Collective2 Collective2
Featured Strategy IC Algotrading 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

Community Risk Warning

Based on analysis of trading style, and additional community feedback, this strategy exhibits higher risk than is visible in its track record.

Among other things, you should be aware of:

  • Impossible Quantities. This strategy track record includes trades that were of such large quantities that they were impossible in real life. Typically, these kind of track records show huge gains for one or more trades that could not have been achieved in actual trading.
What is this?

What is "Community Risk Warning?"

All trading is risky, and most traders lose money.

Beyond this general warning, there are some trading strategies that exhibit (or have demonstrated in historical performance) behavior which suggests increased risk of financial loss. These increased risks may not be immediately obvious to a casual observer of a strategy. Therefore, on occasion our software flags strategies that exhibit hidden risk.

Our members may still want to follow this strategy. Our goal is only to ensure prospective subscribers are aware of non-obvious risks of following strategies.

It's important to remember that, even if a strategy does not show a Community Risk Warning, it still may be extremely risky. A lack of this warning on other strategies does not imply those other strategies are low-risk or appropriate for all traders.

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

PTRS
(140993752)

Created by: MoneyCondor MoneyCondor
Started: 07/2022
Options
Last trade: 451 days ago
Trading style: Options Premium Collecting Volatility Long / Short
Subscriptions not currently available.

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 $25.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

