Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $407,000 Hypothetical

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Premium Collecting70
(134323055)

Created by: StoneCapital StoneCapital
Started: 02/2021
Options
Last trade: 1,020 days ago
Trading style: Options Premium Collecting

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 $9.00 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.
-11.0%
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.

(43.4%)
Max Drawdown
68
Num Trades
54.4%
Win Trades
0.9 : 1
Profit Factor
5.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021       (0.4%)+4.4%(14.1%)+5.0%(17.7%)(10.8%)  -    -    -    -    -  (31.1%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -                                            0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/6/21 10:54 TTD2120T65 TTD Aug20'21 65 put SHORT 1 1.75 7/23 10:26 0.97 2.88%
Trade id #136343533
Max drawdown($195)
Time7/19/21 0:00
Quant open1
Worst price3.70
Drawdown as % of equity-2.88%
 $76
Includes Typical Broker Commissions trade costs of $2.00
7/6/21 10:54 TTD2120H95 TTD Aug20'21 95 call SHORT 1 1.70 7/23 10:22 1.19 1.52%
Trade id #136343553
Max drawdown($117)
Time7/7/21 0:00
Quant open1
Worst price2.87
Drawdown as % of equity-1.52%
 $49
Includes Typical Broker Commissions trade costs of $2.00
7/21/21 14:20 FCX2120H39 FCX Aug20'21 39 call SHORT 1 0.48 7/23 10:18 0.37 0.06%
Trade id #136619387
Max drawdown($4)
Time7/21/21 14:42
Quant open1
Worst price0.52
Drawdown as % of equity-0.06%
 $9
Includes Typical Broker Commissions trade costs of $2.00
7/2/21 10:24 CLNE2120H12 CLNE Aug20'21 12 call SHORT 1 0.80 7/23 10:17 0.10 0.13%
Trade id #136306555
Max drawdown($10)
Time7/2/21 13:42
Quant open1
Worst price0.90
Drawdown as % of equity-0.13%
 $68
Includes Typical Broker Commissions trade costs of $2.00
7/21/21 14:20 FCX2120T32 FCX Aug20'21 32 put SHORT 1 0.74 7/23 10:17 0.65 0.25%
Trade id #136619352
Max drawdown($17)
Time7/22/21 0:00
Quant open1
Worst price0.91
Drawdown as % of equity-0.25%
 $7
Includes Typical Broker Commissions trade costs of $2.00
7/2/21 10:24 CLNE2120H13 CLNE Aug20'21 13 call LONG 1 0.70 7/23 10:14 0.05 0.96%
Trade id #136306524
Max drawdown($65)
Time7/16/21 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.96%
 ($67)
Includes Typical Broker Commissions trade costs of $2.00
7/7/21 9:55 AMZN2109G3860 AMZN Jul9'21 3860 call LONG 1 9.75 7/10 9:35 0.00 13.96%
Trade id #136359734
Max drawdown($974)
Time7/9/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-13.96%
 ($976)
Includes Typical Broker Commissions trade costs of $1.00
6/21/21 12:40 AA2116G34 AA Jul16'21 34 call SHORT 2 1.36 7/6 10:05 3.70 8.8%
Trade id #136146416
Max drawdown($677)
Time7/2/21 0:00
Quant open2
Worst price4.75
Drawdown as % of equity-8.80%
 ($470)
Includes Typical Broker Commissions trade costs of $3.40
6/21/21 12:20 COIN2116S190 COIN Jul16'21 190 put LONG 1 2.67 7/6 9:57 0.25 3.13%
Trade id #136145958
Max drawdown($242)
Time7/1/21 0:00
Quant open1
Worst price0.25
Drawdown as % of equity-3.13%
 ($244)
Includes Typical Broker Commissions trade costs of $2.00
6/21/21 12:20 COIN2116S200 COIN Jul16'21 200 put SHORT 1 4.30 7/6 9:54 0.57 4.33%
Trade id #136145962
Max drawdown($340)
Time6/22/21 0:00
Quant open1
Worst price7.70
Drawdown as % of equity-4.33%
 $371
Includes Typical Broker Commissions trade costs of $2.00
6/11/21 9:50 AA2116S34 AA Jul16'21 34 put SHORT 1 0.87 7/2 10:29 0.43 2.88%
Trade id #136021821
Max drawdown($233)
Time6/18/21 0:00
Quant open1
Worst price3.20
Drawdown as % of equity-2.88%
 $42
Includes Typical Broker Commissions trade costs of $2.00
6/11/21 9:51 AA2116G43 AA Jul16'21 43 call SHORT 1 1.03 6/21 12:36 0.18 0.05%
Trade id #136021888
Max drawdown($4)
Time6/11/21 9:56
Quant open1
Worst price1.07
Drawdown as % of equity-0.05%
 $83
Includes Typical Broker Commissions trade costs of $2.00
6/8/21 13:13 AI2116G100 AI Jul16'21 100 call LONG 1 0.60 6/21 10:52 0.20 0.52%
Trade id #135968513
