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This is an archived track record. This track record was archived on 1/18/24 15:34 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Beta Momentum V1
(145538887)

Created by: GlennConti GlennConti
Started: 08/2023
Options
Last trade: 933 days ago
Trading style: Options Long Volatility

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $149.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Long Volatility
Category: Equity

Long Volatility

This strategy employs one of the several ways that are available to construct a portfolio that will profit when volatility rises.
-54.1%
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.

(34.7%)
Max Drawdown
168
Num Trades
42.9%
Win Trades
0.7 : 1
Profit Factor
2.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 +5.4%(0.2%)(18.6%)(9.7%)(6.9%)(28%)
2024(1%)  -    -    -    -    -    -    -    -    -    -    -  (1%)
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -    -                                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.

LiveSignal

Live broadcasts, recordings, and community highlights.
Open LiveSignal

Live Chat

Yes. C2 platform interface is new to me. Just starting to get used to it. Thanks.
Could you pls explain your stop/loss setups?
Can the fills on IBKR be fair to all your subs based on the volumes and volatility of the options you're trading? In the past that has been a sore point on other strategies.
Hi. I just saw these messages. As I said I’m getting used to the platform. As far as stop/loss, I am fully concentrating on the value of my open orders, if I have picked the trend ...
Please check out my strategies performance. Also forgive my communication issues.
Hello. I have been providing pertinent broadcast messages to my subscribers whenever I can to update strategy status, post mortem the day’s action and answers FAQs. Please consider...
Open LiveSignal