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

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
186.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(100.0%)
Max Drawdown
87
Num Trades
58.6%
Win Trades
1.1 : 1
Profit Factor
18.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +468.8%(38.5%)+97.5%(11.3%)(14.7%)+19.3%+523.3%
2023+0.5%  -    -    -    -    -    -    -    -    -    -    -  +0.5%
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 49 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 648 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/27/23 15:15 SPY2330A410 SPY Jan30'23 410 call SHORT 70 0.68 1/31 8:05 0.01 0.23%
Trade id #143370147
Max drawdown($770)
Time1/27/23 15:34
Quant open70
Worst price0.79
Drawdown as % of equity-0.23%
 $4,600
Includes Typical Broker Commissions trade costs of $77.70
1/17/23 12:32 SPY2419A370 SPY Jan19'24 370 call LONG 70 59.41 1/30 10:55 58.28 20.65%
Trade id #143241275
Max drawdown($56,980)
Time1/19/23 0:00
Quant open70
Worst price51.27
Drawdown as % of equity-20.65%
 ($8,008)
Includes Typical Broker Commissions trade costs of $98.00
1/23/23 12:58 SPY2324A404 SPY Jan24'23 404 call SHORT 70 0.84 1/25 8:05 0.00 0.03%
Trade id #143307069
Max drawdown$16
Time1/23/23 13:11
Quant open
Worst price1.14
Drawdown as % of equity0.03%
 $5,831
Includes Typical Broker Commissions trade costs of $49.00
1/18/23 15:06 SPY2319A395 SPY Jan19'23 395 call SHORT 70 0.75 1/20 8:05 0.00 0.01%
Trade id #143257704
Max drawdown$7
Time1/18/23 15:06
Quant open
Worst price0.87
Drawdown as % of equity0.01%
 $5,201
Includes Typical Broker Commissions trade costs of $49.00
1/17/23 12:33 SPY2318A404 SPY Jan18'23 404 call SHORT 70 0.14 1/18 15:05 0.01 0.01%
Trade id #143241283
Max drawdown$3
Time1/17/23 13:11
Quant open
Worst price0.19
Drawdown as % of equity0.01%
 $812
Includes Typical Broker Commissions trade costs of $98.00
1/16/23 18:36 EUR/USD EUR/USD LONG 300 1.08294 1/17 1:57 1.08149 0.01%
Trade id #143230580
Max drawdown$0
Time1/16/23 19:12
Quant open
Worst price1.08063
Drawdown as % of equity0.01%
 ($4,350)
1/16/23 17:38 EUR/USD EUR/USD SHORT 300 1.08225 1/16 18:35 1.08308 0%
Trade id #143230319
Max drawdown$0
Time1/16/23 17:40
Quant open
Worst price1.08307
Drawdown as % of equity0.00%
 ($2,490)
1/15/23 21:15 EUR/USD EUR/USD SHORT 1 1.08686 1/15 21:16 1.08689 0%
Trade id #143222429
Max drawdown$0
Time1/15/23 21:15
Quant open
Worst price1.08682
Drawdown as % of equity0.00%
 $0
10/3/22 19:52 @ESZ2 E-MINI S&P 500 SHORT 5 3700.75 12/16 10:07 3874.50 1.92%
Trade id #142020374
Max drawdown$2,693
Time10/13/22 9:33
Quant open
Worst price4052.50
Drawdown as % of equity1.92%
 ($43,478)
Includes Typical Broker Commissions trade costs of $40.00
10/3/22 19:52 @ESZ2 E-MINI S&P 500 LONG 3 3701.25 10/3 19:52 3701.00 0.01%
Trade id #142020371
Max drawdown$6
Time10/3/22 19:52
Quant open
Worst price3700.75
Drawdown as % of equity0.01%
 ($62)
Includes Typical Broker Commissions trade costs of $24.00
10/2/22 18:03 @ESZ2 E-MINI S&P 500 LONG 3 3594.75 10/2 18:28 3604.50 0.03%
Trade id #142004493
Max drawdown$26
Time10/2/22 18:22
Quant open
Worst price3604.75
Drawdown as % of equity0.03%
 $1,439
Includes Typical Broker Commissions trade costs of $24.00
9/29/22 21:00 @ESZ2 E-MINI S&P 500 SHORT 12 3658.25 10/2 18:00 3593.50 0.8%
Trade id #141986070
Max drawdown$558
Time9/30/22 9:39
Quant open
Worst price3679.75
Drawdown as % of equity0.80%
 $38,754
Includes Typical Broker Commissions trade costs of $96.00
9/27/22 18:01 @ESZ2 E-MINI S&P 500 SHORT 2 3670.00 9/29 19:38 3666.75 0.47%
Trade id #141952743
Max drawdown$261
Time9/28/22 5:21
Quant open
Worst price3748.25
Drawdown as % of equity0.47%
 $309
Includes Typical Broker Commissions trade costs of $16.00
9/20/22 15:24 SPY2223U365 SPY Sep23'22 365 put SHORT 3,500 0.53 9/23 14:15 1.72 0.11%
Trade id #141868530
Max drawdown$105
Time9/21/22 10:00
Quant open
Worst price0.31
Drawdown as % of equity0.11%
 ($421,260)
Includes Typical Broker Commissions trade costs of $4,900.00
9/20/22 15:23 SPY2223U366 SPY Sep23'22 366 put LONG 3,500 0.59 9/23 14:15 2.26 1.61%
Trade id #141868527
Max drawdown$4,515
Time9/23/22 12:31
Quant open
Worst price1.00
Drawdown as % of equity1.61%
 $578,060
Includes Typical Broker Commissions trade costs of $4,900.00
9/21/22 14:04 @ESZ2 E-MINI S&P 500 SHORT 1 3855.25 9/21 14:07 3844.75 0.02%
Trade id #141880087
Max drawdown$19
Time9/21/22 14:04
Quant open
Worst price3838.75
Drawdown as % of equity0.02%
 $517
Includes Typical Broker Commissions trade costs of $8.00
9/19/22 23:51 @ESZ2 E-MINI S&P 500 LONG 7 3926.50 9/20 0:00 3926.00 0.01%
Trade id #141859016
Max drawdown$7
Time9/19/22 23:51
Quant open
Worst price3925.25
Drawdown as % of equity0.01%
 ($231)
Includes Typical Broker Commissions trade costs of $56.00
