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Delta 15
(121635275)

Started: 12/2018
Options
Last trade: 2 days ago
Trading style: Options Premium Collecting Volatility Long / Short

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: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
31.6%
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.

(4.9%)
Max Drawdown
414
Num Trades
89.1%
Win Trades
2.1 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +5.7%+5.7%
2019+6.7%+4.9%+12.2%(0.8%)                                                +24.5%

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.

System developer has asked us to delay this information by 8 hours.

Trading Record

This strategy has placed 67 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/9/19 15:14 TNDM1918D70 TNDM Apr18'19 70 call SHORT 1 0.60 4/19 8:05 0.00 0.04%
Trade id #123258788
Max drawdown($25)
Time4/10/19 12:54
Quant open-1
Worst price0.85
Drawdown as % of equity-0.04%
$59
Includes Typical Broker Commissions trade costs of $1.00
4/11/19 13:58 ICPT1918D120 ICPT Apr18'19 120 call SHORT 1 0.65 4/19 8:05 0.00 0.01%
Trade id #123285687
Max drawdown($10)
Time4/11/19 15:27
Quant open-1
Worst price0.75
Drawdown as % of equity-0.01%
$64
Includes Typical Broker Commissions trade costs of $1.00
3/19/19 9:51 SPXL1918P43 SPXL Apr18'19 43 put SHORT 1 0.50 4/19 8:05 0.00 0.17%
Trade id #122969939
Max drawdown($110)
Time3/25/19 10:04
Quant open-1
Worst price1.60
Drawdown as % of equity-0.17%
$49
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 12:19 IONS1918D90 IONS Apr18'19 90 call SHORT 1 0.75 4/19 8:05 0.00 0.01%
Trade id #123242381
Max drawdown($5)
Time4/8/19 15:22
Quant open-1
Worst price0.80
Drawdown as % of equity-0.01%
$74
Includes Typical Broker Commissions trade costs of $1.00
3/19/19 9:54 UPLD1918P40 UPLD Apr18'19 40 put SHORT 1 0.80 4/19 8:05 0.00 0.09%
Trade id #122970008
Max drawdown($60)
Time4/1/19 9:55
Quant open-1
Worst price1.40
Drawdown as % of equity-0.09%
$79
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 11:15 OLED1918D177.5 OLED Apr18'19 177.5 call SHORT 1 0.52 4/19 8:05 0.00 0.03%
Trade id #123315370
Max drawdown($23)
Time4/15/19 14:25
Quant open-1
Worst price0.75
Drawdown as % of equity-0.03%
$51
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 13:02 SNBR1918P46 SNBR Apr18'19 46 put SHORT 1 2.10 4/19 8:05 0.00 0.8%
Trade id #123317869
Max drawdown($530)
Time4/18/19 14:59
Quant open-1
Worst price7.40
Drawdown as % of equity-0.80%
$209
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 10:53 UVXY1918D36.5 UVXY Apr18'19 36.5 call SHORT 3 0.54 4/19 8:05 0.00 n/a $160
Includes Typical Broker Commissions trade costs of $2.10
4/8/19 11:16 DDS1918D80 DDS Apr18'19 80 call SHORT 1 0.60 4/19 8:05 0.00 n/a $59
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 12:16 EXAS1918D98 EXAS Apr18'19 98 call SHORT 1 0.50 4/19 8:05 0.00 0.24%
Trade id #123242330
Max drawdown($160)
Time4/16/19 10:46
Quant open-1
Worst price2.10
Drawdown as % of equity-0.24%
$49
Includes Typical Broker Commissions trade costs of $1.00
4/11/19 12:52 ICPT1918P90 ICPT Apr18'19 90 put SHORT 1 0.70 4/19 8:05 0.00 0.42%
Trade id #123284824
Max drawdown($281)
Time4/18/19 12:54
Quant open-1
Worst price3.51
Drawdown as % of equity-0.42%
$69
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 10:54 TQQQ1918P60 TQQQ Apr18'19 60 put SHORT 1 0.52 4/19 8:05 0.00 n/a $51
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 10:51 WYNN1918P135 WYNN Apr18'19 135 put SHORT 1 0.54 4/19 8:05 0.00 0%
Trade id #123314893
Max drawdown$0
Time4/15/19 10:53
Quant open-1
Worst price0.54
Drawdown as % of equity0.00%
