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Credit Spread Master
(129951566)

Created by: MichaelIjeh MichaelIjeh
Started: 07/2020
Options
Last trade: 4 days ago
Trading style: Options Premium Collecting Directional Bets

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.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
5.8%
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.

(16.2%)
Max Drawdown
155
Num Trades
47.7%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +8.7%+8.0%(10.6%)(2.4%)            +2.5%

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 249 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 12 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/15/20 13:48 SPY2023V330 SPY Oct23'20 330 put LONG 3 0.56 10/24 9:35 0.00 1.58%
Trade id #131720951
Max drawdown($165)
Time10/23/20 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-1.58%
($170)
Includes Typical Broker Commissions trade costs of $2.10
10/15/20 13:52 QQQ2023V267 QQQ Oct23'20 267 put SHORT 5 0.42 10/24 9:35 0.00 n/a $207
Includes Typical Broker Commissions trade costs of $3.50
10/15/20 13:48 SPY2023V328 SPY Oct23'20 328 put SHORT 3 0.43 10/24 9:35 0.00 0.23%
Trade id #131720955
Max drawdown($24)
Time10/19/20 0:00
Quant open3
Worst price0.51
Drawdown as % of equity-0.23%
$127
Includes Typical Broker Commissions trade costs of $2.10
10/15/20 13:51 QQQ2023V269 QQQ Oct23'20 269 put LONG 5 0.53 10/24 9:35 0.00 2.48%
Trade id #131721018
Max drawdown($260)
Time10/23/20 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-2.48%
($269)
Includes Typical Broker Commissions trade costs of $3.50
10/7/20 10:49 DIA2016V270 DIA Oct16'20 270 put LONG 2 0.80 10/9 12:24 0.17 1.2%
Trade id #131564898
Max drawdown($128)
Time10/9/20 11:51
Quant open2
Worst price0.16
Drawdown as % of equity-1.20%
($129)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:49 DIA2016V269 DIA Oct16'20 269 put SHORT 2 0.69 10/9 12:24 0.15 n/a $105
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:48 DIA2030V257 DIA Oct30'20 257 put LONG 2 0.94 10/9 12:24 0.40 1.01%
Trade id #131564860
Max drawdown($108)
Time10/9/20 12:24
Quant open2
Worst price0.40
Drawdown as % of equity-1.01%
($111)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:48 DIA2030V268 DIA Oct30'20 268 put SHORT 2 2.12 10/9 12:24 1.08 n/a $205
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:46 QQQ2030V247 QQQ Oct30'20 247 put LONG 2 1.49 10/8 11:11 1.01 0.95%
Trade id #131564813
Max drawdown($100)
Time10/8/20 0:00
Quant open2
Worst price0.99
Drawdown as % of equity-0.95%
($99)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:46 QQQ2030V258 QQQ Oct30'20 258 put SHORT 2 2.95 10/8 11:11 2.11 n/a $165
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:51 QQQ2016V260 QQQ Oct16'20 260 put LONG 2 0.72 10/8 11:11 0.37 0.8%
Trade id #131564948
Max drawdown($84)
Time10/8/20 0:00
Quant open2
Worst price0.30
Drawdown as % of equity-0.80%
($73)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:51 QQQ2016V258 QQQ Oct16'20 258 put SHORT 2 0.57 10/8 11:11 0.32 n/a $47
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:43 SPY2030V321 SPY Oct30'20 321 put SHORT 2 2.73 10/8 10:14 1.90 n/a $163
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:43 SPY2030V309 SPY Oct30'20 309 put LONG 2 1.32 10/8 10:14 0.88 0.91%
Trade id #131564730
Max drawdown($96)
Time10/8/20 0:00
Quant open2
Worst price0.84
Drawdown as % of equity-0.91%
($91)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:52 SPY2016V323 SPY Oct16'20 323 put LONG 2 0.93 10/8 10:13 0.43 1.15%
Trade id #131564978
Max drawdown($122)
Time10/8/20 0:00
Quant open2
Worst price0.32
Drawdown as % of equity-1.15%
($103)
Includes Typical Broker Commissions trade costs of $2.80
10/7/20 10:52 SPY2016V322 SPY Oct16'20 322 put SHORT 2 0.83 10/8 10:13 0.40 0.15%
