Collective2 Collective2
Featured Strategy Cryptoverse +48.6% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Income Trades
(147357636)

Created by: Foundational_Capital Foundational_Capital
Started: 02/2024
Options
Last trade: 2 days ago

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 $20.00 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.

21.4%
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.

(16.7%)
Max Drawdown
131
Num Trades
91.6%
Win Trades
3.1 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024       +3.0%+1.5%+1.7%+3.4%+2.4%(6.3%)+3.0%+1.6%+2.4%+6.3%+0.9%+21.4%

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 97 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/13/24 13:04 MSTR2420X250 MSTR Dec20'24 250 put SHORT 1 1.34 12/21 9:35 0.00 0.02%
Trade id #150321839
Max drawdown($6)
Time12/13/24 13:20
Quant open1
Worst price1.40
Drawdown as % of equity-0.02%
 $133
Includes Typical Broker Commissions trade costs of $1.00
11/20/24 12:13 WING2420X260 WING Dec20'24 260 put SHORT 2 0.63 12/21 9:35 0.00 0.01%
Trade id #150134550
Max drawdown($4)
Time11/20/24 12:20
Quant open2
Worst price0.65
Drawdown as % of equity-0.01%
 $125
Includes Typical Broker Commissions trade costs of $1.40
12/11/24 9:46 LEN2420X140 LEN Dec20'24 140 put SHORT 1 0.45 12/20 11:46 1.00 1.59%
Trade id #150299560
Max drawdown($475)
Time12/19/24 0:00
Quant open1
Worst price5.20
Drawdown as % of equity-1.59%
 ($57)
Includes Typical Broker Commissions trade costs of $2.00
12/6/24 12:03 MSTR2413X200 MSTR Dec13'24 200 put SHORT 2 0.91 12/14 9:35 0.00 0.39%
Trade id #150266851
Max drawdown($120)
Time12/13/24 0:00
Quant open2
Worst price1.51
Drawdown as % of equity-0.39%
 $181
Includes Typical Broker Commissions trade costs of $1.40
12/6/24 10:04 VST2413X147 VST Dec13'24 147 put SHORT 2 1.00 12/12 9:32 2.73 4.86%
Trade id #150264504
Max drawdown($1,480)
Time12/10/24 0:00
Quant open2
Worst price8.40
Drawdown as % of equity-4.86%
 ($348)
Includes Typical Broker Commissions trade costs of $2.80
11/27/24 12:28 COIN2406X220 COIN Dec6'24 220 put SHORT 2 0.66 12/7 9:35 0.00 0.01%
Trade id #150196629
Max drawdown($4)
Time11/27/24 15:18
Quant open2
Worst price0.68
Drawdown as % of equity-0.01%
 $131
Includes Typical Broker Commissions trade costs of $1.40
11/29/24 13:07 MSTR2406X300 MSTR Dec6'24 300 put SHORT 1 4.95 12/7 9:35 0.00 n/a $494
Includes Typical Broker Commissions trade costs of $1.00
11/19/24 10:17 ELF2429W100 ELF Nov29'24 100 put SHORT 2 0.40 11/30 9:35 0.00 3.25%
Trade id #150122396
Max drawdown($960)
Time11/20/24 0:00
Quant open2
Worst price5.20
Drawdown as % of equity-3.25%
 $79
Includes Typical Broker Commissions trade costs of $1.40
11/14/24 15:36 HIMS2429W17 HIMS Nov29'24 17 put SHORT 2 0.50 11/30 9:35 0.00 0.27%
Trade id #150090040
Max drawdown($80)
Time11/15/24 0:00
Quant open2
Worst price0.90
Drawdown as % of equity-0.27%
 $99
Includes Typical Broker Commissions trade costs of $1.40
11/20/24 12:20 ELF2429W99 ELF Nov29'24 99 put SHORT 1 2.67 11/30 9:35 0.00 n/a $266
Includes Typical Broker Commissions trade costs of $1.00
11/4/24 13:37 ULTA2422W315 ULTA Nov22'24 315 put SHORT 1 0.50 11/23 9:35 0.00 0.01%
Trade id #149962145
Max drawdown($4)
Time11/5/24 0:00
Quant open1
Worst price0.54
Drawdown as % of equity-0.01%
 $49
Includes Typical Broker Commissions trade costs of $1.00
11/15/24 15:21 MSTR2422W205 MSTR Nov22'24 205 put SHORT 2 0.57 11/23 9:35 0.00 0.39%
Trade id #150100226
Max drawdown($114)
Time11/18/24 0:00
Quant open2
Worst price1.14
Drawdown as % of equity-0.39%
 $113
Includes Typical Broker Commissions trade costs of $1.40
10/31/24 9:30 COF2422W135 COF Nov22'24 135 put SHORT 1 0.45 11/23 9:35 0.00 0.14%
Trade id #149914559
Max drawdown($40)
Time11/6/24 0:00
Quant open1
Worst price0.85
Drawdown as % of equity-0.14%
 $44
Includes Typical Broker Commissions trade costs of $1.00
10/30/24 13:16 GOOG2422W160 GOOG Nov22'24 160 put SHORT 1 0.45 11/23 9:35 0.00 0.29%
Trade id #149904020
Max drawdown($83)
Time11/1/24 0:00
Quant open1
Worst price1.28
Drawdown as % of equity-0.29%
 $44
Includes Typical Broker Commissions trade costs of $1.00