Max drawdown($40)
Time6/21/21 9:39
Quant open1
Worst price0.20
Drawdown as % of equity-0.52%
 ($42)
Includes Typical Broker Commissions trade costs of $2.00
6/8/21 13:14 AI2116G80 AI Jul16'21 80 call SHORT 1 1.80 6/21 10:52 0.45 1.08%
Trade id #135968534
Max drawdown($100)
Time6/9/21 0:00
Quant open1
Worst price2.80
Drawdown as % of equity-1.08%
 $133
Includes Typical Broker Commissions trade costs of $2.00
6/7/21 11:00 TGT2116S200 TGT Jul16'21 200 put LONG 1 0.37 6/21 10:50 0.19 0.21%
Trade id #135941022
Max drawdown($18)
Time6/15/21 0:00
Quant open1
Worst price0.19
Drawdown as % of equity-0.21%
 ($20)
Includes Typical Broker Commissions trade costs of $2.00
6/7/21 11:01 TGT2116S220 TGT Jul16'21 220 put SHORT 1 1.97 6/21 10:50 0.97 0.04%
Trade id #135941076
Max drawdown($3)
Time6/18/21 0:00
Quant open1
Worst price2.00
Drawdown as % of equity-0.04%
 $98
Includes Typical Broker Commissions trade costs of $2.00
4/26/21 13:21 TSLA2118R570 TSLA Jun18'21 570 put LONG 1 13.85 6/19 9:36 0.00 17.12%
Trade id #135322735
Max drawdown($1,384)
Time6/18/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-17.12%
 ($1,386)
Includes Typical Broker Commissions trade costs of $1.00
6/19/21 9:35 CRWD CROWDSTRIKE HOLDINGS INC. CLASS A LONG 100 240.00 6/19 9:35 220.00 n/a ($2,002)
Includes Typical Broker Commissions trade costs of $2.00
6/4/21 12:31 CRWD2118F220 CRWD Jun18'21 220 call SHORT 1 3.03 6/19 9:35 0.00 30.46%
Trade id #135915722
Max drawdown($2,462)
Time6/18/21 0:00
Quant open1
Worst price27.65
Drawdown as % of equity-30.46%
 $302
Includes Typical Broker Commissions trade costs of $1.00
6/4/21 12:30 CRWD2118F240 CRWD Jun18'21 240 call LONG 1 0.63 6/19 9:35 0.00 0.52%
Trade id #135915678
Max drawdown($48)
Time6/10/21 0:00
Quant open1
Worst price0.15
Drawdown as % of equity-0.52%
 ($64)
Includes Typical Broker Commissions trade costs of $1.00
4/26/21 13:21 TSLA2118R580 TSLA Jun18'21 580 put SHORT 1 15.20 6/19 9:35 0.00 39.24%
Trade id #135322741
Max drawdown($4,280)
Time5/13/21 0:00
Quant open1
Worst price58.00
Drawdown as % of equity-39.24%
 $1,519
Includes Typical Broker Commissions trade costs of $1.00
4/28/21 15:09 CAT2118R190 CAT Jun18'21 190 put LONG 1 0.89 6/19 9:35 0.00 0.99%
Trade id #135360982
Max drawdown($88)
Time6/16/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.99%
 ($90)
Includes Typical Broker Commissions trade costs of $1.00
4/26/21 13:23 TSLA2118F900 TSLA Jun18'21 900 call LONG 1 16.95 6/19 9:35 0.00 19.55%
Trade id #135322797
Max drawdown($1,694)
Time6/14/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-19.55%
 ($1,696)
Includes Typical Broker Commissions trade costs of $1.00
4/28/21 15:08 CAT2118F270 CAT Jun18'21 270 call LONG 1 0.94 6/19 9:35 0.00 1.09%
Trade id #135360915
Max drawdown($93)
Time6/15/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-1.09%
 ($95)
Includes Typical Broker Commissions trade costs of $1.00
4/26/21 13:23 TSLA2118F890 TSLA Jun18'21 890 call SHORT 1 18.25 6/19 9:35 0.00 1.38%
Trade id #135322810
Max drawdown($125)
Time4/26/21 15:28
Quant open1
Worst price19.50
Drawdown as % of equity-1.38%
 $1,824
Includes Typical Broker Commissions trade costs of $1.00
5/18/21 13:18 PLUG2118F24 PLUG Jun18'21 24 call LONG 1 5.00 6/4 12:34 7.35 1.25%
Trade id #135668303
Max drawdown($115)
Time5/19/21 0:00
Quant open1
Worst price3.85
Drawdown as % of equity-1.25%
 $233
Includes Typical Broker Commissions trade costs of $2.00
5/18/21 13:21 PLUG2118F30 PLUG Jun18'21 30 call LONG 1 2.07 6/4 12:34 2.62 1%
Trade id #135668335
Max drawdown($92)
Time5/25/21 0:00
Quant open1
Worst price1.15
Drawdown as % of equity-1.00%
 $53
Includes Typical Broker Commissions trade costs of $2.00
5/18/21 13:19 PLUG2118F33 PLUG Jun18'21 33 call SHORT 3 1.30 6/4 12:32 1.44 2.61%
Trade id #135668309
Max drawdown($241)
Time6/3/21 0:00
Quant open3
Worst price2.10
Drawdown as % of equity-2.61%
 ($48)
Includes Typical Broker Commissions trade costs of $4.50
4/28/21 15:10 CAT2118R210 CAT Jun18'21 210 put SHORT 1 2.17 6/2 9:50 0.25 1.54%
