Collective2 Collective2
Featured Strategy Easiest +109.2% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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FWM Aggressive Equity
(123915803)

Created by: FWM2020 FWM2020
Started: 06/2019
Options
Last trade: 1,469 days ago
Trading style: Options Premium Collecting Directional Bets
Subscriptions not currently available.

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 $25.00 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
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.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
49.1%
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.

(100.0%)
Max Drawdown
243
Num Trades
60.1%
Win Trades
3.4 : 1
Profit Factor
55.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +13.4%+2.0%(12.9%)(80.5%)+622.5%+7.0%+1.5%+53.7%
2020(44.9%)(2.8%)(65.8%)+144.6%+24.7%(28.9%)(20.3%)+53.5%+23.3%+24.6%+80.2%+17.1%+57.4%
2021+15.2%+1.1%+39.5%(6.9%)+19.6%(12.4%)+4.1%+17.4%(24.6%)+25.7%(9.5%)(4.6%)+58.3%
2022(21%)+50.5%+47.4%(17.4%)(28.9%)(24%)+31.1%+1.9%(29.3%)+23.3%+28.0%(5.6%)+10.0%
2023+18.2%(2.2%)(11.2%)(9.3%)(6.7%)+14.4%(0.4%)+27.3%+6.6%+6.4%+3.2%+44.7%+113.2%
2024(6.2%)+3.6%(15%)(5%)                                                (21.5%)

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.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1780 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/28/20 10:49 SPY2017P280 SPY Apr17'20 280 put SHORT 1 13.37 4/18 9:35 0.00 157.43%
Trade id #127766700
Max drawdown($4,863)
Time3/23/20 0:00
Quant open1
Worst price62.00
Drawdown as % of equity157.43%
 $1,336
Includes Typical Broker Commissions trade costs of $1.00
2/25/20 10:18 ROKU2017P100 ROKU Apr17'20 100 put SHORT 3 5.72 4/18 9:35 0.00 314.87%
Trade id #127697767
Max drawdown($10,885)
Time3/17/20 0:00
Quant open3
Worst price42.00
Drawdown as % of equity314.87%
 $1,712
Includes Typical Broker Commissions trade costs of $3.00
2/25/20 10:02 X2017P9 X Apr17'20 9 put SHORT 100 0.86 4/18 9:35 0.00 1598.56%
Trade id #127697261
Max drawdown($39,900)
Time3/16/20 0:00
Quant open100
Worst price4.85
Drawdown as % of equity-1598.56%
 $8,530
Includes Typical Broker Commissions trade costs of $70.00
2/25/20 10:07 X2017G10 X Jul17'20 10 call LONG 100 0.78 3/19 10:43 0.18 39.62%
Trade id #127697433
Max drawdown($6,000)
Time3/12/20 0:00
Quant open100
Worst price0.18
Drawdown as % of equity-39.62%
 ($6,140)
Includes Typical Broker Commissions trade costs of $140.00
2/25/20 9:47 ROKU2017D120 ROKU Apr17'20 120 call LONG 1 10.20 3/18 14:46 0.15 29.19%
Trade id #127696852
Max drawdown($1,009)
Time3/17/20 0:00
Quant open1
Worst price0.11
Drawdown as % of equity29.19%
 ($1,007)
Includes Typical Broker Commissions trade costs of $2.00
3/9/20 14:04 ROKU2015E110 ROKU May15'20 110 call LONG 10 9.90 3/18 12:36 1.16 260.92%
Trade id #127928164
Max drawdown($9,020)
Time3/17/20 0:00
Quant open10
Worst price0.88
Drawdown as % of equity260.92%
 ($8,754)
Includes Typical Broker Commissions trade costs of $14.00
2/26/20 10:45 VIX2015D28 VIX Apr15'20 28 call LONG 1 1.05 3/9 12:30 9.80 0.01%
Trade id #127721562
Max drawdown($5)
Time2/26/20 10:57
Quant open1
Worst price1.00
Drawdown as % of equity-0.01%
 $873
Includes Typical Broker Commissions trade costs of $2.00
2/26/20 10:44 VIX2015P22 VIX Apr15'20 22 put SHORT 1 4.00 2/28 10:47 2.00 n/a $198
Includes Typical Broker Commissions trade costs of $2.00
2/26/20 12:19 TSLA2028B785 TSLA Feb28'20 785 call SHORT 1 19.75 2/28 10:47 0.09 1.58%
Trade id #127724467
Max drawdown($715)
Time2/26/20 12:52
Quant open1
Worst price26.90
Drawdown as % of equity-1.58%
 $1,964
Includes Typical Broker Commissions trade costs of $2.00
