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This is an archived track record. This track record was archived on 2/22/21 20:10 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

VolatilityTrader
(100722273)

Created by: VixTrader VixTrader
Started: 03/2016
Options
Last trade: 154 days ago
Trading style: Options Premium Collecting Volatility Long / Short

Subscription terms. Subscriptions to this system cost $299.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
33.0%
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.

(85.3%)
Max Drawdown
3066
Num Trades
92.7%
Win Trades
1.1 : 1
Profit Factor
56.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016              (4.4%)+19.3%+40.3%+55.2%+45.2%+11.9%+15.2%(7.7%)+24.6%+4.4%+458.1%
2017(28.3%)(28%)+23.1%+11.4%+7.1%+10.7%(11.4%)+27.8%+11.3%+5.2%(3.1%)+10.4%+19.1%
2018+6.2%+27.3%(2.3%)+7.2%+8.2%(6.4%)+19.9%(5.8%)+4.8%(5.2%)+8.7%(36.7%)+10.8%
2019+21.0%+12.1%+8.4%(3.2%)(4.1%)+8.0%+6.9%  -  +11.1%+2.3%(9.6%)(1.4%)+59.5%
2020(11.6%)+2.3%(9.8%)+25.3%+20.1%+14.1%+14.0%(12.4%)(12.6%)+24.2%(66.1%)(30%)(64%)
2021(16%)+16.5%  -    -    -    -    -                                (2.1%)

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 24 hours.

Trading Record

This strategy has placed 4,959 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 154 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/21 10:22 ROKU2126N425 ROKU Feb26'21 425 put SHORT 4 1.00 2/22 20:10 8.00 0.7%
Trade id #134193358
Max drawdown($2,928)
Time2/22/21 15:55
Quant open4
Worst price8.32
Drawdown as % of equity-0.70%
($2,806)
Includes Typical Broker Commissions trade costs of $5.60
2/22/21 10:20 JD2126B107 JD Feb26'21 107 call SHORT 6 0.47 2/22 20:10 0.30 0%
Trade id #134193283
Max drawdown($6)
Time2/22/21 10:27
Quant open6
Worst price0.48
Drawdown as % of equity-0.00%
$94
Includes Typical Broker Commissions trade costs of $8.40
2/22/21 10:15 QS2126B90 QS Feb26'21 90 call SHORT 15 0.45 2/22 20:10 0.40 0.23%
Trade id #134193069
Max drawdown($975)
Time2/22/21 14:42
Quant open15
Worst price1.10
Drawdown as % of equity-0.23%
$54
Includes Typical Broker Commissions trade costs of $21.00
2/22/21 10:06 ROKU2126B600 ROKU Feb26'21 600 call SHORT 7 0.56 2/22 20:10 0.07 n/a $333
Includes Typical Broker Commissions trade costs of $9.80
2/22/21 9:59 JD2126N96 JD Feb26'21 96 put SHORT 10 0.40 2/22 20:10 1.50 0.26%
Trade id #134192416
Max drawdown($1,100)
Time2/22/21 15:59
Quant open10
Worst price1.50
Drawdown as % of equity-0.26%
($1,114)
Includes Typical Broker Commissions trade costs of $14.00
2/22/21 9:56 TTD2126B960 TTD Feb26'21 960 call SHORT 1 4.00 2/22 20:10 1.12 0.02%
Trade id #134192275
Max drawdown($97)
Time2/22/21 10:16
Quant open1
Worst price4.97
Drawdown as % of equity-0.02%
$286
Includes Typical Broker Commissions trade costs of $2.00
2/22/21 9:53 ZM2126B442.5 ZM Feb26'21 442.5 call SHORT 2 2.00 2/22 20:10 0.85 0.01%
Trade id #134192188
Max drawdown($60)
Time2/22/21 10:05
Quant open2
Worst price2.30
Drawdown as % of equity-0.01%
$227
Includes Typical Broker Commissions trade costs of $2.80
2/22/21 9:52 BIDU2126B410 BIDU Feb26'21 410 call SHORT 4 1.00 2/22 20:10 0.70 0.3%
Trade id #134192160
Max drawdown($1,244)
Time2/22/21 10:10
Quant open4
Worst price4.11
Drawdown as % of equity-0.30%
$114
Includes Typical Broker Commissions trade costs of $5.60
2/22/21 9:45 WYNN2126B135 WYNN Feb26'21 135 call SHORT 8 0.55 2/22 20:10 0.55 0.28%
Trade id #134191629
Max drawdown($1,160)
Time2/22/21 12:27
Quant open8
Worst price2.00
Drawdown as % of equity-0.28%
($11)
Includes Typical Broker Commissions trade costs of $11.20
2/22/21 9:44 WYNN2126N118 WYNN Feb26'21 118 put SHORT 8 0.50 2/22 20:10 0.23 n/a $205
Includes Typical Broker Commissions trade costs of $11.20
