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Eat My Shorts
(132655614)

Created by: NextLevelTrader NextLevelTrader
Started: 12/2020
Options
Last trade: 5 days ago
Trading style: Options Premium Collecting

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.
17.3%
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.

(6.9%)
Max Drawdown
28
Num Trades
82.1%
Win Trades
3.8 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +3.1%+3.1%
2021+0.9%+4.4%+6.4%+1.2%+0.6%                                          +14.0%

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 3 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 127 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/5/21 14:05 QQQ2118F356 QQQ Jun18'21 356 call SHORT 4 1.16 5/11 9:40 0.59 0.37%
Trade id #135467317
Max drawdown($216)
Time5/7/21 0:00
Quant open4
Worst price1.70
Drawdown as % of equity-0.37%
$222
Includes Typical Broker Commissions trade costs of $5.60
4/28/21 10:00 QQQ2118F364 QQQ Jun18'21 364 call SHORT 4 1.71 5/5 14:04 0.58 n/a $446
Includes Typical Broker Commissions trade costs of $5.60
4/8/21 9:37 QQQ2128E357.5 QQQ May28'21 357.5 call SHORT 4 2.08 4/28 11:40 1.15 0.67%
Trade id #135059728
Max drawdown($372)
Time4/13/21 0:00
Quant open4
Worst price3.01
Drawdown as % of equity-0.67%
$366
Includes Typical Broker Commissions trade costs of $5.60
4/8/21 9:37 QQQ2128Q305 QQQ May28'21 305 put SHORT 4 2.95 4/28 11:40 1.23 0.19%
Trade id #135059934
Max drawdown($108)
Time4/8/21 10:52
Quant open4
Worst price3.22
Drawdown as % of equity-0.19%
$682
Includes Typical Broker Commissions trade costs of $5.60
4/16/21 9:44 QQQ2121Q317 QQQ May21'21 317 put SHORT 4 2.38 4/28 9:57 1.57 1.08%
Trade id #135184576
Max drawdown($604)
Time4/20/21 0:00
Quant open4
Worst price3.89
Drawdown as % of equity-1.08%
$318
Includes Typical Broker Commissions trade costs of $5.60
3/30/21 9:52 QQQ2121E340 QQQ May21'21 340 call SHORT 4 1.97 4/28 9:55 6.76 5.57%
Trade id #134928060
Max drawdown($3,100)
Time4/13/21 0:00
Quant open4
Worst price9.72
Drawdown as % of equity-5.57%
($1,922)
Includes Typical Broker Commissions trade costs of $5.60
4/7/21 11:28 QQQ2121Q302 QQQ May21'21 302 put SHORT 4 2.56 4/16 9:43 1.15 0.08%
Trade id #135045348
Max drawdown($44)
Time4/7/21 12:17
Quant open4
Worst price2.67
Drawdown as % of equity-0.08%
$558
Includes Typical Broker Commissions trade costs of $5.60
3/30/21 9:52 QQQ2121Q280 QQQ May21'21 280 put SHORT 4 3.33 4/7 11:27 1.01 0.19%
Trade id #134928034
Max drawdown($108)
Time3/30/21 10:23
Quant open4
Worst price3.60
Drawdown as % of equity-0.19%
$922
Includes Typical Broker Commissions trade costs of $5.60
3/11/21 10:37 QQQ2130P280 QQQ Apr30'21 280 put SHORT 4 3.75 3/25 15:55 2.26 0.54%
Trade id #134562228
Max drawdown($300)
Time3/12/21 0:00
Quant open4
Worst price4.50
Drawdown as % of equity-0.54%
$590
Includes Typical Broker Commissions trade costs of $5.60
3/11/21 10:37 QQQ2130D345 QQQ Apr30'21 345 call SHORT 4 1.99 3/25 15:55 0.74 0.65%
Trade id #134562217
Max drawdown($364)
Time3/16/21 0:00
Quant open4
Worst price2.90
Drawdown as % of equity-0.65%
$494
Includes Typical Broker Commissions trade costs of $5.60
2/25/21 9:35 QQQ2116P284 QQQ Apr16'21 284 put SHORT 4 3.58 3/15 15:25 2.23 3.69%
Trade id #134277268
Max drawdown($1,992)
Time3/4/21 0:00
Quant open4
Worst price8.56
Drawdown as % of equity-3.69%
$534
Includes Typical Broker Commissions trade costs of $5.60