10/12/19 9:35 BYND BEYOND MEAT INC. COMMON STOCK SHORT 1,000 145.00 2/25/20 9:31 118.42 n/a $26,569
Includes Typical Broker Commissions trade costs of $7.97
9/4/19 10:44 ROKU1918V150 ROKU Oct18'19 150 put SHORT 10 7.05 10/14 10:46 29.35 379.78%
Trade id #125215190
Max drawdown($44,150)
Time9/27/19 0:00
Quant open10
Worst price51.20
Drawdown as % of equity-379.78%
 ($22,314)
Includes Typical Broker Commissions trade costs of $14.00
9/26/19 10:44 ROKU1915K150 ROKU Nov15'19 150 call LONG 10 1.70 10/14 10:46 3.20 6.1%
Trade id #125518536
Max drawdown($560)
Time9/30/19 0:00
Quant open10
Worst price1.14
Drawdown as % of equity-6.10%
 $1,486
Includes Typical Broker Commissions trade costs of $14.00
9/26/19 10:47 BYND1911V145 BYND Oct11'19 145 put LONG 10 11.30 10/12 9:35 0.00 73.87%
Trade id #125518646
Max drawdown($7,250)
Time10/8/19 0:00
Quant open10
Worst price4.05
Drawdown as % of equity-73.87%
 ($11,307)
Includes Typical Broker Commissions trade costs of $7.00
9/4/19 10:43 ROKU1918J150 ROKU Oct18'19 150 call LONG 10 20.95 9/6 14:45 25.00 2.91%
Trade id #125215183
Max drawdown($1,580)
Time9/5/19 0:00
Quant open10
Worst price19.37
Drawdown as % of equity-2.91%
 $4,036
Includes Typical Broker Commissions trade costs of $14.00
9/3/19 9:49 ROKU1906U140 ROKU Sep6'19 140 put LONG 1 0.49 9/4 10:45 0.02 0.09%
Trade id #125194663
Max drawdown($46)
Time9/4/19 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.09%
 ($49)
Includes Typical Broker Commissions trade costs of $2.00
8/22/19 12:28 ROKU1920I120 ROKU Sep20'19 120 call SHORT 1 19.70 9/4 10:42 44.70 4.6%
Trade id #125039280
Max drawdown($2,376)
Time9/4/19 10:40
Quant open1
Worst price43.46
Drawdown as % of equity-4.60%
 ($2,502)
Includes Typical Broker Commissions trade costs of $2.00
8/22/19 12:24 ROKU1906I140 ROKU Sep6'19 140 call SHORT 1 4.40 9/4 10:42 24.05 3.62%
Trade id #125039241
Max drawdown($1,873)
Time9/4/19 10:33
Quant open1
Worst price23.13
Drawdown as % of equity-3.62%
 ($1,967)
Includes Typical Broker Commissions trade costs of $2.00
8/31/19 9:35 SQ BLOCK INC LONG 100 62.50 9/3 9:53 63.83 0.1%
Trade id #125170654
Max drawdown($50)
Time9/3/19 9:31
Quant open100
Worst price62.00
Drawdown as % of equity-0.10%
 $131
Includes Typical Broker Commissions trade costs of $2.00
8/31/19 9:35 BYND BEYOND MEAT INC. COMMON STOCK SHORT 100 162.50 9/3 9:52 166.39 1.38%
Trade id #125170611
Max drawdown($681)
Time9/3/19 9:33
Quant open100
Worst price169.31
Drawdown as % of equity-1.38%
 ($391)
Includes Typical Broker Commissions trade costs of $2.00
8/31/19 9:35 FB META PLATFORMS INC SHORT 100 182.50 9/3 9:52 185.40 0.63%
Trade id #125170606
Max drawdown($313)
Time9/3/19 9:41
Quant open100
Worst price185.63
Drawdown as % of equity-0.63%
 ($292)
Includes Typical Broker Commissions trade costs of $2.00
8/29/19 10:41 ROKU1920U120 ROKU Sep20'19 120 put SHORT 1 0.62 9/3 9:51 0.41 0.02%
Trade id #125141503
Max drawdown($9)
Time8/29/19 13:00
Quant open1
Worst price0.71
Drawdown as % of equity-0.02%
 $19
Includes Typical Broker Commissions trade costs of $2.00
8/31/19 9:35 AMZN AMAZON.COM LONG 100 1787.50 9/3 9:50 1792.32 3.95%
Trade id #125170590
Max drawdown($1,950)
Time9/3/19 9:31
Quant open100
Worst price1768.00
Drawdown as % of equity-3.95%
 $480
Includes Typical Broker Commissions trade costs of $2.00
8/31/19 9:35 BA BOEING SHORT 100 362.50 9/3 9:50 353.22 n/a $926
Includes Typical Broker Commissions trade costs of $2.00
8/29/19 10:42 ROKU1906U140 ROKU Sep6'19 140 put SHORT 1 1.45 9/3 9:48 0.51 0.02%
Trade id #125141527
Max drawdown($12)
Time8/29/19 10:48
Quant open1
Worst price1.57
Drawdown as % of equity-0.02%
 $92
Includes Typical Broker Commissions trade costs of $2.00
8/29/19 10:44 FB1930T182.5 FB Aug30'19 182.5 put SHORT 1 0.69 8/31 9:35 0.00 0.03%
