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Featured Strategy Easiest Rank on Leaderboard #6 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 07/05/2023
Most recent certification approved 7/5/23 9:42 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 853
# trading signals executed in manager's Interactive Brokers (Europe) account 678
Percent signals followed since 07/05/2023 79.5%
This information was last updated 5/2/24 9:26 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 07/05/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

JR options strategy
(145109211)

Created by: JanRosicky JanRosicky
Started: 07/2023
Options
Last trade: Yesterday
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 $100.00 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.
10.6%
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.

(31.6%)
Max Drawdown
424
Num Trades
60.6%
Win Trades
1.0 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                          +7.7%(8.7%)(10.6%)(11.8%)+16.6%+12.8%+2.0%
2024(0.1%)+2.2%+0.6%(5.2%)+6.5%                                          +3.7%

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 678 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/23/24 12:20 XLK2420U197 XLK Sep20'24 197 put SHORT 1 8.77 5/1 15:05 7.90 0.29%
Trade id #147988296
Max drawdown($73)
Time4/25/24 0:00
Quant open1
Worst price9.50
Drawdown as % of equity-0.29%
 $85
Includes Typical Broker Commissions trade costs of $2.00
5/1/24 9:45 SPY2417Q501 SPY May17'24 501 put LONG 1 5.99 5/1 14:44 3.69 n/a ($232)
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 15:45 NVDA2403E780 NVDA May3'24 780 call SHORT 1 35.86 5/1 11:40 52.11 27.71%
Trade id #147979615
Max drawdown($7,079)
Time4/30/24 0:00
Quant open1
Worst price106.65
Drawdown as % of equity-27.71%
 ($1,627)
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 15:29 NVDA2403E770 NVDA May3'24 770 call LONG 1 99.12 5/1 11:40 61.41 27.44%
Trade id #147913290
Max drawdown($7,122)
Time4/22/24 0:00
Quant open1
Worst price27.90
Drawdown as % of equity-27.44%
 ($3,773)
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 9:32 ETN2417E280 ETN May17'24 280 call LONG 2 46.60 5/1 10:57 35.77 13.49%
Trade id #147903927
Max drawdown($3,500)
Time4/22/24 0:00
Quant open2
Worst price29.10
Drawdown as % of equity-13.49%
 ($2,169)
Includes Typical Broker Commissions trade costs of $2.80
4/15/24 9:32 ETN2417E290 ETN May17'24 290 call SHORT 2 34.40 5/1 10:57 26.07 5.09%
Trade id #147903925
Max drawdown($1,300)
Time4/30/24 0:00
Quant open2
Worst price40.90
Drawdown as % of equity-5.09%
 $1,663
Includes Typical Broker Commissions trade costs of $2.80
4/9/24 15:48 SN2417E55 SN May17'24 55 call LONG 1 9.40 5/1 10:47 9.50 0.79%
Trade id #147852814
Max drawdown($210)
Time4/19/24 0:00
Quant open1
Worst price7.30
Drawdown as % of equity-0.79%
 $8
Includes Typical Broker Commissions trade costs of $2.00