10/15/24 14:33 SNPS2415W440 SNPS Nov15'24 440 put SHORT 1 1.85 11/16 9:35 0.00 0.87%
Trade id #149666233
Max drawdown($245)
Time10/16/24 0:00
Quant open1
Worst price4.30
Drawdown as % of equity-0.87%
 $184
Includes Typical Broker Commissions trade costs of $1.00
10/16/24 14:28 UNH2415W480 UNH Nov15'24 480 put SHORT 1 0.66 11/16 9:35 0.00 0.1%
Trade id #149676686
Max drawdown($27)
Time10/17/24 0:00
Quant open1
Worst price0.93
Drawdown as % of equity-0.10%
 $65
Includes Typical Broker Commissions trade costs of $1.00
11/5/24 10:17 DFS2415W130 DFS Nov15'24 130 put SHORT 1 1.30 11/16 9:35 0.00 0.02%
Trade id #149986330
Max drawdown($7)
Time11/5/24 15:18
Quant open1
Worst price1.37
Drawdown as % of equity-0.02%
 $129
Includes Typical Broker Commissions trade costs of $1.00
10/18/24 9:34 DFS2415W115 DFS Nov15'24 115 put SHORT 1 0.60 11/16 9:35 0.00 0.14%
Trade id #149694406
Max drawdown($40)
Time10/24/24 0:00
Quant open1
Worst price1.00
Drawdown as % of equity-0.14%
 $59
Includes Typical Broker Commissions trade costs of $1.00
10/14/24 10:08 DKS2415W170 DKS Nov15'24 170 put SHORT 1 0.75 11/16 9:35 0.00 0.07%
Trade id #149652414
Max drawdown($20)
Time11/1/24 0:00
Quant open1
Worst price0.95
Drawdown as % of equity-0.07%
 $74
Includes Typical Broker Commissions trade costs of $1.00
10/21/24 9:44 SNPS2415W420 SNPS Nov15'24 420 put SHORT 1 1.25 11/16 9:35 0.00 0.16%
Trade id #149724235
Max drawdown($45)
Time10/23/24 0:00
Quant open1
Worst price1.70
Drawdown as % of equity-0.16%
 $124
Includes Typical Broker Commissions trade costs of $1.00
10/24/24 14:32 DKS2415W195 DKS Nov15'24 195 put SHORT 1 3.90 11/13 9:38 0.63 1.24%
Trade id #149821498
Max drawdown($350)
Time11/1/24 0:00
Quant open1
Worst price7.40
Drawdown as % of equity-1.24%
 $325
Includes Typical Broker Commissions trade costs of $2.00
10/7/24 14:09 VST2401W110 VST Nov1'24 110 put SHORT 1 1.45 11/2 9:35 0.00 0.74%
Trade id #149597199
Max drawdown($205)
Time10/11/24 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-0.74%
 $144
Includes Typical Broker Commissions trade costs of $1.00
10/21/24 12:17 AMAT2408W155 AMAT Nov8'24 155 put SHORT 2 0.43 10/31 15:50 0.25 0.19%
Trade id #149741349
Max drawdown($54)
Time10/23/24 0:00
Quant open2
Worst price0.70
Drawdown as % of equity-0.19%
 $33
Includes Typical Broker Commissions trade costs of $2.80
10/10/24 12:45 AVAV2415W165 AVAV Nov15'24 165 put SHORT 1 0.71 10/31 10:52 0.12 0.03%
Trade id #149630554
Max drawdown($8)
Time10/10/24 13:09
Quant open1
Worst price0.80
Drawdown as % of equity-0.03%
 $57
Includes Typical Broker Commissions trade costs of $2.00
10/3/24 12:52 MSTR2425V105 MSTR Oct25'24 105 put SHORT 1 0.65 10/26 9:35 0.00 0.21%
Trade id #149571317
Max drawdown($58)
Time10/14/24 0:00
Quant open1
Worst price1.23
Drawdown as % of equity-0.21%
 $64
Includes Typical Broker Commissions trade costs of $1.00
9/18/24 9:30 WING2418V330 WING Oct18'24 330 put SHORT 2 1.00 10/19 9:35 0.00 0.07%
Trade id #149427048
Max drawdown($20)
Time9/18/24 10:08
Quant open2
Worst price1.10
Drawdown as % of equity-0.07%
 $199
Includes Typical Broker Commissions trade costs of $1.40
9/20/24 14:26 DKS2418V200 DKS Oct18'24 200 put SHORT 1 2.40 10/15 9:45 0.50 0.85%
Trade id #149471979
Max drawdown($235)
Time10/1/24 0:00
Quant open1
Worst price4.75
Drawdown as % of equity-0.85%
 $188
Includes Typical Broker Commissions trade costs of $2.00
9/25/24 15:22 AMAT2411V170 AMAT Oct11'24 170 put SHORT 2 0.42 10/12 9:35 0.00 0.02%
Trade id #149507122
Max drawdown($6)
Time9/25/24 15:28
Quant open2
Worst price0.45
Drawdown as % of equity-0.02%
 $83
Includes Typical Broker Commissions trade costs of $1.40
9/23/24 9:30 ANET2411V325 ANET Oct11'24 325 put SHORT 1 0.50 10/12 9:35 0.00 n/a $49
Includes Typical Broker Commissions trade costs of $1.00
9/24/24 12:07 MSFT2411V385 MSFT Oct11'24 385 put SHORT 1 0.32 10/12 9:35 0.00 0.11%
Trade id #149494985
Max drawdown($30)
Time10/1/24 0:00
Quant open1
Worst price0.62
Drawdown as % of equity-0.11%
 $31
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    2/16/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    310.96
