Beta Momentum V1
- hypothetical · Annual Return (Compounded)
- -54.1%
- Max Drawdown
- 34.7%
- Trades
- 168
- Win Trades
- 42.9%
- Profit Factor
- 0.70
- Win Months
- 2.5%
About this strategy
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
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
Long Volatility
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 5.4 | -0.2 | -18.6 | -9.7 | -6.9 | -28.0 | |||||||
| 2024 | -1.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -1.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 8/15/2023 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 39 months |
| What it trades | Options |
| # Trades | 168 |
| # Profitable | 72 |
| % Profitable | 42.9% |
| Avg trade duration | 1.6 hours |
| Max peak-to-valley drawdown | 34.7% |
| drawdown period | Sept 11, 2023 - Jan 13, 2024 |
| Cumul. Return | -28.7% |
| Avg win | $176 |
| Avg loss | $189 |
Ratios
| W:L ratio | 0.70 |
|---|---|
| Sharpe Ratio | -1.58 |
| Sortino Ratio | -1.68 |
| Calmar Ratio | -1.21 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.05 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 70.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -35.9% |
Return Statistics
| Ann Return (w trading costs) | -54.1% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -7.3% |
Slump
| Current Slump as Pcnt Equity | 53.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 0.5% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 804 |
| Popularity (7 days, Percentile 1000 scale) | 637 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $189 |
|---|---|
| Avg Win | $176 |
| # Winners | 72 |
| Sum Trade PL (losers) | $18,157 |
| Sum Trade PL (winners) | $12,653 |
| Num Months Winners | 1 |
| # Losers | 96 |
| % Winners | 42.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 40 |
|---|
Frequency
| Avg Position Time (mins) | 97.67 |
|---|---|
| Avg Position Time (hrs) | 1.63 |
| Avg Trade Length | 0.10 |
| Last Trade Ago | 1052 |
Leverage
| Daily leverage (average) | 1.62 |
|---|---|
| Daily leverage (max) | 33.71 |
Regression
| Alpha | -0.03 |
|---|---|
| Beta | -0.02 |
| Treynor Index | 1.59 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -3.04 |
| MAE:PL (avg, all trades) | -0.35 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.65 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.13 |
| Hold-and-Hope Ratio | -0.33 |
RATIO STATISTICS
| Mean | -0.72 |
|---|---|
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | -2.64 |
| Sharpe ratio (Hedges UMVUE) | -1.91 |
| df | 3 |
| t | -1.52 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -6.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.45 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -5.63 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.81 |
| Sortino ratio | -2.37 |
| Upside Potential Ratio | 0.48 |
| Upside part of mean | 0.15 |
| Downside part of mean | -0.87 |
| Upside SD | 0.08 |
| Downside SD | 0.30 |
| N nonnegative terms | 1 |
| N negative terms | 3 |
| N of observations | 4 |
| Mean of predictor | 0.19 |
| Mean of criterion | -0.72 |
| SD of predictor | 0.12 |
| SD of criterion | 0.27 |
| Covariance | 0.01 |
| r | 0.24 |
| b (slope, estimate of beta) | 0.55 |
| a (intercept, estimate of alpha) | -0.83 |
| Mean Square Error | 0.11 |
| DF error | 2 |
| t(b) | 0.35 |
| p(b) | 0.38 |
| t(a) | -1.30 |
| p(a) | 0.84 |
| Lowerbound of 95% confidence interval for beta | -6.17 |
| Upperbound of 95% confidence interval for beta | 7.27 |
| Lowerbound of 95% confidence interval for alpha | -3.58 |
| Upperbound of 95% confidence interval for alpha | 1.92 |
| Treynor index (mean / b) | -1.31 |
| Jensen alpha (a) | -0.83 |
| Mean | -0.77 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | -2.72 |