4/15/24 9:32 OXY2417E62.5 OXY May17'24 62.5 call LONG 1 7.60 5/1 9:57 3.75 1.26%
Trade id #147903929
Max drawdown($333)
Time4/18/24 0:00
Quant open1
Worst price4.27
Drawdown as % of equity-1.26%
 ($387)
Includes Typical Broker Commissions trade costs of $2.00
4/25/24 14:56 SPY2403Q499 SPY May3'24 499 put LONG 1 3.46 4/25 15:19 2.64 0.31%
Trade id #148013640
Max drawdown($82)
Time4/25/24 15:19
Quant open1
Worst price2.64
Drawdown as % of equity-0.31%
 ($84)
Includes Typical Broker Commissions trade costs of $2.00
4/25/24 9:30 SPY2403Q499 SPY May3'24 499 put LONG 2 5.07 4/25 14:14 2.83 1.71%
Trade id #148007144
Max drawdown($447)
Time4/25/24 13:54
Quant open2
Worst price2.83
Drawdown as % of equity-1.71%
 ($450)
Includes Typical Broker Commissions trade costs of $3.40
4/5/24 13:15 NVDA2403E790 NVDA May3'24 790 call SHORT 2 103.15 4/22 15:45 60.63 13.03%
Trade id #147822642
Max drawdown($3,850)
Time4/11/24 0:00
Quant open2
Worst price122.40
Drawdown as % of equity-13.03%
 $8,500
Includes Typical Broker Commissions trade costs of $3.40
4/4/24 9:38 OARK2419P13 OARK Apr19'24 13 put SHORT 2 0.45 4/20 9:35 0.00 0.07%
Trade id #147805747
Max drawdown($18)
Time4/9/24 0:00
Quant open2
Worst price0.54
Drawdown as % of equity-0.07%
 $89
Includes Typical Broker Commissions trade costs of $1.40
3/6/24 14:11 MARA2419D23 MARA Apr19'24 23 call LONG 1 4.70 4/20 9:35 0.00 1.59%
Trade id #147557255
Max drawdown($469)
Time4/15/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-1.59%
 ($471)
Includes Typical Broker Commissions trade costs of $1.00
4/1/24 14:35 AMD2419D185 AMD Apr19'24 185 call LONG 1 7.45 4/20 9:35 0.00 2.73%
Trade id #147775895
Max drawdown($744)
Time4/17/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-2.73%
 ($746)
Includes Typical Broker Commissions trade costs of $1.00
4/17/24 10:04 SPY2422P504 SPY Apr22'24 504 put LONG 1 3.45 4/17 10:51 3.52 0.13%
Trade id #147933661
Max drawdown($35)
Time4/17/24 10:08
Quant open1
Worst price3.10
Drawdown as % of equity-0.13%
 $5
Includes Typical Broker Commissions trade costs of $2.00
4/5/24 13:27 VST2417E60 VST May17'24 60 call LONG 1 15.92 4/16 11:37 8.30 2.81%
Trade id #147822788
Max drawdown($802)
Time4/16/24 11:27
Quant open1
Worst price7.90
Drawdown as % of equity-2.81%
 ($764)
Includes Typical Broker Commissions trade costs of $2.00
3/19/24 15:48 AAPL2419D175 AAPL Apr19'24 175 call LONG 1 5.37 4/16 10:53 0.35 1.73%
Trade id #147688544
Max drawdown($510)
Time4/10/24 0:00
Quant open1
Worst price0.27
Drawdown as % of equity-1.73%
 ($504)
Includes Typical Broker Commissions trade costs of $2.00
4/16/24 9:33 SPY2419D505 SPY Apr19'24 505 call LONG 2 4.16 4/16 10:37 3.19 0.76%
Trade id #147921621
Max drawdown($218)
Time4/16/24 10:37
Quant open2
Worst price3.07
Drawdown as % of equity-0.76%
 ($197)
Includes Typical Broker Commissions trade costs of $2.80
3/22/24 10:24 VRT2419D70 VRT Apr19'24 70 call LONG 1 13.55 4/16 9:46 10.09 1.77%
Trade id #147712387
Max drawdown($465)
