Welcome to Collective2 AutoTrade Systems

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.

These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/03/2018
Most recent certification approved 5/3/18 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 354
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 351
Percent signals followed since 05/03/2018 99.2%
This information was last updated 6/26/19 19:52 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/03/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 AutoTrade Systems calculates the hypothetical results you see on this web site.

Swing Index Options I
(117723809)

Created by: QuantAutoTrader QuantAutoTrader
Started: 04/2018
Options
Last trade: Yesterday
Trading style: Options Directional Bets

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $20.00 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
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
16.3%
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.

(15.5%)
Max Drawdown
161
Num Trades
58.4%
Win Trades
1.3 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (0.1%)+8.1%(3.6%)+5.5%+0.7%(0.1%)(3.2%)(7.5%)+11.4%+10.1%
2019+2.5%+1.2%+1.8%+1.9%(5.8%)+6.9%                                    +8.3%

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 351 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/20/19 10:40 SPY1916H295 SPY Aug16'19 295 call LONG 1 5.97 6/21 9:31 6.22 0.27%
Trade id #124163081
Max drawdown($49)
Time6/20/19 10:40
Quant open1
Worst price5.48
Drawdown as % of equity-0.27%
$23
Includes Typical Broker Commissions trade costs of $2.00
6/14/19 9:54 SPY1919G288 SPY Jul19'19 288 call LONG 1 5.00 6/19 9:33 6.94 0.06%
Trade id #124084294
Max drawdown($11)
Time6/14/19 9:54
Quant open1
Worst price4.89
Drawdown as % of equity-0.06%
$192
Includes Typical Broker Commissions trade costs of $2.00
5/31/19 11:57 QQQ1919G176 QQQ Jul19'19 176 call LONG 1 4.92 6/17 9:34 8.99 1.33%
Trade id #123891568
Max drawdown($231)
Time6/3/19 15:33
Quant open1
Worst price2.60
Drawdown as % of equity-1.33%
$406
Includes Typical Broker Commissions trade costs of $2.00
6/10/19 11:55 SPY1919S291 SPY Jul19'19 291 put LONG 1 5.71 6/11 9:33 5.31 0.23%
Trade id #124005497
Max drawdown($42)
Time6/11/19 9:33
Quant open1
Worst price5.28
Drawdown as % of equity-0.23%
($42)
Includes Typical Broker Commissions trade costs of $2.00
5/31/19 12:02 SPY1919G278 SPY Jul19'19 278 call LONG 1 5.69 6/5 9:32 8.19 0.97%
Trade id #123891667
Max drawdown($168)
Time6/3/19 15:33
Quant open1
Worst price4.01
Drawdown as % of equity-0.97%
$248
Includes Typical Broker Commissions trade costs of $2.00
5/23/19 9:43 SPY1919G282 SPY Jul19'19 282 call LONG 1 6.74 6/5 9:32 5.66 2.52%
Trade id #123793837
Max drawdown($437)
Time6/3/19 15:33
Quant open1
Worst price2.36
Drawdown as % of equity-2.52%
($110)
Includes Typical Broker Commissions trade costs of $2.00
5/7/19 11:52 SPY1921F288 SPY Jun21'19 288 call LONG 1 6.98 5/17 9:31 3.90 2.41%
Trade id #123560462
Max drawdown($427)
Time5/13/19 13:28
Quant open1
Worst price2.71
Drawdown as % of equity-2.41%
($310)
Includes Typical Broker Commissions trade costs of $2.00
5/9/19 9:31 QQQ1921F184 QQQ Jun21'19 184 call LONG 1 5.73 5/16 9:31 4.04 1.76%
Trade id #123588006
Max drawdown($311)
Time5/13/19 15:40
Quant open1
Worst price2.62
Drawdown as % of equity-1.76%
($171)
Includes Typical Broker Commissions trade costs of $2.00
5/10/19 14:52 SPY1921R287 SPY Jun21'19 287 put LONG 1 5.75 5/14 10:55 7.78 0.53%
Trade id #123626363
Max drawdown($94)
Time5/10/19 15:30
Quant open1
Worst price4.81
Drawdown as % of equity-0.53%
$200
Includes Typical Broker Commissions trade costs of $2.00
5/1/19 15:26 QQQ1921F190 QQQ Jun21'19 190 call LONG 1 4.56 5/6 9:31 3.54 0.72%
Trade id #123496939
Max drawdown($131)
Time5/6/19 9:31
Quant open1
Worst price3.25
Drawdown as % of equity-0.72%
($104)
Includes Typical Broker Commissions trade costs of $2.00
5/2/19 9:36 QQQ1921R189 QQQ Jun21'19 189 put LONG 1 4.16 5/3 9:31 3.79 0.25%
Trade id #123504257
Max drawdown($45)
Time5/3/19 9:31
Quant open1
Worst price3.71
Drawdown as % of equity-0.25%
($39)
Includes Typical Broker Commissions trade costs of $2.00
5/1/19 12:43 IWM1921F158 IWM Jun21'19 158 call LONG 1 3.52 5/2 9:32 3.14 0.22%