| Sharpe ratio (Hedges UMVUE) | -1.97 |
| df | 3 |
| t | -1.57 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -6.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.40 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -5.71 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.77 |
| Sortino ratio | -2.40 |
| Upside Potential Ratio | 0.44 |
| Upside part of mean | 0.14 |
| Downside part of mean | -0.92 |
| Upside SD | 0.08 |
| Downside SD | 0.32 |
| N nonnegative terms | 1 |
| N negative terms | 3 |
| N of observations | 4 |
| Mean of predictor | 0.19 |
| Mean of criterion | -0.77 |
| SD of predictor | 0.12 |
| SD of criterion | 0.28 |
| Covariance | 0.01 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.64 |
| a (intercept, estimate of alpha) | -0.89 |
| Mean Square Error | 0.11 |
| DF error | 2 |
| t(b) | 0.39 |
| p(b) | 0.37 |
| t(a) | -1.36 |
| p(a) | 0.85 |
| Lowerbound of 95% confidence interval for beta | -6.34 |
| Upperbound of 95% confidence interval for beta | 7.62 |
| Lowerbound of 95% confidence interval for alpha | -3.71 |
| Upperbound of 95% confidence interval for alpha | 1.92 |
| Treynor index (mean / b) | -1.21 |
| Jensen alpha (a) | -0.89 |
| VaR(95%) | 0.18 |
| Expected Shortfall on VaR | 0.21 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.17 |
| Mean | -0.74 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | -4.05 |
| Sharpe ratio (Hedges UMVUE) | -4.01 |
| df | 88 |
| t | -2.36 |
| p | 0.99 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -7.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -7.43 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.60 |
| Sortino ratio | -4.24 |
| Upside Potential Ratio | 3.34 |
| Upside part of mean | 0.58 |
| Downside part of mean | -1.33 |
| Upside SD | 0.07 |
| Downside SD | 0.17 |
| N nonnegative terms | 34 |
| N negative terms | 55 |
| N of observations | 89 |
| Mean of predictor | 0.19 |
| Mean of criterion | -0.74 |
| SD of predictor | 0.14 |
| SD of criterion | 0.18 |
| Covariance | -0.01 |
| r | -0.28 |
| b (slope, estimate of beta) | -0.37 |
| a (intercept, estimate of alpha) | -0.42 |
| Mean Square Error | 0.03 |
| DF error | 87 |
| t(b) | -2.72 |
| p(b) | 1.00 |
| t(a) | -2.21 |
| p(a) | 0.98 |
| Lowerbound of 95% confidence interval for beta | -0.65 |
| Upperbound of 95% confidence interval for beta | -0.10 |
| Lowerbound of 95% confidence interval for alpha | -1.28 |
| Upperbound of 95% confidence interval for alpha | -0.07 |
| Treynor index (mean / b) | 1.99 |
| Jensen alpha (a) | -0.67 |
| Mean | -0.76 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | -4.08 |
| Sharpe ratio (Hedges UMVUE) | -4.05 |
| df | 88 |
| t | -2.38 |
| p | 0.99 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -7.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -7.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.63 |
| Sortino ratio | -4.26 |
| Upside Potential Ratio | 3.27 |
| Upside part of mean | 0.58 |
| Downside part of mean | -1.34 |
| Upside SD | 0.07 |
| Downside SD | 0.18 |
| N nonnegative terms | 34 |
| N negative terms | 55 |
| N of observations | 89 |
| Mean of predictor | 0.18 |
| Mean of criterion | -0.76 |
| SD of predictor | 0.14 |
| SD of criterion | 0.19 |
| Covariance | -0.01 |
| r | -0.28 |
| b (slope, estimate of beta) | -0.38 |
| a (intercept, estimate of alpha) | -0.69 |
| Mean Square Error | 0.03 |
| DF error | 87 |
| t(b) | -2.71 |
| p(b) | 1.00 |
| t(a) | -2.24 |
| p(a) | 0.99 |
| Lowerbound of 95% confidence interval for beta | -0.66 |
| Upperbound of 95% confidence interval for beta | -0.10 |
| Lowerbound of 95% confidence interval for alpha | -1.31 |
| Upperbound of 95% confidence interval for alpha | -0.08 |
| Treynor index (mean / b) | 2.01 |