9/19/22 23:48 QCLV2 CRUDE OIL LONG 5 85.76 9/19 23:50 85.73 n/a ($190)
Includes Typical Broker Commissions trade costs of $40.00
9/19/22 23:43 EUR/USD EUR/USD LONG 300 1.00291 9/19 23:46 1.00299 0%
Trade id #141858991
Max drawdown$0
Time9/19/22 23:45
Quant open
Worst price1.00290
Drawdown as % of equity0.00%
 $240
9/16/22 14:01 @ESU2 E-MINI S&P 500 SHORT 20 3862.75 9/16 14:08 3867.00 0.55%
Trade id #141834424
Max drawdown$330
Time9/16/22 14:01
Quant open
Worst price3850.25
Drawdown as % of equity0.55%
 ($4,410)
Includes Typical Broker Commissions trade costs of $160.00
9/9/22 12:52 SPY2214U390 SPY Sep14'22 390 put SHORT 3,010 0.44 9/14 15:54 0.01 14.9%
Trade id #141726697
Max drawdown$4,424
Time9/12/22 16:10
Quant open
Worst price1.57
Drawdown as % of equity14.90%
 $125,006
Includes Typical Broker Commissions trade costs of $4,214.00
9/9/22 12:47 SPY2214U391 SPY Sep14'22 391 put LONG 3,010 0.53 9/14 15:54 0.01 2.69%
Trade id #141726615
Max drawdown$7,103
Time9/13/22 15:48
Quant open
Worst price0.01
Drawdown as % of equity2.69%
 ($159,754)
Includes Typical Broker Commissions trade costs of $4,214.00
9/14/22 0:22 @ESU2 E-MINI S&P 500 SHORT 1 3938.50 9/14 0:23 3937.50 0%
Trade id #141776344
Max drawdown$1
Time9/14/22 0:22
Quant open
Worst price3937.50
Drawdown as % of equity0.00%
 $42
Includes Typical Broker Commissions trade costs of $8.00
9/14/22 0:09 @ESU2 E-MINI S&P 500 SHORT 1 3937.75 9/14 0:12 3938.25 0%
Trade id #141776287
Max drawdown$0
Time9/14/22 0:11
Quant open
Worst price3937.25
Drawdown as % of equity0.00%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
9/11/22 18:30 @ESU2 E-MINI S&P 500 SHORT 4 4080.00 9/11 20:26 4074.25 0.02%
Trade id #141740631
Max drawdown$10
Time9/11/22 19:17
Quant open
Worst price4080.50
Drawdown as % of equity0.02%
 $1,118
Includes Typical Broker Commissions trade costs of $32.00
9/7/22 11:19 SPY2214I405 SPY Sep14'22 405 call SHORT 3,010 1.38 9/9 12:44 4.12 6.53%
Trade id #141689452
Max drawdown$10,685
Time9/7/22 12:24
Quant open
Worst price4.73
Drawdown as % of equity6.53%
 ($827,764)
Includes Typical Broker Commissions trade costs of $4,214.00
9/7/22 11:18 SPY2214I404 SPY Sep14'22 404 call LONG 3,010 1.61 9/9 12:44 4.65 6.97%
Trade id #141689433
Max drawdown$4,725
Time9/8/22 11:23
Quant open
Worst price1.53
Drawdown as % of equity6.97%
 $910,826
Includes Typical Broker Commissions trade costs of $4,214.00
9/7/22 11:11 SPY2214U374 SPY Sep14'22 374 put SHORT 3,010 0.66 9/9 12:44 0.07 0.2%
Trade id #141689196
Max drawdown$602
Time9/7/22 15:48
Quant open
Worst price0.56
Drawdown as % of equity0.20%
 $173,726
Includes Typical Broker Commissions trade costs of $4,214.00
9/7/22 11:07 SPY2214U375 SPY Sep14'22 375 put LONG 3,010 0.80 9/9 12:44 0.07 2.86%
Trade id #141688744
Max drawdown$2,528
Time9/7/22 12:26
Quant open
Worst price0.07
Drawdown as % of equity2.86%
 ($222,754)
Includes Typical Broker Commissions trade costs of $4,214.00
9/9/22 9:58 @ESU2 E-MINI S&P 500 SHORT 1 4039.00 9/9 10:01 4049.50 0%
Trade id #141722849
Max drawdown$1
Time9/9/22 9:58
Quant open
Worst price4043.00
Drawdown as % of equity0.00%
 ($533)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    7/7/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    653.98
  • Age
    22 months ago
  • What it trades
    Options
  • # Trades
    87
  • # Profitable
    51
  • % Profitable
    58.60%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 20, 2022 - July 22, 2022
  • Annual Return (Compounded)
    186.6%
  • Avg win
    $77,404
  • Avg loss
    $100,328
  • Model Account Values (Raw)
  • Cash
    $385,834
  • Margin Used
    $0
  • Buying Power
    $385,834
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    0.81
  • Sortino Ratio
    4.85
  • Calmar Ratio
    13.571
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    537.49%
  • Correlation to SP500
    0.00440
  • Return Percent SP500 (cumu) during strategy life
    30.94%
  • Return Statistics
  • Ann Return (w trading costs)
    186.6%
  • Slump
  • Current Slump as Pcnt Equity
    20.70%
  • Instruments
  • Percent Trades Futures
    0.08%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.85%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    5.88%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.866%
  • Instruments
  • Percent Trades Options
    0.81%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.11%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    209.6%
  • 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)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    0.13%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    331
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $100,328
  • Avg Win
    $77,405
  • Sum Trade PL (losers)
    $3,611,800.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $3,947,640.000