2/22/21 9:38 BIDU2126N280 BIDU Feb26'21 280 put SHORT 4 1.10 2/22 20:10 0.63 0.02%
Trade id #134191284
Max drawdown($76)
Time2/22/21 9:48
Quant open4
Worst price1.29
Drawdown as % of equity-0.02%
$182
Includes Typical Broker Commissions trade costs of $5.60
2/22/21 9:38 TTD2126N840 TTD Feb26'21 840 put SHORT 1 4.00 2/22 20:10 16.00 0.33%
Trade id #134191273
Max drawdown($1,380)
Time2/22/21 11:14
Quant open1
Worst price17.80
Drawdown as % of equity-0.33%
($1,202)
Includes Typical Broker Commissions trade costs of $2.00
2/22/21 9:35 QS2126N60 QS Feb26'21 60 put SHORT 5 2.25 2/22 20:10 2.03 n/a $103
Includes Typical Broker Commissions trade costs of $7.00
2/19/21 15:59 AAPL2126N126 AAPL Feb26'21 126 put SHORT 10 0.54 2/22 20:10 1.88 0.43%
Trade id #134169456
Max drawdown($1,826)
Time2/22/21 10:58
Quant open10
Worst price2.37
Drawdown as % of equity-0.43%
($1,350)
Includes Typical Broker Commissions trade costs of $14.00
2/19/21 15:56 ZM2126N395 ZM Feb26'21 395 put SHORT 2 3.71 2/22 20:10 11.40 0.42%
Trade id #134169340
Max drawdown($1,757)
Time2/22/21 15:42
Quant open2
Worst price12.50
Drawdown as % of equity-0.42%
($1,540)
Includes Typical Broker Commissions trade costs of $2.80
2/18/21 15:42 QS2126B100 QS Feb26'21 100 call SHORT 15 1.40 2/22 20:10 0.19 0.05%
Trade id #134144216
Max drawdown($225)
Time2/18/21 15:46
Quant open15
Worst price1.55
Drawdown as % of equity-0.05%
$1,794
Includes Typical Broker Commissions trade costs of $21.00
1/20/21 9:30 QS QUANTUMSCAPE CORP LONG 1,500 58.76 2/22 20:10 64.76 7.66%
Trade id #133479671
Max drawdown($27,203)
Time2/1/21 0:00
Quant open1,500
Worst price40.62
Drawdown as % of equity-7.66%
$8,994
Includes Typical Broker Commissions trade costs of $13.00
2/22/21 9:33 TSLA2126N680 TSLA Feb26'21 680 put SHORT 1 4.00 2/22 15:55 11.49 n/a ($751)
Includes Typical Broker Commissions trade costs of $2.00
2/18/21 11:14 TWLO2119N425 TWLO Feb19'21 425 put SHORT 2 2.25 2/20 9:36 0.00 0.07%
Trade id #134135897
Max drawdown($290)
Time2/19/21 0:00
Quant open2
Worst price3.70
Drawdown as % of equity-0.07%
$449
Includes Typical Broker Commissions trade costs of $1.40
2/18/21 11:12 QS2119B90 QS Feb19'21 90 call SHORT 15 0.28 2/20 9:36 0.00 0.13%
Trade id #134135825
Max drawdown($555)
Time2/18/21 14:48
Quant open15
Worst price0.65
Drawdown as % of equity-0.13%
$410
Includes Typical Broker Commissions trade costs of $10.50
2/16/21 15:49 QS2119N42 QS Feb19'21 42 put SHORT 15 0.44 2/20 9:36 0.00 0.04%
Trade id #134093900
Max drawdown($165)
Time2/16/21 15:59
Quant open15
Worst price0.55
Drawdown as % of equity-0.04%
$650
Includes Typical Broker Commissions trade costs of $10.50
2/18/21 11:29 QS2119B95 QS Feb19'21 95 call SHORT 15 0.25 2/20 9:36 0.00 0.07%
Trade id #134136585
Max drawdown($300)
Time2/18/21 14:51
Quant open15
Worst price0.45
Drawdown as % of equity-0.07%
$365
Includes Typical Broker Commissions trade costs of $10.50
2/16/21 15:46 TSLA2119N745 TSLA Feb19'21 745 put SHORT 1 3.75 2/20 9:35 0.00 0.21%
Trade id #134093802
Max drawdown($814)
Time2/17/21 0:00
Quant open1
Worst price11.89
Drawdown as % of equity-0.21%
$374
Includes Typical Broker Commissions trade costs of $1.00
2/16/21 15:53 DOCU2119N250 DOCU Feb19'21 250 put SHORT 6 0.60 2/20 9:35 0.00 0.58%
Trade id #134094037
Max drawdown($2,250)
Time2/17/21 0:00
Quant open6
Worst price4.35
Drawdown as % of equity-0.58%
$356
Includes Typical Broker Commissions trade costs of $4.20
2/16/21 15:47 AAPL2119N130 AAPL Feb19'21 130 put SHORT 10 0.41 2/19 15:59 0.14 0.63%
Trade id #134093832
Max drawdown($2,490)
Time2/18/21 0:00
Quant open10
Worst price2.90
Drawdown as % of equity-0.63%
$252
Includes Typical Broker Commissions trade costs of $14.00
2/16/21 15:58 ZM2119N420 ZM Feb19'21 420 put SHORT 2 1.70 2/19 15:56 2.81 0.4%
Trade id #134094258
Max drawdown($1,566)