Trading Record

This strategy has placed 401 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/22/23 9:37 TSLA2322X252.5 TSLA Dec22'23 252.5 put LONG 2 0.72 12/22 14:24 0.97 0.74%
Trade id #146786746
Max drawdown($132)
Time12/22/23 13:24
Quant open2
Worst price0.06
Drawdown as % of equity-0.74%
 $48
Includes Typical Broker Commissions trade costs of $2.80
12/22/23 9:31 TSLA2322L260 TSLA Dec22'23 260 call LONG 1 1.20 12/22 9:35 0.69 0.33%
Trade id #146786426
Max drawdown($59)
Time12/22/23 9:35
Quant open1
Worst price0.60
Drawdown as % of equity-0.33%
 ($53)
Includes Typical Broker Commissions trade costs of $2.00
12/21/23 9:41 TSLA2322X250 TSLA Dec22'23 250 put LONG 1 2.18 12/21 9:59 3.19 0.25%
Trade id #146773844
Max drawdown($45)
Time12/21/23 9:45
Quant open1
Worst price1.73
Drawdown as % of equity-0.25%
 $99
Includes Typical Broker Commissions trade costs of $2.00
12/21/23 9:31 TSLA2322L255 TSLA Dec22'23 255 call LONG 1 2.38 12/21 9:37 1.80 0.4%
Trade id #146773462
Max drawdown($72)
Time12/21/23 9:37
Quant open1
Worst price1.65
Drawdown as % of equity-0.40%
 ($60)
Includes Typical Broker Commissions trade costs of $2.00
12/20/23 9:32 TSLA2322X252.5 TSLA Dec22'23 252.5 put LONG 1 2.38 12/20 14:36 2.75 0.73%
Trade id #146757528
Max drawdown($130)
Time12/20/23 10:06
Quant open1
Worst price1.08
Drawdown as % of equity-0.73%
 $34
Includes Typical Broker Commissions trade costs of $2.00
12/19/23 9:36 TSLA2322L255 TSLA Dec22'23 255 call LONG 1 4.43 12/19 10:09 5.11 0.38%
Trade id #146743172
Max drawdown($68)
Time12/19/23 10:00
Quant open1
Worst price3.75
Drawdown as % of equity-0.38%
 $66
Includes Typical Broker Commissions trade costs of $2.00
12/18/23 9:34 TSLA2322L257.5 TSLA Dec22'23 257.5 call LONG 1 5.05 12/18 10:07 5.56 0.14%
Trade id #146728659
Max drawdown($25)
Time12/18/23 9:41
Quant open1
Worst price4.80
Drawdown as % of equity-0.14%
 $50
Includes Typical Broker Commissions trade costs of $2.00
12/12/23 10:20 TSLA2315L237.5 TSLA Dec15'23 237.5 call LONG 1 4.37 12/12 15:59 3.83 0.81%
Trade id #146670853
Max drawdown($149)
Time12/12/23 12:27
Quant open1
Worst price2.87
Drawdown as % of equity-0.81%
 ($56)
Includes Typical Broker Commissions trade costs of $2.00
12/12/23 9:31 TSLA2315X235 TSLA Dec15'23 235 put LONG 1 4.37 12/12 10:18 3.56 0.58%
Trade id #146669645
Max drawdown($106)
Time12/12/23 10:16
Quant open1
Worst price3.30
Drawdown as % of equity-0.58%
 ($83)
Includes Typical Broker Commissions trade costs of $2.00
12/11/23 9:41 TSLA2315L245 TSLA Dec15'23 245 call LONG 1 4.38 12/11 15:58 2.94 1.05%
Trade id #146658136
Max drawdown($193)
Time12/11/23 11:58
Quant open1
Worst price2.44
Drawdown as % of equity-1.05%
 ($145)
Includes Typical Broker Commissions trade costs of $2.00
12/11/23 9:36 TSLA2315X237.5 TSLA Dec15'23 237.5 put LONG 1 3.77 12/11 9:39 3.04 0.42%
Trade id #146658004
Max drawdown($77)
Time12/11/23 9:39
Quant open1
Worst price3.00
Drawdown as % of equity-0.42%
 ($76)
Includes Typical Broker Commissions trade costs of $2.00
12/8/23 9:31 TSLA2308L242.5 TSLA Dec8'23 242.5 call LONG 1 1.23 12/8 9:41 2.33 n/a $108
Includes Typical Broker Commissions trade costs of $2.00
12/7/23 9:31 TSLA2308L245 TSLA Dec8'23 245 call LONG 1 2.13 12/7 11:00 2.24 0.69%
Trade id #146634155
Max drawdown($133)
Time12/7/23 10:09
Quant open1
Worst price0.80
Drawdown as % of equity-0.69%
 $9
Includes Typical Broker Commissions trade costs of $2.00
12/5/23 10:46 TSLA2308L250 TSLA Dec8'23 250 call LONG 5 2.80 12/5 15:59 0.84 5.25%
Trade id #146615485
Max drawdown($1,015)
Time12/5/23 14:06
Quant open5
Worst price0.77
Drawdown as % of equity-5.25%
 ($987)
Includes Typical Broker Commissions trade costs of $7.00