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    131
  • # Profitable
    120
  • % Profitable
    91.60%
  • Avg trade duration
    17.7 days
  • Max peak-to-valley drawdown
    16.66%
  • drawdown period
    July 14, 2024 - Aug 05, 2024
  • Cumul. Return
    21.4%
  • Avg win
    $76.22
  • Avg loss
    $266.45
  • Model Account Values (Raw)
  • Cash
    $33,106
  • Margin Used
    $24,308
  • Buying Power
    $8,798
  • Ratios
  • W:L ratio
    3.12:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.33
  • Calmar Ratio
    1.893
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.51%
  • Correlation to SP500
    0.45640
  • Return Percent SP500 (cumu) during strategy life
    18.90%
  • Return Statistics
  • Ann Return (w trading costs)
    25.3%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Return Statistics
  • Return Pcnt Since TOS Status
    11.690%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.214%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    455
  • Popularity (Last 6 weeks)
    960
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    929
  • Popularity (7 days, Percentile 1000 scale)
    811
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $250
  • Avg Win
    $77
  • Sum Trade PL (losers)
    $3,006.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $9,143.000
  • # Winners
    119
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    62056
  • Win / Loss
  • # Losers
    12
  • % Winners
    90.8%
  • Frequency
  • Avg Position Time (mins)
    25409.10
  • Avg Position Time (hrs)
    423.49
  • Avg Trade Length
    17.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.65
  • Daily leverage (max)
    5.25
  • Regression
  • Alpha
    0.02
  • Beta
    0.68
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.876
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.016
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.764
  • Hold-and-Hope Ratio
    0.224
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27841
  • SD
    0.11507
  • Sharpe ratio (Glass type estimate)
    2.41958
  • Sharpe ratio (Hedges UMVUE)
    2.18416
  • df
    8.00000
  • t
    2.09541
  • p
    0.03472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68762
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.84464
  • Upside Potential Ratio
    5.99934
  • Upside part of mean
    0.34477
  • Downside part of mean
    -0.06636
  • Upside SD
    0.12217
  • Downside SD
    0.05747
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.23381
  • Mean of criterion
    0.27841
  • SD of predictor
    0.12078
  • SD of criterion
    0.11507
  • Covariance
    0.00861
  • r
    0.61974
  • b (slope, estimate of beta)
    0.59044
  • a (intercept, estimate of alpha)
    0.14036
  • Mean Square Error
    0.00932
  • DF error
    7.00000
  • t(b)
    2.08926
  • p(b)
    0.03753
  • t(a)
    1.08316
  • p(a)
    0.15732
  • Lowerbound of 95% confidence interval for beta
    -0.07782
  • Upperbound of 95% confidence interval for beta
    1.25870
  • Lowerbound of 95% confidence interval for alpha
    -0.16606
  • Upperbound of 95% confidence interval for alpha
    0.44679
  • Treynor index (mean / b)
    0.47153
  • Jensen alpha (a)
    0.14036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26889
  • SD
    0.11392
  • Sharpe ratio (Glass type estimate)
    2.36025
  • Sharpe ratio (Hedges UMVUE)
    2.13061
  • df
    8.00000
  • t
    2.04404
  • p
    0.03760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62296
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.57242
  • Upside Potential Ratio
    5.72712
  • Upside part of mean
    0.33679
  • Downside part of mean
    -0.06790
  • Upside SD
    0.11876
  • Downside SD
    0.05881
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.22474
  • Mean of criterion
    0.26889
  • SD of predictor
    0.11927
  • SD of criterion
    0.11392
  • Covariance
    0.00828
  • r
    0.60954
  • b (slope, estimate of beta)
    0.58222
  • a (intercept, estimate of alpha)
    0.13804
  • Mean Square Error
    0.00932
