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Delta 15
(121635275)

Created by: Andrew_Walker Andrew_Walker
Started: 12/2018
Options
Last trade: 6 days ago
Trading style: Options Premium Collecting Volatility Long / Short

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $80.00 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.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
19.6%
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.

(73.5%)
Max Drawdown
1429
Num Trades
88.2%
Win Trades
1.1 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +5.7%+5.7%
2019+6.6%+4.8%+12.2%(5.1%)+6.2%+13.2%(2.9%)+8.3%+2.4%+15.6%(19.3%)+22.2%+75.6%
2020+13.9%(16.7%)(38.9%)+15.7%                                                (32.9%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 16 hours.

Trading Record

This strategy has placed 1,163 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/31/20 13:45 AMRN2003P5 AMRN Apr3'20 5 put SHORT 2 1.06 4/4 9:35 0.00 0.02%
Trade id #128343494
Max drawdown($10)
Time4/1/20 0:00
Quant open2
Worst price1.11
Drawdown as % of equity-0.02%
$211
Includes Typical Broker Commissions trade costs of $1.40
3/30/20 10:28 NVAX2003P13 NVAX Apr3'20 13 put SHORT 4 0.50 4/4 9:35 0.00 0.12%
Trade id #128315474
Max drawdown($60)
Time3/30/20 12:37
Quant open4
Worst price0.65
Drawdown as % of equity-0.12%
$197
Includes Typical Broker Commissions trade costs of $2.80
3/28/20 9:35 NVAX NOVAVAX SHORT 400 12.00 4/4 9:35 13.00 2.7%
Trade id #128298028
Max drawdown($1,476)
Time4/3/20 0:00
Quant open400
Worst price15.69
Drawdown as % of equity-2.70%
($408)
Includes Typical Broker Commissions trade costs of $8.00
3/31/20 13:43 GDXJ2003D30 GDXJ Apr3'20 30 call SHORT 6 0.75 4/4 9:35 0.00 0.84%
Trade id #128343441
Max drawdown($438)
Time4/2/20 0:00
Quant open6
Worst price1.48
Drawdown as % of equity-0.84%
$446
Includes Typical Broker Commissions trade costs of $4.20
3/30/20 10:24 APT2003P11.5 APT Apr3'20 11.5 put SHORT 4 0.70 4/4 9:35 0.00 0.12%
Trade id #128315377
Max drawdown($60)
Time3/31/20 0:00
Quant open4
Worst price0.85
Drawdown as % of equity-0.12%
$277
Includes Typical Broker Commissions trade costs of $2.80
3/21/20 9:36 APT ALPHA PRO TECH SHORT 400 8.75 4/4 9:35 11.50 7.69%
Trade id #128171404
Max drawdown($4,000)
Time4/2/20 0:00
Quant open400
Worst price18.75
Drawdown as % of equity-7.69%
($1,108)
Includes Typical Broker Commissions trade costs of $8.00
3/31/20 13:41 UVXY2003P57 UVXY Apr3'20 57 put SHORT 2 4.51 4/4 9:35 0.00 0.41%
Trade id #128343342
Max drawdown($218)
Time3/31/20 14:58
Quant open2
Worst price5.60
Drawdown as % of equity-0.41%
$901
Includes Typical Broker Commissions trade costs of $1.40
3/7/20 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 200 18.00 4/4 9:35 57.00 45.75%
Trade id #127901814
Max drawdown($23,400)
Time3/18/20 0:00
Quant open200
Worst price135.00
Drawdown as % of equity-45.75%
($7,804)
