Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
This is an archived track record. This track record was archived on 3/3/24 12:19 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

SPX Short Options
(139147076)

Created by: LeslieGray LeslieGray
Started: 01/2022
Options
Last trade: 29 days ago
Trading style: Options Premium Collecting

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $50.00 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.
-5.9%
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.

(30.5%)
Max Drawdown
2240
Num Trades
46.9%
Win Trades
0.9 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+1.4%+2.3%+4.7%(0.1%)+0.3%(2.2%)(1.3%)(1.2%)+0.4%+4.0%+4.2%(0.7%)+12.1%
2023(0.2%)+4.3%(0.5%)+4.6%(0.4%)(5.5%)(1.8%)+0.8%+0.8%(0.7%)(5.9%)(11.7%)(16.1%)
2024+5.0%(10.8%)  -                                                        (6.4%)

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 3,714 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 33 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/23/24 15:02 SPXW2427B5115 SPX Feb27'24 5115 call SHORT 1 9.40 2/28 8:05 0.00 0.01%
Trade id #147438187
Max drawdown($12)
Time2/23/24 15:52
Quant open1
Worst price9.52
Drawdown as % of equity-0.01%
$939
Includes Typical Broker Commissions trade costs of $1.00
2/23/24 14:58 SPXW2427B5170 SPX Feb27'24 5170 call LONG 1 0.90 2/28 8:05 0.00 0.05%
Trade id #147438151
Max drawdown($85)
Time2/26/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.05%
($91)
Includes Typical Broker Commissions trade costs of $1.00
2/23/24 10:00 SPXW2427B5155 SPX Feb27'24 5155 call SHORT 1 5.20 2/28 8:05 0.00 0.02%
Trade id #147433944
Max drawdown($40)
Time2/23/24 10:05
Quant open1
Worst price5.60
Drawdown as % of equity-0.02%
$519
Includes Typical Broker Commissions trade costs of $1.00
2/23/24 9:54 SPXW2427B5210 SPX Feb27'24 5210 call LONG 1 0.75 2/28 8:05 0.00 0.04%
Trade id #147433738
Max drawdown($70)
Time2/26/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.04%
($76)
Includes Typical Broker Commissions trade costs of $1.00
2/23/24 10:00 SPXW2426B5130 SPX Feb26'24 5130 call SHORT 1 7.40 2/27 8:05 0.00 0.06%
Trade id #147433939
Max drawdown($110)
Time2/23/24 10:14
Quant open1
Worst price8.50
Drawdown as % of equity-0.06%
$739
Includes Typical Broker Commissions trade costs of $1.00
2/23/24 9:54 SPXW2426B5190 SPX Feb26'24 5190 call LONG 1 0.60 2/27 8:05 0.00 0.03%
Trade id #147433734
Max drawdown($55)
Time2/23/24 15:59
Quant open1
Worst price0.05
Drawdown as % of equity-0.03%
($61)
Includes Typical Broker Commissions trade costs of $1.00
2/22/24 14:57 SPXW2426B5170 SPX Feb26'24 5170 call LONG 1 1.55 2/27 8:05 0.00 0.08%
Trade id #147414832
Max drawdown($148)
Time2/23/24 0:00
Quant open1
Worst price0.07
Drawdown as % of equity-0.08%
($156)
Includes Typical Broker Commissions trade costs of $1.00
2/22/24 15:03 SPXW2426B5105 SPX Feb26'24 5105 call SHORT 1 13.30 2/27 8:05 0.00 0.43%
Trade id #147414927
Max drawdown($750)
Time2/23/24 0:00
Quant open1
Worst price20.80
Drawdown as % of equity-0.43%
$1,329
Includes Typical Broker Commissions trade costs of $1.00
2/22/24 9:54 SPXW2423B5130 SPX Feb23'24 5130 call LONG 1 0.95 2/24 9:35 0.00 0.05%
Trade id #147409697
Max drawdown($92)
Time2/23/24 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.05%
($96)
Includes Typical Broker Commissions trade costs of $1.00
2/22/24 9:58 SPXW2423B5080 SPX Feb23'24 5080 call SHORT 1 9.80 2/24 9:35 8.80 1.32%
Trade id #147409783
Max drawdown($2,320)
Time2/23/24 0:00
Quant open1
Worst price33.00
Drawdown as % of equity-1.32%
$98
Includes Typical Broker Commissions trade costs of $2.00
2/21/24 9:56 SPXW2422B5040 SPX Feb22'24 5040 call LONG 1 2.20 2/23 8:06 47.03 0.05%
Trade id #147396725
Max drawdown($98)
Time2/21/24 15:21
Quant open1
Worst price1.22
Drawdown as % of equity-0.05%
$4,481
Includes Typical Broker Commissions trade costs of $2.00
2/20/24 9:55 SPXW2422B5090 SPX Feb22'24 5090 call LONG 1 1.10 2/23 8:06 0.00 0.05%
Trade id #147378165
Max drawdown($92)
Time2/21/24 0:00
Quant open1
Worst price0.18
Drawdown as % of equity-0.05%
($111)
Includes Typical Broker Commissions trade costs of $1.00
2/21/24 9:58 SPXW2422B4985 SPX Feb22'24 4985 call SHORT 1 13.80 2/23 8:06 102.03 5.04%
Trade id #147396761
Max drawdown($9,394)
Time2/22/24 0:00
Quant open1
Worst price107.74
Drawdown as % of equity-5.04%
($8,825)
Includes Typical Broker Commissions trade costs of $2.00
2/20/24 15:04 SPXW2422B5000 SPX Feb22'24 5000 call SHORT 1 13.40 2/23 8:06 87.03 0.09%
Trade id #147383509
Max drawdown($160)
Time2/20/24 15:30
Quant open1
Worst price15.00
Drawdown as % of equity-0.09%
($7,365)
Includes Typical Broker Commissions trade costs of $2.00
2/20/24 10:00 SPXW2422B5025 SPX Feb22'24 5025 call SHORT 1 8.40 2/23 8:06 62.03 0.05%
Trade id #147378294
Max drawdown($90)
Time2/20/24 11:01
Quant open1
Worst price9.30
Drawdown as % of equity-0.05%
($5,365)
Includes Typical Broker Commissions trade costs of $2.00