Time2/18/21 0:00
Quant open2
Worst price9.53
Drawdown as % of equity-0.40%
($226)
Includes Typical Broker Commissions trade costs of $2.80
1/8/21 10:11 TSLA2112B930 TSLA Feb12'21 930 call SHORT 8 57.80 2/13 9:35 9.27 4.32%
Trade id #133272531
Max drawdown($14,844)
Time1/8/21 12:50
Quant open8
Worst price76.35
Drawdown as % of equity-4.32%
$38,814
Includes Typical Broker Commissions trade costs of $6.60
2/8/21 10:31 TSLA2112N760 TSLA Feb12'21 760 put SHORT 7 2.20 2/13 9:35 0.00 1.65%
Trade id #133913357
Max drawdown($6,160)
Time2/10/21 0:00
Quant open7
Worst price11.00
Drawdown as % of equity-1.65%
$1,535
Includes Typical Broker Commissions trade costs of $4.90
2/2/21 15:06 TSLA2105N800 TSLA Feb5'21 800 put SHORT 6 1.83 2/6 9:35 0.00 0.18%
Trade id #133802504
Max drawdown($680)
Time2/4/21 0:00
Quant open6
Worst price2.96
Drawdown as % of equity-0.18%
$1,092
Includes Typical Broker Commissions trade costs of $4.50
1/28/21 14:44 TSLA2105N750 TSLA Feb5'21 750 put SHORT 1 3.85 2/6 9:35 0.00 0.57%
Trade id #133676337
Max drawdown($2,028)
Time1/29/21 0:00
Quant open1
Worst price24.13
Drawdown as % of equity-0.57%
$384
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    3/7/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1962.61
  • Age
    66 months ago
  • What it trades
    Options
  • # Trades
    3066
  • # Profitable
    2841
  • % Profitable
    92.70%
  • Avg trade duration
    11.9 days
  • Max peak-to-valley drawdown
    85.29%
  • drawdown period
    Sept 08, 2020 - Jan 08, 2021
  • Annual Return (Compounded)
    33.0%
  • Avg win
    $1,954
  • Avg loss
    $23,092
  • Model Account Values (Raw)
  • Cash
    $490,910
  • Margin Used
    $0
  • Buying Power
    $490,910
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.85
  • Calmar Ratio
    0.468
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    220.35%
  • Correlation to SP500
    0.26520
  • Return Percent SP500 (cumu) during strategy life
    120.92%
  • Return Statistics
  • Ann Return (w trading costs)
    33.0%
  • Slump
  • Current Slump as Pcnt Equity
    458.70%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    32.77%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.330%
  • Instruments
  • Percent Trades Options
    0.82%
  • Percent Trades Stocks
    0.18%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.50%
  • Chance of 20% account loss
    33.00%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    5.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.59%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    819
  • Popularity (Last 6 weeks)
    959
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    858
  • 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
    $23,093
  • Avg Win
    $1,954
  • Sum Trade PL (losers)
    $5,195,900.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $5,551,620.000
  • # Winners
    2841
  • Num Months Winners
    37
  • Dividends
  • Dividends Received in Model Acct
    35212
  • Win / Loss
  • # Losers
    225
  • % Winners
    92.7%
  • Frequency
  • Avg Position Time (mins)
    17190.20
  • Avg Position Time (hrs)
    286.50
  • Avg Trade Length
    11.9 days
  • Last Trade Ago
    149
  • Leverage
  • Daily leverage (average)
    3.91
  • Daily leverage (max)
    45.35
  • Regression
  • Alpha
    0.08
  • Beta
    0.85
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.57
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    62.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -50.041
  • 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
    0.15
  • Avg(MAE) / Avg(PL) - Winning trades
    1.629
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.369
  • Hold-and-Hope Ratio
    -0.020
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51725
