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Covered Call Strategy
(121606747)

Created by: JeffSchreiner2 JeffSchreiner2
Started: 12/2018
Stocks, Options
Last trade: 9 days ago
Trading style: Equity Hedged Equity

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 $50.00 per month.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
4.5%
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.

(9.6%)
Max Drawdown
63
Num Trades
57.1%
Win Trades
1.1 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (4%)(4%)
2019+9.9%+2.9%+0.1%+4.1%(6.6%)                                          +9.9%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/26/19 12:40 FCX1920I15 FCX Sep20'19 15 call SHORT 5 0.45 5/6 13:25 0.27 0%
Trade id #123445633
Max drawdown$0
Time4/26/19 13:51
Quant open-5
Worst price0.45
Drawdown as % of equity0.00%
$83
Includes Typical Broker Commissions trade costs of $7.00
4/26/19 12:39 XOM1920I85 XOM Sep20'19 85 call SHORT 3 1.00 5/6 9:40 0.52 0.11%
Trade id #123445624
Max drawdown($36)
Time4/26/19 15:56
Quant open-3
Worst price1.12
Drawdown as % of equity-0.11%
$140
Includes Typical Broker Commissions trade costs of $4.20
4/22/19 12:24 ALK1921F65 ALK Jun21'19 65 call SHORT 2 1.00 4/26 12:42 0.80 0.09%
Trade id #123388819
Max drawdown($30)
Time4/24/19 10:22
Quant open-2
Worst price1.15
Drawdown as % of equity-0.09%
$37
Includes Typical Broker Commissions trade costs of $2.80
4/1/19 12:54 XOM1921F85 XOM Jun21'19 85 call SHORT 2 0.85 4/26 12:39 0.18 0.48%
Trade id #123155308
Max drawdown($164)
Time4/26/19 9:33
Quant open-2
Worst price1.67
Drawdown as % of equity-0.48%
$131
Includes Typical Broker Commissions trade costs of $2.80
3/29/19 14:59 VLO1921F90 VLO Jun21'19 90 call SHORT 3 2.06 4/22 12:01 3.85 1.8%
Trade id #123133044
Max drawdown($610)
Time4/11/19 10:20
Quant open-3
Worst price4.09
Drawdown as % of equity-1.80%
($543)
Includes Typical Broker Commissions trade costs of $4.50
3/27/19 9:35 VLO VALERO ENERGY LONG 300 86.47 4/22 12:01 90.61 3.13%
Trade id #123095281
Max drawdown($1,029)
Time4/4/19 11:33
Quant open300
Worst price83.04
Drawdown as % of equity-3.13%
$1,236
Includes Typical Broker Commissions trade costs of $6.00
3/7/19 11:57 INTC INTEL LONG 200 52.66 4/1 12:50 54.30 0.6%
Trade id #122822278
Max drawdown($192)
Time3/8/19 9:31
Quant open200
Worst price51.70
Drawdown as % of equity-0.60%
$325
Includes Typical Broker Commissions trade costs of $4.00
3/11/19 12:22 INTC1917E55 INTC May17'19 55 call SHORT 2 1.61 4/1 12:49 1.60 0.32%
Trade id #122866044
Max drawdown($108)
Time3/21/19 15:09
Quant open-2
Worst price2.15
Drawdown as % of equity-0.32%
($1)
Includes Typical Broker Commissions trade costs of $2.80
3/13/19 9:50 CSCO1917E55 CSCO May17'19 55 call SHORT 2 0.70 4/1 12:49 1.47 0.52%
Trade id #122892193
Max drawdown($172)
Time4/1/19 11:42
Quant open-2
Worst price1.56
Drawdown as % of equity-0.52%
($157)
Includes Typical Broker Commissions trade costs of $2.80
3/12/19 11:58 CSCO CISCO SYSTEMS LONG 200 52.25 4/1 12:48 54.73 0.2%
Trade id #122880688
Max drawdown($65)
Time3/12/19 15:38
Quant open200
Worst price51.92
Drawdown as % of equity-0.20%
$493
Includes Typical Broker Commissions trade costs of $4.00
2/1/19 12:14 IBM INTERNATIONAL BUSINESS MACHINE LONG 100 134.73 3/29 15:01 141.02 0.36%
Trade id #122320076
Max drawdown($115)
Time3/8/19 9:35
Quant open100
Worst price133.58
Drawdown as % of equity-0.36%
$627
Includes Typical Broker Commissions trade costs of $2.00
2/1/19 12:14 IBM1918D140 IBM Apr18'19 140 call SHORT 1 2.63 3/29 15:01 4.70 0.63%
Trade id #122320084
Max drawdown($207)
Time3/29/19 15:01
Quant open0
Worst price4.70
Drawdown as % of equity-0.63%
($209)
Includes Typical Broker Commissions trade costs of $2.00
3/5/19 10:52 GM1917E41 GM May17'19 41 call SHORT 1 0.87 3/21 9:30 0.30 0.02%
Trade id #122789908
Max drawdown($7)
Time3/5/19 14:03
Quant open-1
Worst price0.94
Drawdown as % of equity-0.02%