Includes Typical Broker Commissions trade costs of $4.00
3/23/20 12:18 WDC2027C35 WDC Mar27'20 35 call SHORT 2 0.72 3/28 9:35 0.00 3.41%
Trade id #128195873
Max drawdown($1,832)
Time3/26/20 0:00
Quant open2
Worst price9.88
Drawdown as % of equity-3.41%
$143
Includes Typical Broker Commissions trade costs of $1.40
3/21/20 9:35 WDC WESTERN DIGITAL LONG 200 40.00 3/28 9:35 35.00 4.67%
Trade id #128171380
Max drawdown($1,960)
Time3/23/20 0:00
Quant open200
Worst price30.20
Drawdown as % of equity-4.67%
($1,004)
Includes Typical Broker Commissions trade costs of $4.00
3/23/20 12:14 TQQQ2027C40 TQQQ Mar27'20 40 call SHORT 2 1.66 3/28 9:35 0.00 2.92%
Trade id #128195775
Max drawdown($1,572)
Time3/26/20 0:00
Quant open2
Worst price9.52
Drawdown as % of equity-2.92%
$331
Includes Typical Broker Commissions trade costs of $1.40
3/23/20 12:13 APT2027O9 APT Mar27'20 9 put SHORT 4 0.50 3/28 9:35 0.00 0.38%
Trade id #128195738
Max drawdown($200)
Time3/25/20 0:00
Quant open4
Worst price1.00
Drawdown as % of equity-0.38%
$197
Includes Typical Broker Commissions trade costs of $2.80
3/21/20 9:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 55.00 3/28 9:35 40.00 10.82%
Trade id #128171425
Max drawdown($4,546)
Time3/23/20 0:00
Quant open200
Worst price32.27
Drawdown as % of equity-10.82%
($3,004)
Includes Typical Broker Commissions trade costs of $4.00
3/24/20 11:20 NVAX2027C12 NVAX Mar27'20 12 call SHORT 4 1.00 3/28 9:35 0.00 0.53%
Trade id #128221561
Max drawdown($280)
Time3/24/20 13:36
Quant open4
Worst price1.70
Drawdown as % of equity-0.53%
$397
Includes Typical Broker Commissions trade costs of $2.80
3/23/20 12:18 MU2027C40 MU Mar27'20 40 call SHORT 2 1.13 3/28 9:35 0.00 1.71%
Trade id #128195866
Max drawdown($918)
Time3/26/20 0:00
Quant open2
Worst price5.72
Drawdown as % of equity-1.71%
$225
Includes Typical Broker Commissions trade costs of $1.40
3/21/20 9:36 MU MICRON TECHNOLOGY LONG 200 41.00 3/28 9:35 40.00 2.53%
Trade id #128171584
Max drawdown($1,062)
Time3/23/20 0:00
Quant open200
Worst price35.69
Drawdown as % of equity-2.53%
($204)
Includes Typical Broker Commissions trade costs of $4.00
3/23/20 12:15 GDXJ2027C34 GDXJ Mar27'20 34 call SHORT 2 0.55 3/28 9:35 0.00 0.68%
Trade id #128195814
Max drawdown($360)
Time3/25/20 0:00
Quant open2
Worst price2.35
Drawdown as % of equity-0.68%
$109
Includes Typical Broker Commissions trade costs of $1.40
3/23/20 12:18 GDXJ2027C33 GDXJ Mar27'20 33 call SHORT 4 0.70 3/28 9:35 0.00 1.64%
Trade id #128195872
Max drawdown($864)
Time3/25/20 0:00
Quant open4
Worst price2.86
Drawdown as % of equity-1.64%
$277
Includes Typical Broker Commissions trade costs of $2.80
3/23/20 12:08 UVXY2027O60 UVXY Mar27'20 60 put SHORT 2 3.39 3/28 9:35 0.00 5.62%
Trade id #128195599
Max drawdown($2,622)
Time3/24/20 0:00
Quant open2
Worst price16.50
Drawdown as % of equity-5.62%
$677
Includes Typical Broker Commissions trade costs of $1.40