2/20/24 14:57 SPXW2422B5050 SPX Feb22'24 5050 call LONG 1 3.40 2/23 8:05 37.03 0.14%
Trade id #147383455
Max drawdown($260)
Time2/21/24 0:00
Quant open1
Worst price0.80
Drawdown as % of equity-0.14%
$3,361
Includes Typical Broker Commissions trade costs of $2.00
2/16/24 15:03 SPXW2421B5040 SPX Feb21'24 5040 call SHORT 1 10.00 2/22 8:05 0.00 n/a $999
Includes Typical Broker Commissions trade costs of $1.00
2/20/24 10:00 SPXW2421B5000 SPX Feb21'24 5000 call SHORT 1 8.10 2/22 8:05 0.00 0.05%
Trade id #147378290
Max drawdown($100)
Time2/20/24 11:00
Quant open1
Worst price9.10
Drawdown as % of equity-0.05%
$809
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 14:57 SPXW2421B5090 SPX Feb21'24 5090 call LONG 1 1.30 2/22 8:05 0.00 0.07%
Trade id #147358811
Max drawdown($125)
Time2/20/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.07%
($131)
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 9:54 SPXW2421B5120 SPX Feb21'24 5120 call LONG 1 0.55 2/22 8:05 0.00 0.03%
Trade id #147354482
Max drawdown($50)
Time2/20/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.03%
($56)
Includes Typical Broker Commissions trade costs of $1.00
2/20/24 9:55 SPXW2421B5060 SPX Feb21'24 5060 call LONG 1 0.65 2/22 8:05 0.00 0.03%
Trade id #147378163
Max drawdown($60)
Time2/21/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.03%
($66)
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 10:00 SPXW2421B5065 SPX Feb21'24 5065 call SHORT 1 4.00 2/22 8:05 0.00 0.26%
Trade id #147354678
Max drawdown($470)
Time2/16/24 14:03
Quant open1
Worst price8.70
Drawdown as % of equity-0.26%
$399
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 9:58 SPXW2420B5040 SPX Feb20'24 5040 call SHORT 1 6.70 2/21 8:05 0.00 0.39%
Trade id #147354572
Max drawdown($710)
Time2/16/24 14:10
Quant open1
Worst price13.80
Drawdown as % of equity-0.39%
$669
Includes Typical Broker Commissions trade costs of $1.00
2/16/24 9:54 SPXW2420B5100 SPX Feb20'24 5100 call LONG 1 0.40 2/21 8:05 0.00 0.02%
Trade id #147354475
Max drawdown($35)
Time2/19/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.02%
($41)
Includes Typical Broker Commissions trade costs of $1.00
2/15/24 15:05 SPXW2420B5055 SPX Feb20'24 5055 call SHORT 1 9.70 2/21 8:05 0.00 0.19%
Trade id #147348765
Max drawdown($360)
Time2/16/24 0:00
Quant open1
Worst price13.30
Drawdown as % of equity-0.19%
$969
Includes Typical Broker Commissions trade costs of $1.00
2/15/24 14:58 SPXW2420B5110 SPX Feb20'24 5110 call LONG 1 1.20 2/21 8:05 0.00 0.06%
Trade id #147348666
Max drawdown($115)
Time2/16/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.06%
($121)
Includes Typical Broker Commissions trade costs of $1.00
2/15/24 9:55 SPXW2416B5090 SPX Feb16'24 5090 call LONG 1 0.40 2/17 9:35 0.00 0.02%
Trade id #147343491
Max drawdown($35)
Time2/16/24 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.02%
($41)
Includes Typical Broker Commissions trade costs of $1.00
2/14/24 14:58 SPXW2416B5060 SPX Feb16'24 5060 call LONG 1 1.05 2/17 9:35 0.00 n/a ($106)
Includes Typical Broker Commissions trade costs of $1.00
2/14/24 15:02 SPXW2416B5005 SPX Feb16'24 5005 call SHORT 1 9.80 2/17 9:35 0.57 1.54%
Trade id #147337867
Max drawdown($2,955)
Time2/16/24 0:00
Quant open1
Worst price39.35
Drawdown as % of equity-1.54%
$921
Includes Typical Broker Commissions trade costs of $2.00
2/15/24 9:57 SPXW2416B5040 SPX Feb16'24 5040 call SHORT 1 5.00 2/17 9:35 0.00 0.48%
Trade id #147343568
Max drawdown($920)
Time2/16/24 0:00
Quant open1
Worst price14.20
Drawdown as % of equity-0.48%
$499
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    1/28/2022
  • Suggested Minimum Cap
    $199,950
  • Strategy Age (days)
    781.54
  • Age
    26 months ago
  • What it trades
    Options
  • # Trades
    2240
  • # Profitable
    1051
  • % Profitable
    46.90%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    30.53%
  • drawdown period
    May 24, 2023 - Feb 23, 2024
  • Annual Return (Compounded)
    -5.9%
  • Avg win
    $289.36
  • Avg loss
    $269.86
  • Model Account Values (Raw)
  • Cash
    $183,202
  • Margin Used
    $0
  • Buying Power
    $183,202
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    -0.42
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    -0.158
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -27.87%
  • Correlation to SP500
    -0.07050
  • Return Percent SP500 (cumu) during strategy life
    18.43%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.9%
  • Slump
  • Current Slump as Pcnt Equity
    40.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.39%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    30.47%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.059%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    94.00%
  • Chance of 20% account loss
    48.50%
  • Chance of 30% account loss
    8.50%
  • 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
    27.40%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    777
