Covered Call Strategy
(121606747)
Subscription terms. Subscriptions to this system cost $50.00 per month.
Hedged Equity
Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

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.
Started  $30,000  
Buy Power  $5,571  
Cash  $8,890  
Equity  ($3,318)  
Cumulative $  $1,358  
Includes dividends and cashsettled expirations:  $226  Itemized 
Total System Equity  $31,358  
Margined  $0  
Open P/L  ($3,285) 
Trading Record
Statistics

Strategy began12/20/2018

Suggested Minimum Cap$35,000

Strategy Age (days)153.48

Age154 days ago

What it tradesStocks, Options

# Trades63

# Profitable36

% Profitable57.10%

Avg trade duration16.5 days

Max peaktovalley drawdown9.55%

drawdown periodDec 20, 2018  Dec 24, 2018

Cumul. Return4.5%

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 ratio1.14:1

Sharpe Ratio0.55

Sortino Ratio0.78

Calmar Ratio2.262
 CORRELATION STATISTICS

Correlation to SP5000.58800
 Return Statistics

Ann Return (w trading costs)10.8%

Ann Return (Compnd, No Fees)17.1%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss11.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)685

C2 Score48.6
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days7
 Win / Loss

Avg Loss$406

Avg Win$348

# Winners36

# Losers27

% Winners57.1%
 Frequency

Avg Position Time (mins)23661.50

Avg Position Time (hrs)394.36

Avg Trade Length16.4 days

Last Trade Ago9
 Leverage

Daily leverage (average)1.42

Daily leverage (max)1.84
 Unknown

Alpha0.04

Beta0.78

Treynor Index0.05
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.40481

SD0.14221

Sharpe ratio (Glass type estimate)2.84657

Sharpe ratio (Hedges UMVUE)2.05978

df3.00000

t1.64347

p0.09942

Lowerbound of 95% confidence interval for Sharpe Ratio1.33099

Upperbound of 95% confidence interval for Sharpe Ratio6.72572

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.71391

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.83347
 Statistics related to Sortino ratio

Sortino ratio137.21700

Upside Potential Ratio138.94900

Upside part of mean0.40992

Downside part of mean0.00511

Upside SD0.16975

Downside SD0.00295

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.49887

Mean of criterion0.40481

SD of predictor0.09143

SD of criterion0.14221

Covariance0.00312

r0.23993

b (slope, estimate of beta)0.37321

a (intercept, estimate of alpha)0.21863

Mean Square Error0.02859

DF error2.00000

t(b)0.34953

p(b)0.38003

t(a)0.35967

p(a)0.37676

Lowerbound of 95% confidence interval for beta4.22099

Upperbound of 95% confidence interval for beta4.96741

Lowerbound of 95% confidence interval for alpha2.39681

Upperbound of 95% confidence interval for alpha2.83408

Treynor index (mean / b)1.08468

Jensen alpha (a)0.21863
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.39025

SD0.13599

Sharpe ratio (Glass type estimate)2.86964

Sharpe ratio (Hedges UMVUE)2.07647

df3.00000

t1.65679

p0.09807

Lowerbound of 95% confidence interval for Sharpe Ratio1.31769

Upperbound of 95% confidence interval for Sharpe Ratio6.75794

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70307

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.85601
 Statistics related to Sortino ratio

Sortino ratio132.47500

Upside Potential Ratio134.20700

Upside part of mean0.39535

Downside part of mean0.00510

Upside SD0.16295

Downside SD0.00295

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.48476

Mean of criterion0.39025

SD of predictor0.08805

SD of criterion0.13599

Covariance0.00287

r0.23989

b (slope, estimate of beta)0.37050

a (intercept, estimate of alpha)0.21064

Mean Square Error0.02614

DF error2.00000

t(b)0.34947

p(b)0.38005

t(a)0.35990

p(a)0.37669

Lowerbound of 95% confidence interval for beta4.19107

Upperbound of 95% confidence interval for beta4.93206

Lowerbound of 95% confidence interval for alpha2.30765

Upperbound of 95% confidence interval for alpha2.72894

Treynor index (mean / b)1.05331

Jensen alpha (a)0.21064
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03154

Expected Shortfall on VaR0.04720
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00060

Expected Shortfall on VaR0.00133
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum1.00063

