Collective2 Collective2
Featured Strategy Easiest Followed by live capital $481,000 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...

CallsAndPuts
(135896658)

Created by: AASS AASS
Started: 06/2021
Options
Last trade: 901 days ago
Trading style: Options Volatility Long / Short 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 $300.00 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
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
5.5%
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.

(75.0%)
Max Drawdown
64
Num Trades
56.2%
Win Trades
1.1 : 1
Profit Factor
5.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                   +106.7%+37.3%(24.1%)(31.9%)(20.5%)  -    -  +16.7%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 125 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1000 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/18/21 11:31 MS2129J105 MS Oct29'21 105 call LONG 630 0.43 10/30 9:35 0.00 44.04%
Trade id #137856928
Max drawdown($26,530)
Time10/29/21 0:00
Quant open630
Worst price0.01
Drawdown as % of equity-44.04%
 ($27,601)
Includes Typical Broker Commissions trade costs of $441.00
10/18/21 13:34 MS2122J103 MS Oct22'21 103 call LONG 350 0.47 10/23 9:35 0.00 19.54%
Trade id #137859762
Max drawdown($16,170)
Time10/22/21 0:00
Quant open350
Worst price0.01
Drawdown as % of equity-19.54%
 ($16,765)
Includes Typical Broker Commissions trade costs of $245.00
10/8/21 15:37 UBER2122J50 UBER Oct22'21 50 call LONG 980 0.35 10/23 9:35 0.00 39.85%
Trade id #137734016
Max drawdown($32,970)
Time10/22/21 0:00
Quant open980
Worst price0.01
Drawdown as % of equity-39.85%
 ($34,636)
Includes Typical Broker Commissions trade costs of $686.00
10/8/21 14:14 GM2122J60 GM Oct22'21 60 call LONG 1,120 0.39 10/23 9:35 0.00 51.86%
Trade id #137732908
Max drawdown($42,910)
Time10/22/21 0:00
Quant open1,120
Worst price0.01
Drawdown as % of equity-51.86%
 ($44,814)
Includes Typical Broker Commissions trade costs of $784.00
10/12/21 13:08 AMD2115J106 AMD Oct15'21 106 call LONG 210 0.79 10/15 12:27 6.00 n/a $109,116
Includes Typical Broker Commissions trade costs of $294.00
9/15/21 13:59 GDX2117I32.5 GDX Sep17'21 32.5 call LONG 980 0.18 9/18 9:37 0.00 19.03%
Trade id #137386154
Max drawdown($17,150)
Time9/16/21 0:00
Quant open980
Worst price0.01
Drawdown as % of equity-19.03%
 ($18,816)
Includes Typical Broker Commissions trade costs of $686.00
9/7/21 12:49 BAC2117I42 BAC Sep17'21 42 call LONG 1,120 0.24 9/14 11:55 0.02 24.51%
Trade id #137276443
Max drawdown($24,710)
Time9/14/21 11:55
Quant open1,120
Worst price0.02
Drawdown as % of equity-24.51%
 ($26,278)
Includes Typical Broker Commissions trade costs of $1,568.00
9/9/21 13:19 SPCE2110I26 SPCE Sep10'21 26 call LONG 140 0.25 9/10 12:47 0.03 2.67%
Trade id #137309303
Max drawdown($3,080)
Time9/10/21 10:46
Quant open140
Worst price0.03
Drawdown as % of equity-2.67%
 ($3,276)
Includes Typical Broker Commissions trade costs of $196.00
9/3/21 15:43 BAC2110I41.5 BAC Sep10'21 41.5 call LONG 630 0.15 9/9 11:03 0.17 5.22%
Trade id #137246069
Max drawdown($5,670)
Time9/9/21 9:30
Quant open630
Worst price0.06
Drawdown as % of equity-5.22%
 $378
Includes Typical Broker Commissions trade costs of $882.00
9/2/21 14:41 BAC2103I41 BAC Sep3'21 41 call LONG 210 0.24 9/3 9:56 0.09 4.16%
Trade id #137229861
Max drawdown($4,620)
Time9/3/21 0:00
Quant open210
Worst price0.02
Drawdown as % of equity-4.16%
 ($3,444)
Includes Typical Broker Commissions trade costs of $294.00
9/2/21 13:56 GOLD2103I20 GOLD Sep3'21 20 call LONG 630 0.06 9/3 9:36 0.28 1.2%
Trade id #137229232
Max drawdown($1,330)
Time9/2/21 14:50
Quant open630
Worst price0.04
Drawdown as % of equity-1.20%
 $12,908