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    495
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $270
  • Avg Win
    $289
  • Sum Trade PL (losers)
    $320,867.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $304,113.000
  • # Winners
    1051
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    6
  • Win / Loss
  • # Losers
    1189
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    6083.38
  • Avg Position Time (hrs)
    101.39
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    21
  • Leverage
  • Daily leverage (average)
    7.91
  • Daily leverage (max)
    47.38
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.05
  • Treynor Index
    0.38
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -13.355
  • 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
    0.755
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.144
  • Hold-and-Hope Ratio
    -0.075
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04442
  • SD
    0.15075
  • Sharpe ratio (Glass type estimate)
    -0.29465
  • Sharpe ratio (Hedges UMVUE)
    -0.28492
  • df
    23.00000
  • t
    -0.41669
  • p
    0.65962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10343
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33992
  • Upside Potential Ratio
    1.01739
  • Upside part of mean
    0.13294
  • Downside part of mean
    -0.17736
  • Upside SD
    0.06976
  • Downside SD
    0.13067
  • N nonnegative terms
    11.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.04628
  • Mean of criterion
    -0.04442
  • SD of predictor
    0.16601
  • SD of criterion
    0.15075
  • Covariance
    -0.00486
  • r
    -0.19430
  • b (slope, estimate of beta)
    -0.17644
  • a (intercept, estimate of alpha)
    -0.03625
  • Mean Square Error
    0.02286
  • DF error
    22.00000
  • t(b)
    -0.92906
  • p(b)
    0.81853
  • t(a)
    -0.33793
  • p(a)
    0.63069
  • Lowerbound of 95% confidence interval for beta
    -0.57028
  • Upperbound of 95% confidence interval for beta
    0.21741
  • Lowerbound of 95% confidence interval for alpha
    -0.25872
  • Upperbound of 95% confidence interval for alpha
    0.18622
  • Treynor index (mean / b)
    0.25174
  • Jensen alpha (a)
    -0.03625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05607
  • SD
    0.15885
  • Sharpe ratio (Glass type estimate)
    -0.35300
  • Sharpe ratio (Hedges UMVUE)
    -0.34134
  • df
    23.00000
  • t
    -0.49922
  • p
    0.68882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04040
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04807
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39853
  • Upside Potential Ratio
    0.92590
  • Upside part of mean
    0.13028
  • Downside part of mean
    -0.18635
  • Upside SD
    0.06816
  • Downside SD
    0.14070
  • N nonnegative terms
    11.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.03296
  • Mean of criterion
    -0.05607
  • SD of predictor
    0.16579
  • SD of criterion
    0.15885
  • Covariance
    -0.00525
  • r
    -0.19937
  • b (slope, estimate of beta)
    -0.19103
  • a (intercept, estimate of alpha)
    -0.04978
  • Mean Square Error
    0.02533
  • DF error
    22.00000
  • t(b)
    -0.95427
  • p(b)
    0.82484
  • t(a)
    -0.44155
  • p(a)
    0.66844
  • Lowerbound of 95% confidence interval for beta
    -0.60618
  • Upperbound of 95% confidence interval for beta
    0.22412
  • Lowerbound of 95% confidence interval for alpha
    -0.28358
  • Upperbound of 95% confidence interval for alpha
    0.18402
  • Treynor index (mean / b)
    0.29354
  • Jensen alpha (a)
    -0.04978
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07698
  • Expected Shortfall on VaR
    0.09436
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03523
  • Expected Shortfall on VaR
    0.07443
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.83725
  • Quartile 1
    0.99331
  • Median
    1.00075
  • Quartile 3
    1.02223
  • Maximum
    1.05953
  • Mean of quarter 1
    0.94852
  • Mean of quarter 2
    0.99716
  • Mean of quarter 3
    1.00940
  • Mean of quarter 4
    1.03943
  • Inter Quartile Range
    0.02891
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.89129
  • 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)
    -0.26016
  • VaR(95%) (moments method)
    0.02546
  • Expected Shortfall (moments method)
    0.03405
  • Extreme Value Index (regression method)
    0.50184
  • VaR(95%) (regression method)
    0.07023
  • Expected Shortfall (regression method)
    0.18764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00352
  • Median
    0.02408
  • Quartile 3
    0.08999
  • Maximum
    0.22948
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00466
  • Mean of quarter 3
    0.04349
  • Mean of quarter 4
    0.22948
  • Inter Quartile Range
    0.08648
  • 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
    0.22948