Time4/2/24 0:00
Quant open1
Worst price8.90
Drawdown as % of equity-1.77%
 ($348)
Includes Typical Broker Commissions trade costs of $2.00
4/5/24 13:16 NVDA2403E780 NVDA May3'24 780 call LONG 2 111.49 4/15 15:29 95.08 28.96%
Trade id #147822644
Max drawdown($7,588)
Time4/9/24 0:00
Quant open2
Worst price73.55
Drawdown as % of equity-28.96%
 ($3,284)
Includes Typical Broker Commissions trade costs of $3.40
4/15/24 12:33 SPY2419P511 SPY Apr19'24 511 put LONG 1 4.14 4/15 13:19 5.20 0.04%
Trade id #147910959
Max drawdown($12)
Time4/15/24 13:10
Quant open1
Worst price4.02
Drawdown as % of equity-0.04%
 $104
Includes Typical Broker Commissions trade costs of $2.00
3/22/24 10:22 SNOW2419D157.5 SNOW Apr19'24 157.5 call LONG 1 7.39 4/15 11:01 1.48 2.1%
Trade id #147712368
Max drawdown($619)
Time4/15/24 10:14
Quant open1
Worst price1.20
Drawdown as % of equity-2.10%
 ($593)
Includes Typical Broker Commissions trade costs of $2.00
3/20/24 13:34 AMD2419D145 AMD Apr19'24 145 call LONG 1 31.30 4/12 15:41 18.85 4.67%
Trade id #147695844
Max drawdown($1,380)
Time4/12/24 9:51
Quant open1
Worst price17.50
Drawdown as % of equity-4.67%
 ($1,247)
Includes Typical Broker Commissions trade costs of $2.00
3/20/24 13:34 AMD2419D155 AMD Apr19'24 155 call SHORT 1 22.60 4/12 15:41 9.85 3.8%
Trade id #147695842
Max drawdown($995)
Time4/1/24 0:00
Quant open1
Worst price32.55
Drawdown as % of equity-3.80%
 $1,273
Includes Typical Broker Commissions trade costs of $2.00
3/22/24 10:35 CVNA2419D65 CVNA Apr19'24 65 call LONG 2 20.82 4/12 9:58 12.35 5.67%
Trade id #147712557
Max drawdown($1,675)
Time4/11/24 0:00
Quant open2
Worst price12.45
Drawdown as % of equity-5.67%
 ($1,698)
Includes Typical Broker Commissions trade costs of $2.80
3/22/24 10:35 CVNA2419D75 CVNA Apr19'24 75 call SHORT 2 12.81 4/12 9:58 4.50 5.35%
Trade id #147712555
Max drawdown($1,512)
Time3/26/24 0:00
Quant open2
Worst price20.37
Drawdown as % of equity-5.35%
 $1,659
Includes Typical Broker Commissions trade costs of $2.80
3/21/24 15:59 XLC2419D76 XLC Apr19'24 76 call LONG 2 6.20 4/11 13:06 7.03 n/a $162
Includes Typical Broker Commissions trade costs of $3.40
4/9/24 9:51 SPY2412P519 SPY Apr12'24 519 put LONG 1 3.16 4/9 15:45 3.64 0.05%
Trade id #147847537
Max drawdown($14)
Time4/9/24 10:15
Quant open1
Worst price3.02
Drawdown as % of equity-0.05%
 $46
Includes Typical Broker Commissions trade costs of $2.00
3/26/24 11:00 LLY2419D720 LLY Apr19'24 720 call SHORT 2 61.96 4/9 9:41 54.52 10.04%
Trade id #147736726
Max drawdown($2,836)
Time3/28/24 0:00
Quant open2
Worst price76.14
Drawdown as % of equity-10.04%
 $1,486
Includes Typical Broker Commissions trade costs of $3.40
3/26/24 11:00 LLY2419D710 LLY Apr19'24 710 call LONG 2 70.76 4/9 9:41 63.91 12.31%
Trade id #147736724
Max drawdown($3,224)
Time4/1/24 0:00
Quant open2
Worst price54.64
Drawdown as % of equity-12.31%
 ($1,372)
Includes Typical Broker Commissions trade costs of $3.40
Next