12/5/23 10:25 TSLA2308X237.5 TSLA Dec8'23 237.5 put LONG 3 2.46 12/5 10:45 1.81 1.13%
Trade id #146615047
Max drawdown($219)
Time12/5/23 10:45
Quant open3
Worst price1.73
Drawdown as % of equity-1.13%
 ($199)
Includes Typical Broker Commissions trade costs of $4.20
12/5/23 10:12 TSLA2308X232.5 TSLA Dec8'23 232.5 put LONG 2 1.42 12/5 10:22 1.08 0.35%
Trade id #146614806
Max drawdown($67)
Time12/5/23 10:22
Quant open2
Worst price1.08
Drawdown as % of equity-0.35%
 ($70)
Includes Typical Broker Commissions trade costs of $2.80
12/5/23 10:01 TSLA2308L245 TSLA Dec8'23 245 call LONG 3 2.79 12/5 10:10 3.29 n/a $148
Includes Typical Broker Commissions trade costs of $4.50
12/5/23 9:33 TSLA2308X232.5 TSLA Dec8'23 232.5 put LONG 1 3.12 12/5 10:00 1.99 0.72%
Trade id #146613805
Max drawdown($139)
Time12/5/23 10:00
Quant open1
Worst price1.72
Drawdown as % of equity-0.72%
 ($115)
Includes Typical Broker Commissions trade costs of $2.00
12/4/23 13:54 TSLA2308X235 TSLA Dec8'23 235 put LONG 1 3.69 12/4 14:01 4.04 n/a $33
Includes Typical Broker Commissions trade costs of $2.00
12/4/23 11:53 TSLA2308L240 TSLA Dec8'23 240 call LONG 2 3.70 12/4 13:10 4.29 0.22%
Trade id #146607293
Max drawdown($42)
Time12/4/23 12:14
Quant open2
Worst price3.49
Drawdown as % of equity-0.22%
 $115
Includes Typical Broker Commissions trade costs of $2.80
12/4/23 10:59 TSLA2308X230 TSLA Dec8'23 230 put LONG 1 3.33 12/4 11:55 2.23 0.58%
Trade id #146606126
Max drawdown($112)
Time12/4/23 11:55
Quant open1
Worst price2.21
Drawdown as % of equity-0.58%
 ($112)
Includes Typical Broker Commissions trade costs of $2.00
12/4/23 9:43 TSLA2308L240 TSLA Dec8'23 240 call LONG 1 3.70 12/4 9:52 4.76 0.06%
Trade id #146604746
Max drawdown($11)
Time12/4/23 9:46
Quant open1
Worst price3.59
Drawdown as % of equity-0.06%
 $104
Includes Typical Broker Commissions trade costs of $2.00
11/30/23 9:30 TSLA2301X240 TSLA Dec1'23 240 put LONG 1 2.17 11/30 9:31 2.82 n/a $63
Includes Typical Broker Commissions trade costs of $2.00
11/29/23 9:30 TSLA2301X245 TSLA Dec1'23 245 put LONG 1 3.08 11/29 11:12 3.29 0.77%
Trade id #146563890
Max drawdown($149)
Time11/29/23 9:54
Quant open1
Worst price1.59
Drawdown as % of equity-0.77%
 $20
Includes Typical Broker Commissions trade costs of $2.00
11/28/23 9:30 TSLA2301L240 TSLA Dec1'23 240 call LONG 1 4.01 11/28 11:21 4.70 0.82%
Trade id #146553122
Max drawdown($159)
Time11/28/23 10:37
Quant open1
Worst price2.42
Drawdown as % of equity-0.82%
 $67
Includes Typical Broker Commissions trade costs of $2.00
11/24/23 9:34 TSLA2324K240 TSLA Nov24'23 240 call LONG 4 0.23 11/25 9:35 0.00 0.46%
Trade id #146526209
Max drawdown($89)
Time11/24/23 12:22
Quant open4
Worst price0.01
Drawdown as % of equity-0.46%
 ($96)
Includes Typical Broker Commissions trade costs of $3.40
11/24/23 9:31 TSLA2324W227.5 TSLA Nov24'23 227.5 put LONG 2 0.35 11/24 9:33 0.10 0.26%
Trade id #146526079
Max drawdown($51)
Time11/24/23 9:33
Quant open2
Worst price0.10
Drawdown as % of equity-0.26%
 ($54)
Includes Typical Broker Commissions trade costs of $2.80
11/24/23 9:30 TSLA2324K237.5 TSLA Nov24'23 237.5 call LONG 2 0.40 11/24 9:30 0.42 n/a $1
Includes Typical Broker Commissions trade costs of $2.80
11/17/23 9:32 TSLA2317W220 TSLA Nov17'23 220 put LONG 60 0.04 11/18 9:35 0.00 1.05%
Trade id #146469776
Max drawdown($204)
Time11/17/23 12:01
Quant open60
Worst price0.01
Drawdown as % of equity-1.05%
 ($307)
Includes Typical Broker Commissions trade costs of $42.00
11/16/23 9:48 TSLA2317K245 TSLA Nov17'23 245 call LONG 3 1.42 11/17 9:37 0.04 2.1%
Trade id #146458525
Max drawdown($414)
Time11/17/23 9:32
Quant open3
Worst price0.04
Drawdown as % of equity-2.10%
 ($418)
Includes Typical Broker Commissions trade costs of $4.20