$53
Includes Typical Broker Commissions trade costs of $1.00
3/22/19 13:42 SNBR1918P44 SNBR Apr18'19 44 put SHORT 1 2.15 4/19 8:05 0.00 0.44%
Trade id #123038772
Max drawdown($293)
Time4/18/19 15:23
Quant open-1
Worst price5.08
Drawdown as % of equity-0.44%
$214
Includes Typical Broker Commissions trade costs of $1.00
2/16/19 9:35 SNBR SLEEP NUMBER CORP SHORT 100 42.00 4/19 8:05 44.00 1.15%
Trade id #122555414
Max drawdown($756)
Time4/9/19 9:31
Quant open-100
Worst price49.56
Drawdown as % of equity-1.15%
($202)
Includes Typical Broker Commissions trade costs of $2.00
4/15/19 11:14 SHOP1918D225 SHOP Apr18'19 225 call SHORT 1 0.50 4/19 8:05 0.00 0.45%
Trade id #123315359
Max drawdown($295)
Time4/16/19 11:11
Quant open-1
Worst price3.45
Drawdown as % of equity-0.45%
$49
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 11:12 LYFT1918P52 LYFT Apr18'19 52 put SHORT 1 0.60 4/19 8:05 0.00 0.01%
Trade id #123315325
Max drawdown($10)
Time4/15/19 11:49
Quant open-1
Worst price0.70
Drawdown as % of equity-0.01%
$59
Includes Typical Broker Commissions trade costs of $1.00
4/12/19 13:05 NVDA1918D200 NVDA Apr18'19 200 call SHORT 1 0.55 4/19 8:05 0.00 0.01%
Trade id #123298874
Max drawdown($5)
Time4/12/19 13:13
Quant open-1
Worst price0.60
Drawdown as % of equity-0.01%
$54
Includes Typical Broker Commissions trade costs of $1.00
4/4/19 11:29 JDST1918D45 JDST Apr18'19 45 call SHORT 1 1.25 4/19 8:05 0.00 0.27%
Trade id #123202832
Max drawdown($181)
Time4/18/19 12:46
Quant open-1
Worst price3.06
Drawdown as % of equity-0.27%
$124
Includes Typical Broker Commissions trade costs of $1.00
4/15/19 10:51 NTES1918P262.5 NTES Apr18'19 262.5 put SHORT 1 1.43 4/19 8:05 0.00 0.04%
Trade id #123314889
Max drawdown($27)
Time4/16/19 15:53
Quant open-1
Worst price1.70
Drawdown as % of equity-0.04%
$142
Includes Typical Broker Commissions trade costs of $1.00
3/30/19 9:35 OSTK OVERSTOCK.COM LONG 200 17.50 4/15 11:08 15.82 0.64%
Trade id #123136931
Max drawdown($428)
Time4/10/19 9:39
Quant open200
Worst price15.36
Drawdown as % of equity-0.64%
($341)
Includes Typical Broker Commissions trade costs of $4.00
4/8/19 10:32 UVXY1912P34.5 UVXY Apr12'19 34.5 put SHORT 1 0.50 4/13 9:35 0.00 0.17%
Trade id #123239551
Max drawdown($115)
Time4/12/19 15:53
Quant open-1
Worst price1.65
Drawdown as % of equity-0.17%
$49
Includes Typical Broker Commissions trade costs of $1.00
4/2/19 13:29 TWLO1912D139 TWLO Apr12'19 139 call SHORT 1 0.56 4/13 9:35 0.00 0.07%
Trade id #123172001
Max drawdown($46)
Time4/3/19 9:56
Quant open-1
Worst price1.02
Drawdown as % of equity-0.07%
$55
Includes Typical Broker Commissions trade costs of $1.00
4/2/19 15:06 WYNN1912D145 WYNN Apr12'19 145 call SHORT 1 0.46 4/13 9:35 0.00 0.42%
Trade id #123173664
Max drawdown($274)
Time4/8/19 9:31
Quant open-1
Worst price3.20
Drawdown as % of equity-0.42%
$45
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 9:54 TSLA1912D295 TSLA Apr12'19 295 call SHORT 1 0.98 4/13 9:35 0.00 n/a $97
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 10:11 TQQQ1912P59 TQQQ Apr12'19 59 put SHORT 1 0.51 4/13 9:35 0.00 0%
Trade id #123238990
Max drawdown($1)
Time4/8/19 10:17
Quant open-1
Worst price0.52
Drawdown as % of equity-0.00%
$50
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 10:09 OSTK1912D17 OSTK Apr12'19 17 call SHORT 2 0.60 4/13 9:35 0.00 0.06%
Trade id #123238964
Max drawdown($40)
Time4/8/19 10:34
Quant open-2
Worst price0.80
Drawdown as % of equity-0.06%
$119
Includes Typical Broker Commissions trade costs of $1.40
4/1/19 11:49 ROKU1912D78 ROKU Apr12'19 78 call SHORT 1 0.50 4/13 9:35 0.00 0.02%
Trade id #123154168
Max drawdown($13)