Trade id #123493991
Max drawdown($40)
Time5/2/19 9:31
Quant open1
Worst price3.12
Drawdown as % of equity-0.22%
($40)
Includes Typical Broker Commissions trade costs of $2.00
4/25/19 10:17 SPY1921F291 SPY Jun21'19 291 call LONG 1 6.00 4/29 9:33 7.18 0.1%
Trade id #123427719
Max drawdown($17)
Time4/25/19 10:33
Quant open1
Worst price5.83
Drawdown as % of equity-0.10%
$116
Includes Typical Broker Commissions trade costs of $2.00
4/25/19 9:45 IWM1921F156 IWM Jun21'19 156 call LONG 1 4.20 4/29 9:32 5.47 0.23%
Trade id #123426292
Max drawdown($41)
Time4/25/19 10:33
Quant open1
Worst price3.78
Drawdown as % of equity-0.23%
$126
Includes Typical Broker Commissions trade costs of $2.00
4/25/19 10:13 QQQ1921F190 QQQ Jun21'19 190 call LONG 1 5.30 4/26 9:42 4.54 0.45%
Trade id #123427413
Max drawdown($81)
Time4/26/19 9:40
Quant open1
Worst price4.49
Drawdown as % of equity-0.45%
($79)
Includes Typical Broker Commissions trade costs of $2.00
4/24/19 9:32 QQQ1921R190 QQQ Jun21'19 190 put LONG 1 3.94 4/25 9:31 3.89 0.09%
Trade id #123411628
Max drawdown($16)
Time4/25/19 9:31
Quant open1
Worst price3.78
Drawdown as % of equity-0.09%
($8)
Includes Typical Broker Commissions trade costs of $2.00
4/17/19 9:44 SPY1917E290 SPY May17'19 290 call LONG 1 3.99 4/18 9:37 3.56 0.39%
Trade id #123341561
Max drawdown($70)
Time4/17/19 14:26
Quant open1
Worst price3.29
Drawdown as % of equity-0.39%
($45)
Includes Typical Broker Commissions trade costs of $2.00
4/1/19 13:01 QQQ1917Q182 QQQ May17'19 182 put LONG 1 3.87 4/18 9:31 1.36 1.44%
Trade id #123155522
Max drawdown($261)
Time4/17/19 9:33
Quant open1
Worst price1.26
Drawdown as % of equity-1.44%
($253)
Includes Typical Broker Commissions trade costs of $2.00
4/15/19 10:30 IWM1917E157 IWM May17'19 157 call LONG 2 3.05 4/16 9:31 3.29 0.31%
Trade id #123314349
Max drawdown($56)
Time4/15/19 12:31
Quant open2
Worst price2.77
Drawdown as % of equity-0.31%
$43
Includes Typical Broker Commissions trade costs of $4.00
4/11/19 9:52 QQQ1917E185 QQQ May17'19 185 call LONG 2 3.85 4/15 9:31 4.03 0.16%
Trade id #123281132
Max drawdown($29)
Time4/11/19 14:31
Quant open1
Worst price3.63
Drawdown as % of equity-0.16%
$32
Includes Typical Broker Commissions trade costs of $4.00
4/9/19 15:24 IWM1917E155 IWM May17'19 155 call LONG 1 3.69 4/10 9:31 3.69 0.16%
Trade id #123258899
Max drawdown($28)
Time4/9/19 15:56
Quant open1
Worst price3.40
Drawdown as % of equity-0.16%
($1)
Includes Typical Broker Commissions trade costs of $2.00
3/29/19 13:54 IWM1917E152 IWM May17'19 152 call LONG 1 4.48 4/2 9:37 5.22 n/a $72
Includes Typical Broker Commissions trade costs of $2.00
3/13/19 9:31 IWM1918P155 IWM Apr18'19 155 put LONG 2 2.87 4/1 9:34 3.09 0.89%
Trade id #122891644
Max drawdown($157)
Time3/19/19 9:32
Quant open2
Worst price2.08
Drawdown as % of equity-0.89%
$41
Includes Typical Broker Commissions trade costs of $4.00
3/25/19 9:49 QQQ1917E177 QQQ May17'19 177 call LONG 2 5.59 4/1 9:31 7.47 0.37%
Trade id #123057350
Max drawdown($66)
Time3/27/19 11:56
Quant open1
Worst price5.20
Drawdown as % of equity-0.37%
$371
Includes Typical Broker Commissions trade costs of $4.00
3/19/19 10:26 IWM1918D156 IWM Apr18'19 156 call LONG 1 2.37 3/20 9:31 2.13 0.2%
Trade id #122970660
Max drawdown($35)
Time3/19/19 15:43
Quant open1
Worst price2.02
Drawdown as % of equity-0.20%
($26)
Includes Typical Broker Commissions trade costs of $2.00
3/4/19 10:11 IWM1918D158 IWM Apr18'19 158 call LONG 2 3.19 3/15 9:32 1.14 2.98%
Trade id #122772037
Max drawdown($489)
Time3/8/19 15:25
Quant open2
Worst price0.74
Drawdown as % of equity-2.98%
($413)
Includes Typical Broker Commissions trade costs of $4.00
3/5/19 9:53 IWM1918D156 IWM Apr18'19 156 call LONG 1 3.45 3/15 9:31 1.96 1.29%
Trade id #122788445
Max drawdown($216)
Time3/8/19 9:31
Quant open1
Worst price1.29
Drawdown as % of equity-1.29%
($151)
Includes Typical Broker Commissions trade costs of $2.00
3/7/19 9:50 SPY1918D275 SPY Apr18'19 275 call LONG 2 5.04 3/12 9:35 5.71 1.63%
Trade id #122818289
Max drawdown($273)
Time3/8/19 13:10
Quant open2
Worst price3.68
Drawdown as % of equity-1.63%
$129
Includes Typical Broker Commissions trade costs of $4.00
3/7/19 9:50 QQQ1918D172 QQQ Apr18'19 172 call LONG 1 4.27 3/12 9:35 5.45 0.79%