Statistics

  • Strategy began
    8/15/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1055.02
  • Age
    35 months ago
  • What it trades
    Options
  • # Trades
    168
  • # Profitable
    72
  • % Profitable
    42.90%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    34.68%
  • drawdown period
    Sept 11, 2023 - Jan 13, 2024
  • Cumul. Return
    -28.7%
  • Avg win
    $175.74
  • Avg loss
    $189.14
  • Model Account Values (Raw)
  • Cash
    $19,500
  • Margin Used
    $0
  • Buying Power
    $19,500
  • Ratios
  • W:L ratio
    0.70:1
  • Sharpe Ratio
    -1.65
  • Sortino Ratio
    -1.75
  • Calmar Ratio
    -1.238
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -35.89%
  • Correlation to SP500
    -0.04920
  • Return Percent SP500 (cumu) during strategy life
    70.70%
  • Return Statistics
  • Ann Return (w trading costs)
    -54.1%
  • Slump
  • Current Slump as Pcnt Equity
    53.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • 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)
    -0.287%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    804
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    637
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $189
  • Avg Win
    $176
  • Sum Trade PL (losers)
    $18,157.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $12,653.000
  • # Winners
    72
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    96
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    97.67
  • Avg Position Time (hrs)
    1.63
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    926
  • Leverage
  • Daily leverage (average)
    1.62
  • Daily leverage (max)
    33.71
  • Regression
  • Alpha
    -0.04
  • Beta
    -0.02
  • Treynor Index
    1.69
  • 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
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.041
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.649
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.131
  • Hold-and-Hope Ratio
    -0.329
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.72175
  • SD
    0.27359
  • Sharpe ratio (Glass type estimate)
    -2.63807
  • Sharpe ratio (Hedges UMVUE)
    -1.90891
  • df
    3.00000
  • t
    -1.52309
  • p
    0.88744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.43777
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.63146
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81364
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.37489
  • Upside Potential Ratio
    0.48322
  • Upside part of mean
    0.14686
  • Downside part of mean
    -0.86861
  • Upside SD
    0.08479
  • Downside SD
    0.30391
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.19336
  • Mean of criterion
    -0.72175
  • SD of predictor
    0.12016
  • SD of criterion
    0.27359
  • Covariance
    0.00796
  • r
    0.24214
  • b (slope, estimate of beta)
    0.55130
  • a (intercept, estimate of alpha)
    -0.82835
  • Mean Square Error
    0.10569
  • DF error
    2.00000
  • t(b)
    0.35294
  • p(b)
    0.37893
  • t(a)
    -1.29634
  • p(a)
    0.83786
  • Lowerbound of 95% confidence interval for beta
    -6.16959
  • Upperbound of 95% confidence interval for beta
    7.27219
  • Lowerbound of 95% confidence interval for alpha
    -3.57772
  • Upperbound of 95% confidence interval for alpha
    1.92101
  • Treynor index (mean / b)
    -1.30918
  • Jensen alpha (a)
    -0.82835
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.77329
  • SD
    0.28406
  • Sharpe ratio (Glass type estimate)
    -2.72226
  • Sharpe ratio (Hedges UMVUE)
    -1.96983
  • df
    3.00000
  • t
    -1.57170
  • p
    0.89297
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.55340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.71265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77298
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.40332
  • Upside Potential Ratio
    0.44458
  • Upside part of mean
    0.14305
  • Downside part of mean
    -0.91634
  • Upside SD
    0.08259
  • Downside SD
    0.32176
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.18609
  • Mean of criterion
    -0.77329
  • SD of predictor
    0.11922
  • SD of criterion
    0.28406
  • Covariance
    0.00911
  • r
    0.26898
  • b (slope, estimate of beta)
    0.64088
  • a (intercept, estimate of alpha)
    -0.89255
  • Mean Square Error
    0.11228
  • DF error
    2.00000
  • t(b)
    0.39495
  • p(b)
    0.36551
  • t(a)
    -1.36427
  • p(a)
    0.84714
  • Lowerbound of 95% confidence interval for beta
    -6.34096
  • Upperbound of 95% confidence interval for beta
    7.62272
  • Lowerbound of 95% confidence interval for alpha
    -3.70748
  • Upperbound of 95% confidence interval for alpha
    1.92238
  • Treynor index (mean / b)
    -1.20661
  • Jensen alpha (a)
    -0.89255
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18071
  • Expected Shortfall on VaR
    0.20795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15702
  • Expected Shortfall on VaR
    0.17264
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.87509
  • Quartile 1
    0.88963
  • Median
    0.92118
  • Quartile 3
    0.97374
  • Maximum
    1.05128
  • Mean of quarter 1
    0.87509
  • Mean of quarter 2
    0.89447
  • Mean of quarter 3
    0.94789
  • Mean of quarter 4
    1.05128
