Collective2 Collective2
Featured Strategy Cryptoverse Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/29/2023
Most recent certification approved 12/29/23 9:32 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 298
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 297
Percent signals followed since 12/29/2023 99.7%
This information was last updated 12/22/24 12:48 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/29/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Beta Momentum V3
(146768666)

Powered by BrokerTransmit.
Read important disclosures.

Created by: GlennConti GlennConti
Started: 12/2023
Options
Last trade: 30 days ago
Trading style: Options Long Volatility

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 $49.00 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
Long Volatility
Category: Equity

Long Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility rises.
-56.0%
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.

(56.4%)
Max Drawdown
149
Num Trades
59.7%
Win Trades
0.6 : 1
Profit Factor
7.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             (0.3%)(0.3%)
2024(2.2%)(10.9%)(1.9%)(1%)(1%)(3.1%)(16.5%)(1.2%)(6.1%)+0.5%(29.5%)  -  (55.4%)

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 297 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/22/24 9:53 TSLA2429W335 TSLA Nov29'24 335 put LONG 1 8.13 11/22 10:43 4.71 7.27%
Trade id #150152770
Max drawdown($348)
Time11/22/24 10:43
Quant open1
Worst price4.65
Drawdown as % of equity-7.27%
 ($345)
Includes Typical Broker Commissions trade costs of $2.00
11/21/24 9:31 TSLA2429K347.5 TSLA Nov29'24 347.5 call LONG 1 12.06 11/21 10:38 7.60 8.71%
Trade id #150141080
Max drawdown($456)
Time11/21/24 10:38
Quant open1
Worst price7.50
Drawdown as % of equity-8.71%
 ($448)
Includes Typical Broker Commissions trade costs of $2.00
11/20/24 9:31 TSLA2429K347.5 TSLA Nov29'24 347.5 call LONG 1 13.37 11/20 10:10 9.79 6.55%
Trade id #150130943
Max drawdown($366)
Time11/20/24 10:10
Quant open1
Worst price9.70
Drawdown as % of equity-6.55%
 ($359)
Includes Typical Broker Commissions trade costs of $2.00
11/19/24 9:34 TSLA2429W332.5 TSLA Nov29'24 332.5 put LONG 1 12.99 11/19 10:05 9.96 5.17%
Trade id #150121652
Max drawdown($305)
Time11/19/24 10:05
Quant open1
Worst price9.94
Drawdown as % of equity-5.17%
 ($306)
Includes Typical Broker Commissions trade costs of $2.00
11/18/24 9:38 TSLA2422K345 TSLA Nov22'24 345 call LONG 1 12.00 11/18 14:10 6.36 9.1%
Trade id #150110973
Max drawdown($569)
Time11/18/24 14:10
Quant open1
Worst price6.30
Drawdown as % of equity-9.10%
 ($566)
Includes Typical Broker Commissions trade costs of $2.00
11/18/24 9:31 TSLA2422W335 TSLA Nov22'24 335 put LONG 1 11.83 11/18 9:38 8.15 5.83%
Trade id #150110062
Max drawdown($398)
Time11/18/24 9:38
Quant open1
Worst price7.85
Drawdown as % of equity-5.83%
 ($370)
Includes Typical Broker Commissions trade costs of $2.00
11/15/24 9:32 TSLA2422K315 TSLA Nov22'24 315 call LONG 1 11.01 11/15 9:33 11.90 n/a $87
Includes Typical Broker Commissions trade costs of $2.00
11/14/24 9:31 TSLA2422W322.5 TSLA Nov22'24 322.5 put LONG 1 12.84 11/14 10:12 13.87 4.66%
Trade id #150085029
Max drawdown($313)
Time11/14/24 9:36
Quant open1
Worst price9.70
Drawdown as % of equity-4.66%
 $101
Includes Typical Broker Commissions trade costs of $2.00
11/13/24 9:31 TSLA2422K340 TSLA Nov22'24 340 call LONG 1 15.78 11/13 9:32 16.99 n/a $119
Includes Typical Broker Commissions trade costs of $2.00
11/12/24 9:32 TSLA2422W335 TSLA Nov22'24 335 put LONG 1 16.41 11/12 12:08 17.35 4.46%
Trade id #150063959
Max drawdown($291)
Time11/12/24 9:37
Quant open1
Worst price13.50
Drawdown as % of equity-4.46%
 $92
Includes Typical Broker Commissions trade costs of $2.00
11/11/24 9:31 TSLA2415W340 TSLA Nov15'24 340 put LONG 1 14.32 11/11 10:05 15.96 6.01%
Trade id #150053733
Max drawdown($382)
Time11/11/24 9:42
Quant open1
Worst price10.50
Drawdown as % of equity-6.01%
 $162
Includes Typical Broker Commissions trade costs of $2.00
11/8/24 9:38 TSLA2415K305 TSLA Nov15'24 305 call LONG 1 9.81 11/8 9:48 10.37 1.52%
Trade id #150038679
Max drawdown($95)
Time11/8/24 9:46