Trade id #135361001
Max drawdown($133)
Time4/29/21 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-1.54%
 $190
Includes Typical Broker Commissions trade costs of $2.00
4/28/21 15:11 CAT2118F250 CAT Jun18'21 250 call SHORT 1 3.38 6/1 12:00 2.70 2.89%
Trade id #135361026
Max drawdown($290)
Time5/10/21 0:00
Quant open1
Worst price6.28
Drawdown as % of equity-2.89%
 $66
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    2/27/2021
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1162.23
  • Age
    39 months ago
  • What it trades
    Options
  • # Trades
    68
  • # Profitable
    37
  • % Profitable
    54.40%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    43.37%
  • drawdown period
    May 19, 2021 - July 09, 2021
  • Annual Return (Compounded)
    -11.0%
  • Avg win
    $458.54
  • Avg loss
    $637.06
  • Model Account Values (Raw)
  • Cash
    $7,217
  • Margin Used
    $0
  • Buying Power
    $7,217
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.32
  • Calmar Ratio
    -0.836
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -65.68%
  • Correlation to SP500
    -0.05630
  • Return Percent SP500 (cumu) during strategy life
    35.92%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.0%
  • Slump
  • Current Slump as Pcnt Equity
    72.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    7.50%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.110%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -9.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    89.00%
  • Chance of 40% account loss
    55.50%
  • Chance of 60% account loss (Monte Carlo)
    6.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    29.00%
  • 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
    $637
  • Avg Win
    $459
  • Sum Trade PL (losers)
    $19,749.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $16,966.000
  • # Winners
    37
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    31
  • % Winners
    54.4%
  • Frequency
  • Avg Position Time (mins)
    27993.00
  • Avg Position Time (hrs)
    466.55
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    1017
  • Leverage
  • Daily leverage (average)
    19.03
  • Daily leverage (max)
    43.37
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.11
  • Treynor Index
    0.21
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.13
  • MAE:Equity, average, winning trades
    0.10
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    10.535
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.852
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.020
  • Hold-and-Hope Ratio
    0.095
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41908
  • SD
    0.27497
  • Sharpe ratio (Glass type estimate)
    -1.52408
  • Sharpe ratio (Hedges UMVUE)
    -1.37579
  • df
    8.00000
  • t
    -1.31989
  • p
    0.88831
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86126
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98565
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.52766
  • Upside Potential Ratio
    0.48316
  • Upside part of mean
    0.13254
  • Downside part of mean
    -0.55162
  • Upside SD
    0.08117
  • Downside SD
    0.27433
  • N nonnegative terms
    2.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.05552
  • Mean of criterion
    -0.41908
  • SD of predictor
    0.15683
  • SD of criterion
    0.27497
  • Covariance
    -0.01457
  • r
    -0.33791
  • b (slope, estimate of beta)
    -0.59245
  • a (intercept, estimate of alpha)
    -0.38619
  • Mean Square Error
    0.07654
  • DF error
    7.00000
  • t(b)
    -0.94990
  • p(b)
    0.81310
  • t(a)
    -1.20181
  • p(a)
    0.86574
  • Lowerbound of 95% confidence interval for beta
    -2.06727
  • Upperbound of 95% confidence interval for beta
    0.88237
  • Lowerbound of 95% confidence interval for alpha
    -1.14603
  • Upperbound of 95% confidence interval for alpha
    0.37366
  • Treynor index (mean / b)