Includes Typical Broker Commissions trade costs of $882.00
9/2/21 12:08 AAPL2103U152.5 AAPL Sep3'21 152.5 put LONG 140 0.39 9/2 13:52 0.72 0.19%
Trade id #137227116
Max drawdown($210)
Time9/2/21 12:13
Quant open140
Worst price0.37
Drawdown as % of equity-0.19%
 $4,494
Includes Typical Broker Commissions trade costs of $196.00
8/19/21 15:37 AAPL2120H148 AAPL Aug20'21 148 call LONG 910 0.31 8/20 13:49 0.06 18.5%
Trade id #137044960
Max drawdown($26,670)
Time8/20/21 13:07
Quant open840
Worst price0.01
Drawdown as % of equity-18.50%
 ($24,234)
Includes Typical Broker Commissions trade costs of $1,274.00
8/18/21 13:00 TLRY2120H14 TLRY Aug20'21 14 call LONG 910 0.24 8/19 15:29 0.03 14.1%
Trade id #137021929
Max drawdown($19,810)
Time8/19/21 11:52
Quant open910
Worst price0.02
Drawdown as % of equity-14.10%
 ($20,174)
Includes Typical Broker Commissions trade costs of $1,274.00
8/16/21 14:57 AAPL2120H152.5 AAPL Aug20'21 152.5 call LONG 350 0.64 8/18 12:52 0.22 9.45%
Trade id #136987069
Max drawdown($15,330)
Time8/18/21 11:23
Quant open350
Worst price0.20
Drawdown as % of equity-9.45%
 ($15,120)
Includes Typical Broker Commissions trade costs of $490.00
8/16/21 15:34 RIOT2120H38 RIOT Aug20'21 38 call LONG 315 0.82 8/18 12:52 0.14 14.55%
Trade id #136987703
Max drawdown($22,575)
Time8/18/21 11:55
Quant open315
Worst price0.10
Drawdown as % of equity-14.55%
 ($21,756)
Includes Typical Broker Commissions trade costs of $441.00
8/16/21 13:41 AAPL2120H150 AAPL Aug20'21 150 call LONG 70 1.49 8/16 14:18 1.82 n/a $2,212
Includes Typical Broker Commissions trade costs of $98.00
8/14/21 9:35 DVN DEVON ENERGY LONG 21,000 28.00 8/16 9:31 27.49 7.96%
Trade id #136964736
Max drawdown($15,750)
Time8/16/21 9:31
Quant open21,000
Worst price27.25
Drawdown as % of equity-7.96%
 ($10,715)
Includes Typical Broker Commissions trade costs of $5.00
8/11/21 15:04 DVN2113H28 DVN Aug13'21 28 call LONG 210 0.32 8/14 9:35 0.00 3.09%
Trade id #136926043
Max drawdown($6,580)
Time8/13/21 0:00
Quant open210
Worst price0.01
Drawdown as % of equity-3.09%
 ($6,937)
Includes Typical Broker Commissions trade costs of $147.00
8/11/21 14:44 USO2113H48.5 USO Aug13'21 48.5 call LONG 210 0.27 8/14 9:35 0.00 2.59%
Trade id #136925725
Max drawdown($5,530)
Time8/13/21 0:00
Quant open210
Worst price0.01
Drawdown as % of equity-2.59%
 ($5,887)
Includes Typical Broker Commissions trade costs of $147.00
8/10/21 13:23 AAPL2113H147 AAPL Aug13'21 147 call LONG 280 0.45 8/12 10:53 1.30 2.04%
Trade id #136905953
Max drawdown($3,850)
Time8/12/21 9:37
Quant open280
Worst price0.31
Drawdown as % of equity-2.04%
 $23,478
Includes Typical Broker Commissions trade costs of $392.00
8/6/21 14:15 LI2113T30 LI Aug13'21 30 put LONG 210 0.75 8/11 13:36 0.32 5.02%
Trade id #136863894
Max drawdown($9,450)
Time8/11/21 13:31
Quant open210
Worst price0.30
Drawdown as % of equity-5.02%
 ($9,324)
Includes Typical Broker Commissions trade costs of $294.00
7/29/21 11:26 OXY2106H28 OXY Aug6'21 28 call LONG 280 0.47 8/7 9:35 0.00 9.63%
Trade id #136733999
Max drawdown($12,950)
Time8/6/21 0:00
Quant open280
Worst price0.01
Drawdown as % of equity-9.63%
 ($13,426)
Includes Typical Broker Commissions trade costs of $196.00
7/29/21 13:37 BAC2106H39 BAC Aug6'21 39 call LONG 550 0.29 8/6 11:10 1.34 9.22%
Trade id #136744095
Max drawdown($12,740)
Time8/4/21 0:00
Quant open550
Worst price0.06
Drawdown as % of equity-9.22%
 $56,890
Includes Typical Broker Commissions trade costs of $770.00
7/28/21 15:25 FCX2130G36.5 FCX Jul30'21 36.5 call LONG 70 0.61 7/29 9:30 1.09 0.08%
Trade id #136720721
Max drawdown($70)
Time7/28/21 15:56
Quant open70
Worst price0.60
Drawdown as % of equity-0.08%
 $3,262
Includes Typical Broker Commissions trade costs of $98.00