$55
Includes Typical Broker Commissions trade costs of $2.00
2/22/19 13:19 GM GENERAL MOTORS LONG 100 39.73 3/20 11:51 37.00 0.82%
Trade id #122647495
Max drawdown($273)
Time3/20/19 11:51
Quant open0
Worst price37.00
Drawdown as % of equity-0.82%
($275)
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 9:40 AAPL1918D180 AAPL Apr18'19 180 call SHORT 1 2.61 3/11 9:36 3.35 0.42%
Trade id #122618682
Max drawdown($139)
Time3/4/19 10:05
Quant open-1
Worst price4.00
Drawdown as % of equity-0.42%
($76)
Includes Typical Broker Commissions trade costs of $2.00
2/21/19 9:39 AAPL APPLE LONG 100 171.75 3/11 9:35 176.56 0.7%
Trade id #122618616
Max drawdown($225)
Time3/8/19 9:31
Quant open100
Worst price169.50
Drawdown as % of equity-0.70%
$479
Includes Typical Broker Commissions trade costs of $2.00
3/5/19 10:01 AMD1917E26 AMD May17'19 26 call SHORT 5 1.30 3/7 9:46 0.90 0.12%
Trade id #122788730
Max drawdown($40)
Time3/5/19 15:50
Quant open-5
Worst price1.38
Drawdown as % of equity-0.12%
$193
Includes Typical Broker Commissions trade costs of $7.00
2/22/19 13:22 AMD ADVANCED MICRO DEVICES INC. C LONG 500 24.04 3/7 9:30 22.25 2.93%
Trade id #122647586
Max drawdown($955)
Time3/7/19 7:03
Quant open500
Worst price22.13
Drawdown as % of equity-2.93%
($905)
Includes Typical Broker Commissions trade costs of $10.00
2/22/19 13:19 GM1918D40 GM Apr18'19 40 call SHORT 1 1.20 3/5 9:36 0.80 0.1%
Trade id #122647499
Max drawdown($33)
Time2/25/19 9:36
Quant open-1
Worst price1.53
Drawdown as % of equity-0.10%
$38
Includes Typical Broker Commissions trade costs of $2.00
2/22/19 13:23 AMD1918D26 AMD Apr18'19 26 call SHORT 5 1.04 3/4 14:10 0.61 0.95%
Trade id #122647602
Max drawdown($310)
Time2/25/19 9:41
Quant open-5
Worst price1.66
Drawdown as % of equity-0.95%
$208
Includes Typical Broker Commissions trade costs of $7.00
1/28/19 14:46 CELG1918D90 CELG Apr18'19 90 call SHORT 1 2.91 2/20 11:26 5.40 0.79%
Trade id #122224648
Max drawdown($259)
Time2/20/19 10:13
Quant open-1
Worst price5.50
Drawdown as % of equity-0.79%
($251)
Includes Typical Broker Commissions trade costs of $2.00
1/11/19 12:54 CELG CELGENE LONG 100 87.45 2/20 11:26 91.09 1.02%
Trade id #121925532
Max drawdown($307)
Time1/22/19 11:58
Quant open100
Worst price84.38
Drawdown as % of equity-1.02%
$362
Includes Typical Broker Commissions trade costs of $2.00
1/29/19 11:21 CNI CANADIAN NATIONAL RAILWAY LONG 100 83.49 2/20 11:04 85.99 0.79%
Trade id #122245272
Max drawdown($254)
Time2/11/19 14:37
Quant open100
Worst price80.95
Drawdown as % of equity-0.79%
$248
Includes Typical Broker Commissions trade costs of $2.00
2/14/19 11:26 CNI1918D85 CNI Apr18'19 85 call SHORT 1 1.20 2/20 11:03 3.10 0.58%
Trade id #122526805
Max drawdown($190)
Time2/20/19 11:03
Quant open0
Worst price3.10
Drawdown as % of equity-0.58%
($192)
Includes Typical Broker Commissions trade costs of $2.00
1/16/19 10:30 HD HOME DEPOT LONG 100 177.38 2/13 15:22 188.17 1.77%
Trade id #122005748
Max drawdown($538)
Time1/17/19 9:40
Quant open100
Worst price172.00
Drawdown as % of equity-1.77%
$1,077
Includes Typical Broker Commissions trade costs of $2.00
1/16/19 10:31 HD1915B185 HD Feb15'19 185 call SHORT 1 1.18 2/13 15:22 3.55 0.74%
Trade id #122005767
Max drawdown($239)
Time2/5/19 9:31
Quant open-1
Worst price3.57
Drawdown as % of equity-0.74%
($239)
Includes Typical Broker Commissions trade costs of $2.00
1/29/19 11:24 CNI1918D85 CNI Apr18'19 85 call SHORT 1 2.25 2/12 10:30 1.30 0.02%
Trade id #122245377
Max drawdown($5)
Time1/31/19 10:27
Quant open-1
Worst price2.30
Drawdown as % of equity-0.02%
$93
Includes Typical Broker Commissions trade costs of $2.00
2/6/19 11:22 TAP1918D70 TAP Apr18'19 70 call SHORT 1 1.10 2/12 9:35 0.40 0.08%
Trade id #122393339
Max drawdown($25)
Time2/6/19 16:00
Quant open-1
Worst price1.35
Drawdown as % of equity-0.08%
$68
Includes Typical Broker Commissions trade costs of $2.00