    0.70737
  • Jensen alpha (a)
    -0.38619
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46277
  • SD
    0.29191
  • Sharpe ratio (Glass type estimate)
    -1.58529
  • Sharpe ratio (Hedges UMVUE)
    -1.43105
  • df
    8.00000
  • t
    -1.37290
  • p
    0.89648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.80035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93826
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.56583
  • Upside Potential Ratio
    0.43669
  • Upside part of mean
    0.12906
  • Downside part of mean
    -0.59183
  • Upside SD
    0.07904
  • Downside SD
    0.29554
  • N nonnegative terms
    2.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.04379
  • Mean of criterion
    -0.46277
  • SD of predictor
    0.16318
  • SD of criterion
    0.29191
  • Covariance
    -0.01583
  • r
    -0.33235
  • b (slope, estimate of beta)
    -0.59453
  • a (intercept, estimate of alpha)
    -0.43673
  • Mean Square Error
    0.08663
  • DF error
    7.00000
  • t(b)
    -0.93231
  • p(b)
    0.80890
  • t(a)
    -1.28072
  • p(a)
    0.87945
  • Lowerbound of 95% confidence interval for beta
    -2.10244
  • Upperbound of 95% confidence interval for beta
    0.91338
  • Lowerbound of 95% confidence interval for alpha
    -1.24309
  • Upperbound of 95% confidence interval for alpha
    0.36962
  • Treynor index (mean / b)
    0.77838
  • Jensen alpha (a)
    -0.43673
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16237
  • Expected Shortfall on VaR
    0.19096
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13586
  • Expected Shortfall on VaR
    0.22613
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.83646
  • Quartile 1
    0.89819
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05260
  • Mean of quarter 1
    0.86753
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05203
  • Inter Quartile Range
    0.10181
  • 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)
    -5.03344
  • VaR(95%) (moments method)
    0.14658
  • Expected Shortfall (moments method)
    0.14660
  • Extreme Value Index (regression method)
    -0.94348
  • VaR(95%) (regression method)
    0.17851
  • Expected Shortfall (regression method)
    0.18693
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.31362
  • Quartile 1
    0.31362
  • Median
    0.31362
  • Quartile 3
    0.31362
  • Maximum
    0.31362
  • 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)
    -0.37107
  • Compounded annual return (geometric extrapolation)
    -0.35264
  • Calmar ratio (compounded annual return / max draw down)
    -1.12442
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.84673
  • 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
    -0.22619
  • SD
    0.64126
  • Sharpe ratio (Glass type estimate)
    -0.35273
  • Sharpe ratio (Hedges UMVUE)
    -0.35147
  • df
    210.00000
  • t
    -0.31655
  • p
    0.62405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83281
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50484
  • Upside Potential Ratio
    4.17518
  • Upside part of mean
    1.87069
  • Downside part of mean
    -2.09688
  • Upside SD
    0.45686
  • Downside SD
    0.44805
  • N nonnegative terms
    49.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.32122
  • Mean of criterion
    -0.22619
  • SD of predictor
    0.27669
  • SD of criterion
    0.64126
  • Covariance
    -0.00944
  • r
    -0.05322
  • b (slope, estimate of beta)
    -0.12334
  • a (intercept, estimate of alpha)
    -0.18700
  • Mean Square Error
    0.41202
  • DF error
    209.00000
  • t(b)
    -0.77044
  • p(b)
    0.77904
  • t(a)
    -0.26018
  • p(a)
    0.60251
  • Lowerbound of 95% confidence interval for beta
    -0.43893
  • Upperbound of 95% confidence interval for beta
    0.19226
  • Lowerbound of 95% confidence interval for alpha
    -1.60027
  • Upperbound of 95% confidence interval for alpha
    1.22712
  • Treynor index (mean / b)
    1.83396