  • 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)
    -0.02739
  • Compounded annual return (geometric extrapolation)
    -0.02777
  • Calmar ratio (compounded annual return / max draw down)
    -0.12103
  • Compounded annual return / average of 25% largest draw downs
    -0.12103
  • Compounded annual return / Expected Shortfall lognormal
    -0.29434
  • 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
    -0.06278
  • SD
    0.13549
  • Sharpe ratio (Glass type estimate)
    -0.46336
  • Sharpe ratio (Hedges UMVUE)
    -0.46271
  • df
    532.00000
  • t
    -0.66090
  • p
    0.74552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91125
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83714
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91173
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52594
  • Upside Potential Ratio
    3.55364
  • Upside part of mean
    0.42420
  • Downside part of mean
    -0.48698
  • Upside SD
    0.06395
  • Downside SD
    0.11937
  • N nonnegative terms
    197.00000
  • N negative terms
    336.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    533.00000
  • Mean of predictor
    0.06316
  • Mean of criterion
    -0.06278
  • SD of predictor
    0.19230
  • SD of criterion
    0.13549
  • Covariance
    -0.00174
  • r
    -0.06682
  • b (slope, estimate of beta)
    -0.04708
  • a (intercept, estimate of alpha)
    -0.06000
  • Mean Square Error
    0.01831
  • DF error
    531.00000
  • t(b)
    -1.54315
  • p(b)
    0.93830
  • t(a)
    -0.63028
  • p(a)
    0.73561
  • Lowerbound of 95% confidence interval for beta
    -0.10701
  • Upperbound of 95% confidence interval for beta
    0.01285
  • Lowerbound of 95% confidence interval for alpha
    -0.24621
  • Upperbound of 95% confidence interval for alpha
    0.12660
  • Treynor index (mean / b)
    1.33353
  • Jensen alpha (a)
    -0.05981
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07221
  • SD
    0.13839
  • Sharpe ratio (Glass type estimate)
    -0.52174
  • Sharpe ratio (Hedges UMVUE)
    -0.52100
  • df
    532.00000
  • t
    -0.74416
  • p
    0.77145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85350
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58745
  • Upside Potential Ratio
    3.43435
  • Upside part of mean
    0.42213
  • Downside part of mean
    -0.49434
  • Upside SD
    0.06347
  • Downside SD
    0.12291
  • N nonnegative terms
    197.00000
  • N negative terms
    336.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    533.00000
  • Mean of predictor
    0.04468
  • Mean of criterion
    -0.07221
  • SD of predictor
    0.19241
  • SD of criterion
    0.13839
  • Covariance
    -0.00176
  • r
    -0.06608
  • b (slope, estimate of beta)
    -0.04753
  • a (intercept, estimate of alpha)
    -0.07008
  • Mean Square Error
    0.01911
  • DF error
    531.00000
  • t(b)
    -1.52614
  • p(b)
    0.93622
  • t(a)
    -0.72310
  • p(a)
    0.76503
  • Lowerbound of 95% confidence interval for beta
    -0.10872
  • Upperbound of 95% confidence interval for beta
    0.01365
  • Lowerbound of 95% confidence interval for alpha
    -0.26047
  • Upperbound of 95% confidence interval for alpha
    0.12031
  • Treynor index (mean / b)
    1.51909
  • Jensen alpha (a)
    -0.07008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01424
  • Expected Shortfall on VaR
    0.01775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.01086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    533.00000
  • Minimum
    0.90438
  • Quartile 1
    0.99997
  • Median
    1.00000
  • Quartile 3
    1.00158
  • Maximum
    1.03212
  • Mean of quarter 1
    0.99287
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00036
  • Mean of quarter 4
    1.00630
  • Inter Quartile Range
    0.00161
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.12570
  • Mean of outliers low
    0.98633
  • Number of outliers high
    83.00000
  • Percentage of outliers high
    0.15572
  • Mean of outliers high
    1.00855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54898
  • VaR(95%) (moments method)
    0.00363
  • Expected Shortfall (moments method)
    0.01085
  • Extreme Value Index (regression method)
    0.45042
  • VaR(95%) (regression method)
    0.00601
  • Expected Shortfall (regression method)
    0.01640
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00061
  • Median
    0.00298
  • Quartile 3
    0.00705
  • Maximum
    0.27366
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00159
  • Mean of quarter 3
    0.00490
  • Mean of quarter 4
    0.07655
  • Inter Quartile Range
    0.00644
  • 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
    0.16667
  • Mean of outliers high
    0.12204
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.22390
  • VaR(95%) (moments method)
    0.06364
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.98044
  • VaR(95%) (regression method)
    0.14539