2/6/19 11:20 TAP MOLSON COORS BREWING LONG 100 65.19 2/12 9:30 59.94 1.62%
Trade id #122393291
Max drawdown($525)
Time2/12/19 9:30
Quant open0
Worst price59.94
Drawdown as % of equity-1.62%
($527)
Includes Typical Broker Commissions trade costs of $2.00
1/30/19 11:46 INTC INTEL LONG 100 46.71 2/6 10:37 50.19 0.19%
Trade id #122270864
Max drawdown($61)
Time1/31/19 9:42
Quant open100
Worst price46.10
Drawdown as % of equity-0.19%
$346
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    12/20/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    153.48
  • Age
    154 days ago
  • What it trades
    Stocks, Options
  • # Trades
    63
  • # Profitable
    36
  • % Profitable
    57.10%
  • Avg trade duration
    16.5 days
  • Max peak-to-valley drawdown
    9.55%
  • drawdown period
    Dec 20, 2018 - Dec 24, 2018
  • Cumul. Return
    4.5%
  • Avg win
    $351.89
  • Avg loss
    $426.81
  • Model Account Values (Raw)
  • Cash
    $8,890
  • Margin Used
    $0
  • Buying Power
    $5,571
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.78
  • Calmar Ratio
    2.262
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.58800
  • Return Statistics
  • Ann Return (w trading costs)
    10.8%
  • Ann Return (Compnd, No Fees)
    17.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    685
  • C2 Score
    48.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $406
  • Avg Win
    $348
  • # Winners
    36
  • # Losers
    27
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    23661.50
  • Avg Position Time (hrs)
    394.36
  • Avg Trade Length
    16.4 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    1.42
  • Daily leverage (max)
    1.84
  • Unknown
  • Alpha
    -0.04
  • Beta
    0.78
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40481
  • SD
    0.14221
  • Sharpe ratio (Glass type estimate)
    2.84657
  • Sharpe ratio (Hedges UMVUE)
    2.05978
  • df
    3.00000
  • t
    1.64347
  • p
    0.09942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.72572
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.83347
  • Statistics related to Sortino ratio
  • Sortino ratio
    137.21700
  • Upside Potential Ratio
    138.94900
  • Upside part of mean
    0.40992
  • Downside part of mean
    -0.00511
  • Upside SD
    0.16975
  • Downside SD
    0.00295
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.49887
  • Mean of criterion
    0.40481
  • SD of predictor
    0.09143
  • SD of criterion
    0.14221
  • Covariance
    0.00312
  • r
    0.23993
  • b (slope, estimate of beta)
    0.37321
  • a (intercept, estimate of alpha)
    0.21863
  • Mean Square Error
    0.02859
  • DF error
    2.00000
  • t(b)
    0.34953
  • p(b)
    0.38003
  • t(a)
    0.35967
  • p(a)
    0.37676
  • Lowerbound of 95% confidence interval for beta
    -4.22099
  • Upperbound of 95% confidence interval for beta
    4.96741
  • Lowerbound of 95% confidence interval for alpha
    -2.39681
  • Upperbound of 95% confidence interval for alpha
    2.83408
  • Treynor index (mean / b)
    1.08468
  • Jensen alpha (a)
    0.21863
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39025
  • SD
    0.13599
  • Sharpe ratio (Glass type estimate)
    2.86964
  • Sharpe ratio (Hedges UMVUE)
    2.07647
  • df
    3.00000
  • t
    1.65679
  • p
    0.09807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.75794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85601
  • Statistics related to Sortino ratio
  • Sortino ratio
    132.47500
  • Upside Potential Ratio
    134.20700
  • Upside part of mean
    0.39535
  • Downside part of mean
    -0.00510
  • Upside SD
    0.16295
  • Downside SD
    0.00295
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.48476
  • Mean of criterion
    0.39025
  • SD of predictor
    0.08805
  • SD of criterion
    0.13599
  • Covariance
    0.00287
  • r
    0.23989
  • b (slope, estimate of beta)
    0.37050