  • # Winners
    51
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    36
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    3783.72
  • Avg Position Time (hrs)
    63.06
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    446
  • Leverage
  • Daily leverage (average)
    196.80
  • Daily leverage (max)
    2471.46
  • Regression
  • Alpha
    615486.00
  • Beta
    84807.80
  • Treynor Index
    7.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.21
  • Avg(MAE) / Avg(PL) - All trades
    -18.052
  • 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
    0.21
  • Avg(MAE) / Avg(PL) - Winning trades
    0.163
  • Avg(MAE) / Avg(PL) - Losing trades
    -7.204
  • Hold-and-Hope Ratio
    -0.055
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.98999
  • SD
    4.73932
  • Sharpe ratio (Glass type estimate)
    1.47489
  • Sharpe ratio (Hedges UMVUE)
    1.31001
  • df
    7.00000
  • t
    1.20425
  • p
    0.13381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.80662
  • Statistics related to Sortino ratio
  • Sortino ratio
    21.35790
  • Upside Potential Ratio
    23.24570
  • Upside part of mean
    7.60782
  • Downside part of mean
    -0.61783
  • Upside SD
    4.85984
  • Downside SD
    0.32728
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.19459
  • Mean of criterion
    6.98999
  • SD of predictor
    0.19944
  • SD of criterion
    4.73932
  • Covariance
    0.06035
  • r
    0.06385
  • b (slope, estimate of beta)
    1.51739
  • a (intercept, estimate of alpha)
    6.69472
  • Mean Square Error
    26.09780
  • DF error
    6.00000
  • t(b)
    0.15673
  • p(b)
    0.44030
  • t(a)
    1.02456
  • p(a)
    0.17255
  • Lowerbound of 95% confidence interval for beta
    -22.17300
  • Upperbound of 95% confidence interval for beta
    25.20770
  • Lowerbound of 95% confidence interval for alpha
    -9.29414
  • Upperbound of 95% confidence interval for alpha
    22.68360
  • Treynor index (mean / b)
    4.60660
  • Jensen alpha (a)
    6.69472
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.94762
  • SD
    2.15471
  • Sharpe ratio (Glass type estimate)
    1.36799
  • Sharpe ratio (Hedges UMVUE)
    1.21505
  • df
    7.00000
  • t
    1.11696
  • p
    0.15044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69845
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.04405
  • Upside Potential Ratio
    9.89576
  • Upside part of mean
    3.62614
  • Downside part of mean
    -0.67853
  • Upside SD
    2.15689
  • Downside SD
    0.36643
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.17531
  • Mean of criterion
    2.94762
  • SD of predictor
    0.20019
  • SD of criterion
    2.15471
  • Covariance
    -0.01939
  • r
    -0.04495
  • b (slope, estimate of beta)
    -0.48385
  • a (intercept, estimate of alpha)
    3.03244
  • Mean Square Error
    5.40563
  • DF error
    6.00000
  • t(b)
    -0.11023
  • p(b)
    0.54209
  • t(a)
    1.02806
  • p(a)
    0.17179
  • Lowerbound of 95% confidence interval for beta
    -11.22500
  • Upperbound of 95% confidence interval for beta
    10.25730
  • Lowerbound of 95% confidence interval for alpha
    -4.18527
  • Upperbound of 95% confidence interval for alpha
    10.25010
  • Treynor index (mean / b)
    -6.09205
  • Jensen alpha (a)
    3.03244
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.54044
  • Expected Shortfall on VaR
    0.63702
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11975
  • Expected Shortfall on VaR
    0.21986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.76465
  • Quartile 1
    0.92056
  • Median
    1.00256
  • Quartile 3
    1.34873
  • Maximum
    4.76000
  • Mean of quarter 1
    0.83635
  • Mean of quarter 2
    0.96236
  • Mean of quarter 3
    1.02228
  • Mean of quarter 4
    3.51832
  • Inter Quartile Range
    0.42818
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    3.51832
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.16030
  • Quartile 1
    0.17906
  • Median
    0.19783
  • Quartile 3
    0.21659
  • Maximum
    0.23535
  • Mean of quarter 1
    0.16030
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23535
  • Inter Quartile Range
    0.03753
  • 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)
    9.40419
  • Compounded annual return (geometric extrapolation)
    18.59990
  • Calmar ratio (compounded annual return / max draw down)
    79.02980
  • Compounded annual return / average of 25% largest draw downs
    79.02980
  • Compounded annual return / Expected Shortfall lognormal
    29.19810
  • 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
    67435.50000
  • SD
    58017.50000
  • Sharpe ratio (Glass type estimate)
    1.16233
  • Sharpe ratio (Hedges UMVUE)
    1.15781
  • df
    193.00000
  • t
    1.00018