  • DF error
    7.00000
  • t(b)
    2.03431
  • p(b)
    0.04070
  • t(a)
    1.07250
  • p(a)
    0.15954
  • Lowerbound of 95% confidence interval for beta
    -0.09454
  • Upperbound of 95% confidence interval for beta
    1.25897
  • Lowerbound of 95% confidence interval for alpha
    -0.16631
  • Upperbound of 95% confidence interval for alpha
    0.44239
  • Treynor index (mean / b)
    0.46184
  • Jensen alpha (a)
    0.13804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03119
  • Expected Shortfall on VaR
    0.04434
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00297
  • Expected Shortfall on VaR
    0.01081
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.95256
  • Quartile 1
    1.01877
  • Median
    1.02572
  • Quartile 3
    1.04089
  • Maximum
    1.07654
  • Mean of quarter 1
    0.99413
  • Mean of quarter 2
    1.02558
  • Mean of quarter 3
    1.03843
  • Mean of quarter 4
    1.05969
  • Inter Quartile Range
    0.02213
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.95256
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.07654
  • 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
    0.04744
  • Quartile 1
    0.04744
  • Median
    0.04744
  • Quartile 3
    0.04744
  • Maximum
    0.04744
  • 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)
    0.33242
  • Compounded annual return (geometric extrapolation)
    0.34554
  • Calmar ratio (compounded annual return / max draw down)
    7.28370
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.79270
  • 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
    0.25495
  • SD
    0.19044
  • Sharpe ratio (Glass type estimate)
    1.33874
  • Sharpe ratio (Hedges UMVUE)
    1.33395
  • df
    210.00000
  • t
    1.20140
  • p
    0.11547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85061
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52494
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52170
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87149
  • Upside Potential Ratio
    6.69152
  • Upside part of mean
    0.91158
  • Downside part of mean
    -0.65663
  • Upside SD
    0.13336
  • Downside SD
    0.13623
  • N nonnegative terms
    139.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.19523
  • Mean of criterion
    0.25495
  • SD of predictor
    0.12964
  • SD of criterion
    0.19044
  • Covariance
    0.01144
  • r
    0.46319
  • b (slope, estimate of beta)
    0.68044
  • a (intercept, estimate of alpha)
    0.12200
  • Mean Square Error
    0.02862
  • DF error
    209.00000
  • t(b)
    7.55563
  • p(b)
    -0.00000
  • t(a)
    0.64490
  • p(a)
    0.25985
  • Lowerbound of 95% confidence interval for beta
    0.50290
  • Upperbound of 95% confidence interval for beta
    0.85797
  • Lowerbound of 95% confidence interval for alpha
    -0.25116
  • Upperbound of 95% confidence interval for alpha
    0.49537
  • Treynor index (mean / b)
    0.37469
  • Jensen alpha (a)
    0.12211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23661
  • SD
    0.19167
  • Sharpe ratio (Glass type estimate)
    1.23450
  • Sharpe ratio (Hedges UMVUE)
    1.23008
  • df
    210.00000
  • t
    1.10785
  • p
    0.13460
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95414
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41727
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68972
  • Upside Potential Ratio
    6.44705
  • Upside part of mean
    0.90280
  • Downside part of mean
    -0.66618
  • Upside SD
    0.13103
  • Downside SD
    0.14003
  • N nonnegative terms
    139.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.18676
  • Mean of criterion
    0.23661
  • SD of predictor
    0.12987
  • SD of criterion
    0.19167
  • Covariance
    0.01156
  • r
    0.46426
  • b (slope, estimate of beta)
    0.68518
  • a (intercept, estimate of alpha)
    0.10865
  • Mean Square Error
    0.02896
  • DF error
    209.00000
  • t(b)
    7.57788
  • p(b)
    -0.00000
  • t(a)
    0.57072
  • p(a)
    0.28440
  • Lowerbound of 95% confidence interval for beta
    0.50693