Trade id #122818287
Max drawdown($132)
Time3/8/19 10:07
Quant open1
Worst price2.95
Drawdown as % of equity-0.79%
$116
Includes Typical Broker Commissions trade costs of $2.00
3/4/19 10:53 SPY1918D281 SPY Apr18'19 281 call LONG 1 4.16 3/12 9:31 2.84 1.75%
Trade id #122772929
Max drawdown($293)
Time3/8/19 13:09
Quant open1
Worst price1.23
Drawdown as % of equity-1.75%
($134)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    4/30/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    421.98
  • Age
    14 months ago
  • What it trades
    Options
  • # Trades
    161
  • # Profitable
    94
  • % Profitable
    58.40%
  • Avg trade duration
    11.9 days
  • Max peak-to-valley drawdown
    15.53%
  • drawdown period
    June 20, 2018 - Nov 27, 2018
  • Annual Return (Compounded)
    16.3%
  • Avg win
    $170.50
  • Avg loss
    $185.94
  • Model Account Values (Raw)
  • Cash
    $8,774
  • Margin Used
    $0
  • Buying Power
    $8,954
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.63
  • Sortino Ratio
    0.95
  • Calmar Ratio
    1.524
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.43320
  • Return Statistics
  • Ann Return (w trading costs)
    16.3%
  • Ann Return (Compnd, No Fees)
    20.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    341
  • Popularity (Last 6 weeks)
    826
  • C2 Score
    56.5
  • Trades-Own-System Certification
  • Trades Own System?
    184387
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $189
  • Avg Win
    $170
  • # Winners
    94
  • # Losers
    67
  • % Winners
    58.4%
  • Frequency
  • Avg Position Time (mins)
    17196.30
  • Avg Position Time (hrs)
    286.61
  • Avg Trade Length
    11.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.71
  • Daily leverage (max)
    10.18
  • Unknown
  • Alpha
    0.03
  • Beta
    0.63
  • Treynor Index
    0.07
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19012
  • SD
    0.17331
  • Sharpe ratio (Glass type estimate)
    1.09699
  • Sharpe ratio (Hedges UMVUE)
    1.02672
  • df
    12.00000
  • t
    1.14178
  • p
    0.34348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85693
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95407
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34398
  • Upside Potential Ratio
    3.98798
  • Upside part of mean
    0.32346
  • Downside part of mean
    -0.13334
  • Upside SD
    0.15543
  • Downside SD
    0.08111
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.06387
  • Mean of criterion
    0.19012
  • SD of predictor
    0.15883
  • SD of criterion
    0.17331
  • Covariance
    -0.00130
  • r
    -0.04706
  • b (slope, estimate of beta)
    -0.05136
  • a (intercept, estimate of alpha)
    0.19340
  • Mean Square Error
    0.03269
  • DF error
    11.00000
  • t(b)
    -0.15627
  • p(b)
    0.56067
  • t(a)
    1.10523
  • p(a)
    0.14632
  • Lowerbound of 95% confidence interval for beta
    -0.77468
  • Upperbound of 95% confidence interval for beta
    0.67197
  • Lowerbound of 95% confidence interval for alpha
    -0.19174
  • Upperbound of 95% confidence interval for alpha
    0.57853
  • Treynor index (mean / b)
    -3.70198
  • Jensen alpha (a)
    0.19340
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17499
  • SD
    0.16866
  • Sharpe ratio (Glass type estimate)
    1.03750
  • Sharpe ratio (Hedges UMVUE)
    0.97104
  • df
    12.00000
  • t
    1.07987
  • p
    0.35120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94446
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89377
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10699
  • Upside Potential Ratio
    3.74964
  • Upside part of mean
    0.31141
  • Downside part of mean
    -0.13642
  • Upside SD
    0.14803
  • Downside SD
    0.08305
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.05176
  • Mean of criterion
    0.17499
  • SD of predictor
    0.16109
  • SD of criterion
    0.16866
  • Covariance
    -0.00086
  • r
    -0.03149
  • b (slope, estimate of beta)
    -0.03297
  • a (intercept, estimate of alpha)
    0.17669
  • Mean Square Error
    0.03100
  • DF error
    11.00000
  • t(b)
    -0.10449
  • p(b)
    0.54067
  • t(a)
    1.03966
  • p(a)
    0.16040