  • SD
    0.62009
  • Sharpe ratio (Glass type estimate)
    0.83415
  • Sharpe ratio (Hedges UMVUE)
    0.82293
  • df
    56.00000
  • t
    1.81799
  • p
    0.03721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08187
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73505
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36386
  • Upside Potential Ratio
    2.64648
  • Upside part of mean
    1.00368
  • Downside part of mean
    -0.48644
  • Upside SD
    0.50619
  • Downside SD
    0.37925
  • N nonnegative terms
    39.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.11816
  • Mean of criterion
    0.51725
  • SD of predictor
    0.14337
  • SD of criterion
    0.62009
  • Covariance
    0.00278
  • r
    0.03131
  • b (slope, estimate of beta)
    0.13542
  • a (intercept, estimate of alpha)
    0.50125
  • Mean Square Error
    0.39111
  • DF error
    55.00000
  • t(b)
    0.23231
  • p(b)
    0.40858
  • t(a)
    1.69856
  • p(a)
    0.04753
  • Lowerbound of 95% confidence interval for beta
    -1.03277
  • Upperbound of 95% confidence interval for beta
    1.30361
  • Lowerbound of 95% confidence interval for alpha
    -0.09015
  • Upperbound of 95% confidence interval for alpha
    1.09264
  • Treynor index (mean / b)
    3.81963
  • Jensen alpha (a)
    0.50125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29575
  • SD
    0.70261
  • Sharpe ratio (Glass type estimate)
    0.42092
  • Sharpe ratio (Hedges UMVUE)
    0.41526
  • df
    56.00000
  • t
    0.91739
  • p
    0.18144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48731
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31784
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53483
  • Upside Potential Ratio
    1.62406
  • Upside part of mean
    0.89805
  • Downside part of mean
    -0.60231
  • Upside SD
    0.43188
  • Downside SD
    0.55297
  • N nonnegative terms
    39.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    57.00000
  • Mean of predictor
    0.10724
  • Mean of criterion
    0.29575
  • SD of predictor
    0.14395
  • SD of criterion
    0.70261
  • Covariance
    -0.00336
  • r
    -0.03325
  • b (slope, estimate of beta)
    -0.16229
  • a (intercept, estimate of alpha)
    0.31315
  • Mean Square Error
    0.50208
  • DF error
    55.00000
  • t(b)
    -0.24672
  • p(b)
    0.59698
  • t(a)
    0.94129
  • p(a)
    0.17534
  • Lowerbound of 95% confidence interval for beta
    -1.48050
  • Upperbound of 95% confidence interval for beta
    1.15593
  • Lowerbound of 95% confidence interval for alpha
    -0.35356
  • Upperbound of 95% confidence interval for alpha
    0.97986
  • Treynor index (mean / b)
    -1.82240
  • Jensen alpha (a)
    0.31315
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26580
  • Expected Shortfall on VaR
    0.32361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06539
  • Expected Shortfall on VaR
    0.15339
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    57.00000
  • Minimum
    0.34240
  • Quartile 1
    0.98596
  • Median
    1.03897
  • Quartile 3
    1.12250
  • Maximum
    1.59360
  • Mean of quarter 1
    0.84993
  • Mean of quarter 2
    1.01763
  • Mean of quarter 3
    1.07949
  • Mean of quarter 4
    1.24864
  • Inter Quartile Range
    0.13654
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.63156
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    1.43950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.63363
  • VaR(95%) (moments method)
    0.05890
  • Expected Shortfall (moments method)
    0.06113
  • Extreme Value Index (regression method)
    -0.02770
  • VaR(95%) (regression method)
    0.16915
  • Expected Shortfall (regression method)
    0.25891