  • Jensen alpha (a)
    -0.18658
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43288
  • SD
    0.64805
  • Sharpe ratio (Glass type estimate)
    -0.66798
  • Sharpe ratio (Hedges UMVUE)
    -0.66559
  • df
    210.00000
  • t
    -0.59945
  • p
    0.72524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51936
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.87422
  • Upside Potential Ratio
    3.59132
  • Upside part of mean
    1.77830
  • Downside part of mean
    -2.21119
  • Upside SD
    0.41654
  • Downside SD
    0.49517
  • N nonnegative terms
    49.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.28279
  • Mean of criterion
    -0.43288
  • SD of predictor
    0.27744
  • SD of criterion
    0.64805
  • Covariance
    -0.00958
  • r
    -0.05329
  • b (slope, estimate of beta)
    -0.12448
  • a (intercept, estimate of alpha)
    -0.39768
  • Mean Square Error
    0.42078
  • DF error
    209.00000
  • t(b)
    -0.77151
  • p(b)
    0.77936
  • t(a)
    -0.54908
  • p(a)
    0.70823
  • Lowerbound of 95% confidence interval for beta
    -0.44254
  • Upperbound of 95% confidence interval for beta
    0.19359
  • Lowerbound of 95% confidence interval for alpha
    -1.82550
  • Upperbound of 95% confidence interval for alpha
    1.03013
  • Treynor index (mean / b)
    3.47763
  • Jensen alpha (a)
    -0.39768
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06528
  • Expected Shortfall on VaR
    0.08069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02364
  • Expected Shortfall on VaR
    0.05133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    211.00000
  • Minimum
    0.73218
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.29417
  • Mean of quarter 1
    0.96846
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02852
  • Inter Quartile Range
    0.00000
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.24644
  • Mean of outliers low
    0.96786
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.23223
  • Mean of outliers high
    1.03085
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74416
  • VaR(95%) (moments method)
    0.00736
  • Expected Shortfall (moments method)
    0.03561
  • Extreme Value Index (regression method)
    0.13697
  • VaR(95%) (regression method)
    0.02810
  • Expected Shortfall (regression method)
    0.05078
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00358
  • Quartile 1
    0.03511
  • Median
    0.16530
  • Quartile 3
    0.28014
  • Maximum
    0.39813
  • Mean of quarter 1
    0.01181
  • Mean of quarter 2
    0.08029
  • Mean of quarter 3
    0.25032
  • Mean of quarter 4
    0.34410
  • Inter Quartile Range
    0.24503
  • 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)
    -0.34557
  • Compounded annual return (geometric extrapolation)
    -0.33301
  • Calmar ratio (compounded annual return / max draw down)
    -0.83643
  • Compounded annual return / average of 25% largest draw downs
    -0.96775
  • Compounded annual return / Expected Shortfall lognormal
    -4.12724
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25405
  • SD
    0.11978
  • Sharpe ratio (Glass type estimate)
    -2.12094
  • Sharpe ratio (Hedges UMVUE)
    -2.10868
  • df
    130.00000
  • t
    -1.49973
  • p
    0.56521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.90071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.66683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.89231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67495
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.22925
  • Upside Potential Ratio
    1.25941
  • Upside part of mean
    0.14353
  • Downside part of mean
    -0.39758
  • Upside SD
    0.03869
  • Downside SD
    0.11396
  • N nonnegative terms
    12.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37039
  • Mean of criterion
    -0.25405
  • SD of predictor
    0.33728
  • SD of criterion
    0.11978
  • Covariance
    0.00060
  • r
    0.01477
  • b (slope, estimate of beta)