  • a (intercept, estimate of alpha)
    0.21064
  • Mean Square Error
    0.02614
  • DF error
    2.00000
  • t(b)
    0.34947
  • p(b)
    0.38005
  • t(a)
    0.35990
  • p(a)
    0.37669
  • Lowerbound of 95% confidence interval for beta
    -4.19107
  • Upperbound of 95% confidence interval for beta
    4.93206
  • Lowerbound of 95% confidence interval for alpha
    -2.30765
  • Upperbound of 95% confidence interval for alpha
    2.72894
  • Treynor index (mean / b)
    1.05331
  • Jensen alpha (a)
    0.21064
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03154
  • Expected Shortfall on VaR
    0.04720
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00060
  • Expected Shortfall on VaR
    0.00133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    1.00063
  • Quartile 1
    1.00721
  • Median
    1.02621
  • Quartile 3
    1.05506
  • Maximum
    1.09121
  • Mean of quarter 1
    1.00063
  • Mean of quarter 2
    1.00941
  • Mean of quarter 3
    1.04301
  • Mean of quarter 4
    1.09121
  • Inter Quartile Range
    0.04785
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.44870
  • Compounded annual return (geometric extrapolation)
    0.51916
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.99900
  • 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
    0.16725
  • SD
    0.22142
  • Sharpe ratio (Glass type estimate)
    0.75535
  • Sharpe ratio (Hedges UMVUE)
    0.74999
  • df
    106.00000
  • t
    0.48271
  • p
    0.47658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81860
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00672
  • Upside Potential Ratio
    7.85179
  • Upside part of mean
    1.30446
  • Downside part of mean
    -1.13721
  • Upside SD
    0.14517
  • Downside SD
    0.16614
  • N nonnegative terms
    56.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.34281
  • Mean of criterion
    0.16725
  • SD of predictor
    0.15696
  • SD of criterion
    0.22142
  • Covariance
    0.02023
  • r
    0.58207
  • b (slope, estimate of beta)
    0.82111
  • a (intercept, estimate of alpha)
    -0.11400
  • Mean Square Error
    0.03273
  • DF error
    105.00000
  • t(b)
    7.33504
  • p(b)
    0.15159
  • t(a)
    -0.39987
  • p(a)
    0.52482
  • Lowerbound of 95% confidence interval for beta
    0.59915
  • Upperbound of 95% confidence interval for beta
    1.04307
  • Lowerbound of 95% confidence interval for alpha
    -0.68066
  • Upperbound of 95% confidence interval for alpha
    0.45220
  • Treynor index (mean / b)
    0.20369
  • Jensen alpha (a)
    -0.11423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14256
  • SD
    0.22381
  • Sharpe ratio (Glass type estimate)
    0.63699
  • Sharpe ratio (Hedges UMVUE)
    0.63247
  • df
    106.00000
  • t
    0.40707
  • p
    0.48025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.43264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.43566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70060
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83575
  • Upside Potential Ratio
    7.58552
  • Upside part of mean
    1.29395
  • Downside part of mean
    -1.15138
  • Upside SD
    0.14353
  • Downside SD
    0.17058
  • N nonnegative terms
    56.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.33043
  • Mean of criterion
    0.14256
  • SD of predictor
    0.15624
  • SD of criterion
    0.22381
  • Covariance
    0.02047
  • r
    0.58550
  • b (slope, estimate of beta)
    0.83871
  • a (intercept, estimate of alpha)
    -0.13457
  • Mean Square Error
    0.03323
  • DF error
    105.00000
  • t(b)
    7.40083
  • p(b)
    0.14981
  • t(a)
    -0.46775
  • p(a)
    0.52902
  • Lowerbound of 95% confidence interval for beta
    0.61401
  • Upperbound of 95% confidence interval for beta
    1.06342
  • Lowerbound of 95% confidence interval for alpha
    -0.70504
  • Upperbound of 95% confidence interval for alpha