Trade id #125141573
Max drawdown($16)
Time8/29/19 10:50
Quant open1
Worst price0.85
Drawdown as % of equity-0.03%
 $68
Includes Typical Broker Commissions trade costs of $1.00
8/29/19 10:38 AMZN1930H1787.5 AMZN Aug30'19 1787.5 call SHORT 1 11.25 8/31 9:35 0.00 0.39%
Trade id #125141329
Max drawdown($189)
Time8/29/19 11:26
Quant open1
Worst price13.14
Drawdown as % of equity-0.39%
 $1,124
Includes Typical Broker Commissions trade costs of $1.00
8/29/19 10:49 BA1930T362.5 BA Aug30'19 362.5 put SHORT 1 2.70 8/31 9:35 0.00 0.05%
Trade id #125141729
Max drawdown($22)
Time8/29/19 11:11
Quant open1
Worst price2.92
Drawdown as % of equity-0.05%
 $269
Includes Typical Broker Commissions trade costs of $1.00
8/29/19 10:49 BA1930H362.5 BA Aug30'19 362.5 call SHORT 1 2.85 8/31 9:35 0.00 0.28%
Trade id #125141724
Max drawdown($135)
Time8/30/19 0:00
Quant open1
Worst price4.20
Drawdown as % of equity-0.28%
 $284
Includes Typical Broker Commissions trade costs of $1.00
8/29/19 10:47 SQ1930T62.5 SQ Aug30'19 62.5 put SHORT 1 0.56 8/31 9:35 0.00 0.14%
Trade id #125141696
Max drawdown($67)
Time8/30/19 0:00
Quant open1
Worst price1.23
Drawdown as % of equity-0.14%
 $55
Includes Typical Broker Commissions trade costs of $1.00
8/29/19 10:47 SQ1930H62.5 SQ Aug30'19 62.5 call SHORT 1 0.60 8/31 9:35 0.00 0.09%
Trade id #125141686
Max drawdown($46)
Time8/29/19 14:59
Quant open1
Worst price1.06
Drawdown as % of equity-0.09%
 $59
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    6/3/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1781.46
  • Age
    60 months ago
  • What it trades
    Options
  • # Trades
    243
  • # Profitable
    146
  • % Profitable
    60.10%
  • Avg trade duration
    13.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 12, 2020 - March 18, 2020
  • Annual Return (Compounded)
    49.1%
  • Avg win
    $2,894
  • Avg loss
    $1,280
  • Model Account Values (Raw)
  • Cash
    $9,568
  • Margin Used
    $0
  • Buying Power
    $308,968
  • Ratios
  • W:L ratio
    3.45:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    15.64
  • Calmar Ratio
    4.537
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    522.65%
  • Correlation to SP500
    0.26700
  • Return Percent SP500 (cumu) during strategy life
    83.95%
  • Return Statistics
  • Ann Return (w trading costs)
    49.1%
  • Slump
  • Current Slump as Pcnt Equity
    27.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    5.45%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.491%
  • Instruments
  • Percent Trades Options
    0.92%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    90.00%
  • Chance of 40% account loss
    84.50%
  • Chance of 60% account loss (Monte Carlo)
    47.50%
  • Chance of 70% account loss (Monte Carlo)
    26.50%
  • Chance of 80% account loss (Monte Carlo)
    7.50%
  • Chance of 90% account loss (Monte Carlo)
    0.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    67.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,280
  • Avg Win
    $2,894
  • Sum Trade PL (losers)
    $124,196.000
  • Age
  • Num Months filled monthly returns table
    59
  • Win / Loss
  • Sum Trade PL (winners)
    $422,564.000
  • # Winners
    146
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    5600
  • Win / Loss
  • # Losers
    97
  • % Winners
    60.1%
  • Frequency
  • Avg Position Time (mins)
    19308.80
  • Avg Position Time (hrs)
    321.81
  • Avg Trade Length
    13.4 days
  • Last Trade Ago
    1462
  • Leverage
  • Daily leverage (average)
    5.32
  • Daily leverage (max)
    24.93
  • Regression
  • Alpha
    0.00
  • Beta
    1.90
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    8.74
