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.

These are hypothetical performance results that have certain inherent limitations. Learn more

Credit Spread Master
(129951566)

Created by: MichaelIjeh MichaelIjeh
Started: 07/2020
Options
Last trade: 7 days ago
Trading style: Options Premium Collecting Directional Bets

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

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

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
8.3%
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.

(30.2%)
Max Drawdown
175
Num Trades
48.0%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +8.7%+8.0%(10.6%)(20.6%)+30.0%  -  +8.3%

Model Account Details

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

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

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

Trading Record

This strategy has placed 249 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 46 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/18/20 11:27 QQQ2027W277 QQQ Nov27'20 277 put LONG 3 0.57 11/24 13:16 0.03 1.52%
Trade id #132324778
Max drawdown($165)
Time11/24/20 11:44
Quant open3
Worst price0.02
Drawdown as % of equity-1.52%
($166)
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:27 QQQ2027W275 QQQ Nov27'20 275 put SHORT 3 0.44 11/24 13:16 0.04 0.42%
Trade id #132324780
Max drawdown($45)
Time11/19/20 0:00
Quant open3
Worst price0.59
Drawdown as % of equity-0.42%
$116
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:24 QQQ2018X264 QQQ Dec18'20 264 put LONG 3 1.71 11/24 13:16 0.97 2.04%
Trade id #132324700
Max drawdown($222)
Time11/24/20 13:10
Quant open3
Worst price0.97
Drawdown as % of equity-2.04%
($226)
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:24 QQQ2018X274 QQQ Dec18'20 274 put SHORT 3 2.94 11/24 13:16 1.85 1.58%
Trade id #132324703
Max drawdown($168)
Time11/19/20 0:00
Quant open3
Worst price3.50
Drawdown as % of equity-1.58%
$323
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:19 SPY2002X349 SPY Dec2'20 349 put LONG 5 1.63 11/24 13:13 0.55 4.81%
Trade id #132324596
Max drawdown($520)
Time11/24/20 11:49
Quant open5
Worst price0.59
Drawdown as % of equity-4.81%
($547)
Includes Typical Broker Commissions trade costs of $7.00
11/18/20 11:20 SPY2002X347 SPY Dec2'20 347 put SHORT 5 1.37 11/24 13:13 0.45 5.62%
Trade id #132324598
Max drawdown($598)
Time11/19/20 0:00
Quant open5
Worst price2.57
Drawdown as % of equity-5.62%
$455
Includes Typical Broker Commissions trade costs of $7.00
11/18/20 11:17 SPY2011X334 SPY Dec11'20 334 put LONG 3 1.36 11/24 13:13 0.77 1.61%
Trade id #132324522
Max drawdown($174)
Time11/24/20 12:54
Quant open3
Worst price0.78
Drawdown as % of equity-1.61%
($181)
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:17 SPY2011X346 SPY Dec11'20 346 put SHORT 3 2.56 11/24 13:13 1.61 3.69%
Trade id #132324524
Max drawdown($393)
Time11/19/20 0:00
Quant open3
Worst price3.87
Drawdown as % of equity-3.69%
$281
Includes Typical Broker Commissions trade costs of $4.20
11/18/20 11:32 SPXL2018X45 SPXL Dec18'20 45 put LONG 2 0.55 11/24 13:11 0.32 0.37%
Trade id #132324915
Max drawdown($40)
Time11/24/20 11:19
Quant open2
Worst price0.35
Drawdown as % of equity-0.37%
($49)
Includes Typical Broker Commissions trade costs of $2.80
11/18/20 11:32 SPXL2018X56 SPXL Dec18'20 56 put SHORT 2 1.59 11/24 13:11 1.24 1.65%
Trade id #132324918
Max drawdown($176)
Time11/19/20 0:00
Quant open2
Worst price2.47
Drawdown as % of equity-1.65%
$67
Includes Typical Broker Commissions trade costs of $2.80
11/10/20 12:29 SPY2018W341 SPY Nov18'20 341 put LONG 3 1.33 11/13 11:59 0.35 2.7%
Trade id #132180990
Max drawdown($291)
Time11/13/20 11:58
Quant open3
Worst price0.36
Drawdown as % of equity-2.70%
($298)
Includes Typical Broker Commissions trade costs of $4.20
11/10/20 12:29 SPY2018W339 SPY Nov18'20 339 put SHORT 3 1.11 11/13 11:59 0.29 0.71%
Trade id #132180992
Max drawdown($75)
Time11/10/20 13:24
Quant open3
Worst price1.36
Drawdown as % of equity-0.71%
$242
Includes Typical Broker Commissions trade costs of $4.20
11/10/20 12:09 SPY2027W327 SPY Nov27'20 327 put LONG 3 1.17 11/13 11:59 0.57 1.55%
Trade id #132180573
Max drawdown($165)
Time11/13/20 10:31
Quant open3
Worst price0.62
Drawdown as % of equity-1.55%
($184)
Includes Typical Broker Commissions trade costs of $4.20