3/21/20 9:35 BCLI BRAINSTORM CELL THERAPEUTICS I LONG 200 7.50 3/23 12:11 4.66 1.36%
Trade id #128171018
Max drawdown($614)
Time3/23/20 10:10
Quant open200
Worst price4.43
Drawdown as % of equity-1.36%
($572)
Includes Typical Broker Commissions trade costs of $4.00
3/14/20 9:35 PTON PELOTON INTERACTIVE INC. CLASS A COMMON STOCK LONG 200 22.00 3/23 12:06 23.47 1.26%
Trade id #128046333
Max drawdown($860)
Time3/16/20 0:00
Quant open200
Worst price17.70
Drawdown as % of equity-1.26%
$290
Includes Typical Broker Commissions trade costs of $4.00
3/14/20 9:35 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 1,200 17.17 3/23 9:59 11.86 17.59%
Trade id #128046214
Max drawdown($7,388)
Time3/23/20 9:42
Quant open1,200
Worst price11.01
Drawdown as % of equity-17.59%
($6,383)
Includes Typical Broker Commissions trade costs of $14.50
2/26/20 13:16 NVAX2020C17 NVAX Mar20'20 17 call SHORT 2 0.57 3/21 9:36 0.00 0.97%
Trade id #127725594
Max drawdown($886)
Time2/28/20 0:00
Quant open2
Worst price5.00
Drawdown as % of equity-0.97%
$112
Includes Typical Broker Commissions trade costs of $1.40
2/25/20 14:31 GSX2020O35 GSX Mar20'20 35 put SHORT 4 1.04 3/21 9:36 0.00 0.85%
Trade id #127704862
Max drawdown($582)
Time3/16/20 0:00
Quant open4
Worst price2.50
Drawdown as % of equity-0.85%
$415
Includes Typical Broker Commissions trade costs of $2.80
2/26/20 15:11 SPCE2020O17 SPCE Mar20'20 17 put SHORT 2 0.55 3/21 9:36 0.00 2.85%
Trade id #127728080
Max drawdown($1,460)
Time3/18/20 0:00
Quant open2
Worst price7.85
Drawdown as % of equity-2.85%
$109
Includes Typical Broker Commissions trade costs of $1.40
2/26/20 10:20 BCLI2020C10 BCLI Mar20'20 10 call SHORT 2 0.75 3/21 9:36 0.00 0.03%
Trade id #127720885
Max drawdown($30)
Time2/26/20 11:13
Quant open2
Worst price0.90
Drawdown as % of equity-0.03%
$149
Includes Typical Broker Commissions trade costs of $1.40
3/9/20 10:22 MU2020O41 MU Mar20'20 41 put SHORT 2 1.05 3/21 9:36 0.00 2.82%
Trade id #127919917
Max drawdown($1,440)
Time3/18/20 0:00
Quant open2
Worst price8.25
Drawdown as % of equity-2.82%
$209
Includes Typical Broker Commissions trade costs of $1.40
2/25/20 14:19 IOVA2020C40 IOVA Mar20'20 40 call SHORT 2 1.35 3/21 9:36 0.00 0.08%
Trade id #127704616
Max drawdown($90)
Time2/25/20 15:43
Quant open2
Worst price1.80
Drawdown as % of equity-0.08%
$269
Includes Typical Broker Commissions trade costs of $1.40
2/24/20 10:30 APT2020C7.5 APT Mar20'20 7.5 call SHORT 2 0.85 3/21 9:36 0.00 7.28%
Trade id #127678532
Max drawdown($6,629)
Time2/28/20 0:00
Quant open2
Worst price34.00
Drawdown as % of equity-7.28%
$170
Includes Typical Broker Commissions trade costs of $1.40
3/9/20 10:08 TQQQ2020O55 TQQQ Mar20'20 55 put SHORT 2 4.00 3/21 9:36 0.00 6.71%
Trade id #127919425
Max drawdown($3,434)
Time3/18/20 0:00
Quant open2
Worst price21.17
Drawdown as % of equity-6.71%
$799
Includes Typical Broker Commissions trade costs of $1.40