Trade id #131564982
Max drawdown($16)
Time10/7/20 12:27
Quant open2
Worst price0.91
Drawdown as % of equity-0.15%
$83
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:49 SPY2012V318 SPY Oct12'20 318 put LONG 2 1.09 10/5 10:41 0.31 1.47%
Trade id #131445849
Max drawdown($156)
Time10/5/20 10:21
Quant open2
Worst price0.31
Drawdown as % of equity-1.47%
($159)
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:49 SPY2012V317 SPY Oct12'20 317 put SHORT 2 0.96 10/5 10:41 0.28 1.11%
Trade id #131445854
Max drawdown($118)
Time10/2/20 0:00
Quant open2
Worst price1.55
Drawdown as % of equity-1.11%
$133
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:48 SPY2023V305 SPY Oct23'20 305 put LONG 2 1.33 10/5 10:41 0.77 1.05%
Trade id #131445823
Max drawdown($112)
Time10/5/20 10:41
Quant open2
Worst price0.77
Drawdown as % of equity-1.05%
($115)
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:49 SPY2023V316 SPY Oct23'20 316 put SHORT 2 2.53 10/5 10:41 1.71 1.82%
Trade id #131445830
Max drawdown($194)
Time10/2/20 0:00
Quant open2
Worst price3.50
Drawdown as % of equity-1.82%
$161
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:52 QQQ2009V259 QQQ Oct9'20 259 put LONG 2 0.65 10/1 15:58 0.31 0.64%
Trade id #131445957
Max drawdown($68)
Time10/1/20 15:07
Quant open2
Worst price0.31
Drawdown as % of equity-0.64%
($71)
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:52 QQQ2009V257.5 QQQ Oct9'20 257.5 put SHORT 2 0.54 10/1 15:58 0.28 n/a $49
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:51 QQQ2023V246 QQQ Oct23'20 246 put LONG 3 1.15 10/1 15:58 0.83 0.9%
Trade id #131445901
Max drawdown($96)
Time10/1/20 15:55
Quant open3
Worst price0.83
Drawdown as % of equity-0.90%
($101)
Includes Typical Broker Commissions trade costs of $4.80
9/30/20 15:51 QQQ2023V257 QQQ Oct23'20 257 put SHORT 3 2.24 10/1 15:58 1.77 n/a $135
Includes Typical Broker Commissions trade costs of $4.80
9/30/20 15:54 FB2016V235 FB Oct16'20 235 put LONG 2 0.98 10/1 15:53 0.69 0.66%
Trade id #131446005
Max drawdown($70)
Time10/1/20 9:36
Quant open2
Worst price0.63
Drawdown as % of equity-0.66%
($61)
Includes Typical Broker Commissions trade costs of $2.80
9/30/20 15:54 FB2016V245 FB Oct16'20 245 put SHORT 2 2.14 10/1 15:53 1.57 n/a $111
Includes Typical Broker Commissions trade costs of $2.80
9/22/20 14:17 QQQ2002V254 QQQ Oct2'20 254 put LONG 2 1.28 9/28 9:53 0.28 1.99%
Trade id #131299789
Max drawdown($210)
Time9/28/20 9:41
Quant open2
Worst price0.23
Drawdown as % of equity-1.99%
($204)
Includes Typical Broker Commissions trade costs of $2.80
9/22/20 14:17 QQQ2002V252.5 QQQ Oct2'20 252.5 put SHORT 2 1.10 9/28 9:52 0.24 3.29%
Trade id #131299797
Max drawdown($330)
Time9/24/20 0:00
Quant open2
Worst price2.75
Drawdown as % of equity-3.29%
$169
Includes Typical Broker Commissions trade costs of $2.80
9/22/20 14:15 QQQ2016V241 QQQ Oct16'20 241 put LONG 2 1.53 9/28 9:52 0.78 1.58%
Trade id #131299753
Max drawdown($166)
Time9/28/20 9:30
Quant open2
Worst price0.70
Drawdown as % of equity-1.58%
($153)
Includes Typical Broker Commissions trade costs of $2.80
9/22/20 14:16 QQQ2016V253 QQQ Oct16'20 253 put SHORT 2 3.09 9/28 9:52 1.80 5.38%
Trade id #131299764
Max drawdown($540)
Time9/24/20 0:00
Quant open2
Worst price5.79
Drawdown as % of equity-5.38%
$255
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    7/7/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    112.66
  • Age
    113 days ago
  • What it trades
    Options
  • # Trades
    155
  • # Profitable
    74
  • % Profitable
    47.70%
  • Avg trade duration
    3.4 days
  • Max peak-to-valley drawdown
    16.16%
  • drawdown period
    Sept 03, 2020 - Sept 24, 2020
  • Cumul. Return
    5.8%
  • Avg win
    $169.35
  • Avg loss
    $136.19