11/10/20 12:09 SPY2027W339 SPY Nov27'20 339 put SHORT 3 2.27 11/13 11:59 1.32 1.2%
Trade id #132180576
Max drawdown($129)
Time11/12/20 0:00
Quant open3
Worst price2.70
Drawdown as % of equity-1.20%
$281
Includes Typical Broker Commissions trade costs of $4.20
11/10/20 12:14 AAPL2004X96 AAPL Dec4'20 96 put LONG 2 0.28 11/11 14:13 0.16 0.19%
Trade id #132180656
Max drawdown($20)
Time11/11/20 0:00
Quant open2
Worst price0.18
Drawdown as % of equity-0.19%
($27)
Includes Typical Broker Commissions trade costs of $2.80
11/10/20 12:14 AAPL2004X108 AAPL Dec4'20 108 put SHORT 2 1.17 11/11 14:13 0.67 0.53%
Trade id #132180662
Max drawdown($56)
Time11/10/20 13:33
Quant open2
Worst price1.45
Drawdown as % of equity-0.53%
$97
Includes Typical Broker Commissions trade costs of $2.80
11/10/20 12:16 AAPL2020W109 AAPL Nov20'20 109 put LONG 2 0.67 11/11 14:13 0.28 0.74%
Trade id #132180708
Max drawdown($80)
Time11/11/20 14:07
Quant open2
Worst price0.27
Drawdown as % of equity-0.74%
($81)
Includes Typical Broker Commissions trade costs of $2.80
11/10/20 12:16 AAPL2020W107 AAPL Nov20'20 107 put SHORT 2 0.47 11/11 14:13 0.21 0.26%
Trade id #132180714
Max drawdown($28)
Time11/10/20 13:33
Quant open2
Worst price0.61
Drawdown as % of equity-0.26%
$49
Includes Typical Broker Commissions trade costs of $2.80
11/10/20 12:11 SPY2020W330 SPY Nov20'20 330 put LONG 6 0.78 11/10 12:28 0.79 0.06%
Trade id #132180607
Max drawdown($6)
Time11/10/20 12:21
Quant open3
Worst price0.76
Drawdown as % of equity-0.06%
($2)
Includes Typical Broker Commissions trade costs of $8.40
11/10/20 12:11 SPY2020W328 SPY Nov20'20 328 put SHORT 3 0.67 11/10 12:25 0.69 0.06%
Trade id #132180618
Max drawdown($6)
Time11/10/20 12:25
Quant open3
Worst price0.69
Drawdown as % of equity-0.06%
($10)
Includes Typical Broker Commissions trade costs of $4.20
10/15/20 13:54 NVDA2013W485 NVDA Nov13'20 485 put LONG 2 6.76 11/4 9:37 2.35 8.55%
Trade id #131721067
Max drawdown($864)
Time11/4/20 9:34
Quant open2
Worst price2.44
Drawdown as % of equity-8.55%
($885)
Includes Typical Broker Commissions trade costs of $2.80
10/15/20 13:54 NVDA2013W495 NVDA Nov13'20 495 put SHORT 2 8.58 11/4 9:37 4.05 29.32%
Trade id #131721071
Max drawdown($2,824)
Time10/30/20 0:00
Quant open2
Worst price22.70
Drawdown as % of equity-29.32%
$903
Includes Typical Broker Commissions trade costs of $2.80
10/15/20 13:50 QQQ2013W252.5 QQQ Nov13'20 252.5 put LONG 3 1.93 11/4 9:37 0.59 4.78%
Trade id #131721000
Max drawdown($483)
Time11/4/20 9:30
Quant open3
Worst price0.32
Drawdown as % of equity-4.78%
($406)
Includes Typical Broker Commissions trade costs of $4.20
10/15/20 13:50 QQQ2013W265 QQQ Nov13'20 265 put SHORT 3 3.69 11/4 9:37 1.70 14.86%
Trade id #131721004
Max drawdown($1,431)
Time10/30/20 0:00
Quant open3
Worst price8.46
Drawdown as % of equity-14.86%
$593
Includes Typical Broker Commissions trade costs of $4.20
10/15/20 13:46 SPY2013W315 SPY Nov13'20 315 put LONG 3 2.38 11/4 9:37 1.29 3.59%
Trade id #131720922
Max drawdown($363)
Time11/4/20 9:34
Quant open3
Worst price1.17
Drawdown as % of equity-3.59%
($331)
Includes Typical Broker Commissions trade costs of $4.20
10/15/20 13:46 SPY2013W326 SPY Nov13'20 326 put SHORT 3 3.88 11/4 9:37 2.70 23.86%
Trade id #131720926
Max drawdown($2,298)
Time10/30/20 0:00
Quant open3
Worst price11.54
Drawdown as % of equity-23.86%
$350
Includes Typical Broker Commissions trade costs of $4.20
10/15/20 13:48 SPY2023V330 SPY Oct23'20 330 put LONG 3 0.56 10/24 9:35 0.00 1.58%
Trade id #131720951
Max drawdown($165)
Time10/23/20 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-1.58%
($170)
Includes Typical Broker Commissions trade costs of $2.10
10/15/20 13:52 QQQ2023V267 QQQ Oct23'20 267 put SHORT 5 0.42 10/24 9:35 0.00 n/a $207
Includes Typical Broker Commissions trade costs of $3.50
10/15/20 13:48 SPY2023V328 SPY Oct23'20 328 put SHORT 3 0.43 10/24 9:35 0.00 0.23%
Trade id #131720955
Max drawdown($24)
Time10/19/20 0:00
Quant open3
Worst price0.51
Drawdown as % of equity-0.23%
$127
Includes Typical Broker Commissions trade costs of $2.10
10/15/20 13:51 QQQ2023V269 QQQ Oct23'20 269 put LONG 5 0.53 10/24 9:35 0.00 2.48%
Trade id #131721018
Max drawdown($260)
Time10/23/20 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-2.48%
($269)
Includes Typical Broker Commissions trade costs of $3.50