7/28/21 13:19 GOLD2106H21.5 GOLD Aug6'21 21.5 call LONG 420 0.25 7/29 9:30 0.50 2.86%
Trade id #136718506
Max drawdown($2,380)
Time7/28/21 14:00
Quant open350
Worst price0.19
Drawdown as % of equity-2.86%
 $9,842
Includes Typical Broker Commissions trade costs of $588.00
7/26/21 11:52 TLRY2130G14 TLRY Jul30'21 14 call LONG 330 0.51 7/28 13:06 2.05 8.14%
Trade id #136679671
Max drawdown($7,480)
Time7/27/21 0:00
Quant open330
Worst price0.28
Drawdown as % of equity-8.14%
 $50,468
Includes Typical Broker Commissions trade costs of $462.00
7/22/21 15:56 JD2123G76 JD Jul23'21 76 call LONG 140 0.48 7/24 9:35 0.00 6.82%
Trade id #136639802
Max drawdown($6,580)
Time7/23/21 0:00
Quant open140
Worst price0.01
Drawdown as % of equity-6.82%
 ($6,818)
Includes Typical Broker Commissions trade costs of $98.00
7/19/21 15:48 LI2123S30 LI Jul23'21 30 put LONG 300 0.73 7/22 15:49 0.01 20.4%
Trade id #136564815
Max drawdown($21,570)
Time7/22/21 15:49
Quant open300
Worst price0.01
Drawdown as % of equity-20.40%
 ($21,990)
Includes Typical Broker Commissions trade costs of $420.00
7/20/21 13:16 QQQ2121S359 QQQ Jul21'21 359 put LONG 160 1.36 7/22 8:05 0.00 17.73%
Trade id #136595963
Max drawdown($21,540)
Time7/21/21 0:00
Quant open160
Worst price0.01
Drawdown as % of equity-17.73%
 ($21,812)
Includes Typical Broker Commissions trade costs of $112.00
Next

Statistics

  • Strategy began
    6/3/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1047.59
  • Age
    35 months ago
  • What it trades
    Options
  • # Trades
    64
  • # Profitable
    36
  • % Profitable
    56.20%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    74.97%
  • drawdown period
    Aug 12, 2021 - Oct 12, 2021
  • Annual Return (Compounded)
    5.5%
  • Avg win
    $12,058
  • Avg loss
    $14,281
  • Model Account Values (Raw)
  • Cash
    $84,245
  • Margin Used
    $0
  • Buying Power
    $84,245
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.69
  • Calmar Ratio
    1.617
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.03%
  • Correlation to SP500
    0.03940
  • Return Percent SP500 (cumu) during strategy life
    19.78%
  • Return Statistics
  • Ann Return (w trading costs)
    5.5%
  • Slump
  • Current Slump as Pcnt Equity
    264.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.055%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    87.50%
  • Chance of 20% account loss
    76.00%
  • Chance of 30% account loss
    50.00%
  • Chance of 40% account loss
    39.50%
  • Chance of 60% account loss (Monte Carlo)
    11.00%
  • Chance of 70% account loss (Monte Carlo)
    2.50%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • 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
    17.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    325
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $14,281
  • Avg Win
    $12,059
  • Sum Trade PL (losers)
    $399,876.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $434,121.000
  • # Winners
    36
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    28
  • % Winners
    56.2%
  • Frequency
  • Avg Position Time (mins)
    4020.87
  • Avg Position Time (hrs)
    67.01
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    899
  • Leverage
  • Daily leverage (average)
    19.29
  • Daily leverage (max)
    120.74
  • Regression
  • Alpha
    0.08
  • Beta
    0.20
  • Treynor Index
    0.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.20
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.13
  • Avg(MAE) / Avg(PL) - All trades
    -6.910
  • 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
    0.44
  • Avg(MAE) / Avg(PL) - Winning trades
    0.451
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.029