Time4/2/19 15:22
Quant open-1
Worst price0.63
Drawdown as % of equity-0.02%
$49
Includes Typical Broker Commissions trade costs of $1.00
4/8/19 10:12 UVXY1912D40 UVXY Apr12'19 40 call SHORT 2 0.56 4/13 9:35 0.00 0.1%
Trade id #123239043
Max drawdown($70)
Time4/9/19 15:27
Quant open-2
Worst price0.91
Drawdown as % of equity-0.10%
$111
Includes Typical Broker Commissions trade costs of $1.40
4/8/19 10:07 WYNN1912P136 WYNN Apr12'19 136 put SHORT 1 0.50 4/13 9:35 0.00 0.08%
Trade id #123238908
Max drawdown($55)
Time4/9/19 10:02
Quant open-1
Worst price1.05
Drawdown as % of equity-0.08%
$49
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    12/23/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    119.15
  • Age
    119 days ago
  • What it trades
    Options
  • # Trades
    414
  • # Profitable
    369
  • % Profitable
    89.10%
  • Avg trade duration
    8.7 days
  • Max peak-to-valley drawdown
    4.89%
  • drawdown period
    Jan 07, 2019 - Jan 18, 2019
  • Cumul. Return
    31.6%
  • Avg win
    $85.43
  • Avg loss
    $334.56
  • Model Account Values (Raw)
  • Cash
    $118,838
  • Margin Used
    $102,815
  • Buying Power
    $9,405
  • Ratios
  • W:L ratio
    2.11:1
  • Sharpe Ratio
    4.734
  • Sortino Ratio
    8.937
  • Calmar Ratio
    48.397
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.10300
  • Return Statistics
  • Ann Return (w trading costs)
    126.5%
  • Ann Return (Compnd, No Fees)
    137.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • 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)
    423
  • Popularity (Last 6 weeks)
    960
  • C2 Score
    40.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $335
  • Avg Win
    $85
  • # Winners
    369
  • # Losers
    45
  • % Winners
    89.1%
  • Frequency
  • Avg Position Time (mins)
    12513.70
  • Avg Position Time (hrs)
    208.56
  • Avg Trade Length
    8.7 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21491
  • SD
    0.06399
  • Sharpe ratio (Glass type estimate)
    18.98560
  • Sharpe ratio (Hedges UMVUE)
    10.71150
  • df
    2.00000
  • t
    9.49279
  • p
    0.00546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.34409
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    21.91650
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.21491
  • Downside part of mean
    0.00000
  • Upside SD
    0.35458
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.73039
  • Mean of criterion
    1.21491
  • SD of predictor
    0.22216
  • SD of criterion
    0.06399
  • Covariance
    0.00076
  • r
    0.05363
  • b (slope, estimate of beta)
    0.01545
  • a (intercept, estimate of alpha)
    1.20363
  • Mean Square Error
    0.00817
  • DF error
    1.00000
  • t(b)
    0.05371
  • p(b)
    0.48292
  • t(a)
    4.34327
  • p(a)
    0.07203
  • Lowerbound of 95% confidence interval for beta
    -3.63920
  • Upperbound of 95% confidence interval for beta
    3.67010
  • Lowerbound of 95% confidence interval for alpha
    -2.31758
  • Upperbound of 95% confidence interval for alpha
    4.72483
  • Treynor index (mean / b)
    78.64400
  • Jensen alpha (a)
    1.20363
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.15358
  • SD
    0.05824
  • Sharpe ratio (Glass type estimate)
    19.80570
  • Sharpe ratio (Hedges UMVUE)
    11.17420
  • df
    2.00000
  • t
    9.90287
  • p
    0.00502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.50342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    22.80510
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.15358
  • Downside part of mean
    0.00000
  • Upside SD
    0.33639