  • Lowerbound of 95% confidence interval for beta
    -0.72744
  • Upperbound of 95% confidence interval for beta
    0.66150
  • Lowerbound of 95% confidence interval for alpha
    -0.19737
  • Upperbound of 95% confidence interval for alpha
    0.55075
  • Treynor index (mean / b)
    -5.30745
  • Jensen alpha (a)
    0.17669
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06340
  • Expected Shortfall on VaR
    0.08212
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01830
  • Expected Shortfall on VaR
    0.03946
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.94742
  • Quartile 1
    1.00161
  • Median
    1.01816
  • Quartile 3
    1.02462
  • Maximum
    1.12448
  • Mean of quarter 1
    0.96622
  • Mean of quarter 2
    1.01191
  • Mean of quarter 3
    1.02391
  • Mean of quarter 4
    1.08797
  • Inter Quartile Range
    0.02300
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.23077
  • Mean of outliers low
    0.95442
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.10447
  • 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)
    -4.02097
  • VaR(95%) (regression method)
    0.10115
  • Expected Shortfall (regression method)
    0.10123
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03298
  • Quartile 1
    0.05000
  • Median
    0.06703
  • Quartile 3
    0.08406
  • Maximum
    0.10108
  • Mean of quarter 1
    0.03298
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10108
  • Inter Quartile Range
    0.03406
  • 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)
    0.22692
  • Compounded annual return (geometric extrapolation)
    0.22494
  • Calmar ratio (compounded annual return / max draw down)
    2.22525
  • Compounded annual return / average of 25% largest draw downs
    2.22525
  • Compounded annual return / Expected Shortfall lognormal
    2.73928
  • 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
    0.18160
  • SD
    0.21009
  • Sharpe ratio (Glass type estimate)
    0.86440
  • Sharpe ratio (Hedges UMVUE)
    0.86220
  • df
    295.00000
  • t
    0.91877
  • p
    0.17948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98158
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98308
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70747
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30859
  • Upside Potential Ratio
    7.47356
  • Upside part of mean
    1.03717
  • Downside part of mean
    -0.85556
  • Upside SD
    0.15766
  • Downside SD
    0.13878
  • N nonnegative terms
    147.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.06949
  • Mean of criterion
    0.18160
  • SD of predictor
    0.14999
  • SD of criterion
    0.21009
  • Covariance
    0.01377
  • r
    0.43711
  • b (slope, estimate of beta)
    0.61229
  • a (intercept, estimate of alpha)
    0.13900
  • Mean Square Error
    0.03583
  • DF error
    294.00000
  • t(b)
    8.33317
  • p(b)
    0.00000
  • t(a)
    0.78054
  • p(a)
    0.21785
  • Lowerbound of 95% confidence interval for beta
    0.46769
  • Upperbound of 95% confidence interval for beta
    0.75690
  • Lowerbound of 95% confidence interval for alpha
    -0.21156
  • Upperbound of 95% confidence interval for alpha
    0.48967
  • Treynor index (mean / b)
    0.29660
  • Jensen alpha (a)
    0.13906
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15959
  • SD
    0.20976
  • Sharpe ratio (Glass type estimate)
    0.76082
  • Sharpe ratio (Hedges UMVUE)
    0.75888
  • df
    295.00000
  • t
    0.80868
  • p
    0.20968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60386
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.12953
  • Upside Potential Ratio
    7.25418
  • Upside part of mean
    1.02492
  • Downside part of mean
    -0.86533
  • Upside SD
    0.15487
  • Downside SD
    0.14129
  • N nonnegative terms
    147.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.05826
  • Mean of criterion
    0.15959
  • SD of predictor
    0.15007
  • SD of criterion
    0.20976
  • Covariance
    0.01376
  • r
    0.43716
  • b (slope, estimate of beta)
    0.61104
  • a (intercept, estimate of alpha)
    0.12399
  • Mean Square Error
    0.03571
  • DF error
    294.00000
  • t(b)
    8.33427
  • p(b)
    0.00000
  • t(a)