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.30
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.86
  • MAE:Equity, average, winning trades
    0.17
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    1.010
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    3.51
  • Avg(MAE) / Avg(PL) - Winning trades
    0.336
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.213
  • Hold-and-Hope Ratio
    -0.130
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    8.89741
  • SD
    6.45411
  • Sharpe ratio (Glass type estimate)
    1.37857
  • Sharpe ratio (Hedges UMVUE)
    1.29026
  • df
    12.00000
  • t
    1.43486
  • p
    0.30866
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66229
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24280
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.38647
  • Upside Potential Ratio
    10.03140
  • Upside part of mean
    10.64260
  • Downside part of mean
    -1.74515
  • Upside SD
    6.62742
  • Downside SD
    1.06092
  • 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
    0.48475
  • Mean of criterion
    8.89741
  • SD of predictor
    0.44855
  • SD of criterion
    6.45411
  • Covariance
    1.35867
  • r
    0.46932
  • b (slope, estimate of beta)
    6.75299
  • a (intercept, estimate of alpha)
    5.62389
  • Mean Square Error
    35.43320
  • DF error
    11.00000
  • t(b)
    1.76275
  • p(b)
    0.05283
  • t(a)
    0.93529
  • p(a)
    0.18486
  • Lowerbound of 95% confidence interval for beta
    -1.67886
  • Upperbound of 95% confidence interval for beta
    15.18480
  • Lowerbound of 95% confidence interval for alpha
    -7.61065
  • Upperbound of 95% confidence interval for alpha
    18.85840
  • Treynor index (mean / b)
    1.31755
  • Jensen alpha (a)
    5.62389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.62613
  • SD
    3.27029
  • Sharpe ratio (Glass type estimate)
    0.49724
  • Sharpe ratio (Hedges UMVUE)
    0.46539
  • df
    12.00000
  • t
    0.51755
  • p
    0.42612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35764
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84653
  • Upside Potential Ratio
    2.39175
  • Upside part of mean
    4.59440
  • Downside part of mean
    -2.96828
  • Upside SD
    2.53031
  • Downside SD
    1.92094
  • 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
    0.39253
  • Mean of criterion
    1.62613
  • SD of predictor
    0.41661
  • SD of criterion
    3.27029
  • Covariance
    0.86665
  • r
    0.63611
  • b (slope, estimate of beta)
    4.99330
  • a (intercept, estimate of alpha)
    -0.33390
  • Mean Square Error
    6.94618
  • DF error
    11.00000
  • t(b)
    2.73422
  • p(b)
    0.00972
  • t(a)
    -0.12688
  • p(a)
    0.54934
  • Lowerbound of 95% confidence interval for beta
    0.97381
  • Upperbound of 95% confidence interval for beta
    9.01280
  • Lowerbound of 95% confidence interval for alpha
    -6.12618
  • Upperbound of 95% confidence interval for alpha
    5.45839
  • Treynor index (mean / b)
    0.32566
  • Jensen alpha (a)
    -0.33390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75764
  • Expected Shortfall on VaR
    0.82784
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23949
  • Expected Shortfall on VaR
    0.51641
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.20643
  • Quartile 1
    0.92285
  • Median
    1.04970
  • Quartile 3
    1.39475
  • Maximum
    6.56648
  • Mean of quarter 1
    0.52968
  • Mean of quarter 2
    1.04586
  • Mean of quarter 3
    1.19013
  • Mean of quarter 4
    4.61414
  • Inter Quartile Range
    0.47189
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.20643