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.69303
  • Mean of criterion
    1.15358
  • SD of predictor
    0.20717
  • SD of criterion
    0.05824
  • Covariance
    0.00050
  • r
    0.04118
  • b (slope, estimate of beta)
    0.01158
  • a (intercept, estimate of alpha)
    1.14556
  • Mean Square Error
    0.00677
  • DF error
    1.00000
  • t(b)
    0.04122
  • p(b)
    0.48689
  • t(a)
    4.49345
  • p(a)
    0.06970
  • Lowerbound of 95% confidence interval for beta
    -3.55772
  • Upperbound of 95% confidence interval for beta
    3.58087
  • Lowerbound of 95% confidence interval for alpha
    -2.09375
  • Upperbound of 95% confidence interval for alpha
    4.38486
  • Treynor index (mean / b)
    99.63690
  • Jensen alpha (a)
    1.14556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.07087
  • Expected Shortfall on VaR
    -0.06340
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.08247
  • Quartile 1
    1.09695
  • Median
    1.11142
  • Quartile 3
    1.11412
  • Maximum
    1.11682
  • Mean of quarter 1
    1.08247
  • Mean of quarter 2
    1.11142
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.11682
  • Inter Quartile Range
    0.01718
  • 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)
    1.37450
  • Compounded annual return (geometric extrapolation)
    2.25922
  • 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
    0.00000
  • 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
    0.92182
  • SD
    0.19293
  • Sharpe ratio (Glass type estimate)
    4.77800
  • Sharpe ratio (Hedges UMVUE)
    4.73362
  • df
    81.00000
  • t
    2.67302
  • p
    0.00454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.34356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.31206
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.93674
  • Upside Potential Ratio
    16.89310
  • Upside part of mean
    1.74251
  • Downside part of mean
    -0.82070
  • Upside SD
    0.17138
  • Downside SD
    0.10315
  • N nonnegative terms
    56.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.65991
  • Mean of criterion
    0.92182
  • SD of predictor
    0.15003
  • SD of criterion
    0.19293
  • Covariance
    -0.00407
  • r
    -0.14069
  • b (slope, estimate of beta)
    -0.18092
  • a (intercept, estimate of alpha)
    1.04100
  • Mean Square Error
    0.03694
  • DF error
    80.00000
  • t(b)
    -1.27101
  • p(b)
    0.89630
  • t(a)
    2.92337
  • p(a)
    0.00225
  • Lowerbound of 95% confidence interval for beta
    -0.46420
  • Upperbound of 95% confidence interval for beta
    0.10235
  • Lowerbound of 95% confidence interval for alpha
    0.33241
  • Upperbound of 95% confidence interval for alpha
    1.75001
  • Treynor index (mean / b)
    -5.09507
  • Jensen alpha (a)
    1.04121
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90190
  • SD
    0.19181
  • Sharpe ratio (Glass type estimate)
    4.70218
  • Sharpe ratio (Hedges UMVUE)
    4.65850
  • df
    81.00000
  • t
    2.63060
  • p
    0.00510
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.11103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.26556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.23461
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.67945
  • Upside Potential Ratio
    16.62820
  • Upside part of mean
    1.72789
  • Downside part of mean
    -0.82598
  • Upside SD
    0.16926
  • Downside SD
    0.10391
  • N nonnegative terms
    56.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.64805
  • Mean of criterion
    0.90190
  • SD of predictor
    0.14860
  • SD of criterion
    0.19181
  • Covariance
    -0.00405