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04236
  • Compounded annual return (geometric extrapolation)
    -0.04333
  • Calmar ratio (compounded annual return / max draw down)
    -0.15834
  • Compounded annual return / average of 25% largest draw downs
    -0.56608
  • Compounded annual return / Expected Shortfall lognormal
    -2.44159
  • 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
    -0.46088
  • SD
    0.23669
  • Sharpe ratio (Glass type estimate)
    -1.94721
  • Sharpe ratio (Hedges UMVUE)
    -1.93596
  • df
    130.00000
  • t
    -1.37689
  • p
    0.55995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.72548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83831
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.71774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84582
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.11091
  • Upside Potential Ratio
    3.03339
  • Upside part of mean
    0.66229
  • Downside part of mean
    -1.12316
  • Upside SD
    0.09346
  • Downside SD
    0.21833
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28665
  • Mean of criterion
    -0.46088
  • SD of predictor
    0.12064
  • SD of criterion
    0.23669
  • Covariance
    -0.00676
  • r
    -0.23676
  • b (slope, estimate of beta)
    -0.46450
  • a (intercept, estimate of alpha)
    -0.32773
  • Mean Square Error
    0.05329
  • DF error
    129.00000
  • t(b)
    -2.76779
  • p(b)
    0.64931
  • t(a)
    -0.99314
  • p(a)
    0.55539
  • Lowerbound of 95% confidence interval for beta
    -0.79654
  • Upperbound of 95% confidence interval for beta
    -0.13246
  • Lowerbound of 95% confidence interval for alpha
    -0.98062
  • Upperbound of 95% confidence interval for alpha
    0.32517
  • Treynor index (mean / b)
    0.99221
  • Jensen alpha (a)
    -0.32773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49006
  • SD
    0.24309
  • Sharpe ratio (Glass type estimate)
    -2.01602
  • Sharpe ratio (Hedges UMVUE)
    -2.00437
  • df
    130.00000
  • t
    -1.42554
  • p
    0.56203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.79488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.78686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77813
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.17052
  • Upside Potential Ratio
    2.91387
  • Upside part of mean
    0.65790
  • Downside part of mean
    -1.14797
  • Upside SD
    0.09262
  • Downside SD
    0.22578
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27926
  • Mean of criterion
    -0.49006
  • SD of predictor
    0.12055
  • SD of criterion
    0.24309
  • Covariance
    -0.00685
  • r
    -0.23392
  • b (slope, estimate of beta)
    -0.47170
  • a (intercept, estimate of alpha)
    -0.35834
  • Mean Square Error
    0.05629
  • DF error
    129.00000
  • t(b)
    -2.73260
  • p(b)
    0.64755
  • t(a)
    -1.05712
  • p(a)
    0.55891
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.81322
  • Upperbound of 95% confidence interval for beta
    -0.13017
  • Lowerbound of 95% confidence interval for alpha
    -1.02901
  • Upperbound of 95% confidence interval for alpha
    0.31233
  • Treynor index (mean / b)
    1.03894
  • Jensen alpha (a)
    -0.35834
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02622
  • Expected Shortfall on VaR
    0.03230
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01103
  • Expected Shortfall on VaR
    0.02412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90438
  • Quartile 1
    0.99983
  • Median
    1.00000
  • Quartile 3
    1.00190
  • Maximum
    1.03212
  • Mean of quarter 1
    0.98325
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00060
  • Mean of quarter 4
    1.00962
  • Inter Quartile Range
    0.00207
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.97909
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.01205
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.91540
  • VaR(95%) (moments method)
    0.00197
  • Expected Shortfall (moments method)
    0.00222
  • Extreme Value Index (regression method)
    0.37976
  • VaR(95%) (regression method)
    0.01362
  • Expected Shortfall (regression method)
    0.03171
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00436
  • Median
    0.00826
  • Quartile 3
    0.12792
  • Maximum
    0.24757
  • Mean of quarter 1
    0.00046
  • Mean of quarter 2
    0.00826
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24757
  • Inter Quartile Range
    0.12356
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365898000
  • Max Equity Drawdown (num days)
    275
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.41265
  • Compounded annual return (geometric extrapolation)
    -0.37008
  • Calmar ratio (compounded annual return / max draw down)
    -1.49481
  • Compounded annual return / average of 25% largest draw downs
    -1.49481
  • Compounded annual return / Expected Shortfall lognormal
    -11.45770