Quant open1
Worst price8.85
Drawdown as % of equity-1.52%
 $54
Includes Typical Broker Commissions trade costs of $2.00
11/7/24 10:01 TSLA2415K292.5 TSLA Nov15'24 292.5 call LONG 1 10.22 11/7 10:28 12.71 0.51%
Trade id #150028112
Max drawdown($32)
Time11/7/24 10:12
Quant open1
Worst price9.90
Drawdown as % of equity-0.51%
 $247
Includes Typical Broker Commissions trade costs of $2.00
11/7/24 9:32 TSLA2415W285 TSLA Nov15'24 285 put LONG 1 9.12 11/7 10:00 7.10 3.57%
Trade id #150027151
Max drawdown($223)
Time11/7/24 10:00
Quant open1
Worst price6.88
Drawdown as % of equity-3.57%
 ($204)
Includes Typical Broker Commissions trade costs of $2.00
11/6/24 9:32 TSLA2415K287.5 TSLA Nov15'24 287.5 call LONG 1 10.85 11/6 9:34 11.85 n/a $98
Includes Typical Broker Commissions trade costs of $2.00
11/5/24 9:32 TSLA2415K250 TSLA Nov15'24 250 call LONG 1 10.25 11/5 9:33 10.86 n/a $59
Includes Typical Broker Commissions trade costs of $2.00
11/4/24 9:33 TSLA2408W240 TSLA Nov8'24 240 put LONG 1 6.87 11/4 9:35 7.42 n/a $53
Includes Typical Broker Commissions trade costs of $2.00
11/1/24 9:40 TSLA2408K255 TSLA Nov8'24 255 call LONG 1 7.75 11/1 15:06 5.26 4.74%
Trade id #149929455
Max drawdown($295)
Time11/1/24 13:08
Quant open1
Worst price4.80
Drawdown as % of equity-4.74%
 ($251)
Includes Typical Broker Commissions trade costs of $2.00
10/31/24 9:32 TSLA2408W257.5 TSLA Nov8'24 257.5 put LONG 1 9.41 10/31 9:33 9.84 n/a $40
Includes Typical Broker Commissions trade costs of $2.00
10/30/24 9:31 TSLA2408K260 TSLA Nov8'24 260 call LONG 1 10.27 10/30 10:23 10.72 3.08%
Trade id #149892669
Max drawdown($191)
Time10/30/24 9:44
Quant open1
Worst price8.35
Drawdown as % of equity-3.08%
 $44
Includes Typical Broker Commissions trade costs of $2.00
10/29/24 9:33 TSLA2408W260 TSLA Nov8'24 260 put LONG 1 10.01 10/29 9:53 10.73 1%
Trade id #149873436
Max drawdown($61)
Time10/29/24 9:41
Quant open1
Worst price9.40
Drawdown as % of equity-1.00%
 $70
Includes Typical Broker Commissions trade costs of $2.00
10/28/24 9:32 TSLA2401W267.5 TSLA Nov1'24 267.5 put LONG 1 6.77 10/28 9:50 7.37 1.84%
Trade id #149862679
Max drawdown($112)
Time10/28/24 9:37
Quant open1
Worst price5.65
Drawdown as % of equity-1.84%
 $58
Includes Typical Broker Commissions trade costs of $2.00
10/25/24 9:31 TSLA2401K260 TSLA Nov1'24 260 call LONG 1 7.63 10/25 9:32 8.19 n/a $53
Includes Typical Broker Commissions trade costs of $2.00
10/24/24 9:35 TSLA2401K247.5 TSLA Nov1'24 247.5 call LONG 1 7.85 10/24 9:35 8.53 n/a $66
Includes Typical Broker Commissions trade costs of $2.00
10/23/24 9:41 TSLA2401W217.5 TSLA Nov1'24 217.5 put LONG 1 9.34 10/23 10:02 9.89 0.49%
Trade id #149804049
Max drawdown($29)
Time10/23/24 9:44
Quant open1
Worst price9.05
Drawdown as % of equity-0.49%
 $53
Includes Typical Broker Commissions trade costs of $2.00
10/22/24 9:31 TSLA2401W215 TSLA Nov1'24 215 put LONG 1 8.41 10/22 12:00 8.63 1.55%
Trade id #149782718
Max drawdown($91)
Time10/22/24 9:37
Quant open1
Worst price7.50
Drawdown as % of equity-1.55%
 $20
Includes Typical Broker Commissions trade costs of $2.00
10/21/24 9:31 TSLA2425V217.5 TSLA Oct25'24 217.5 put LONG 1 8.06 10/21 9:34 8.61 n/a $53
Includes Typical Broker Commissions trade costs of $2.00
10/18/24 9:34 TSLA2425V220 TSLA Oct25'24 220 put LONG 1 8.54 10/18 14:01 7.54 2.2%
Trade id #149694414
Max drawdown($129)
Time10/18/24 10:49
Quant open1
Worst price7.25
Drawdown as % of equity-2.20%
 ($103)
Includes Typical Broker Commissions trade costs of $2.00
10/17/24 9:34 TSLA2425V217.5 TSLA Oct25'24 217.5 put LONG 1 7.99 10/17 10:11 8.55 1.25%
Trade id #149683917
Max drawdown($73)
Time10/17/24 10:00
Quant open1
Worst price7.25
Drawdown as % of equity-1.25%
 $54
Includes Typical Broker Commissions trade costs of $2.00
10/16/24 9:32 TSLA2425V220 TSLA Oct25'24 220 put LONG 1 8.97 10/16 9:34 9.62 n/a $62
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    12/21/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    357.52
  • Age
    12 months ago
  • What it trades
    Options
  • # Trades
    149
  • # Profitable
    89
  • % Profitable
    59.70%
  • Avg trade duration
    1.7 hours