  • r
    -0.14200
  • b (slope, estimate of beta)
    -0.18329
  • a (intercept, estimate of alpha)
    1.02069
  • Mean Square Error
    0.03650
  • DF error
    80.00000
  • t(b)
    -1.28308
  • p(b)
    0.89841
  • t(a)
    2.88478
  • p(a)
    0.00252
  • Lowerbound of 95% confidence interval for beta
    -0.46757
  • Upperbound of 95% confidence interval for beta
    0.10099
  • Lowerbound of 95% confidence interval for alpha
    0.31657
  • Upperbound of 95% confidence interval for alpha
    1.72481
  • Treynor index (mean / b)
    -4.92066
  • Jensen alpha (a)
    1.02069
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01592
  • Expected Shortfall on VaR
    0.02077
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00531
  • Expected Shortfall on VaR
    0.01119
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.97955
  • Quartile 1
    0.99560
  • Median
    1.00431
  • Quartile 3
    1.01067
  • Maximum
    1.04638
  • Mean of quarter 1
    0.98845
  • Mean of quarter 2
    1.00095
  • Mean of quarter 3
    1.00743
  • Mean of quarter 4
    1.01773
  • Inter Quartile Range
    0.01507
  • 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
    0.02439
  • Mean of outliers high
    1.04188
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.51197
  • VaR(95%) (moments method)
    0.01059
  • Expected Shortfall (moments method)
    0.01096
  • Extreme Value Index (regression method)
    -0.67814
  • VaR(95%) (regression method)
    0.01340
  • Expected Shortfall (regression method)
    0.01521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00538
  • Median
    0.01038
  • Quartile 3
    0.02943
  • Maximum
    0.03170
  • Mean of quarter 1
    0.00298
  • Mean of quarter 2
    0.01003
  • Mean of quarter 3
    0.02651
  • Mean of quarter 4
    0.03143
  • Inter Quartile Range
    0.02405
  • 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)
    -29.97650
  • VaR(95%) (moments method)
    0.03143
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.71540
  • VaR(95%) (regression method)
    0.03325
  • Expected Shortfall (regression method)
    0.03327
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.07924
  • Compounded annual return (geometric extrapolation)
    1.53403
  • Calmar ratio (compounded annual return / max draw down)
    48.39690
  • Compounded annual return / average of 25% largest draw downs
    48.80510
  • Compounded annual return / Expected Shortfall lognormal
    73.85130

Strategy Description

Selling weekly options on liquid big names with 85% Probability of assignment. Using SPX Charting as a road map to overall Market sentiment.

Unfortunately, this strategy will not work for IRA or RRSP accounts. It is designed to Collect premium on weekly options while being Ready to be assigned the underlying overstretched in either direction.

Once assigned, we will be Writing puts against short and Calls against Long positions. Once profit is made, shares are disposed. May take number of weeks, so make sure you chose "sync positions" when set up auto-trading.

The goal is to keep draw down below 10% via diversification in time and names., hence only 1 or 2 contracts per name are traded. If comfortable you may scale up.

Feel free to send me DM if you have any questions.

Good luck trading, Andrew

Summary Statistics

Includes fees & commissions
Strategy began
2018-12-23
Suggested Minimum Capital
$35,000
# Trades
414
# Profitable
369
% Profitable
89.1%
Net Dividends
Correlation S&P500
-0.103
Sharpe Ratio
4.734

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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