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    4.61414
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -10.52060
  • VaR(95%) (moments method)
    0.24484
  • Expected Shortfall (moments method)
    0.24484
  • Extreme Value Index (regression method)
    -1.85513
  • VaR(95%) (regression method)
    0.94534
  • Expected Shortfall (regression method)
    0.96849
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.78738
  • Quartile 1
    0.79100
  • Median
    0.79461
  • Quartile 3
    0.79823
  • Maximum
    0.80185
  • Mean of quarter 1
    0.78738
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.80185
  • Inter Quartile Range
    0.00723
  • 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)
    4.61599
  • Compounded annual return (geometric extrapolation)
    4.22802
  • Calmar ratio (compounded annual return / max draw down)
    5.27285
  • Compounded annual return / average of 25% largest draw downs
    5.27285
  • Compounded annual return / Expected Shortfall lognormal
    5.10727
  • 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
    1164.39000
  • SD
    1232.93000
  • Sharpe ratio (Glass type estimate)
    0.94441
  • Sharpe ratio (Hedges UMVUE)
    0.94204
  • df
    299.00000
  • t
    1.01058
  • p
    0.15652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77522
  • Statistics related to Sortino ratio
  • Sortino ratio
    610.04800
  • Upside Potential Ratio
    616.29000
  • Upside part of mean
    1176.30000
  • Downside part of mean
    -11.91430
  • Upside SD
    1232.97000
  • Downside SD
    1.90868
  • N nonnegative terms
    166.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.57909
  • Mean of criterion
    1164.39000
  • SD of predictor
    0.40123
  • SD of criterion
    1232.93000
  • Covariance
    -35.22940
  • r
    -0.07122
  • b (slope, estimate of beta)
    -218.83600
  • a (intercept, estimate of alpha)
    1291.11000
  • Mean Square Error
    1517480.00000
  • DF error
    298.00000
  • t(b)
    -1.23250
  • p(b)
    0.89063
  • t(a)
    1.11709
  • p(a)
    0.13243
  • Lowerbound of 95% confidence interval for beta
    -568.25600
  • Upperbound of 95% confidence interval for beta
    130.58400
  • Lowerbound of 95% confidence interval for alpha
    -983.42000
  • Upperbound of 95% confidence interval for alpha
    3565.65000
  • Treynor index (mean / b)
    -5.32082
  • Jensen alpha (a)
    1291.11000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.68360
  • SD
    10.95770
  • Sharpe ratio (Glass type estimate)
    0.15365
  • Sharpe ratio (Hedges UMVUE)
    0.15326
  • df
    299.00000
  • t
    0.16441
  • p
    0.43476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98493
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20832
  • Upside Potential Ratio
    2.74748
  • Upside part of mean
    22.20400
  • Downside part of mean
    -20.52040
  • Upside SD
    7.37353
  • Downside SD
    8.08160
  • N nonnegative terms
    166.00000
  • N negative terms
    134.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.49791
  • Mean of criterion
    1.68360
  • SD of predictor
    0.40278
  • SD of criterion
    10.95770
  • Covariance
    1.04004
  • r
    0.23565
  • b (slope, estimate of beta)
    6.41083
  • a (intercept, estimate of alpha)
    -1.50841
  • Mean Square Error
    113.78400
  • DF error
    298.00000
  • t(b)
    4.18579
  • p(b)
    0.00002
  • t(a)
    -0.15088
  • p(a)
    0.55991
  • Lowerbound of 95% confidence interval for beta
    3.39677
  • Upperbound of 95% confidence interval for beta
    9.42490
  • Lowerbound of 95% confidence interval for alpha
    -21.18330
  • Upperbound of 95% confidence interval for alpha
    18.16650
  • Treynor index (mean / b)