Statistics

  • Strategy began
    12/23/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    473.52
  • Age
    16 months ago
  • What it trades
    Options
  • # Trades
    1429
  • # Profitable
    1261
  • % Profitable
    88.20%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    73.49%
  • drawdown period
    Feb 26, 2020 - March 18, 2020
  • Annual Return (Compounded)
    19.6%
  • Avg win
    $156.70
  • Avg loss
    $1,075
  • Model Account Values (Raw)
  • Cash
    $60,842
  • Margin Used
    $7,841
  • Buying Power
    $52,281
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.368
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.89%
  • Correlation to SP500
    0.38710
  • Return Percent SP500 (cumu) during strategy life
    15.44%
  • Return Statistics
  • Ann Return (w trading costs)
    19.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.83%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    26.40%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.196%
  • Instruments
  • Percent Trades Options
    0.89%
  • Percent Trades Stocks
    0.11%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    809
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    840
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,076
  • Avg Win
    $157
  • Sum Trade PL (losers)
    $180,757.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $197,605.000
  • # Winners
    1261
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    35
  • Win / Loss
  • # Losers
    168
  • % Winners
    88.2%
  • Frequency
  • Avg Position Time (mins)
    14052.30
  • Avg Position Time (hrs)
    234.21
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.91
  • Daily leverage (max)
    4.72
  • Regression
  • Alpha
    0.07
  • Beta
    0.89
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.28
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.77
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -439.346
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    2.019
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.591
  • Hold-and-Hope Ratio
    0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28137
  • SD
    0.59666
  • Sharpe ratio (Glass type estimate)
    0.47158
  • Sharpe ratio (Hedges UMVUE)
    0.44578
  • df
    14.00000
  • t
    0.52724
  • p
    0.43023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20658
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61201
  • Upside Potential Ratio
    2.01205
  • Upside part of mean
    0.92504
  • Downside part of mean
    -0.64367
  • Upside SD
    0.35706
  • Downside SD
    0.45975
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.04427
  • Mean of criterion
    0.28137
  • SD of predictor
    0.25525
  • SD of criterion
    0.59666
  • Covariance
    0.08690
  • r
    0.57063
  • b (slope, estimate of beta)
    1.33388
  • a (intercept, estimate of alpha)
    0.22232
  • Mean Square Error
    0.25855
  • DF error
    13.00000
  • t(b)
    2.50538
  • p(b)
    0.15754
  • t(a)
    0.48818
  • p(a)
    0.41484
  • Lowerbound of 95% confidence interval for beta
    0.18369
  • Upperbound of 95% confidence interval for beta
    2.48408
  • Lowerbound of 95% confidence interval for alpha
    -0.76152
  • Upperbound of 95% confidence interval for alpha
    1.20616
  • Treynor index (mean / b)
    0.21094
  • Jensen alpha (a)
    0.22232
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07212
  • SD
    0.71171
  • Sharpe ratio (Glass type estimate)
    0.10134
  • Sharpe ratio (Hedges UMVUE)
    0.09579
  • df
    14.00000
  • t
    0.11330
  • p
    0.48487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84920
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11962
  • Upside Potential Ratio
    1.43518
  • Upside part of mean
    0.86536
  • Downside part of mean
    -0.79323
  • Upside SD
    0.33110
  • Downside SD
    0.60296
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.01172
  • Mean of criterion
    0.07212
  • SD of predictor
    0.26858
  • SD of criterion
    0.71171
  • Covariance
    0.12752
  • r
    0.66715
  • b (slope, estimate of beta)
    1.76791
  • a (intercept, estimate of alpha)
    0.05140
  • Mean Square Error
    0.30270
  • DF error
    13.00000
  • t(b)
    3.22915