    0.00525
  • a (intercept, estimate of alpha)
    -0.25600
  • Mean Square Error
    0.01446
  • DF error
    129.00000
  • t(b)
    0.16781
  • p(b)
    0.49060
  • t(a)
    -1.50206
  • p(a)
    0.58323
  • Lowerbound of 95% confidence interval for beta
    -0.05661
  • Upperbound of 95% confidence interval for beta
    0.06711
  • Lowerbound of 95% confidence interval for alpha
    -0.59320
  • Upperbound of 95% confidence interval for alpha
    0.08120
  • Treynor index (mean / b)
    -48.42200
  • Jensen alpha (a)
    -0.25600
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26147
  • SD
    0.12226
  • Sharpe ratio (Glass type estimate)
    -2.13867
  • Sharpe ratio (Hedges UMVUE)
    -2.12630
  • df
    130.00000
  • t
    -1.51227
  • p
    0.56574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.91864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64930
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.91013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65753
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.24072
  • Upside Potential Ratio
    1.22350
  • Upside part of mean
    0.14277
  • Downside part of mean
    -0.40424
  • Upside SD
    0.03844
  • Downside SD
    0.11669
  • N nonnegative terms
    12.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31347
  • Mean of criterion
    -0.26147
  • SD of predictor
    0.33832
  • SD of criterion
    0.12226
  • Covariance
    0.00056
  • r
    0.01354
  • b (slope, estimate of beta)
    0.00489
  • a (intercept, estimate of alpha)
    -0.26300
  • Mean Square Error
    0.01506
  • DF error
    129.00000
  • t(b)
    0.15375
  • p(b)
    0.49138
  • t(a)
    -1.51292
  • p(a)
    0.58381
  • VAR (95 Confidence Intrvl)
    0.06500
  • Lowerbound of 95% confidence interval for beta
    -0.05805
  • Upperbound of 95% confidence interval for beta
    0.06784
  • Lowerbound of 95% confidence interval for alpha
    -0.60695
  • Upperbound of 95% confidence interval for alpha
    0.08094
  • Treynor index (mean / b)
    -53.45530
  • Jensen alpha (a)
    -0.26300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01333
  • Expected Shortfall on VaR
    0.01644
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00497
  • Expected Shortfall on VaR
    0.01100
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94167
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01612
  • Mean of quarter 1
    0.99436
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00221
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98449
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00609
  • 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)
    1.08391
  • VaR(95%) (regression method)
    0.00262
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.12674
  • Quartile 1
    0.12674
  • Median
    0.12674
  • Quartile 3
    0.12674
  • Maximum
    0.12674
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343323000
  • Max Equity Drawdown (num days)
    51
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22044
  • Compounded annual return (geometric extrapolation)
    -0.20829
  • Calmar ratio (compounded annual return / max draw down)
    -1.64345
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -12.67180

Strategy Description

This strategy will benefit from overstated options pricing by selling call and put options to collect premium. A 70% or higher probability will be used to enter each trade. Strangles, and iron condors are used during earnings.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-02-27
Suggested Minimum Capital
$25,000
# Trades
68
# Profitable
37
% Profitable
54.4%
Correlation S&P500
-0.056
Sharpe Ratio
-0.23
Sortino Ratio
-0.32
Beta
-0.11
Alpha
-0.02
Leverage
19.03 Average
43.37 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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subscribed on started simulation #SUBSCRIBEDDATE#

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.