  • Hold-and-Hope Ratio
    -0.145
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.66033
  • SD
    1.72032
  • Sharpe ratio (Glass type estimate)
    0.96513
  • Sharpe ratio (Hedges UMVUE)
    0.87122
  • df
    8.00000
  • t
    0.83583
  • p
    0.21376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37371
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17430
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78084
  • Upside Potential Ratio
    4.17128
  • Upside part of mean
    2.49051
  • Downside part of mean
    -0.83018
  • Upside SD
    1.58238
  • Downside SD
    0.59706
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.33077
  • Mean of criterion
    1.66033
  • SD of predictor
    0.34136
  • SD of criterion
    1.72032
  • Covariance
    -0.01403
  • r
    -0.02390
  • b (slope, estimate of beta)
    -0.12042
  • a (intercept, estimate of alpha)
    1.70016
  • Mean Square Error
    3.38037
  • DF error
    7.00000
  • t(b)
    -0.06324
  • p(b)
    0.52433
  • t(a)
    0.76775
  • p(a)
    0.23387
  • Lowerbound of 95% confidence interval for beta
    -4.62330
  • Upperbound of 95% confidence interval for beta
    4.38246
  • Lowerbound of 95% confidence interval for alpha
    -3.53627
  • Upperbound of 95% confidence interval for alpha
    6.93659
  • Treynor index (mean / b)
    -13.78750
  • Jensen alpha (a)
    1.70016
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66770
  • SD
    1.39570
  • Sharpe ratio (Glass type estimate)
    0.47840
  • Sharpe ratio (Hedges UMVUE)
    0.43185
  • df
    8.00000
  • t
    0.41431
  • p
    0.34477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73875
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70489
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81278
  • Upside Potential Ratio
    2.15205
  • Upside part of mean
    1.76791
  • Downside part of mean
    -1.10021
  • Upside SD
    1.04586
  • Downside SD
    0.82150
  • N nonnegative terms
    3.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.27299
  • Mean of criterion
    0.66770
  • SD of predictor
    0.35062
  • SD of criterion
    1.39570
  • Covariance
    -0.01448
  • r
    -0.02959
  • b (slope, estimate of beta)
    -0.11780
  • a (intercept, estimate of alpha)
    0.69986
  • Mean Square Error
    2.22431
  • DF error
    7.00000
  • t(b)
    -0.07833
  • p(b)
    0.53012
  • t(a)
    0.39531
  • p(a)
    0.35219
  • Lowerbound of 95% confidence interval for beta
    -3.67392
  • Upperbound of 95% confidence interval for beta
    3.43831
  • Lowerbound of 95% confidence interval for alpha
    -3.48648
  • Upperbound of 95% confidence interval for alpha
    4.88620
  • Treynor index (mean / b)
    -5.66796
  • Jensen alpha (a)
    0.69986
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45506
  • Expected Shortfall on VaR
    0.53466
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18856
  • Expected Shortfall on VaR
    0.38555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.49660
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.27940
  • Maximum
    2.31534
  • Mean of quarter 1
    0.79711
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.13970
  • Mean of quarter 4
    1.79774
  • Inter Quartile Range
    0.27940
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.49660
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    2.31534
  • 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)
    0.91933
  • VaR(95%) (regression method)
    0.66132
  • Expected Shortfall (regression method)
    9.99497
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.10526
  • Quartile 1
    0.20480
  • Median
    0.30433
  • Quartile 3
    0.40387
  • Maximum
    0.50340