  • p(b)
    0.10932
  • t(a)
    0.10444
  • p(a)
    0.48157
  • Lowerbound of 95% confidence interval for beta
    0.58514
  • Upperbound of 95% confidence interval for beta
    2.95068
  • Lowerbound of 95% confidence interval for alpha
    -1.01180
  • Upperbound of 95% confidence interval for alpha
    1.11460
  • Treynor index (mean / b)
    0.04080
  • Jensen alpha (a)
    0.05140
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28246
  • Expected Shortfall on VaR
    0.33964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09126
  • Expected Shortfall on VaR
    0.20634
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.52901
  • Quartile 1
    0.97442
  • Median
    1.08247
  • Quartile 3
    1.11645
  • Maximum
    1.23437
  • Mean of quarter 1
    0.80354
  • Mean of quarter 2
    1.04692
  • Mean of quarter 3
    1.11249
  • Mean of quarter 4
    1.16183
  • Inter Quartile Range
    0.14203
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.52901
  • 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)
    -1.38688
  • VaR(95%) (moments method)
    0.14361
  • Expected Shortfall (moments method)
    0.15352
  • Extreme Value Index (regression method)
    0.76492
  • VaR(95%) (regression method)
    0.19639
  • Expected Shortfall (regression method)
    0.89654
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04404
  • Quartile 1
    0.11114
  • Median
    0.13540
  • Quartile 3
    0.22166
  • Maximum
    0.47475
  • Mean of quarter 1
    0.04404
  • Mean of quarter 2
    0.13351
  • Mean of quarter 3
    0.13729
  • Mean of quarter 4
    0.47475
  • Inter Quartile Range
    0.11052
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.47475
  • 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)
    0.10655
  • Compounded annual return (geometric extrapolation)
    0.10521
  • Calmar ratio (compounded annual return / max draw down)
    0.22160
  • Compounded annual return / average of 25% largest draw downs
    0.22160
  • Compounded annual return / Expected Shortfall lognormal
    0.30976
  • 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
    0.38079
  • SD
    0.60038
  • Sharpe ratio (Glass type estimate)
    0.63424
  • Sharpe ratio (Hedges UMVUE)
    0.63281
  • df
    333.00000
  • t
    0.71610
  • p
    0.23721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36938
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84387
  • Upside Potential Ratio
    5.88837
  • Upside part of mean
    2.65706
  • Downside part of mean
    -2.27628
  • Upside SD
    0.39537
  • Downside SD
    0.45124
  • N nonnegative terms
    197.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.14838
  • Mean of criterion
    0.38079
  • SD of predictor
    0.28918
  • SD of criterion
    0.60038
  • Covariance
    0.06707
  • r
    0.38628
  • b (slope, estimate of beta)
    0.80198
  • a (intercept, estimate of alpha)
    0.26200
  • Mean Square Error
    0.30760
  • DF error
    332.00000
  • t(b)
    7.63068
  • p(b)
    0.00000
  • t(a)
    0.53268
  • p(a)
    0.29731
  • Lowerbound of 95% confidence interval for beta
    0.59524
  • Upperbound of 95% confidence interval for beta
    1.00873
  • Lowerbound of 95% confidence interval for alpha
    -0.70498
  • Upperbound of 95% confidence interval for alpha
    1.22856
  • Treynor index (mean / b)
    0.47481
  • Jensen alpha (a)
    0.26179
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19158
  • SD
    0.62532
  • Sharpe ratio (Glass type estimate)
    0.30638
  • Sharpe ratio (Hedges UMVUE)
    0.30568
  • df
    333.00000
  • t
    0.34592
  • p
    0.36481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04174
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38255
  • Upside Potential Ratio
    5.16069
  • Upside part of mean
    2.58448
  • Downside part of mean
    -2.39290
  • Upside SD
    0.37308
  • Downside SD
    0.50080
  • N nonnegative terms
    197.00000
  • N negative terms
    137.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    334.00000
  • Mean of predictor
    0.10630
  • Mean of criterion
    0.19158
  • SD of predictor
    0.29112
  • SD of criterion
    0.62532
  • Covariance
    0.07613
  • r
    0.41818
  • b (slope, estimate of beta)
    0.89823
  • a (intercept, estimate of alpha)