2/25/21 9:35 QQQ2116D350 QQQ Apr16'21 350 call SHORT 4 2.30 3/15 15:25 0.61 0.07%
Trade id #134277337
Max drawdown($40)
Time2/25/21 9:40
Quant open4
Worst price2.40
Drawdown as % of equity-0.07%
$670
Includes Typical Broker Commissions trade costs of $5.60
3/4/21 10:25 QQQ2131C335 QQQ Mar31'21 335 call SHORT 4 0.95 3/9 9:56 0.67 0.19%
Trade id #134416181
Max drawdown($104)
Time3/4/21 11:48
Quant open4
Worst price1.21
Drawdown as % of equity-0.19%
$106
Includes Typical Broker Commissions trade costs of $5.60
2/8/21 9:41 QQQ2131O297 QQQ Mar31'21 297 put SHORT 4 3.42 3/9 9:55 5.04 5.68%
Trade id #133910248
Max drawdown($3,004)
Time3/5/21 0:00
Quant open4
Worst price10.93
Drawdown as % of equity-5.68%
($654)
Includes Typical Broker Commissions trade costs of $5.60
2/23/21 9:40 QQQ2131C342 QQQ Mar31'21 342 call SHORT 4 1.47 3/4 10:24 0.53 0.83%
Trade id #134222629
Max drawdown($452)
Time2/24/21 0:00
Quant open4
Worst price2.60
Drawdown as % of equity-0.83%
$370
Includes Typical Broker Commissions trade costs of $5.60
2/8/21 9:41 QQQ2131C359 QQQ Mar31'21 359 call SHORT 4 2.05 2/23 9:39 0.39 0.13%
Trade id #133910265
Max drawdown($72)
Time2/9/21 0:00
Quant open4
Worst price2.23
Drawdown as % of equity-0.13%
$658
Includes Typical Broker Commissions trade costs of $5.60
1/27/21 10:51 QQQ2119C355 QQQ Mar19'21 355 call SHORT 4 2.51 2/8 11:42 1.69 0.13%
Trade id #133631239
Max drawdown($68)
Time1/28/21 0:00
Quant open4
Worst price2.68
Drawdown as % of equity-0.13%
$322
Includes Typical Broker Commissions trade costs of $5.60
1/27/21 10:50 QQQ2119O286 QQQ Mar19'21 286 put SHORT 4 3.91 2/8 11:42 1.64 2.85%
Trade id #133631199
Max drawdown($1,484)
Time1/29/21 0:00
Quant open4
Worst price7.62
Drawdown as % of equity-2.85%
$902
Includes Typical Broker Commissions trade costs of $5.60
1/8/21 9:38 QQQ2126B342.5 QQQ Feb26'21 342.5 call SHORT 4 2.01 2/3 11:17 1.70 1.29%
Trade id #133271148
Max drawdown($676)
Time1/25/21 0:00
Quant open4
Worst price3.70
Drawdown as % of equity-1.29%
$118
Includes Typical Broker Commissions trade costs of $5.60
1/8/21 9:36 QQQ2126N285 QQQ Feb26'21 285 put SHORT 5 3.26 2/3 11:17 1.44 1.18%
Trade id #133271068
Max drawdown($616)
Time1/29/21 0:00
Quant open4
Worst price4.80
Drawdown as % of equity-1.18%
$901
Includes Typical Broker Commissions trade costs of $7.30
12/29/20 15:09 QQQ2119N278 QQQ Feb19'21 278 put SHORT 5 3.38 1/19/21 12:13 1.59 1.47%
Trade id #133077338
Max drawdown($755)
Time1/4/21 0:00
Quant open5
Worst price4.89
Drawdown as % of equity-1.47%
$888
Includes Typical Broker Commissions trade costs of $7.00
12/29/20 15:09 QQQ2119B338 QQQ Feb19'21 338 call SHORT 5 1.78 1/19/21 12:13 0.95 0.81%
Trade id #133077329
Max drawdown($415)
Time1/8/21 0:00
Quant open5
Worst price2.61
Drawdown as % of equity-0.81%
$408
Includes Typical Broker Commissions trade costs of $7.00
12/11/20 9:32 QQQ2129M267.5 QQQ Jan29'21 267.5 put SHORT 5 3.56 12/28 10:32 0.99 0.48%
Trade id #132764472
Max drawdown($240)
Time12/11/20 12:41
Quant open5
Worst price4.04
Drawdown as % of equity-0.48%
$1,278
Includes Typical Broker Commissions trade costs of $7.30
12/11/20 9:32 QQQ2129A327.5 QQQ Jan29'21 327.5 call SHORT 5 1.91 12/28 10:32 1.72 1.11%
Trade id #132764364
Max drawdown($559)
Time12/18/20 0:00
Quant open5
Worst price3.03
Drawdown as % of equity-1.11%
$89
Includes Typical Broker Commissions trade costs of $7.30