| Jensen alpha (a) | -0.69 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| VAR (95 Confidence Intrvl) | 0.02 |
ORDER STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.88 |
| Quartile 1 | 0.89 |
| Median | 0.92 |
| Quartile 3 | 0.97 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.88 |
| Mean of quarter 2 | 0.89 |
| Mean of quarter 3 | 0.95 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 89 |
| Minimum | 0.94 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.01 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -0.06 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.33 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.26 |
| Quartile 1 | 0.26 |
| Median | 0.26 |
| Quartile 3 | 0.26 |
| Maximum | 0.26 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 3 |
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.16 |
| Maximum | 0.29 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.29 |
| Inter Quartile Range | 0.14 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -335082560 |
| Max Equity Drawdown (num days) | 124 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.66 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.53 |
| Calmar ratio (compounded annual return / max draw down) | -2.04 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -2.53 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.65 |
| Compounded annual return (geometric extrapolation) | -0.52 |
| Calmar ratio (compounded annual return / max draw down) | -1.79 |
| Compounded annual return / average of 25% largest draw downs | -1.79 |
| Compounded annual return / Expected Shortfall lognormal | -19.77 |
Trading record
Placed 401 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TSLA2322X252.5 | long | 2 | Dec 22, 2023 | Dec 22, 2023 | $48 |
| TSLA2322L260 | long | 1 | Dec 22, 2023 | Dec 22, 2023 | ($53) |
| TSLA2322X250 | long | 1 | Dec 21, 2023 | Dec 21, 2023 | $99 |
| TSLA2322L255 | long | 1 | Dec 21, 2023 | Dec 21, 2023 | ($60) |
| TSLA2322X252.5 | long | 1 | Dec 20, 2023 | Dec 20, 2023 | $34 |
| TSLA2322L255 | long | 1 | Dec 19, 2023 | Dec 19, 2023 | $66 |
| TSLA2322L257.5 | long | 1 | Dec 18, 2023 | Dec 18, 2023 | $50 |
| TSLA2315L237.5 | long | 1 | Dec 12, 2023 | Dec 12, 2023 | ($56) |
| TSLA2315X235 | long | 1 | Dec 12, 2023 | Dec 12, 2023 | ($83) |
| TSLA2315L245 | long | 1 | Dec 11, 2023 | Dec 11, 2023 | ($145) |
| TSLA2315X237.5 | long | 1 | Dec 11, 2023 | Dec 11, 2023 | ($76) |
| TSLA2308L242.5 | long | 1 | Dec 8, 2023 | Dec 8, 2023 | $108 |
| TSLA2308L245 | long | 1 | Dec 7, 2023 | Dec 7, 2023 | $9 |
| TSLA2308L250 | long | 5 | Dec 5, 2023 | Dec 5, 2023 | ($987) |
| TSLA2308X237.5 | long | 3 | Dec 5, 2023 | Dec 5, 2023 | ($199) |
| TSLA2308X232.5 | long | 2 | Dec 5, 2023 | Dec 5, 2023 | ($70) |
| TSLA2308L245 | long | 3 | Dec 5, 2023 | Dec 5, 2023 | $148 |
| TSLA2308X232.5 | long | 1 | Dec 5, 2023 | Dec 5, 2023 | ($115) |
| TSLA2308X235 | long | 1 | Dec 4, 2023 | Dec 4, 2023 | $33 |
| TSLA2308L240 | long | 2 | Dec 4, 2023 | Dec 4, 2023 | $115 |
| TSLA2308X230 | long | 1 | Dec 4, 2023 | Dec 4, 2023 | ($112) |
| TSLA2308L240 | long | 1 | Dec 4, 2023 | Dec 4, 2023 | $104 |
| TSLA2301X240 | long | 1 | Nov 30, 2023 | Nov 30, 2023 | $63 |
| TSLA2301X245 | long | 1 | Nov 29, 2023 | Nov 29, 2023 | $20 |
| TSLA2301L240 | long | 1 | Nov 28, 2023 | Nov 28, 2023 | $67 |
| TSLA2324K240 | long | 4 | Nov 24, 2023 | Nov 25, 2023 | ($96) |
| TSLA2324W227.5 | long | 2 | Nov 24, 2023 | Nov 24, 2023 | ($54) |
| TSLA2324K237.5 | long | 2 | Nov 24, 2023 | Nov 24, 2023 | $1 |
| TSLA2317W220 | long | 60 | Nov 17, 2023 | Nov 18, 2023 | ($307) |
| TSLA2317K245 | long | 3 | Nov 16, 2023 | Nov 17, 2023 | ($418) |
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.