  • Inter Quartile Range
    0.08411
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.25805
  • Quartile 1
    0.25805
  • Median
    0.25805
  • Quartile 3
    0.25805
  • Maximum
    0.25805
  • 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)
    -0.66000
  • Compounded annual return (geometric extrapolation)
    -0.52545
  • Calmar ratio (compounded annual return / max draw down)
    -2.03625
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.52681
  • 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
    -0.74139
  • SD
    0.18327
  • Sharpe ratio (Glass type estimate)
    -4.04535
  • Sharpe ratio (Hedges UMVUE)
    -4.01077
  • df
    88.00000
  • t
    -2.35776
  • p
    0.98970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.44968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.61892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.42540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59615
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.23791
  • Upside Potential Ratio
    3.34369
  • Upside part of mean
    0.58496
  • Downside part of mean
    -1.32635
  • Upside SD
    0.06858
  • Downside SD
    0.17494
  • N nonnegative terms
    34.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.18574
  • Mean of criterion
    -0.74139
  • SD of predictor
    0.13737
  • SD of criterion
    0.18327
  • Covariance
    -0.00704
  • r
    -0.27972
  • b (slope, estimate of beta)
    -0.37317
  • a (intercept, estimate of alpha)
    -0.43500
  • Mean Square Error
    0.03132
  • DF error
    87.00000
  • t(b)
    -2.71750
  • p(b)
    0.99603
  • t(a)
    -2.20574
  • p(a)
    0.98498
  • Lowerbound of 95% confidence interval for beta
    -0.64612
  • Upperbound of 95% confidence interval for beta
    -0.10023
  • Lowerbound of 95% confidence interval for alpha
    -1.27770
  • Upperbound of 95% confidence interval for alpha
    -0.06647
  • Treynor index (mean / b)
    1.98672
  • Jensen alpha (a)
    -0.67208
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.75933
  • SD
    0.18601
  • Sharpe ratio (Glass type estimate)
    -4.08229
  • Sharpe ratio (Hedges UMVUE)
    -4.04740
  • df
    88.00000
  • t
    -2.37929
  • p
    0.99025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.48740
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.65480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.46296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63183
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.26143
  • Upside Potential Ratio
    3.26935
  • Upside part of mean
    0.58256
  • Downside part of mean
    -1.34189
  • Upside SD
    0.06826
  • Downside SD
    0.17819
  • N nonnegative terms
    34.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.17637
  • Mean of criterion
    -0.75933
  • SD of predictor
    0.13698
  • SD of criterion
    0.18601
  • Covariance
    -0.00710
  • r
    -0.27861
  • b (slope, estimate of beta)
    -0.37833
  • a (intercept, estimate of alpha)
    -0.69261
  • Mean Square Error
    0.03228
  • DF error
    87.00000
  • t(b)
    -2.70585
  • p(b)
    0.99590
  • t(a)
    -2.23966
  • p(a)
    0.98617
  • Lowerbound of 95% confidence interval for beta
    -0.65624
  • Upperbound of 95% confidence interval for beta
    -0.10042
  • Lowerbound of 95% confidence interval for alpha
    -1.30727
  • Upperbound of 95% confidence interval for alpha
    -0.07795
  • Treynor index (mean / b)
    2.00706
  • Jensen alpha (a)
    -0.69261
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02156
  • Expected Shortfall on VaR
    0.02624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01325
  • Expected Shortfall on VaR
    0.02575
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.94006
  • Quartile 1
    0.99259
  • Median
    1.00000
  • Quartile 3
    1.00406
  • Maximum
    1.01204
  • Mean of quarter 1
    0.98247
  • Mean of quarter 2
    0.99812
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.00800
  • Inter Quartile Range
    0.01147
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03371
  • Mean of outliers low
    0.95689
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05738
  • VaR(95%) (moments method)
    0.01645
  • Expected Shortfall (moments method)
    0.02156
  • Extreme Value Index (regression method)
    0.32704
  • VaR(95%) (regression method)
    0.01617
  • Expected Shortfall (regression method)
    0.02647
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00513
  • Quartile 1
    0.01362
  • Median
    0.02211
  • Quartile 3
    0.15557
  • Maximum
    0.28903
  • Mean of quarter 1
    0.00513
  • Mean of quarter 2
    0.02211
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28903
  • Inter Quartile Range
    0.14195
  • 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)
    -0.64764
  • Compounded annual return (geometric extrapolation)
    -0.51878
  • Calmar ratio (compounded annual return / max draw down)
    -1.79490
  • Compounded annual return / average of 25% largest draw downs
    -1.79490
  • Compounded annual return / Expected Shortfall lognormal
    -19.76870
  • 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)
    0.01700
  • 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
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -335083000
  • Max Equity Drawdown (num days)
    124