Statistics

  • Strategy began
    12/5/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    161.29
  • Age
    161 days ago
  • What it trades
    Options
  • # Trades
    28
  • # Profitable
    23
  • % Profitable
    82.10%
  • Avg trade duration
    15.0 days
  • Max peak-to-valley drawdown
    6.93%
  • drawdown period
    April 28, 2021 - May 12, 2021
  • Cumul. Return
    17.3%
  • Avg win
    $532.48
  • Avg loss
    $646.40
  • Model Account Values (Raw)
  • Cash
    $63,243
  • Margin Used
    $36,930
  • Buying Power
    $26,312
  • Ratios
  • W:L ratio
    3.79:1
  • Sharpe Ratio
    1.83
  • Sortino Ratio
    2.92
  • Calmar Ratio
    10.388
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    4.49%
  • Correlation to SP500
    0.43620
  • Return Percent SP500 (cumu) during strategy life
    12.83%
  • Return Statistics
  • Ann Return (w trading costs)
    42.5%
  • Slump
  • Current Slump as Pcnt Equity
    6.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.173%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    45.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    914
  • Popularity (Last 6 weeks)
    946
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    145
  • Popularity (7 days, Percentile 1000 scale)
    947
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $646
  • Avg Win
    $532
  • Sum Trade PL (losers)
    $3,232.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $12,247.000
  • # Winners
    23
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    5
  • % Winners
    82.1%
  • Frequency
  • Avg Position Time (mins)
    21574.30
  • Avg Position Time (hrs)
    359.57
  • Avg Trade Length
    15.0 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    3.38
  • Daily leverage (max)
    5.60
  • Regression
  • Alpha
    0.05
  • Beta
    0.40
  • Treynor Index
    0.19
  • 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)
    0.35
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    2.524
  • 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
    0.814
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.652
  • Hold-and-Hope Ratio
    0.416
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32061
  • SD
    0.07278
  • Sharpe ratio (Glass type estimate)
    4.40493
  • Sharpe ratio (Hedges UMVUE)
    3.51463
  • df
    4.00000
  • t
    2.84337
  • p
    0.02335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.50961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.40706
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.32061
  • Downside part of mean
    0.00000
  • Upside SD
    0.11315
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25887
  • Mean of criterion
    0.32061
  • SD of predictor
    0.06352
  • SD of criterion
    0.07278
  • Covariance
    -0.00038
  • r
    -0.08161
  • b (slope, estimate of beta)
    -0.09351
  • a (intercept, estimate of alpha)
    0.34481
  • Mean Square Error
    0.00702
  • DF error
    3.00000
  • t(b)
    -0.14182
  • p(b)
    0.55190
  • t(a)
    1.60815
  • p(a)
    0.10308
  • Lowerbound of 95% confidence interval for beta
    -2.19195
  • Upperbound of 95% confidence interval for beta
    2.00493
  • Lowerbound of 95% confidence interval for alpha
    -0.33755
  • Upperbound of 95% confidence interval for alpha
    1.02718
  • Treynor index (mean / b)
    -3.42846
  • Jensen alpha (a)
    0.34481
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31369
  • SD
    0.07021
  • Sharpe ratio (Glass type estimate)
    4.46799
  • Sharpe ratio (Hedges UMVUE)
    3.56494
  • df
    4.00000
  • t
    2.88407
  • p
    0.02241
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.60230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.47927
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.31369
  • Downside part of mean
    0.00000
  • Upside SD
    0.11020
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25399
  • Mean of criterion
    0.31369
  • SD of predictor
    0.06193
  • SD of criterion
    0.07021
  • Covariance
    -0.00034
  • r
    -0.07842
  • b (slope, estimate of beta)
    -0.08891
  • a (intercept, estimate of alpha)
    0.33627
  • Mean Square Error
    0.00653
  • DF error
    3.00000
  • t(b)
    -0.13625
  • p(b)
    0.54987
  • t(a)
    1.61890
  • p(a)
    0.10195
  • Lowerbound of 95% confidence interval for beta
    -2.16561
  • Upperbound of 95% confidence interval for beta
    1.98779
  • Lowerbound of 95% confidence interval for alpha
    -0.32478
  • Upperbound of 95% confidence interval for alpha
    0.99732
  • Treynor index (mean / b)
    -3.52830
  • Jensen alpha (a)
    0.33627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01552
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00936
  • Quartile 1
    1.01492
  • Median
    1.02439
  • Quartile 3
    1.03382
  • Maximum
    1.06273
  • Mean of quarter 1
    1.01214
  • Mean of quarter 2
    1.02439
  • Mean of quarter 3
    1.03382
  • Mean of quarter 4
    1.06273
  • Inter Quartile Range
    0.01890