  • Upperbound of 95% confidence interval for beta
    0.86343
  • Lowerbound of 95% confidence interval for alpha
    -0.26665
  • Upperbound of 95% confidence interval for alpha
    0.48394
  • Treynor index (mean / b)
    0.34533
  • Jensen alpha (a)
    0.10865
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01840
  • Expected Shortfall on VaR
    0.02324
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00420
  • Expected Shortfall on VaR
    0.01017
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    211.00000
  • Minimum
    0.91672
  • Quartile 1
    0.99953
  • Median
    1.00111
  • Quartile 3
    1.00359
  • Maximum
    1.05777
  • Mean of quarter 1
    0.99023
  • Mean of quarter 2
    1.00030
  • Mean of quarter 3
    1.00230
  • Mean of quarter 4
    1.01152
  • Inter Quartile Range
    0.00406
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.10901
  • Mean of outliers low
    0.98103
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.09005
  • Mean of outliers high
    1.02239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51037
  • VaR(95%) (moments method)
    0.00508
  • Expected Shortfall (moments method)
    0.01325
  • Extreme Value Index (regression method)
    0.33497
  • VaR(95%) (regression method)
    0.01111
  • Expected Shortfall (regression method)
    0.02425
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00045
  • Median
    0.00220
  • Quartile 3
    0.00832
  • Maximum
    0.15995
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00098
  • Mean of quarter 3
    0.00413
  • Mean of quarter 4
    0.04469
  • Inter Quartile Range
    0.00787
  • 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
    0.12500
  • Mean of outliers high
    0.07373
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.87133
  • VaR(95%) (moments method)
    0.04772
  • Expected Shortfall (moments method)
    0.35764
  • Extreme Value Index (regression method)
    3.09021
  • VaR(95%) (regression method)
    0.04869
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29481
  • Compounded annual return (geometric extrapolation)
    0.30281
  • Calmar ratio (compounded annual return / max draw down)
    1.89310
  • Compounded annual return / average of 25% largest draw downs
    6.77538
  • Compounded annual return / Expected Shortfall lognormal
    13.03060
  • 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
    0.20289
  • SD
    0.23581
  • Sharpe ratio (Glass type estimate)
    0.86043
  • Sharpe ratio (Hedges UMVUE)
    0.85545
  • df
    130.00000
  • t
    0.60841
  • p
    0.47336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91492
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62921
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19414
  • Upside Potential Ratio
    6.70830
  • Upside part of mean
    1.13979
  • Downside part of mean
    -0.93689
  • Upside SD
    0.16269
  • Downside SD
    0.16991
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18512
  • Mean of criterion
    0.20289
  • SD of predictor
    0.13966
  • SD of criterion
    0.23581
  • Covariance
    0.01653
  • r
    0.50191
  • b (slope, estimate of beta)
    0.84743
  • a (intercept, estimate of alpha)
    0.04602
  • Mean Square Error
    0.04192
  • DF error
    129.00000
  • t(b)
    6.59097
  • p(b)
    0.19445
  • t(a)
    0.15839
  • p(a)
    0.49112
  • Lowerbound of 95% confidence interval for beta
    0.59304
  • Upperbound of 95% confidence interval for beta
    1.10182
  • Lowerbound of 95% confidence interval for alpha
    -0.52880
  • Upperbound of 95% confidence interval for alpha
    0.62083
  • Treynor index (mean / b)
    0.23942
  • Jensen alpha (a)
    0.04602
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17498
  • SD
    0.23740
  • Sharpe ratio (Glass type estimate)
    0.73706
  • Sharpe ratio (Hedges UMVUE)
    0.73280
  • df
    130.00000
  • t
    0.52118
  • p
    0.47717
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50899
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50604
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00114