Quartile 11.00721

Median1.02621

Quartile 31.05506

Maximum1.09121

Mean of quarter 11.00063

Mean of quarter 21.00941

Mean of quarter 31.04301

Mean of quarter 41.09121

Inter Quartile Range0.04785

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000

Minimum0.00000

Quartile 10.00000

Median0.00000

Quartile 30.00000

Maximum0.00000

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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 downs0.00000

Compounded annual return / Expected Shortfall lognormal10.99900

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.16725

SD0.22142

Sharpe ratio (Glass type estimate)0.75535

Sharpe ratio (Hedges UMVUE)0.74999

df106.00000

t0.48271

p0.47658

Lowerbound of 95% confidence interval for Sharpe Ratio2.31499

Upperbound of 95% confidence interval for Sharpe Ratio3.82221

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31862

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.81860
 Statistics related to Sortino ratio

Sortino ratio1.00672

Upside Potential Ratio7.85179

Upside part of mean1.30446

Downside part of mean1.13721

Upside SD0.14517

Downside SD0.16614

N nonnegative terms56.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations107.00000

Mean of predictor0.34281

Mean of criterion0.16725

SD of predictor0.15696

SD of criterion0.22142

Covariance0.02023

r0.58207

b (slope, estimate of beta)0.82111

a (intercept, estimate of alpha)0.11400

Mean Square Error0.03273

DF error105.00000

t(b)7.33504

p(b)0.15159

t(a)0.39987

p(a)0.52482

Lowerbound of 95% confidence interval for beta0.59915

Upperbound of 95% confidence interval for beta1.04307

Lowerbound of 95% confidence interval for alpha0.68066

Upperbound of 95% confidence interval for alpha0.45220

Treynor index (mean / b)0.20369

Jensen alpha (a)0.11423
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.14256

SD0.22381

Sharpe ratio (Glass type estimate)0.63699

Sharpe ratio (Hedges UMVUE)0.63247

df106.00000

t0.40707

p0.48025

Lowerbound of 95% confidence interval for Sharpe Ratio2.43264

Upperbound of 95% confidence interval for Sharpe Ratio3.70366

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.43566

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.70060
 Statistics related to Sortino ratio

Sortino ratio0.83575

Upside Potential Ratio7.58552

Upside part of mean1.29395

Downside part of mean1.15138

Upside SD0.14353

Downside SD0.17058

N nonnegative terms56.00000

N negative terms51.00000
 Statistics related to linear regression on benchmark

N of observations107.00000

Mean of predictor0.33043

Mean of criterion0.14256

SD of predictor0.15624

SD of criterion0.22381

Covariance0.02047

r0.58550

b (slope, estimate of beta)0.83871

a (intercept, estimate of alpha)0.13457

Mean Square Error0.03323

DF error105.00000

t(b)7.40083

p(b)0.14981

t(a)0.46775

p(a)0.52902

Lowerbound of 95% confidence interval for beta0.61401

Upperbound of 95% confidence interval for beta1.06342

Lowerbound of 95% confidence interval for alpha0.70504

Upperbound of 95% confidence interval for alpha0.43589

Treynor index (mean / b)0.16998

Jensen alpha (a)0.13457
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02195

Expected Shortfall on VaR0.02758
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00956

Expected Shortfall on VaR0.02005
 ORDER STATISTICS
 Quartiles of return rates

Number of observations107.00000

Minimum0.92183

Quartile 10.99403

Median1.00078

Quartile 31.00754

Maximum1.03753

Mean of quarter 10.98548

Mean of quarter 20.99760

Mean of quarter 31.00459

Mean of quarter 41.01546

Inter Quartile Range0.01351

Number outliers low2.00000

Percentage of outliers low0.01869

Mean of outliers low0.94519

Number of outliers high2.00000

Percentage of outliers high0.01869

Mean of outliers high1.03751
 Risk estimates for a oneperiod 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 observations16.00000

Minimum0.00008

Quartile 10.00482

Median0.01050

Quartile 30.02782

Maximum0.08218

Mean of quarter 10.00213

Mean of quarter 20.00716

Mean of quarter 30.01724

Mean of quarter 40.05686

Inter Quartile Range0.02300

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.12500

Mean of outliers high0.07677
 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 downs3.26867

Compounded annual return / Expected Shortfall lognormal6.73994
Strategy Description
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 ~56% of the value of the total position holdings.
While no system can guarantee riskfree or lowrisk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.