  • p
    0.45432
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12282
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43844
  • Statistics related to Sortino ratio
  • Sortino ratio
    44483.50000
  • Upside Potential Ratio
    44487.20000
  • Upside part of mean
    67441.00000
  • Downside part of mean
    -5.57253
  • Upside SD
    58017.50000
  • Downside SD
    1.51596
  • N nonnegative terms
    54.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.37379
  • Mean of criterion
    67435.50000
  • SD of predictor
    0.23608
  • SD of criterion
    58017.50000
  • Covariance
    -14.91750
  • r
    -0.00109
  • b (slope, estimate of beta)
    -267.65900
  • a (intercept, estimate of alpha)
    67535.50000
  • Mean Square Error
    3383550000.00000
  • DF error
    192.00000
  • t(b)
    -0.01509
  • p(b)
    0.50055
  • t(a)
    0.99430
  • p(a)
    0.46421
  • Lowerbound of 95% confidence interval for beta
    -35249.70000
  • Upperbound of 95% confidence interval for beta
    34714.40000
  • Lowerbound of 95% confidence interval for alpha
    -66435.00000
  • Upperbound of 95% confidence interval for alpha
    201506.00000
  • Treynor index (mean / b)
    -251.94600
  • Jensen alpha (a)
    67535.50000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.65109
  • SD
    19.09290
  • Sharpe ratio (Glass type estimate)
    0.13885
  • Sharpe ratio (Hedges UMVUE)
    0.13831
  • df
    193.00000
  • t
    0.11948
  • p
    0.49452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.13906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41606
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18967
  • Upside Potential Ratio
    1.69960
  • Upside part of mean
    23.75570
  • Downside part of mean
    -21.10470
  • Upside SD
    12.93540
  • Downside SD
    13.97720
  • N nonnegative terms
    54.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.34592
  • Mean of criterion
    2.65109
  • SD of predictor
    0.23520
  • SD of criterion
    19.09290
  • Covariance
    0.06121
  • r
    0.01363
  • b (slope, estimate of beta)
    1.10660
  • a (intercept, estimate of alpha)
    2.26829
  • Mean Square Error
    366.37000
  • DF error
    192.00000
  • t(b)
    0.18890
  • p(b)
    0.49318
  • t(a)
    0.10155
  • p(a)
    0.49634
  • Lowerbound of 95% confidence interval for beta
    -10.44780
  • Upperbound of 95% confidence interval for beta
    12.66100
  • Lowerbound of 95% confidence interval for alpha
    -41.78710
  • Upperbound of 95% confidence interval for alpha
    46.32360
  • Treynor index (mean / b)
    2.39571
  • Jensen alpha (a)
    2.26829
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85486
  • Expected Shortfall on VaR
    0.90406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06007
  • Expected Shortfall on VaR
    0.13522
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.00001
  • Quartile 1
    0.99606
  • Median
    1.00000
  • Quartile 3
    1.00641
  • Maximum
    49925.00000
  • Mean of quarter 1
    0.91624
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00043
  • Mean of quarter 4
    1020.13000
  • Inter Quartile Range
    0.01035
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.17010
  • Mean of outliers low
    0.88092
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.17526
  • Mean of outliers high
    1469.74000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.99358
  • VaR(95%) (moments method)
    0.03985
  • Expected Shortfall (moments method)
    6.97376
  • Extreme Value Index (regression method)
    0.94625
  • VaR(95%) (regression method)
    0.05319
  • Expected Shortfall (regression method)
    1.15483
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02347
  • Quartile 1
    0.10920
  • Median
    0.33630
  • Quartile 3
    0.63246
  • Maximum
    0.99999
  • Mean of quarter 1
    0.03868
  • Mean of quarter 2
    0.27509
  • Mean of quarter 3
    0.39751
  • Mean of quarter 4
    0.85538
  • Inter Quartile Range
    0.52326
  • 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)
    8.46701
  • Compounded annual return (geometric extrapolation)
    13.57040
  • Calmar ratio (compounded annual return / max draw down)
    13.57050
  • Compounded annual return / average of 25% largest draw downs
    15.86470
  • Compounded annual return / Expected Shortfall lognormal
    15.01050
  • 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
    -0.00683
  • SD
    0.49540
  • Sharpe ratio (Glass type estimate)
    -0.01378
  • Sharpe ratio (Hedges UMVUE)
    -0.01370
  • df
    130.00000
  • t
    -0.00974
  • p
    0.50043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.78551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75811
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01908
  • Upside Potential Ratio