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.06203
  • Quartile 1
    0.12446
  • Median
    0.27196
  • Quartile 3
    0.35302
  • Maximum
    0.75854
  • Mean of quarter 1
    0.07154
  • Mean of quarter 2
    0.25469
  • Mean of quarter 3
    0.28922
  • Mean of quarter 4
    0.56641
  • Inter Quartile Range
    0.22856
  • 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
    0.16667
  • Mean of outliers high
    0.75854
  • 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)
    0.76890
  • Compounded annual return (geometric extrapolation)
    0.38217
  • Calmar ratio (compounded annual return / max draw down)
    0.50382
  • Compounded annual return / average of 25% largest draw downs
    0.67472
  • Compounded annual return / Expected Shortfall lognormal
    1.18095
  • 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
    0.47769
  • SD
    0.58928
  • Sharpe ratio (Glass type estimate)
    0.81062
  • Sharpe ratio (Hedges UMVUE)
    0.81014
  • df
    1262.00000
  • t
    1.77980
  • p
    0.47498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70372
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70338
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17147
  • Upside Potential Ratio
    7.92681
  • Upside part of mean
    3.23228
  • Downside part of mean
    -2.75460
  • Upside SD
    0.42612
  • Downside SD
    0.40777
  • N nonnegative terms
    702.00000
  • N negative terms
    561.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1263.00000
  • Mean of predictor
    0.13002
  • Mean of criterion
    0.47769
  • SD of predictor
    0.19328
  • SD of criterion
    0.58928
  • Covariance
    0.02831
  • r
    0.24853
  • b (slope, estimate of beta)
    0.75774
  • a (intercept, estimate of alpha)
    0.35700
  • Mean Square Error
    0.32606
  • DF error
    1261.00000
  • t(b)
    9.11115
  • p(b)
    0.34343
  • t(a)
    1.45664
  • p(a)
    0.47391
  • Lowerbound of 95% confidence interval for beta
    0.59458
  • Upperbound of 95% confidence interval for beta
    0.92090
  • Lowerbound of 95% confidence interval for alpha
    -0.13151
  • Upperbound of 95% confidence interval for alpha
    0.88983
  • Treynor index (mean / b)
    0.63041
  • Jensen alpha (a)
    0.37916
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30365
  • SD
    0.59071
  • Sharpe ratio (Glass type estimate)
    0.51404
  • Sharpe ratio (Hedges UMVUE)
    0.51374
  • df
    1262.00000
  • t
    1.12862
  • p
    0.48412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40664
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70569
  • Upside Potential Ratio
    7.31419
  • Upside part of mean
    3.14722
  • Downside part of mean
    -2.84357
  • Upside SD
    0.40481
  • Downside SD
    0.43029
  • N nonnegative terms
    702.00000
  • N negative terms
    561.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1263.00000
  • Mean of predictor
    0.11119
  • Mean of criterion
    0.30365
  • SD of predictor
    0.19434
  • SD of criterion
    0.59071
  • Covariance
    0.02863
  • r
    0.24938
  • b (slope, estimate of beta)
    0.75802
  • a (intercept, estimate of alpha)
    0.21937
  • Mean Square Error
    0.32750
  • DF error
    1261.00000
  • t(b)
    9.14475
  • p(b)
    0.34290
  • t(a)
    0.84110
  • p(a)
    0.48493
  • Lowerbound of 95% confidence interval for beta
    0.59540
  • Upperbound of 95% confidence interval for beta
    0.92064
  • Lowerbound of 95% confidence interval for alpha
    -0.29230
  • Upperbound of 95% confidence interval for alpha
    0.73104
  • Treynor index (mean / b)
    0.40058
  • Jensen alpha (a)
    0.21937
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05717
  • Expected Shortfall on VaR
    0.07135
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02206