  • Model Account Values (Raw)
  • Cash
    $12,854
  • Margin Used
    $5,063
  • Buying Power
    $8,019
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.6
  • Sortino Ratio
    0.87
  • Calmar Ratio
    3.383
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.99%
  • Correlation to SP500
    0.63260
  • Return Percent SP500 (cumu) during strategy life
    7.80%
  • Return Statistics
  • Ann Return (w trading costs)
    19.5%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.058%
  • Instruments
  • Percent Trades Options
    0.85%
  • Percent Trades Stocks
    0.15%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    444
  • Popularity (Last 6 weeks)
    833
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    148
  • Popularity (7 days, Percentile 1000 scale)
    669
  • 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
    $136
  • Avg Win
    $169
  • Sum Trade PL (losers)
    $11,031.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $12,532.000
  • # Winners
    74
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    11111
  • Win / Loss
  • # Losers
    81
  • % Winners
    47.7%
  • Frequency
  • Avg Position Time (mins)
    4883.52
  • Avg Position Time (hrs)
    81.39
  • Avg Trade Length
    3.4 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    16.78
  • Daily leverage (max)
    48.27
  • Regression
  • Alpha
    -0.04
  • Beta
    1.13
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -6.463
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    1.083
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.163
  • Hold-and-Hope Ratio
    -0.112
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52646
  • SD
    0.25697
  • Sharpe ratio (Glass type estimate)
    2.04867
  • Sharpe ratio (Hedges UMVUE)
    1.15584
  • df
    2.00000
  • t
    1.02434
  • p
    0.20670
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.20783
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92446
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.23614
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.56998
  • Upside Potential Ratio
    11.57000
  • Upside part of mean
    0.63648
  • Downside part of mean
    -0.11002
  • Upside SD
    0.25317
  • Downside SD
    0.05501
  • 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
    0.31543
  • Mean of criterion
    0.52646
  • SD of predictor
    0.11717
  • SD of criterion
    0.25697
  • Covariance
    0.03002
  • r
    0.99710
  • b (slope, estimate of beta)
    2.18684
  • a (intercept, estimate of alpha)
    -0.16334
  • Mean Square Error
    0.00076
  • DF error
    1.00000
  • t(b)
    13.11190
  • p(b)
    0.02423
  • t(a)
    -2.14057
  • p(a)
    0.86089
  • Lowerbound of 95% confidence interval for beta
    0.06766
  • Upperbound of 95% confidence interval for beta
    4.30602
  • Lowerbound of 95% confidence interval for alpha
    -1.13291
  • Upperbound of 95% confidence interval for alpha
    0.80623
  • Treynor index (mean / b)
    0.24074
  • Jensen alpha (a)
    -0.16334
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49401
  • SD
    0.24515
  • Sharpe ratio (Glass type estimate)
    2.01509
  • Sharpe ratio (Hedges UMVUE)
    1.13689
  • df
    2.00000
  • t
    1.00754
  • p
    0.20988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.16285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93829
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21207
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.87690
  • Upside Potential Ratio
    10.87690
  • Upside part of mean
    0.60531
  • Downside part of mean
    -0.11130
  • Upside SD
    0.23939
  • Downside SD
    0.05565
  • 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
    0.30634
  • Mean of criterion
    0.49401