  • Max peak-to-valley drawdown
    56.38%
  • drawdown period
    Jan 19, 2024 - Nov 22, 2024
  • Cumul. Return
    -55.6%
  • Avg win
    $65.30
  • Avg loss
    $167.82
  • Model Account Values (Raw)
  • Cash
    $5,739
  • Margin Used
    $0
  • Buying Power
    $5,739
  • Ratios
  • W:L ratio
    0.58:1
  • Sharpe Ratio
    -2.83
  • Sortino Ratio
    -2.92
  • Calmar Ratio
    -1.377
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -83.41%
  • Correlation to SP500
    0.01360
  • Return Percent SP500 (cumu) during strategy life
    24.95%
  • Return Statistics
  • Ann Return (w trading costs)
    -56.0%
  • Slump
  • Current Slump as Pcnt Equity
    129.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.556%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -42.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    732
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    371
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $168
  • Avg Win
    $65
  • Sum Trade PL (losers)
    $10,069.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $5,812.000
  • # Winners
    89
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    5427
  • Win / Loss
  • # Losers
    60
  • % Winners
    59.7%
  • Frequency
  • Avg Position Time (mins)
    99.67
  • Avg Position Time (hrs)
    1.66
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    20
  • Leverage
  • Daily leverage (average)
    1.58
  • Daily leverage (max)
    4.00
  • Regression
  • Alpha
    -0.23
  • Beta
    0.03
  • Treynor Index
    -8.75
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.03
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -2.432
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    1.254
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.182
  • Hold-and-Hope Ratio
    -0.411
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.89847
  • SD
    0.30235
  • Sharpe ratio (Glass type estimate)
    -2.97156
  • Sharpe ratio (Hedges UMVUE)
    -2.58117
  • df
    6.00000
  • t
    -2.26957
  • p
    0.96815
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.93475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.15904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.53383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37148
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.35877
  • Upside Potential Ratio
    0.08987
  • Upside part of mean
    0.03423
  • Downside part of mean
    -0.93270
  • Upside SD
    0.02327
  • Downside SD
    0.38090
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.39112
  • Mean of criterion
    -0.89847
  • SD of predictor
    0.05058
  • SD of criterion
    0.30235
  • Covariance
    -0.00658
  • r
    -0.43055
  • b (slope, estimate of beta)
    -2.57374
  • a (intercept, estimate of alpha)
    0.10818
  • Mean Square Error
    0.08937
  • DF error
    5.00000
  • t(b)
    -1.06666
  • p(b)
    0.83255
  • t(a)
    0.10589
  • p(a)
    0.45989
  • Lowerbound of 95% confidence interval for beta
    -8.77656
  • Upperbound of 95% confidence interval for beta
    3.62909
  • Lowerbound of 95% confidence interval for alpha
    -2.51826
  • Upperbound of 95% confidence interval for alpha
    2.73463
  • Treynor index (mean / b)
    0.34909
  • Jensen alpha (a)
    0.10818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.97955
  • SD
    0.33876
  • Sharpe ratio (Glass type estimate)
    -2.89155
  • Sharpe ratio (Hedges UMVUE)
    -2.51167
  • df
    6.00000
  • t
    -2.20846
  • p
    0.96535
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.83201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.21462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.44508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42173
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.32308
  • Upside Potential Ratio
    0.08036
  • Upside part of mean
    0.03388
  • Downside part of mean
    -1.01344
  • Upside SD
    0.02301
  • Downside SD
    0.42166
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.38298
  • Mean of criterion
    -0.97955
  • SD of predictor
    0.04906
  • SD of criterion
    0.33876
  • Covariance