  • 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
    0.20000
  • Mean of outliers high
    1.06273
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.36710
  • Compounded annual return (geometric extrapolation)
    0.40719
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    26.24490
  • 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
    0.37031
  • SD
    0.13851
  • Sharpe ratio (Glass type estimate)
    2.67343
  • Sharpe ratio (Hedges UMVUE)
    2.65533
  • df
    111.00000
  • t
    1.74794
  • p
    0.39627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.67332
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60492
  • Upside Potential Ratio
    11.60290
  • Upside part of mean
    0.93305
  • Downside part of mean
    -0.56275
  • Upside SD
    0.11433
  • Downside SD
    0.08042
  • N nonnegative terms
    68.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.26933
  • Mean of criterion
    0.37031
  • SD of predictor
    0.14265
  • SD of criterion
    0.13851
  • Covariance
    0.00870
  • r
    0.44026
  • b (slope, estimate of beta)
    0.42748
  • a (intercept, estimate of alpha)
    0.25500
  • Mean Square Error
    0.01561
  • DF error
    110.00000
  • t(b)
    5.14267
  • p(b)
    0.27987
  • t(a)
    1.32635
  • p(a)
    0.43727
  • Lowerbound of 95% confidence interval for beta
    0.26275
  • Upperbound of 95% confidence interval for beta
    0.59221
  • Lowerbound of 95% confidence interval for alpha
    -0.12609
  • Upperbound of 95% confidence interval for alpha
    0.63644
  • Treynor index (mean / b)
    0.86625
  • Jensen alpha (a)
    0.25517
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36056
  • SD
    0.13794
  • Sharpe ratio (Glass type estimate)
    2.61391
  • Sharpe ratio (Hedges UMVUE)
    2.59621
  • df
    111.00000
  • t
    1.70903
  • p
    0.39850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.62545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.61331
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.45128
  • Upside Potential Ratio
    11.43820
  • Upside part of mean
    0.92651
  • Downside part of mean
    -0.56595
  • Upside SD
    0.11310
  • Downside SD
    0.08100
  • N nonnegative terms
    68.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    112.00000
  • Mean of predictor
    0.25908
  • Mean of criterion
    0.36056
  • SD of predictor
    0.14275
  • SD of criterion
    0.13794
  • Covariance
    0.00868
  • r
    0.44087
  • b (slope, estimate of beta)
    0.42601
  • a (intercept, estimate of alpha)
    0.25019
  • Mean Square Error
    0.01547
  • DF error
    110.00000
  • t(b)
    5.15150
  • p(b)
    0.27957
  • t(a)
    1.30698
  • p(a)
    0.43817
  • Lowerbound of 95% confidence interval for beta
    0.26213
  • Upperbound of 95% confidence interval for beta
    0.58990
  • Lowerbound of 95% confidence interval for alpha
    -0.12917
  • Upperbound of 95% confidence interval for alpha
    0.62955
  • Treynor index (mean / b)
    0.84636
  • Jensen alpha (a)
    0.25019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01256
  • Expected Shortfall on VaR
    0.01607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00416
  • Expected Shortfall on VaR
    0.00891
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    112.00000
  • Minimum
    0.97932
  • Quartile 1
    0.99879
  • Median
    1.00136
  • Quartile 3
    1.00441
  • Maximum
    1.03321
  • Mean of quarter 1
    0.99188
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.01148
  • Inter Quartile Range
    0.00561
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.98446
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.02419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12272
  • VaR(95%) (moments method)
    0.00466
  • Expected Shortfall (moments method)
    0.00638
  • Extreme Value Index (regression method)
    -0.41942
  • VaR(95%) (regression method)
    0.00921
  • Expected Shortfall (regression method)
    0.01165
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00090
  • Median
    0.00261
  • Quartile 3
    0.01967
  • Maximum
    0.04570
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00164
  • Mean of quarter 3
    0.00697
  • Mean of quarter 4
    0.03268
  • Inter Quartile Range
    0.01878
  • 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)
    -0.26144
  • VaR(95%) (moments method)
    0.03689
  • Expected Shortfall (moments method)
    0.04347
  • Extreme Value Index (regression method)
    -1.43458
  • VaR(95%) (regression method)
    0.03216
  • Expected Shortfall (regression method)
    0.03278
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42258
  • Compounded annual return (geometric extrapolation)
    0.47472
  • Calmar ratio (compounded annual return / max draw down)
    10.38790
  • Compounded annual return / average of 25% largest draw downs
    14.52640
  • Compounded annual return / Expected Shortfall lognormal
    29.54690
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -316788000
  • Max Equity Drawdown (num days)
    14