    0.26262
  • Jensen alpha (a)
    -1.50841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.66948
  • Expected Shortfall on VaR
    0.74380
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09505
  • Expected Shortfall on VaR
    0.20731
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.00027
  • Quartile 1
    0.95394
  • Median
    1.00606
  • Quartile 3
    1.05545
  • Maximum
    1320.33000
  • Mean of quarter 1
    0.83314
  • Mean of quarter 2
    0.98589
  • Mean of quarter 3
    1.02504
  • Mean of quarter 4
    18.93330
  • Inter Quartile Range
    0.10152
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.06000
  • Mean of outliers low
    0.62261
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    54.57100
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42155
  • VaR(95%) (moments method)
    0.15461
  • Expected Shortfall (moments method)
    0.31397
  • Extreme Value Index (regression method)
    0.29643
  • VaR(95%) (regression method)
    0.13786
  • Expected Shortfall (regression method)
    0.23836
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00059
  • Quartile 1
    0.02113
  • Median
    0.09778
  • Quartile 3
    0.33845
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00685
  • Mean of quarter 2
    0.07690
  • Mean of quarter 3
    0.17958
  • Mean of quarter 4
    0.63995
  • Inter Quartile Range
    0.31732
  • 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
    0.11111
  • Mean of outliers high
    0.91519
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.23488
  • VaR(95%) (moments method)
    0.70832
  • Expected Shortfall (moments method)
    0.86080
  • Extreme Value Index (regression method)
    0.24569
  • VaR(95%) (regression method)
    0.76947
  • Expected Shortfall (regression method)
    1.15591
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.32511
  • Compounded annual return (geometric extrapolation)
    4.53727
  • Calmar ratio (compounded annual return / max draw down)
    4.53733
  • Compounded annual return / average of 25% largest draw downs
    7.09005
  • Compounded annual return / Expected Shortfall lognormal
    6.10009
  • 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
    8.28727
  • SD
    3.52855
  • Sharpe ratio (Glass type estimate)
    2.34863
  • Sharpe ratio (Hedges UMVUE)
    2.33506
  • df
    130.00000
  • t
    1.66073
  • p
    0.42793
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12136
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.13655
  • Upside Potential Ratio
    15.78510
  • Upside part of mean
    18.33040
  • Downside part of mean
    -10.04310
  • Upside SD
    3.35697
  • Downside SD
    1.16124
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.01147
  • Mean of criterion
    8.28727
  • SD of predictor
    0.42267
  • SD of criterion
    3.52855
  • Covariance
    0.68462
  • r
    0.45904
  • b (slope, estimate of beta)
    3.83212
  • a (intercept, estimate of alpha)
    4.41119
  • Mean Square Error
    9.90332
  • DF error
    129.00000
  • t(b)
    5.86847
  • p(b)
    0.21838
  • t(a)
    0.98044
  • p(a)
    0.44532
  • Lowerbound of 95% confidence interval for beta
    2.54014
  • Upperbound of 95% confidence interval for beta
    5.12411
  • Lowerbound of 95% confidence interval for alpha
    -4.49060
  • Upperbound of 95% confidence interval for alpha
    13.31300
  • Treynor index (mean / b)
    2.16258
  • Jensen alpha (a)
    4.41119
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.37479
  • SD
    2.54408
  • Sharpe ratio (Glass type estimate)
    1.71959
  • Sharpe ratio (Hedges UMVUE)
    1.70965
  • df
    130.00000
  • t
    1.21594
  • p
