Furthermore, I usually put the trades in the social tab in advance, with enough time to be able to execute the strategy in manual mode.
I always try to take the trades until expiration, but I have stop loos and take profit levels.

I am looking in to creating a fund, but no enougth money or partners

In this web i attach the InteractiveBrokers activity statements, so you can dowload and check my personal trades, you will see, same trades but, as my main currency is €, i cover with MES futures. Any way, the strategy as is published in Collective2 is intended for using US Dollar as main currency.
If you, like me, are based in other country not USA, i recomend you to cover your local currency

Broker Activity statements of my personal account here.
https://estotrader.wordpress.com/

Fell free to ask anything you want by direct message. Thanks
Ernesto "Estotrader"
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-03-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.1%
Rank # 
#37
# Trades
345
# Profitable
187
% Profitable
54.2%
Correlation S&P500
0.351
Sharpe Ratio
0.68
Sortino Ratio
1.10
Beta
0.33
Alpha
0.03
Leverage
1.85 Average
7.37 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.