Statistics

  • Strategy began
    7/4/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    302.9
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    424
  • # Profitable
    257
  • % Profitable
    60.60%
  • Avg trade duration
    18.5 days
  • Max peak-to-valley drawdown
    31.61%
  • drawdown period
    July 28, 2023 - Oct 29, 2023
  • Cumul. Return
    10.6%
  • Avg win
    $749.16
  • Avg loss
    $1,126
  • Model Account Values (Raw)
  • Cash
    $19,152
  • Margin Used
    $10,588
  • Buying Power
    $8,072
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.4
  • Calmar Ratio
    2.949
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.06%
  • Correlation to SP500
    0.57490
  • Return Percent SP500 (cumu) during strategy life
    12.63%
  • Return Statistics
  • Ann Return (w trading costs)
    12.8%
  • Slump
  • Current Slump as Pcnt Equity
    12.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    30.53%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.106%
  • Instruments
  • Percent Trades Options
    0.93%
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.00%
  • Chance of 20% account loss
    32.50%
  • Chance of 30% account loss
    14.00%
  • Chance of 40% account loss
    3.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    711
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    939
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,126
  • Avg Win
    $749
  • Sum Trade PL (losers)
    $188,084.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $192,533.000
  • # Winners
    257
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    447
  • AUM
  • AUM (AutoTrader live capital)
    29117
  • Win / Loss
  • # Losers
    167
  • % Winners
    60.6%
  • Frequency
  • Avg Position Time (mins)
    26677.90
  • Avg Position Time (hrs)
    444.63
  • Avg Trade Length
    18.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    8.95
  • Daily leverage (max)
    23.72
  • Regression
  • Alpha
    -0.03
  • Beta
    1.57
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.76
  • MAE:Equity, average, winning trades
    1.14
  • MAE:Equity, average, losing trades
    0.74
  • Avg(MAE) / Avg(PL) - All trades
    -228.793
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    37.188
  • Avg(MAE) / Avg(PL) - Losing trades
    -15.807
  • Hold-and-Hope Ratio
    -0.004
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48834
  • SD
    0.30030
  • Sharpe ratio (Glass type estimate)
    1.62619
  • Sharpe ratio (Hedges UMVUE)
    0.91748
  • df
    2.00000
  • t
    0.81309
  • p
    0.25078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71973
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.65850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93920
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.88488
  • Upside Potential Ratio
    6.88488
  • Upside part of mean
    0.68828
  • Downside part of mean
    -0.19994
  • Upside SD
    0.26457
  • Downside SD
    0.09997
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.46614
  • Mean of criterion
    0.48834
  • SD of predictor
    0.22014
  • SD of criterion
    0.30030
  • Covariance
    0.05740
  • r
    0.86823
  • b (slope, estimate of beta)
    1.18436
  • a (intercept, estimate of alpha)
    -0.06373
  • Mean Square Error
    0.04440
  • DF error
    1.00000
  • t(b)
    1.74988
  • p(b)
    0.16526
  • t(a)
    -0.12107
  • p(a)
    0.53835
  • Lowerbound of 95% confidence interval for beta
    -7.41551
  • Upperbound of 95% confidence interval for beta
    9.78423
  • Lowerbound of 95% confidence interval for alpha
    -6.75275
  • Upperbound of 95% confidence interval for alpha
    6.62528
  • Treynor index (mean / b)
    0.41232
  • Jensen alpha (a)
    -0.06373
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44962
  • SD
    0.29043
  • Sharpe ratio (Glass type estimate)
    1.54811
  • Sharpe ratio (Hedges UMVUE)
    0.87343
  • df
    2.00000
  • t
    0.77405
  • p
    0.25994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76807
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88571
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.39467
  • Upside Potential Ratio
    6.39467
  • Upside part of mean
    0.65424
  • Downside part of mean
    -0.20462
  • Upside SD
    0.25023
  • Downside SD
    0.10231
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.44168
  • Mean of criterion
    0.44962
  • SD of predictor
    0.20810
  • SD of criterion
    0.29043
  • Covariance
    0.05192
  • r
    0.85903
  • b (slope, estimate of beta)
    1.19888
  • a (intercept, estimate of alpha)
    -0.07990
  • Mean Square Error
    0.04421
  • DF error
    1.00000
  • t(b)
    1.67802
  • p(b)
    0.17107
  • t(a)
    -0.15197
  • p(a)
    0.54801
  • Lowerbound of 95% confidence interval for beta
    -7.87919
  • Upperbound of 95% confidence interval for beta
    10.27700
  • Lowerbound of 95% confidence interval for alpha
    -6.76034
  • Upperbound of 95% confidence interval for alpha
    6.60054
  • Treynor index (mean / b)
    0.37503
  • Jensen alpha (a)
    -0.07990
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09556
  • Expected Shortfall on VaR
    0.12628
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03033
  • Expected Shortfall on VaR
    0.05711
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.95234
  • Quartile 1
    1.00200
  • Median
    1.05165
  • Quartile 3
    1.08836
  • Maximum
    1.12507
  • Mean of quarter 1
    0.95234
  • Mean of quarter 2
    1.05165
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.12507
  • Inter Quartile Range
    0.08637
  • 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