  • Mean of quarter 1
    0.10526
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.50340
  • Inter Quartile Range
    0.19907
  • 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)
    0.91320
  • Compounded annual return (geometric extrapolation)
    1.00493
  • Calmar ratio (compounded annual return / max draw down)
    1.99627
  • Compounded annual return / average of 25% largest draw downs
    1.99627
  • Compounded annual return / Expected Shortfall lognormal
    1.87955
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.50135
  • SD
    1.38938
  • Sharpe ratio (Glass type estimate)
    1.08059
  • Sharpe ratio (Hedges UMVUE)
    1.07645
  • df
    196.00000
  • t
    0.93701
  • p
    0.46661
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33926
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32681
  • Upside Potential Ratio
    8.32787
  • Upside part of mean
    5.37348
  • Downside part of mean
    -3.87213
  • Upside SD
    1.22998
  • Downside SD
    0.64524
  • N nonnegative terms
    37.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    197.00000
  • Mean of predictor
    0.33187
  • Mean of criterion
    1.50135
  • SD of predictor
    0.34335
  • SD of criterion
    1.38938
  • Covariance
    0.01308
  • r
    0.02743
  • b (slope, estimate of beta)
    0.11098
  • a (intercept, estimate of alpha)
    1.46500
  • Mean Square Error
    1.93882
  • DF error
    195.00000
  • t(b)
    0.38314
  • p(b)
    0.48254
  • t(a)
    0.91040
  • p(a)
    0.45861
  • Lowerbound of 95% confidence interval for beta
    -0.46030
  • Upperbound of 95% confidence interval for beta
    0.68227
  • Lowerbound of 95% confidence interval for alpha
    -1.70808
  • Upperbound of 95% confidence interval for alpha
    4.63711
  • Treynor index (mean / b)
    13.52770
  • Jensen alpha (a)
    1.46452
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66594
  • SD
    1.25565
  • Sharpe ratio (Glass type estimate)
    0.53035
  • Sharpe ratio (Hedges UMVUE)
    0.52832
  • df
    196.00000
  • t
    0.45988
  • p
    0.48358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78922
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95394
  • Upside Potential Ratio
    6.83111
  • Upside part of mean
    4.76873
  • Downside part of mean
    -4.10279
  • Upside SD
    1.04068
  • Downside SD
    0.69809
  • N nonnegative terms
    37.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    197.00000
  • Mean of predictor
    0.27223
  • Mean of criterion
    0.66594
  • SD of predictor
    0.34702
  • SD of criterion
    1.25565
  • Covariance
    0.01152
  • r
    0.02644
  • b (slope, estimate of beta)
    0.09567
  • a (intercept, estimate of alpha)
    0.63989
  • Mean Square Error
    1.58363
  • DF error
    195.00000
  • t(b)
    0.36936
  • p(b)
    0.48317
  • t(a)
    0.44040
  • p(a)
    0.47994
  • Lowerbound of 95% confidence interval for beta
    -0.41517
  • Upperbound of 95% confidence interval for beta
    0.60652
  • Lowerbound of 95% confidence interval for alpha
    -2.22566
  • Upperbound of 95% confidence interval for alpha
    3.50544
  • Treynor index (mean / b)
    6.96059
  • Jensen alpha (a)
    0.63989
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11755
  • Expected Shortfall on VaR
    0.14535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04540
  • Expected Shortfall on VaR
    0.09310
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    197.00000
  • Minimum
    0.78337
  • Quartile 1
    0.99927
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.60583
  • Mean of quarter 1
    0.94211
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08254
  • Inter Quartile Range
    0.00073