    0.09610
  • Mean Square Error
    0.32361
  • DF error
    332.00000
  • t(b)
    8.38828
  • p(b)
    0.00000
  • t(a)
    0.19068
  • p(a)
    0.42445
  • Lowerbound of 95% confidence interval for beta
    0.68759
  • Upperbound of 95% confidence interval for beta
    1.10888
  • Lowerbound of 95% confidence interval for alpha
    -0.89527
  • Upperbound of 95% confidence interval for alpha
    1.08747
  • Treynor index (mean / b)
    0.21329
  • Jensen alpha (a)
    0.09610
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06088
  • Expected Shortfall on VaR
    0.07582
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01680
  • Expected Shortfall on VaR
    0.03902
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    334.00000
  • Minimum
    0.74923
  • Quartile 1
    0.99221
  • Median
    1.00271
  • Quartile 3
    1.01211
  • Maximum
    1.20854
  • Mean of quarter 1
    0.96799
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00710
  • Mean of quarter 4
    1.03310
  • Inter Quartile Range
    0.01990
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.03593
  • Mean of outliers low
    0.88501
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.03892
  • Mean of outliers high
    1.09738
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60419
  • VaR(95%) (moments method)
    0.02922
  • Expected Shortfall (moments method)
    0.08193
  • Extreme Value Index (regression method)
    0.36510
  • VaR(95%) (regression method)
    0.02342
  • Expected Shortfall (regression method)
    0.04360
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00543
  • Median
    0.01252
  • Quartile 3
    0.05392
  • Maximum
    0.66606
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.02719
  • Mean of quarter 4
    0.19976
  • Inter Quartile Range
    0.04850
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.35149
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68620
  • VaR(95%) (moments method)
    0.22200
  • Expected Shortfall (moments method)
    0.74290
  • Extreme Value Index (regression method)
    3.35019
  • VaR(95%) (regression method)
    0.19725
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25327
  • Compounded annual return (geometric extrapolation)
    0.24544
  • Calmar ratio (compounded annual return / max draw down)
    0.36849
  • Compounded annual return / average of 25% largest draw downs
    1.22866
  • Compounded annual return / Expected Shortfall lognormal
    3.23693
  • 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
    -0.22139
  • SD
    0.88109
  • Sharpe ratio (Glass type estimate)
    -0.25127
  • Sharpe ratio (Hedges UMVUE)
    -0.24981
  • df
    130.00000
  • t
    -0.17767
  • p
    0.50779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02179
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52216
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32569
  • Upside Potential Ratio
    5.11252
  • Upside part of mean
    3.47524
  • Downside part of mean
    -3.69662
  • Upside SD
    0.55544
  • Downside SD
    0.67975
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04142
  • Mean of criterion
    -0.22139
  • SD of predictor
    0.42501
  • SD of criterion
    0.88109
  • Covariance
    0.18415
  • r
    0.49176
  • b (slope, estimate of beta)
    1.01945
  • a (intercept, estimate of alpha)
    -0.17916
  • Mean Square Error
    0.59315
  • DF error
    129.00000
  • t(b)
    6.41447
  • p(b)
    0.20006
  • t(a)
    -0.16449
  • p(a)
    0.50922
  • Lowerbound of 95% confidence interval for beta
    0.70501
  • Upperbound of 95% confidence interval for beta
    1.33390
  • Lowerbound of 95% confidence interval for alpha
    -2.33415
  • Upperbound of 95% confidence interval for alpha
    1.97582
  • Treynor index (mean / b)
    -0.21716
  • Jensen alpha (a)
    -0.17916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63047
  • SD
    0.92370
  • Sharpe ratio (Glass type estimate)
    -0.68255
  • Sharpe ratio (Hedges UMVUE)
    -0.67860
  • df
    130.00000
  • t
    -0.48263
  • p
    0.52115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.45439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.45164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09443
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.82823