  • SD of predictor
    0.11352
  • SD of criterion
    0.24515
  • Covariance
    0.02772
  • r
    0.99616
  • b (slope, estimate of beta)
    2.15129
  • a (intercept, estimate of alpha)
    -0.16502
  • Mean Square Error
    0.00092
  • DF error
    1.00000
  • t(b)
    11.38600
  • p(b)
    0.02788
  • t(a)
    -1.96807
  • p(a)
    0.85036
  • Lowerbound of 95% confidence interval for beta
    -0.24944
  • Upperbound of 95% confidence interval for beta
    4.55203
  • Lowerbound of 95% confidence interval for alpha
    -1.23040
  • Upperbound of 95% confidence interval for alpha
    0.90036
  • Treynor index (mean / b)
    0.22963
  • Jensen alpha (a)
    -0.16502
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07248
  • Expected Shortfall on VaR
    0.09920
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01669
  • Expected Shortfall on VaR
    0.03142
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.97482
  • Quartile 1
    1.00785
  • Median
    1.04088
  • Quartile 3
    1.08189
  • Maximum
    1.12290
  • Mean of quarter 1
    0.97482
  • Mean of quarter 2
    1.04088
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.12290
  • Inter Quartile Range
    0.07404
  • 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
    0.02518
  • Quartile 1
    0.02518
  • Median
    0.02518
  • Quartile 3
    0.02518
  • Maximum
    0.02518
  • 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)
    0.55749
  • Compounded annual return (geometric extrapolation)
    0.68525
  • Calmar ratio (compounded annual return / max draw down)
    27.21680
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.90792
  • 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
    0.36538
  • SD
    0.29066
  • Sharpe ratio (Glass type estimate)
    1.25707
  • Sharpe ratio (Hedges UMVUE)
    1.24510
  • df
    79.00000
  • t
    0.69463
  • p
    0.24466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.79735
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79907
  • Upside Potential Ratio
    7.68593
  • Upside part of mean
    1.56097
  • Downside part of mean
    -1.19559
  • Upside SD
    0.20661
  • Downside SD
    0.20309
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.23284
  • Mean of criterion
    0.36538
  • SD of predictor
    0.17170
  • SD of criterion
    0.29066
  • Covariance
    0.02757
  • r
    0.55237
  • b (slope, estimate of beta)
    0.93505
  • a (intercept, estimate of alpha)
    0.14800
  • Mean Square Error
    0.05946
  • DF error
    78.00000
  • t(b)
    5.85222
  • p(b)
    0.00000
  • t(a)
    0.33345
  • p(a)
    0.36984
  • Lowerbound of 95% confidence interval for beta
    0.61696
  • Upperbound of 95% confidence interval for beta
    1.25314
  • Lowerbound of 95% confidence interval for alpha
    -0.73397
  • Upperbound of 95% confidence interval for alpha
    1.02931
  • Treynor index (mean / b)
    0.39076
  • Jensen alpha (a)
    0.14767
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32325
  • SD
    0.29158
  • Sharpe ratio (Glass type estimate)
    1.10862
  • Sharpe ratio (Hedges UMVUE)
    1.09806
  • df
    79.00000
  • t
    0.61260
  • p
    0.27095
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64913
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55030
  • Upside Potential Ratio
    7.38612
  • Upside part of mean
    1.54007
  • Downside part of mean
    -1.21682
  • Upside SD
    0.20219
  • Downside SD
    0.20851
  • N nonnegative terms
    41.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    80.00000
  • Mean of predictor
    0.21809
  • Mean of criterion
    0.32325
  • SD of predictor
    0.17231
  • SD of criterion
    0.29158
  • Covariance
    0.02777
  • r
    0.55266
  • b (slope, estimate of beta)
    0.93520