Strategy Description

This is an option strategy on SPX. The strategy sells call and put options on the SPY and $SPX, using a timing model, selling options both naked and as credit spreads. There are a variety of option timings, from 1-day to 1-month. Occasionally an option on SPY, $SPX or $VIX will be purchased long to cover short term risk.

The average (Annual return/average Drawdown) Ratio is over 10 (back-test average over the previous 14 years). I am managing the trades for an expected average Annual Drawdown of ~13%. (Max DD about 25%). The strategy is "in the market" about 40% of the days, and out 60%. By comparison, this return/DD ratio for holding the S&P is 0.77 in this same period.

You must follow at 100%. If you don't, you will miss all trades. As the strategy trades naked options as well as credit spreads, you must have level 5 permission from your broker in order to follow.

(July 2023) (Finally,) I am now trading the model automatically with an API. I no longer enter any trades manually. I still must (occasionally) manually close out SPY options prior to assignment, and must close out assigned positions if I miss the manual close.

If you want to contact me try [email protected] or 617-592-8379. I read messages on C2 very infrequently.

CAVEAT EMPTOR

Summary Statistics

Strategy began
2022-01-28
Suggested Minimum Capital
$35,000
# Trades
2240
# Profitable
1051
% Profitable
46.9%
Net Dividends
Correlation S&P500
-0.070
Sharpe Ratio
-0.42
Sortino Ratio
-0.48
Beta
-0.05
Alpha
-0.02
Leverage
7.91 Average
47.38 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.