  • Upside Potential Ratio
    6.44675
  • Upside part of mean
    1.12676
  • Downside part of mean
    -0.95178
  • Upside SD
    0.15968
  • Downside SD
    0.17478
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17533
  • Mean of criterion
    0.17498
  • SD of predictor
    0.14007
  • SD of criterion
    0.23740
  • Covariance
    0.01674
  • r
    0.50333
  • b (slope, estimate of beta)
    0.85310
  • a (intercept, estimate of alpha)
    0.02541
  • Mean Square Error
    0.04241
  • DF error
    129.00000
  • t(b)
    6.61591
  • p(b)
    0.19367
  • t(a)
    0.08698
  • p(a)
    0.49512
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.59798
  • Upperbound of 95% confidence interval for beta
    1.10823
  • Lowerbound of 95% confidence interval for alpha
    -0.55253
  • Upperbound of 95% confidence interval for alpha
    0.60334
  • Treynor index (mean / b)
    0.20511
  • Jensen alpha (a)
    0.02541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02318
  • Expected Shortfall on VaR
    0.02914
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00650
  • Expected Shortfall on VaR
    0.01507
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91672
  • Quartile 1
    0.99848
  • Median
    1.00111
  • Quartile 3
    1.00434
  • Maximum
    1.05777
  • Mean of quarter 1
    0.98623
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00260
  • Mean of quarter 4
    1.01475
  • Inter Quartile Range
    0.00586
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97478
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02991
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33601
  • VaR(95%) (moments method)
    0.00751
  • Expected Shortfall (moments method)
    0.01476
  • Extreme Value Index (regression method)
    0.38621
  • VaR(95%) (regression method)
    0.01475
  • Expected Shortfall (regression method)
    0.03262
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00062
  • Median
    0.00536
  • Quartile 3
    0.01518
  • Maximum
    0.15995
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00275
  • Mean of quarter 3
    0.01059
  • Mean of quarter 4
    0.07115
  • Inter Quartile Range
    0.01457
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.09912
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.48511
  • VaR(95%) (moments method)
    0.05073
  • Expected Shortfall (moments method)
    0.06406
  • Extreme Value Index (regression method)
    1.39927
  • VaR(95%) (regression method)
    0.17424
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365495000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21353
  • Compounded annual return (geometric extrapolation)
    0.22493
  • Calmar ratio (compounded annual return / max draw down)
    1.40623
  • Compounded annual return / average of 25% largest draw downs
    3.16120
  • Compounded annual return / Expected Shortfall lognormal
    7.71968

Strategy Description

This strategy is focused on trading for income. We will sell puts to generate income when opening a position. Sometimes we will want to purchase the underlying stock of the puts we sell so we can then own the stock to write covered calls. Therefore a trade may show as a loss on the put sell even though it is not closed and also with the intention of purchase the stock at a discount. Even when purchasing the stock at a discount you will still keep the original premium received when selling an option to open a position.

The focus is low risk, recurring, reliable and consistent income.

In the model portfolio we will always trade one position. The cash and margin requirements will be based on the underlying stock price. Scale accordingly knowing the trades issued will always be for 1 contract, no matter what the stock price is.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-02-16
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.1%
Rank # 
#243
# Trades
131
# Profitable
120
% Profitable
91.6%
Correlation S&P500
0.456
Sharpe Ratio
0.98
Sortino Ratio
1.33
Beta
0.68
Alpha
0.02
Leverage
3.65 Average
5.25 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.