  • a (intercept, estimate of alpha)
    0.11929
  • Mean Square Error
    0.05981
  • DF error
    78.00000
  • t(b)
    5.85658
  • p(b)
    0.00000
  • t(a)
    0.26870
  • p(a)
    0.39443
  • Lowerbound of 95% confidence interval for beta
    0.61729
  • Upperbound of 95% confidence interval for beta
    1.25310
  • Lowerbound of 95% confidence interval for alpha
    -0.76454
  • Upperbound of 95% confidence interval for alpha
    1.00312
  • Treynor index (mean / b)
    0.34565
  • Jensen alpha (a)
    0.11929
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02800
  • Expected Shortfall on VaR
    0.03526
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01008
  • Expected Shortfall on VaR
    0.02206
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    80.00000
  • Minimum
    0.92700
  • Quartile 1
    0.99820
  • Median
    1.00028
  • Quartile 3
    1.00773
  • Maximum
    1.07137
  • Mean of quarter 1
    0.98225
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00367
  • Mean of quarter 4
    1.02037
  • Inter Quartile Range
    0.00953
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.96632
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07500
  • Mean of outliers high
    1.03869
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14176
  • VaR(95%) (moments method)
    0.00893
  • Expected Shortfall (moments method)
    0.01455
  • Extreme Value Index (regression method)
    0.31768
  • VaR(95%) (regression method)
    0.02272
  • Expected Shortfall (regression method)
    0.04673
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00085
  • Median
    0.00499
  • Quartile 3
    0.02082
  • Maximum
    0.12435
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00312
  • Mean of quarter 3
    0.00561
  • Mean of quarter 4
    0.08019
  • Inter Quartile Range
    0.01997
  • 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
    0.14286
  • Mean of outliers high
    0.12435
  • 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)
    0.37067
  • Compounded annual return (geometric extrapolation)
    0.42071
  • Calmar ratio (compounded annual return / max draw down)
    3.38327
  • Compounded annual return / average of 25% largest draw downs
    5.24645
  • Compounded annual return / Expected Shortfall lognormal
    11.93010
  • 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)
    0.02800
  • 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?
    -307718000
  • Max Equity Drawdown (num days)
    21

Strategy Description

I utilize short-term technical signals to trade a handful of options via credit spreads. I will always hold a position overnight to avoid the PDT Day Trading rule. In most situations, I will only hold a position for 1-3 days but can be longer at times.

The strategy will work best when there's some level of volatility in the stock market. The strategy will not do as well during the extreme times in the stock market in terms of volatility (i.e. the VIX index is above 50 or below 15).

Goals for this strategy include:

1. 5-10% monthly return
2. Sharpe ratio above 1.5
3. Sortino ratio above 3
3. Max drawdown capped at 20%

These are of course goals of the strategy and are not guaranteed.

To minimize losses on losing trades, I also trade with a volatility hedge (VXX) and use it to guide my trading decisions. Due to the hedge and the limited number of stocks I trade, my position size will typically be larger than most traders (~10-20% per trade).

Summary Statistics

Strategy began
2020-07-07
Suggested Minimum Capital
$35,000
# Trades
155
# Profitable
74
% Profitable
47.7%
Correlation S&P500
0.633
Sharpe Ratio
0.60
Sortino Ratio
0.87
Beta
1.13
Alpha
-0.04
Leverage
16.78 Average
48.27 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.