    0.44698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.49600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.48924
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41559
  • Upside Potential Ratio
    11.85510
  • Upside part of mean
    15.18440
  • Downside part of mean
    -10.80960
  • Upside SD
    2.20351
  • Downside SD
    1.28083
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92112
  • Mean of criterion
    4.37479
  • SD of predictor
    0.42234
  • SD of criterion
    2.54408
  • Covariance
    0.50578
  • r
    0.47073
  • b (slope, estimate of beta)
    2.83561
  • a (intercept, estimate of alpha)
    1.76285
  • Mean Square Error
    5.07722
  • DF error
    129.00000
  • t(b)
    6.05987
  • p(b)
    0.21179
  • t(a)
    0.54822
  • p(a)
    0.46932
  • VAR (95 Confidence Intrvl)
    0.66900
  • Lowerbound of 95% confidence interval for beta
    1.90980
  • Upperbound of 95% confidence interval for beta
    3.76143
  • Lowerbound of 95% confidence interval for alpha
    -4.59933
  • Upperbound of 95% confidence interval for alpha
    8.12504
  • Treynor index (mean / b)
    1.54280
  • Jensen alpha (a)
    1.76285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21481
  • Expected Shortfall on VaR
    0.26350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08778
  • Expected Shortfall on VaR
    0.16377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68874
  • Quartile 1
    0.93789
  • Median
    1.00509
  • Quartile 3
    1.08423
  • Maximum
    3.00557
  • Mean of quarter 1
    0.87264
  • Mean of quarter 2
    0.97569
  • Mean of quarter 3
    1.03645
  • Mean of quarter 4
    1.24231
  • Inter Quartile Range
    0.14634
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.68874
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.68639
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03143
  • VaR(95%) (moments method)
    0.12746
  • Expected Shortfall (moments method)
    0.16493
  • Extreme Value Index (regression method)
    0.03760
  • VaR(95%) (regression method)
    0.13469
  • Expected Shortfall (regression method)
    0.18134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.07985
  • Quartile 1
    0.14048
  • Median
    0.23791
  • Quartile 3
    0.37196
  • Maximum
    0.60967
  • Mean of quarter 1
    0.10381
  • Mean of quarter 2
    0.23668
  • Mean of quarter 3
    0.35832
  • Mean of quarter 4
    0.49870
  • Inter Quartile Range
    0.23148
  • 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)
    0.06750
  • VaR(95%) (moments method)
    0.52830
  • Expected Shortfall (moments method)
    0.64645
  • Extreme Value Index (regression method)
    2.81486
  • VaR(95%) (regression method)
    0.92317
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -442026000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    16.07430
  • Compounded annual return (geometric extrapolation)
    80.67050
  • Calmar ratio (compounded annual return / max draw down)
    132.31800
  • Compounded annual return / average of 25% largest draw downs
    161.76100
  • Compounded annual return / Expected Shortfall lognormal
    306.14700

Strategy Description

Value bets, collars, straddles and spreads utilized on certain positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-06-03
Suggested Minimum Capital
$25,000
# Trades
243
# Profitable
146
% Profitable
60.1%
Net Dividends
$5,600
Correlation S&P500
0.267
Sharpe Ratio
0.38
Sortino Ratio
15.64
Beta
1.90
Alpha
0.00
Leverage
5.32 Average
24.93 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 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.

Latest Activity

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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.