  • Expected Shortfall on VaR
    0.04695
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1263.00000
  • Minimum
    0.77364
  • Quartile 1
    0.98847
  • Median
    1.00231
  • Quartile 3
    1.01537
  • Maximum
    1.34274
  • Mean of quarter 1
    0.96180
  • Mean of quarter 2
    0.99664
  • Mean of quarter 3
    1.00838
  • Mean of quarter 4
    1.04092
  • Inter Quartile Range
    0.02690
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.05226
  • Mean of outliers low
    0.90997
  • Number of outliers high
    66.00000
  • Percentage of outliers high
    0.05226
  • Mean of outliers high
    1.08830
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43469
  • VaR(95%) (moments method)
    0.03710
  • Expected Shortfall (moments method)
    0.07607
  • Extreme Value Index (regression method)
    0.28036
  • VaR(95%) (regression method)
    0.03513
  • Expected Shortfall (regression method)
    0.06036
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00123
  • Quartile 1
    0.00891
  • Median
    0.03026
  • Quartile 3
    0.09594
  • Maximum
    0.81739
  • Mean of quarter 1
    0.00499
  • Mean of quarter 2
    0.01621
  • Mean of quarter 3
    0.04943
  • Mean of quarter 4
    0.24836
  • Inter Quartile Range
    0.08703
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.43965
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56650
  • VaR(95%) (moments method)
    0.28364
  • Expected Shortfall (moments method)
    0.69264
  • Extreme Value Index (regression method)
    0.65240
  • VaR(95%) (regression method)
    0.18931
  • Expected Shortfall (regression method)
    0.45020
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81829
  • Compounded annual return (geometric extrapolation)
    0.39314
  • Calmar ratio (compounded annual return / max draw down)
    0.48096
  • Compounded annual return / average of 25% largest draw downs
    1.58290
  • Compounded annual return / Expected Shortfall lognormal
    5.50970
  • 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
    -2.06498
  • SD
    1.11084
  • Sharpe ratio (Glass type estimate)
    -1.85894
  • Sharpe ratio (Hedges UMVUE)
    -1.84819
  • df
    130.00000
  • t
    -1.31447
  • p
    0.55726
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.63643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.62909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93270
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.43741
  • Upside Potential Ratio
    5.79495
  • Upside part of mean
    4.90950
  • Downside part of mean
    -6.97448
  • Upside SD
    0.72323
  • Downside SD
    0.84720
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36573
  • Mean of criterion
    -2.06498
  • SD of predictor
    0.17381
  • SD of criterion
    1.11084
  • Covariance
    -0.05652
  • r
    -0.29274
  • b (slope, estimate of beta)
    -1.87092
  • a (intercept, estimate of alpha)
    -1.38072
  • Mean Square Error
    1.13696
  • DF error
    129.00000
  • t(b)
    -3.47722
  • p(b)
    0.68367
  • t(a)
    -0.90793
  • p(a)
    0.55068
  • Lowerbound of 95% confidence interval for beta
    -2.93546
  • Upperbound of 95% confidence interval for beta
    -0.80637
  • Lowerbound of 95% confidence interval for alpha
    -4.38954
  • Upperbound of 95% confidence interval for alpha
    1.62809
  • Treynor index (mean / b)
    1.10373
  • Jensen alpha (a)
    -1.38072
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.69176
  • SD
    1.11774
  • Sharpe ratio (Glass type estimate)
    -2.40822
  • Sharpe ratio (Hedges UMVUE)
    -2.39430
  • df
    130.00000
  • t
    -1.70287
  • p
    0.57386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.19095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.18134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39275