Strategy Description

This strategy is for informational purposes only and you agree that you are doing your own research and taking full responsibility for any actions you might take based on this information and your own other information and experience. Further, you agree that your only remedy, if you do not like the information provided by this strategy, is to, at a maximum, receive a refund of the fees you paid for the last 30 days to Collective2, for this strategy subscription. By subscribing to this strategy, you are indicating that you are in full agreement to the preceding.

The strategy is to buy options contracts (calls or puts) following the momentum trend on high beta underlying stocks. I buy high and sell higher using long single leg calls or puts. When the value of the contract hits a take profit target (or loss target), I sell out the position. Even though I am a Level 4 options trader, this strategy is designed to be able to be instructive to a Level 2 options trader with a cash account. On a typical day, I usually have 1 to 4 contracts open, for a single underlying stock, at a time at the same strike price and expiration date. I will most likely hit a profit or loss target in an hour or less after the markets open at 9:30a ET and then be done for the day (till the next). Prices on a contract (x100) are usually less than $10.00, therefore a mirroring trading simulator account with $10,000 that settles daily would be the very bare minimum to keep up with the trades (excepting extended drawdowns).

I trade this strategy manually on IBKR using market orders exclusively. It is my understanding that C2 will mirror my trades with market orders almost immediately after I make a trade. This should result in your fills being worse than mine half the time and better than mine half the time. That is, things will average out.

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

Trade this strategy at Tradier

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Live Chat

Yes. C2 platform interface is new to me. Just starting to get used to it. Thanks.
Could you pls explain your stop/loss setups?
Can the fills on IBKR be fair to all your subs based on the volumes and volatility of the options you're trading? In the past that has been a sore point on other strategies.
Hi. I just saw these messages. As I said I’m getting used to the platform. As far as stop/loss, I am fully concentrating on the value of my open orders, if I have picked the trend ...
Please check out my strategies performance. Also forgive my communication issues.
Hello. I have been providing pertinent broadcast messages to my subscribers whenever I can to update strategy status, post mortem the day’s action and answers FAQs. Please consider...
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Summary Statistics

Strategy began
2023-08-15
Suggested Minimum Capital
$25,000
# Trades
168
# Profitable
72
% Profitable
42.9%
Correlation S&P500
-0.049
Sharpe Ratio
-1.65
Sortino Ratio
-1.75
Beta
-0.02
Alpha
-0.04
Leverage
1.62 Average
33.71 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

subscribed on started simulation

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.