    -0.00675
  • r
    -0.40640
  • b (slope, estimate of beta)
    -2.80647
  • a (intercept, estimate of alpha)
    0.09526
  • Mean Square Error
    0.11497
  • DF error
    5.00000
  • t(b)
    -0.99457
  • p(b)
    0.81720
  • t(a)
    0.08154
  • p(a)
    0.46909
  • Lowerbound of 95% confidence interval for beta
    -10.06040
  • Upperbound of 95% confidence interval for beta
    4.44745
  • Lowerbound of 95% confidence interval for alpha
    -2.90810
  • Upperbound of 95% confidence interval for alpha
    3.09861
  • Treynor index (mean / b)
    0.34903
  • Jensen alpha (a)
    0.09526
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21532
  • Expected Shortfall on VaR
    0.24625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20674
  • Expected Shortfall on VaR
    0.28460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.77395
  • Quartile 1
    0.88767
  • Median
    0.95107
  • Quartile 3
    0.98595
  • Maximum
    1.01994
  • Mean of quarter 1
    0.81377
  • Mean of quarter 2
    0.93641
  • Mean of quarter 3
    0.96722
  • Mean of quarter 4
    1.01231
  • Inter Quartile Range
    0.09828
  • 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
    1.00000
  • Minimum
    0.42868
  • Quartile 1
    0.42868
  • Median
    0.42868
  • Quartile 3
    0.42868
  • Maximum
    0.42868
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.73029
  • Compounded annual return (geometric extrapolation)
    -0.61389
  • Calmar ratio (compounded annual return / max draw down)
    -1.43207
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.49294
  • 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
    -0.92835
  • SD
    0.26468
  • Sharpe ratio (Glass type estimate)
    -3.50740
  • Sharpe ratio (Hedges UMVUE)
    -3.49029
  • df
    154.00000
  • t
    -2.69774
  • p
    0.60621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.07995
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.92380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.06813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91245
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.63019
  • Upside Potential Ratio
    2.52632
  • Upside part of mean
    0.64606
  • Downside part of mean
    -1.57441
  • Upside SD
    0.08658
  • Downside SD
    0.25573
  • N nonnegative terms
    55.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    155.00000
  • Mean of predictor
    0.39847
  • Mean of criterion
    -0.92835
  • SD of predictor
    0.14876
  • SD of criterion
    0.26468
  • Covariance
    0.00319
  • r
    0.08099
  • b (slope, estimate of beta)
    0.14410
  • a (intercept, estimate of alpha)
    -0.98600
  • Mean Square Error
    0.07005
  • DF error
    153.00000
  • t(b)
    1.00509
  • p(b)
    0.44850
  • t(a)
    -2.82601
  • p(a)
    0.64061
  • Lowerbound of 95% confidence interval for beta
    -0.13914
  • Upperbound of 95% confidence interval for beta
    0.42734
  • Lowerbound of 95% confidence interval for alpha
    -1.67489
  • Upperbound of 95% confidence interval for alpha
    -0.29664
  • Treynor index (mean / b)
    -6.44246
  • Jensen alpha (a)
    -0.98577
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.96625
  • SD
    0.27303
  • Sharpe ratio (Glass type estimate)
    -3.53903
  • Sharpe ratio (Hedges UMVUE)
    -3.52177
  • df
    154.00000
  • t
    -2.72207
  • p
    0.60713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.11212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.95490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.10014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.64509
  • Upside Potential Ratio
    2.42297
  • Upside part of mean
    0.64229
  • Downside part of mean
    -1.60854
  • Upside SD
    0.08577
  • Downside SD
    0.26508
  • N nonnegative terms
    55.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    155.00000
  • Mean of predictor
    0.38716
  • Mean of criterion
    -0.96625
  • SD of predictor
    0.14858
  • SD of criterion
    0.27303
  • Covariance
    0.00350
  • r
    0.08639
  • b (slope, estimate of beta)
    0.15875
  • a (intercept, estimate of alpha)
    -1.02771