    1.00000
  • Minimum
    0.04766
  • Quartile 1
    0.04766
  • Median
    0.04766
  • Quartile 3
    0.04766
  • Maximum
    0.04766
  • 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)
    0.50720
  • Compounded annual return (geometric extrapolation)
    0.61208
  • Calmar ratio (compounded annual return / max draw down)
    12.84360
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.84712
  • 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
    0.58108
  • SD
    0.51845
  • Sharpe ratio (Glass type estimate)
    1.12079
  • Sharpe ratio (Hedges UMVUE)
    1.10907
  • df
    72.00000
  • t
    0.59161
  • p
    0.27798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.60062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82659
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95346
  • Upside Potential Ratio
    9.23167
  • Upside part of mean
    2.74606
  • Downside part of mean
    -2.16499
  • Upside SD
    0.42180
  • Downside SD
    0.29746
  • N nonnegative terms
    37.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.41968
  • Mean of criterion
    0.58108
  • SD of predictor
    0.20396
  • SD of criterion
    0.51845
  • Covariance
    0.05992
  • r
    0.56669
  • b (slope, estimate of beta)
    1.44048
  • a (intercept, estimate of alpha)
    -0.02300
  • Mean Square Error
    0.18504
  • DF error
    71.00000
  • t(b)
    5.79544
  • p(b)
    0.00000
  • t(a)
    -0.02856
  • p(a)
    0.51135
  • Lowerbound of 95% confidence interval for beta
    0.94488
  • Upperbound of 95% confidence interval for beta
    1.93608
  • Lowerbound of 95% confidence interval for alpha
    -1.66167
  • Upperbound of 95% confidence interval for alpha
    1.61474
  • Treynor index (mean / b)
    0.40339
  • Jensen alpha (a)
    -0.02347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45132
  • SD
    0.50896
  • Sharpe ratio (Glass type estimate)
    0.88675
  • Sharpe ratio (Hedges UMVUE)
    0.87748
  • df
    72.00000
  • t
    0.46807
  • p
    0.32057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.83221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.59335
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47075
  • Upside Potential Ratio
    8.67547
  • Upside part of mean
    2.66218
  • Downside part of mean
    -2.21086
  • Upside SD
    0.40262
  • Downside SD
    0.30686
  • N nonnegative terms
    37.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    73.00000
  • Mean of predictor
    0.39901
  • Mean of criterion
    0.45132
  • SD of predictor
    0.20250
  • SD of criterion
    0.50896
  • Covariance
    0.05892
  • r
    0.57173
  • b (slope, estimate of beta)
    1.43700
  • a (intercept, estimate of alpha)
    -0.12206
  • Mean Square Error
    0.17682
  • DF error
    71.00000
  • t(b)
    5.87188
  • p(b)
    0.00000
  • t(a)
    -0.15208
  • p(a)
    0.56022
  • Lowerbound of 95% confidence interval for beta
    0.94903
  • Upperbound of 95% confidence interval for beta
    1.92497
  • Lowerbound of 95% confidence interval for alpha
    -1.72237
  • Upperbound of 95% confidence interval for alpha
    1.47826
  • Treynor index (mean / b)
    0.31407
  • Jensen alpha (a)
    -0.12206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04877
  • Expected Shortfall on VaR
    0.06112
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01873
  • Expected Shortfall on VaR
    0.03815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    73.00000
  • Minimum
    0.91966
  • Quartile 1
    0.98886
  • Median
    1.00100
  • Quartile 3
    1.00764
  • Maximum
    1.14167
  • Mean of quarter 1
    0.97223
  • Mean of quarter 2
    0.99606
  • Mean of quarter 3
    1.00390
  • Mean of quarter 4
    1.03877
  • Inter Quartile Range
    0.01877
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.05479
  • Mean of outliers low
    0.93232
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.08219
  • Mean of outliers high
    1.08029
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60203
  • VaR(95%) (moments method)
    0.03227
  • Expected Shortfall (moments method)
    0.08407
  • Extreme Value Index (regression method)
    0.52350
  • VaR(95%) (regression method)
    0.02365
  • Expected Shortfall (regression method)
    0.04756
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00116
  • Quartile 1
    0.00146
  • Median
    0.00659
  • Quartile 3
    0.08859
  • Maximum
    0.20849
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.00161
  • Mean of quarter 3
    0.01158
  • Mean of quarter 4
    0.16138
  • Inter Quartile Range
    0.08714
  • 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)
    0.51270
  • Compounded annual return (geometric extrapolation)
    0.61483
  • Calmar ratio (compounded annual return / max draw down)
    2.94898
  • Compounded annual return / average of 25% largest draw downs
    3.80989
  • Compounded annual return / Expected Shortfall lognormal
    10.05920
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366503000
  • Max Equity Drawdown (num days)
    93

Strategy Description

trading of stocks, ETF and options and their strategies: prefer covered call, options spread,
the maximum loss is known in advance for each trade
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-07-04
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.1%
Rank # 
#216
# Trades
424
# Profitable
257
% Profitable
60.6%
Net Dividends
$447
Correlation S&P500
0.575
Sharpe Ratio
0.27
Sortino Ratio
0.40
Beta
1.57
Alpha
-0.03
Leverage
8.95 Average
23.72 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

#PERSONNAME#
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.