    6.01121
  • Upside part of mean
    2.15039
  • Downside part of mean
    -2.15722
  • Upside SD
    0.33996
  • Downside SD
    0.35773
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61229
  • Mean of criterion
    -0.00683
  • SD of predictor
    0.23757
  • SD of criterion
    0.49540
  • Covariance
    -0.05438
  • r
    -0.46202
  • b (slope, estimate of beta)
    -0.96343
  • a (intercept, estimate of alpha)
    0.58308
  • Mean Square Error
    0.19453
  • DF error
    129.00000
  • t(b)
    -5.91690
  • p(b)
    0.78330
  • t(a)
    0.92309
  • p(a)
    0.44849
  • Lowerbound of 95% confidence interval for beta
    -1.28559
  • Upperbound of 95% confidence interval for beta
    -0.64128
  • Lowerbound of 95% confidence interval for alpha
    -0.66668
  • Upperbound of 95% confidence interval for alpha
    1.83283
  • Treynor index (mean / b)
    0.00709
  • Jensen alpha (a)
    0.58308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12976
  • SD
    0.49916
  • Sharpe ratio (Glass type estimate)
    -0.25995
  • Sharpe ratio (Hedges UMVUE)
    -0.25845
  • df
    130.00000
  • t
    -0.18382
  • p
    0.50806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.03146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.03043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51353
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34794
  • Upside Potential Ratio
    5.61718
  • Upside part of mean
    2.09485
  • Downside part of mean
    -2.22461
  • Upside SD
    0.32901
  • Downside SD
    0.37294
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58378
  • Mean of criterion
    -0.12976
  • SD of predictor
    0.23613
  • SD of criterion
    0.49916
  • Covariance
    -0.05496
  • r
    -0.46629
  • b (slope, estimate of beta)
    -0.98570
  • a (intercept, estimate of alpha)
    0.44567
  • Mean Square Error
    0.19650
  • DF error
    129.00000
  • t(b)
    -5.98675
  • p(b)
    0.78571
  • t(a)
    0.70271
  • p(a)
    0.46071
  • VAR (95 Confidence Intrvl)
    0.85500
  • Lowerbound of 95% confidence interval for beta
    -1.31146
  • Upperbound of 95% confidence interval for beta
    -0.65995
  • Lowerbound of 95% confidence interval for alpha
    -0.80915
  • Upperbound of 95% confidence interval for alpha
    1.70050
  • Treynor index (mean / b)
    0.13164
  • Jensen alpha (a)
    0.44567
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04993
  • Expected Shortfall on VaR
    0.06203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02405
  • Expected Shortfall on VaR
    0.04966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87543
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00050
  • Maximum
    1.10368
  • Mean of quarter 1
    0.96763
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03269
  • Inter Quartile Range
    0.00050
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.96662
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.24427
  • Mean of outliers high
    1.03368
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.30386
  • VaR(95%) (moments method)
    0.00477
  • Expected Shortfall (moments method)
    0.00479
  • Extreme Value Index (regression method)
    0.23554
  • VaR(95%) (regression method)
    0.02282
  • Expected Shortfall (regression method)
    0.04457
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01632
  • Quartile 1
    0.08101
  • Median
    0.14571
  • Quartile 3
    0.21040
  • Maximum
    0.27509
  • Mean of quarter 1
    0.01632
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27509
  • Inter Quartile Range
    0.12939
  • 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?
    -589447000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09930
  • Compounded annual return (geometric extrapolation)
    -0.09684
  • Calmar ratio (compounded annual return / max draw down)
    -0.35201
  • Compounded annual return / average of 25% largest draw downs
    -0.35201
  • Compounded annual return / Expected Shortfall lognormal
    -1.56105

Strategy Description

Strategy:

Options are open on the most liquid ETF, SPY to collect consistent income every week using low risk spreads those profits are then reinvested in more spreads.

Trading Methodology:

I use a mixture of both fundamental and technical analysis before every trade, no stop losses are used because I monitor my trades frequently to determine my current risk assessment in a situation where a big drawdown has occurred.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-07-07
Suggested Minimum Capital
$340,000
# Trades
87
# Profitable
51
% Profitable
58.6%
Correlation S&P500
0.004
Sharpe Ratio
0.81
Sortino Ratio
4.85
Beta
84807.80
Alpha
615486.00
Leverage
196.80 Average
2471.46 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.