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.24366
  • Mean of outliers low
    0.93975
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.18274
  • Mean of outliers high
    1.11231
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.80200
  • VaR(95%) (moments method)
    0.00489
  • Expected Shortfall (moments method)
    0.00505
  • Extreme Value Index (regression method)
    0.14798
  • VaR(95%) (regression method)
    0.04772
  • Expected Shortfall (regression method)
    0.08602
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00073
  • Quartile 1
    0.01486
  • Median
    0.02482
  • Quartile 3
    0.18900
  • Maximum
    0.61912
  • Mean of quarter 1
    0.00751
  • Mean of quarter 2
    0.02218
  • Mean of quarter 3
    0.06457
  • Mean of quarter 4
    0.42162
  • Inter Quartile Range
    0.17414
  • 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
    0.10000
  • Mean of outliers high
    0.61912
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -9.64182
  • VaR(95%) (moments method)
    0.42423
  • Expected Shortfall (moments method)
    0.42423
  • Extreme Value Index (regression method)
    -1.14824
  • VaR(95%) (regression method)
    0.71981
  • Expected Shortfall (regression method)
    0.76448
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91088
  • Compounded annual return (geometric extrapolation)
    1.00139
  • Calmar ratio (compounded annual return / max draw down)
    1.61744
  • Compounded annual return / average of 25% largest draw downs
    2.37511
  • Compounded annual return / Expected Shortfall lognormal
    6.88958
  • 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
    -0.49367
  • SD
    0.98637
  • Sharpe ratio (Glass type estimate)
    -0.50049
  • Sharpe ratio (Hedges UMVUE)
    -0.49760
  • df
    130.00000
  • t
    -0.35390
  • p
    0.51551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.27212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27487
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86896
  • Upside Potential Ratio
    3.49325
  • Upside part of mean
    1.98456
  • Downside part of mean
    -2.47823
  • Upside SD
    0.80229
  • Downside SD
    0.56811
  • N nonnegative terms
    7.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36316
  • Mean of criterion
    -0.49367
  • SD of predictor
    0.41614
  • SD of criterion
    0.98637
  • Covariance
    0.01909
  • r
    0.04650
  • b (slope, estimate of beta)
    0.11023
  • a (intercept, estimate of alpha)
    -0.53370
  • Mean Square Error
    0.97835
  • DF error
    129.00000
  • t(b)
    0.52874
  • p(b)
    0.47041
  • t(a)
    -0.38098
  • p(a)
    0.52134
  • Lowerbound of 95% confidence interval for beta
    -0.30223
  • Upperbound of 95% confidence interval for beta
    0.52268
  • Lowerbound of 95% confidence interval for alpha
    -3.30535
  • Upperbound of 95% confidence interval for alpha
    2.23795
  • Treynor index (mean / b)
    -4.47877
  • Jensen alpha (a)
    -0.53370
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.93394
  • SD
    0.92384
  • Sharpe ratio (Glass type estimate)
    -1.01093
  • Sharpe ratio (Hedges UMVUE)
    -1.00509
  • df
    130.00000
  • t
    -0.71484
  • p
    0.53129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78353
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76941
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49938
  • Upside Potential Ratio
    2.77159
  • Upside part of mean
    1.72639
  • Downside part of mean
    -2.66033
  • Upside SD
    0.67994
  • Downside SD
    0.62289
  • N nonnegative terms
    7.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27581
  • Mean of criterion
    -0.93394
  • SD of predictor