Strategy Description

The performance goal of the portfolio is to earn consistent monthly profits with minimal draw downs. We achieve this by placing high probability of profit trades paired with sound risk management. We use an appropriate amount of capital without over leveraging ourselves. This portfolio is primarily a short options swing trade approach with adding long shares of 2x and 3x leveraged ETFs when they are a bargain with huge upside potential. We do go long on some options products when a profitable opportunity is there. All of my trades are manually entered without algorithms. We frequently using 40-80% of our options buying power. Higher amounts of buying power will be used when exceptional opportunities present themselves. Our core strategy is to sell naked options that have a high probability of profit and take advantage of time decay. Proprietary software helps determine what are high probability of profit trades to increase our success. This will be managed daily and adjustments will be made as necessary. We have manual stop losses in place if need be, but we will be defending our positions and closing them before expiration date. Bull, bear, and flat market profitable. It is common when shorting options to be in the red early in the trade before time decay overtakes volatility and any sharp price movements. Manually enter the trades at a smaller position size to see how this works if you need to feel more comfortable before auto trading.

Tier 3 options access with a margin account for selling naked options required. Message me if you need assistance upgrading your status with your broker. For large accounts portfolio margin may be beneficial to your buying power reduction which will not tie up as much capital.

Eat My Shorts strategy is for medium to large accounts. We trade liquid products so you can get fills at market price quickly. When products are hard to get filled quickly it may increase your losses on losing positions and reduce your profits on winning ones.

Most of our short positions are paired with puts and calls so you need to do both orders for the same options contract. For auto trading allocate $50,000 which is what is the model portfolio amount. Any less than that and you won't be able to open all of the positions we do. You may trade with less if you don't auto trade and replicate our performance. Message me prior to joining open trades. We may be closing those soon and it may be better for you to want and open our next positions.

Feel free to simulate the portfolio and message any questions and or concerns.

Summary Statistics

Strategy began
2020-12-05
Suggested Minimum Capital
$35,000
# Trades
28
# Profitable
23
% Profitable
82.1%
Correlation S&P500
0.436
Sharpe Ratio
1.83
Sortino Ratio
2.92
Beta
0.40
Alpha
0.05
Leverage
3.38 Average
5.60 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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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.