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.95378
  • Upside Potential Ratio
    5.13259
  • Upside part of mean
    4.67730
  • Downside part of mean
    -7.36906
  • Upside SD
    0.66106
  • Downside SD
    0.91129
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35041
  • Mean of criterion
    -2.69176
  • SD of predictor
    0.17424
  • SD of criterion
    1.11774
  • Covariance
    -0.05400
  • r
    -0.27726
  • b (slope, estimate of beta)
    -1.77860
  • a (intercept, estimate of alpha)
    -2.06851
  • Mean Square Error
    1.16224
  • DF error
    129.00000
  • t(b)
    -3.27759
  • p(b)
    0.67422
  • t(a)
    -1.34631
  • p(a)
    0.57476
  • VAR (95 Confidence Intrvl)
    0.05700
  • Lowerbound of 95% confidence interval for beta
    -2.85225
  • Upperbound of 95% confidence interval for beta
    -0.70494
  • Lowerbound of 95% confidence interval for alpha
    -5.10839
  • Upperbound of 95% confidence interval for alpha
    0.97137
  • Treynor index (mean / b)
    1.51342
  • Jensen alpha (a)
    -2.06851
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11650
  • Expected Shortfall on VaR
    0.14134
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06185
  • Expected Shortfall on VaR
    0.11832
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.77364
  • Quartile 1
    0.96401
  • Median
    1.00001
  • Quartile 3
    1.02151
  • Maximum
    1.34274
  • Mean of quarter 1
    0.90790
  • Mean of quarter 2
    0.98664
  • Mean of quarter 3
    1.00845
  • Mean of quarter 4
    1.06640
  • Inter Quartile Range
    0.05750
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.83929
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.18909
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.06341
  • VaR(95%) (moments method)
    0.08606
  • Expected Shortfall (moments method)
    0.11319
  • Extreme Value Index (regression method)
    -0.03650
  • VaR(95%) (regression method)
    0.10053
  • Expected Shortfall (regression method)
    0.13698
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01224
  • Quartile 1
    0.06169
  • Median
    0.18106
  • Quartile 3
    0.41730
  • Maximum
    0.81739
  • Mean of quarter 1
    0.01224
  • Mean of quarter 2
    0.07817
  • Mean of quarter 3
    0.28394
  • Mean of quarter 4
    0.81739
  • Inter Quartile Range
    0.35561
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -322487000
  • Max Equity Drawdown (num days)
    122
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.47206
  • Compounded annual return (geometric extrapolation)
    -0.93032
  • Calmar ratio (compounded annual return / max draw down)
    -1.13815
  • Compounded annual return / average of 25% largest draw downs
    -1.13815
  • Compounded annual return / Expected Shortfall lognormal
    -6.58193

Strategy Description

Please don't get scaling less than 10% to ensure you get atleast 1 option contact. The minimum amount you should allocate to this strategy is $125k, $150k is recommended. I tend to buy/sell 10 contracts at a time. so anything less than 10% scaling will result in no trade for you. I pref Interactive Broker as your trading platform. Account must be able to short option writing(writing naked calls/puts). This strategy will try to limit max draw down to less than 25% and shoot for avg gain of 5% per month. Always looking for high volatile instrument to trade.

Summary Statistics

Strategy began
2016-03-07
Suggested Minimum Capital
$35,000
# Trades
3066
# Profitable
2841
% Profitable
92.7%
Net Dividends
Correlation S&P500
0.265
Sharpe Ratio
0.59
Sortino Ratio
0.85
Beta
0.85
Alpha
0.08
Leverage
3.91 Average
45.35 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.