    0.42072
  • SD of criterion
    0.92384
  • Covariance
    0.01624
  • r
    0.04178
  • b (slope, estimate of beta)
    0.09174
  • a (intercept, estimate of alpha)
    -0.95924
  • Mean Square Error
    0.85860
  • DF error
    129.00000
  • t(b)
    0.47495
  • p(b)
    0.47341
  • t(a)
    -0.73141
  • p(a)
    0.54088
  • VAR (95 Confidence Intrvl)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    -0.29044
  • Upperbound of 95% confidence interval for beta
    0.47393
  • Lowerbound of 95% confidence interval for alpha
    -3.55408
  • Upperbound of 95% confidence interval for alpha
    1.63560
  • Treynor index (mean / b)
    -10.17990
  • Jensen alpha (a)
    -0.95924
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09285
  • Expected Shortfall on VaR
    0.11403
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03185
  • Expected Shortfall on VaR
    0.06853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.78337
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.44013
  • Mean of quarter 1
    0.96285
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03009
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.93189
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.14186
  • 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)
    0.44401
  • VaR(95%) (regression method)
    0.02623
  • Expected Shortfall (regression method)
    0.08213
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.35380
  • Quartile 1
    0.39652
  • Median
    0.43924
  • Quartile 3
    0.48196
  • Maximum
    0.52468
  • Mean of quarter 1
    0.35380
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.52468
  • Inter Quartile Range
    0.08544
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335330000
  • Max Equity Drawdown (num days)
    61
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.72859
  • Compounded annual return (geometric extrapolation)
    -0.59588
  • Calmar ratio (compounded annual return / max draw down)
    -1.13569
  • Compounded annual return / average of 25% largest draw downs
    -1.13569
  • Compounded annual return / Expected Shortfall lognormal
    -5.22562

Strategy Description

Some Requirements To Follow before You Subscribe -

 >> Please don't put more than 10% of your account value in this strategy. Because of the nature of options trading the loss might/can be very high.
>> Account value should be greater than 50k to trade this strategy. This is required as some of our trades are day trades. Most brokers need more than 25k in the account for day trade.
>> Be patient and don't expect to be rich within 5 months after subscribing to a $200 strategy. Be logical.
>>  Our end goal is always to be positive at the end of the month. Hence initial monthly trades are more aggressive and once we book our expected profit we tend to avoid the market. So you have to be patient and only concentrate on end of the month return, not to how much you losses or how much you profit.
>> Our CAGR goal is 20%.Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.

Recommendations -

>> Our strategy is IRA / HSA Friendly. Please put 5% - 10% of your IRA /HSA Account. We usually use 10% leverage for open trades.
>> Please make a habit of withdrawing profit (at least 50%) regularly and put it to checking account. Don't reuse it for options trading.
>> Please read about options trading before execute an actual trade.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-06-03
Suggested Minimum Capital
$60,000
# Trades
64
# Profitable
36
% Profitable
56.2%
Correlation S&P500
0.039
Sharpe Ratio
0.33
Sortino Ratio
0.69
Beta
0.20
Alpha
0.08
Leverage
19.29 Average
120.74 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.