    0.43589
  • Treynor index (mean / b)
    0.16998
  • Jensen alpha (a)
    -0.13457
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02195
  • Expected Shortfall on VaR
    0.02758
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00956
  • Expected Shortfall on VaR
    0.02005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    107.00000
  • Minimum
    0.92183
  • Quartile 1
    0.99403
  • Median
    1.00078
  • Quartile 3
    1.00754
  • Maximum
    1.03753
  • Mean of quarter 1
    0.98548
  • Mean of quarter 2
    0.99760
  • Mean of quarter 3
    1.00459
  • Mean of quarter 4
    1.01546
  • Inter Quartile Range
    0.01351
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01869
  • Mean of outliers low
    0.94519
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01869
  • Mean of outliers high
    1.03751
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50844
  • VaR(95%) (moments method)
    0.01613
  • Expected Shortfall (moments method)
    0.03435
  • Extreme Value Index (regression method)
    0.54214
  • VaR(95%) (regression method)
    0.01245
  • Expected Shortfall (regression method)
    0.02475
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00482
  • Median
    0.01050
  • Quartile 3
    0.02782
  • Maximum
    0.08218
  • Mean of quarter 1
    0.00213
  • Mean of quarter 2
    0.00716
  • Mean of quarter 3
    0.01724
  • Mean of quarter 4
    0.05686
  • Inter Quartile Range
    0.02300
  • 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
    0.12500
  • Mean of outliers high
    0.07677
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.14708
  • VaR(95%) (moments method)
    0.06180
  • Expected Shortfall (moments method)
    0.07714
  • Extreme Value Index (regression method)
    0.35587
  • VaR(95%) (regression method)
    0.06000
  • Expected Shortfall (regression method)
    0.09113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17654
  • Compounded annual return (geometric extrapolation)
    0.18586
  • Calmar ratio (compounded annual return / max draw down)
    2.26155
  • Compounded annual return / average of 25% largest draw downs
    3.26867
  • Compounded annual return / Expected Shortfall lognormal
    6.73994

Strategy Description

In the Covered Call Strategy, as an example, we buy 100 shares of ABC and then sell to open a call which is~5% above the purchase price in the current option expiration, or from time to time, the next option expiration date. By selling the call we receive the value of the sold option, which will be offset by the ownership of stock.

If the stock price is below the price where we sold the option contract (i.e. we sold the 55, option strike call, and the stock closed at 53 by expiration) we keep the premium generated from selling the option and will then again sell to open a new option contract to collect an additional premium.

Margin is not required to emulate the Covered Call Strategy, however, we would note that investors MUST have option trading level 1 approved in their respective account(s) to replicate strategy.

Trading stops are utilized to limit downside in each position. On average the strategy's total downside risk is targeted at ~5-6% of the value of the total position holdings.

While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.

Summary Statistics

Includes fees & commissions
Strategy began
2018-12-20
Suggested Minimum Capital
$35,000
# Trades
63
# Profitable
36
% Profitable
57.1%
Net Dividends
Correlation S&P500
0.588
Sharpe Ratio
0.55
Sortino Ratio
0.78
Beta
0.78
Alpha
-0.04
Leverage
1.42 Average
1.84 Maximum

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 nominal 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.

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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.

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