  • Mean Square Error
    0.07447
  • DF error
    153.00000
  • t(b)
    1.07256
  • p(b)
    0.44507
  • t(a)
    -2.85957
  • p(a)
    0.64217
  • Lowerbound of 95% confidence interval for beta
    -0.13366
  • Upperbound of 95% confidence interval for beta
    0.45115
  • Lowerbound of 95% confidence interval for alpha
    -1.73772
  • Upperbound of 95% confidence interval for alpha
    -0.31770
  • Treynor index (mean / b)
    -6.08670
  • Jensen alpha (a)
    -1.02771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03094
  • Expected Shortfall on VaR
    0.03773
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01601
  • Expected Shortfall on VaR
    0.03340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    155.00000
  • Minimum
    0.89426
  • Quartile 1
    0.99506
  • Median
    1.00000
  • Quartile 3
    1.00385
  • Maximum
    1.03552
  • Mean of quarter 1
    0.97783
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00106
  • Mean of quarter 4
    1.00892
  • Inter Quartile Range
    0.00879
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.08387
  • Mean of outliers low
    0.95548
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01935
  • Mean of outliers high
    1.02585
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42410
  • VaR(95%) (moments method)
    0.01918
  • Expected Shortfall (moments method)
    0.03980
  • Extreme Value Index (regression method)
    0.62957
  • VaR(95%) (regression method)
    0.01532
  • Expected Shortfall (regression method)
    0.04167
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01773
  • Quartile 1
    0.12385
  • Median
    0.22996
  • Quartile 3
    0.33608
  • Maximum
    0.44220
  • Mean of quarter 1
    0.01773
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.44220
  • Inter Quartile Range
    0.21223
  • 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)
    -0.72008
  • Compounded annual return (geometric extrapolation)
    -0.60872
  • Calmar ratio (compounded annual return / max draw down)
    -1.37660
  • Compounded annual return / average of 25% largest draw downs
    -1.37660
  • Compounded annual return / Expected Shortfall lognormal
    -16.13320
  • 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
    -1.07129
  • SD
    0.28477
  • Sharpe ratio (Glass type estimate)
    -3.76199
  • Sharpe ratio (Hedges UMVUE)
    -3.74024
  • df
    130.00000
  • t
    -2.66013
  • p
    0.61360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.56417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.94574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.54909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93140
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.87602
  • Upside Potential Ratio
    2.43691
  • Upside part of mean
    0.67353
  • Downside part of mean
    -1.74482
  • Upside SD
    0.09199
  • Downside SD
    0.27639
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41604
  • Mean of criterion
    -1.07129
  • SD of predictor
    0.15776
  • SD of criterion
    0.28477
  • Covariance
    0.00415
  • r
    0.09238
  • b (slope, estimate of beta)
    0.16675
  • a (intercept, estimate of alpha)
    -1.14066
  • Mean Square Error
    0.08102
  • DF error
    129.00000
  • t(b)
    1.05373
  • p(b)
    0.44127
  • t(a)
    -2.79644
  • p(a)
    0.65074
  • Lowerbound of 95% confidence interval for beta
    -0.14635
  • Upperbound of 95% confidence interval for beta
    0.47984
  • Lowerbound of 95% confidence interval for alpha
    -1.94769
  • Upperbound of 95% confidence interval for alpha
    -0.33363
  • Treynor index (mean / b)
    -6.42455
  • Jensen alpha (a)
    -1.14066
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.11543
  • SD
    0.29386
  • Sharpe ratio (Glass type estimate)
    -3.79578
  • Sharpe ratio (Hedges UMVUE)
    -3.77384
  • df
    130.00000
  • t
    -2.68402
  • p
    0.61457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.59864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.97887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.58335
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96434