    0.69719
  • p(a)
    0.24312
  • Lowerbound of 95% confidence interval for beta
    0.46675
  • Upperbound of 95% confidence interval for beta
    0.75533
  • Lowerbound of 95% confidence interval for alpha
    -0.22601
  • Upperbound of 95% confidence interval for alpha
    0.47399
  • Treynor index (mean / b)
    0.26117
  • Jensen alpha (a)
    0.12399
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02049
  • Expected Shortfall on VaR
    0.02577
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00740
  • Expected Shortfall on VaR
    0.01592
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    296.00000
  • Minimum
    0.93992
  • Quartile 1
    0.99722
  • Median
    1.00006
  • Quartile 3
    1.00339
  • Maximum
    1.05772
  • Mean of quarter 1
    0.98795
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.01471
  • Inter Quartile Range
    0.00617
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.08784
  • Mean of outliers low
    0.97508
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.11149
  • Mean of outliers high
    1.02505
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76120
  • VaR(95%) (moments method)
    0.01236
  • Expected Shortfall (moments method)
    0.05537
  • Extreme Value Index (regression method)
    0.50438
  • VaR(95%) (regression method)
    0.01025
  • Expected Shortfall (regression method)
    0.02377
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00265
  • Median
    0.00881
  • Quartile 3
    0.01911
  • Maximum
    0.13530
  • Mean of quarter 1
    0.00090
  • Mean of quarter 2
    0.00621
  • Mean of quarter 3
    0.01055
  • Mean of quarter 4
    0.07590
  • Inter Quartile Range
    0.01646
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.09271
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.77742
  • VaR(95%) (moments method)
    0.06185
  • Expected Shortfall (moments method)
    0.06185
  • Extreme Value Index (regression method)
    0.06787
  • VaR(95%) (regression method)
    0.05557
  • Expected Shortfall (regression method)
    0.07674
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20883
  • Compounded annual return (geometric extrapolation)
    0.20622
  • Calmar ratio (compounded annual return / max draw down)
    1.52422
  • Compounded annual return / average of 25% largest draw downs
    2.71689
  • Compounded annual return / Expected Shortfall lognormal
    8.00191
  • 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
    0.25111
  • SD
    0.17568
  • Sharpe ratio (Glass type estimate)
    1.42937
  • Sharpe ratio (Hedges UMVUE)
    1.42111
  • df
    130.00000
  • t
    1.01072
  • p
    0.45585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20396
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35607
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19829
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60912
  • Upside Potential Ratio
    9.07600
  • Upside part of mean
    0.87352
  • Downside part of mean
    -0.62240
  • Upside SD
    0.14699
  • Downside SD
    0.09624
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25789
  • Mean of criterion
    0.25111
  • SD of predictor
    0.15781
  • SD of criterion
    0.17568
  • Covariance
    0.01478
  • r
    0.53321
  • b (slope, estimate of beta)
    0.59359
  • a (intercept, estimate of alpha)
    0.09803
  • Mean Square Error
    0.02226
  • DF error
    129.00000
  • t(b)
    7.15864
  • p(b)
    0.17740
  • t(a)
    0.46225
  • p(a)
    0.47412
  • Lowerbound of 95% confidence interval for beta
    0.42953
  • Upperbound of 95% confidence interval for beta
    0.75765
  • Lowerbound of 95% confidence interval for alpha
    -0.32157
  • Upperbound of 95% confidence interval for alpha
    0.51764
  • Treynor index (mean / b)
    0.42304
  • Jensen alpha (a)
    0.09803
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23588
  • SD
    0.17387
  • Sharpe ratio (Glass type estimate)
    1.35661
  • Sharpe ratio (Hedges UMVUE)
    1.34877
  • df
    130.00000
  • t
    0.95927
  • p
    0.45808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12542
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42424
  • Upside Potential Ratio
    8.86868
  • Upside part of mean
    0.86291