  • Upside Potential Ratio
    4.38006
  • Upside part of mean
    3.33422
  • Downside part of mean
    -3.96469
  • Upside SD
    0.51842
  • Downside SD
    0.76123
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.13195
  • Mean of criterion
    -0.63047
  • SD of predictor
    0.42841
  • SD of criterion
    0.92370
  • Covariance
    0.20682
  • r
    0.52264
  • b (slope, estimate of beta)
    1.12689
  • a (intercept, estimate of alpha)
    -0.48178
  • Mean Square Error
    0.62496
  • DF error
    129.00000
  • t(b)
    6.96274
  • p(b)
    0.18311
  • t(a)
    -0.43085
  • p(a)
    0.52413
  • VAR (95 Confidence Intrvl)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    0.80667
  • Upperbound of 95% confidence interval for beta
    1.44710
  • Lowerbound of 95% confidence interval for alpha
    -2.69418
  • Upperbound of 95% confidence interval for alpha
    1.73062
  • Treynor index (mean / b)
    -0.55948
  • Jensen alpha (a)
    -0.48178
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09178
  • Expected Shortfall on VaR
    0.11299
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02898
  • Expected Shortfall on VaR
    0.06552
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.74923
  • Quartile 1
    0.98920
  • Median
    1.00165
  • Quartile 3
    1.01202
  • Maximum
    1.20854
  • Mean of quarter 1
    0.94808
  • Mean of quarter 2
    0.99629
  • Mean of quarter 3
    1.00665
  • Mean of quarter 4
    1.04625
  • Inter Quartile Range
    0.02282
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.84147
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.12909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.81294
  • VaR(95%) (moments method)
    0.04981
  • Expected Shortfall (moments method)
    0.28324
  • Extreme Value Index (regression method)
    0.32219
  • VaR(95%) (regression method)
    0.03439
  • Expected Shortfall (regression method)
    0.06199
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00071
  • Quartile 1
    0.01135
  • Median
    0.02674
  • Quartile 3
    0.11196
  • Maximum
    0.66606
  • Mean of quarter 1
    0.00428
  • Mean of quarter 2
    0.01377
  • Mean of quarter 3
    0.06472
  • Mean of quarter 4
    0.42047
  • Inter Quartile Range
    0.10060
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.66606
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -248990000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.52026
  • Compounded annual return (geometric extrapolation)
    -0.45259
  • Calmar ratio (compounded annual return / max draw down)
    -0.67951
  • Compounded annual return / average of 25% largest draw downs
    -1.07640
  • Compounded annual return / Expected Shortfall lognormal
    -4.00572

Strategy Description

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

A trading BOT scans around 200 Names with weekly options sending hourly commands with specific parameters. Trades then placed picking option contracts averaging 5-9 DTE.

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

Once assigned, we will be Writing puts against short and Calls against Long positions. Once profit is made, shares are disposed. May take number of weeks, so make sure you chose "sync positions" when setting up auto-trading. Also it is important to chose "Join open positions" and allow Naked short options when signing up or following. Every week there will be open positions against which the options are written with the goal to be assigned. That will assure your positions and mine are on the same page.

At this time this Delta 15 can scaled down 50%. Single options contracts or lots of 100 shares will be traded. Feel free to DM me if you have any questions. Good Luck trading! Andrew

Summary Statistics

Strategy began
2018-12-23
Suggested Minimum Capital
$35,000
# Trades
1429
# Profitable
1261
% Profitable
88.2%
Net Dividends
Correlation S&P500
0.387
Sharpe Ratio
0.48
Sortino Ratio
0.63
Beta
0.89
Alpha
0.07
Leverage
2.91 Average
4.72 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

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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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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.