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.89184
  • Upside Potential Ratio
    2.33520
  • Upside part of mean
    0.66929
  • Downside part of mean
    -1.78472
  • Upside SD
    0.09110
  • Downside SD
    0.28661
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40335
  • Mean of criterion
    -1.11543
  • SD of predictor
    0.15758
  • SD of criterion
    0.29386
  • Covariance
    0.00452
  • r
    0.09765
  • b (slope, estimate of beta)
    0.18211
  • a (intercept, estimate of alpha)
    -1.18888
  • Mean Square Error
    0.08619
  • DF error
    129.00000
  • t(b)
    1.11445
  • p(b)
    0.43793
  • t(a)
    -2.82802
  • p(a)
    0.65231
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.14120
  • Upperbound of 95% confidence interval for beta
    0.50542
  • Lowerbound of 95% confidence interval for alpha
    -2.02064
  • Upperbound of 95% confidence interval for alpha
    -0.35712
  • Treynor index (mean / b)
    -6.12504
  • Jensen alpha (a)
    -1.18888
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03354
  • Expected Shortfall on VaR
    0.04083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01809
  • Expected Shortfall on VaR
    0.03733
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89426
  • Quartile 1
    0.99439
  • Median
    1.00000
  • Quartile 3
    1.00359
  • Maximum
    1.03552
  • Mean of quarter 1
    0.97534
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.00961
  • Inter Quartile Range
    0.00920
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.95084
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02585
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25260
  • VaR(95%) (moments method)
    0.01915
  • Expected Shortfall (moments method)
    0.03282
  • Extreme Value Index (regression method)
    0.51252
  • VaR(95%) (regression method)
    0.01887
  • Expected Shortfall (regression method)
    0.04337
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00126
  • Quartile 1
    0.00282
  • Median
    0.00438
  • Quartile 3
    0.21365
  • Maximum
    0.42291
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00438
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42291
  • Inter Quartile Range
    0.21082
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -436394000
  • Max Equity Drawdown (num days)
    308
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.83888
  • Compounded annual return (geometric extrapolation)
    -0.66295
  • Calmar ratio (compounded annual return / max draw down)
    -1.56758
  • Compounded annual return / average of 25% largest draw downs
    -1.56758
  • Compounded annual return / Expected Shortfall lognormal
    -16.23840

Strategy Description

The strategy is to buy options contracts (calls or puts) following the momentum trend on high beta underlying stocks. I usually buy high and sell higher using long single leg calls or puts. Whenever the value of the contract hits a take profit target (or loss target), I sell out the position. This strategy is designed to be able to be instructive to a Level 2 options trader with a cash account. Therefore, Pattern Day Trade $25,000 minimum account value restrictions will not apply and a substantially lower account balance is sufficient to keep up with the trades. On a typical day, I have 1 contract open, for a single underlying stock. I will most likely hit a profit or loss target in a few hours or less after the markets open at 9:30a ET and then be done for the day (till the next). Prices on a contract (x100) are usually less than $10.00 therefore a mirroring trading simulator account with $2,500 that settles daily would be the very bare minimum to keep up with the trades (excepting extended drawdowns).

My personal contact information and more about this strategy is located at https://bluelightningcapital.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-21
Suggested Minimum Capital
$25,000
# Trades
149
# Profitable
89
% Profitable
59.7%
Correlation S&P500
0.014
Sharpe Ratio
-2.83
Sortino Ratio
-2.92
Beta
0.03
Alpha
-0.23
Leverage
1.58 Average
4.00 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.