  • Downside part of mean
    -0.62704
  • Upside SD
    0.14403
  • Downside SD
    0.09730
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24544
  • Mean of criterion
    0.23588
  • SD of predictor
    0.15732
  • SD of criterion
    0.17387
  • Covariance
    0.01463
  • r
    0.53488
  • b (slope, estimate of beta)
    0.59117
  • a (intercept, estimate of alpha)
    0.09078
  • Mean Square Error
    0.02175
  • DF error
    129.00000
  • t(b)
    7.19005
  • p(b)
    0.17650
  • t(a)
    0.43324
  • p(a)
    0.47574
  • Lowerbound of 95% confidence interval for beta
    0.42849
  • Upperbound of 95% confidence interval for beta
    0.75384
  • Lowerbound of 95% confidence interval for alpha
    -0.32380
  • Upperbound of 95% confidence interval for alpha
    0.50536
  • Treynor index (mean / b)
    0.39900
  • Jensen alpha (a)
    0.09078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01663
  • Expected Shortfall on VaR
    0.02102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00489
  • Expected Shortfall on VaR
    0.01060
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96871
  • Quartile 1
    0.99762
  • Median
    1.00036
  • Quartile 3
    1.00241
  • Maximum
    1.05772
  • Mean of quarter 1
    0.99152
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.01229
  • Inter Quartile Range
    0.00480
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97835
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02254
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78102
  • VaR(95%) (moments method)
    0.00939
  • Expected Shortfall (moments method)
    0.04418
  • Extreme Value Index (regression method)
    0.59876
  • VaR(95%) (regression method)
    0.00566
  • Expected Shortfall (regression method)
    0.01339
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00157
  • Median
    0.00907
  • Quartile 3
    0.02068
  • Maximum
    0.07160
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00574
  • Mean of quarter 3
    0.01055
  • Mean of quarter 4
    0.06246
  • Inter Quartile Range
    0.01911
  • 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
    0.16667
  • Mean of outliers high
    0.07142
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -16450.80000
  • VaR(95%) (moments method)
    0.06557
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -7.16571
  • VaR(95%) (regression method)
    0.18069
  • Expected Shortfall (regression method)
    0.18069
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28197
  • Compounded annual return (geometric extrapolation)
    0.30184
  • Calmar ratio (compounded annual return / max draw down)
    4.21552
  • Compounded annual return / average of 25% largest draw downs
    4.83284
  • Compounded annual return / Expected Shortfall lognormal
    14.35660

Strategy Description

Swing trades high liquidity index options on the S&P500, Russell 2000 and the Nasdaq 100. Trades are automated and executed via a portfolio of trading strategies. The strategies utilize a variety of individual signal combinations that were down selected by a proprietary optimizer from a pool of potential signals to produce a robust mix of out-of-sample results over a six year walk-forward optimization process.

I have traded the systems in personal accounts over the past year with favorable results. Individual trades vary in duration from 1-60 days with an average duration between 2-10 days depending upon the strategy.

Individual trade sizes are tuned to commit no more than 3% of the account or a minimum of one option to any individual trade.

To supplement account returns, hedged equity positions will be held with cash that is not required for the directional option positions.

Summary Statistics

Includes fees & commissions
Strategy began
2018-04-30
Suggested Minimum Capital
$25,000
# Trades
161
# Profitable
94
% Profitable
58.4%
Net Dividends
Correlation S&P500
0.433
Sharpe Ratio
0.63
Sortino Ratio
0.95
Beta
0.63
Alpha
0.03
Leverage
2.71 Average
10.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 AutoTrade Systems 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.

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?

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.

0