Statistics

  • Strategy began
    7/7/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    146.86
  • Age
    147 days ago
  • What it trades
    Options
  • # Trades
    175
  • # Profitable
    84
  • % Profitable
    48.00%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    30.17%
  • drawdown period
    Sept 03, 2020 - Oct 30, 2020
  • Cumul. Return
    8.3%
  • Avg win
    $186.35
  • Avg loss
    $150.23
  • Model Account Values (Raw)
  • Cash
    $11,982
  • Margin Used
    $0
  • Buying Power
    $11,982
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.9
  • Calmar Ratio
    2.471
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.82%
  • Correlation to SP500
    0.62960
  • Return Percent SP500 (cumu) during strategy life
    15.14%
  • Return Statistics
  • Ann Return (w trading costs)
    21.5%
  • Slump
  • Current Slump as Pcnt Equity
    9.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.083%
  • Instruments
  • Percent Trades Options
    0.87%
  • Percent Trades Stocks
    0.13%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    56.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    740
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    144
  • Popularity (7 days, Percentile 1000 scale)
    304
  • 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
    $150
  • Avg Win
    $186
  • Sum Trade PL (losers)
    $13,671.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $15,653.000
  • # Winners
    84
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    91
  • % Winners
    48.0%
  • Frequency
  • Avg Position Time (mins)
    5313.22
  • Avg Position Time (hrs)
    88.55
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    19.65
  • Daily leverage (max)
    48.27
  • Regression
  • Alpha
    -0.05
  • Beta
    1.45
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -15.657
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.425
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.040
  • Hold-and-Hope Ratio
    -0.064
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48456
  • SD
    0.21121
  • Sharpe ratio (Glass type estimate)
    2.29424
  • Sharpe ratio (Hedges UMVUE)
    1.66011
  • df
    3.00000
  • t
    1.32458
  • p
    0.13859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.97580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30550
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.17110
  • Upside Potential Ratio
    11.90310
  • Upside part of mean
    0.56708
  • Downside part of mean
    -0.08252
  • Upside SD
    0.22529
  • Downside SD
    0.04764
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.30944
  • Mean of criterion
    0.48456
  • SD of predictor
    0.09573
  • SD of criterion
    0.21121
  • Covariance
    0.02010
  • r
    0.99404
  • b (slope, estimate of beta)
    2.19311
  • a (intercept, estimate of alpha)
    -0.19406
  • Mean Square Error
    0.00080
  • DF error
    2.00000
  • t(b)
    12.89260
  • p(b)
    0.00298
  • t(a)
    -2.70232
  • p(a)
    0.94300
  • Lowerbound of 95% confidence interval for beta
    1.46121
  • Upperbound of 95% confidence interval for beta
    2.92502
  • Lowerbound of 95% confidence interval for alpha
    -0.50306
  • Upperbound of 95% confidence interval for alpha
    0.11493
  • Treynor index (mean / b)
    0.22095
  • Jensen alpha (a)
    -0.19406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45870
  • SD
    0.20120
  • Sharpe ratio (Glass type estimate)
    2.27983
  • Sharpe ratio (Hedges UMVUE)
    1.64969
  • df
    3.00000
  • t
    1.31626
  • p
    0.13981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99267
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29204
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.51772
  • Upside Potential Ratio
    11.24980
  • Upside part of mean
    0.54218
  • Downside part of mean
    -0.08348
  • Upside SD
    0.21348
  • Downside SD
    0.04819
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.30158
  • Mean of criterion
    0.45870
  • SD of predictor
    0.09273
  • SD of criterion
    0.20120
  • Covariance
    0.01854
  • r
    0.99361
  • b (slope, estimate of beta)
    2.15592
  • a (intercept, estimate of alpha)
    -0.19147
  • Mean Square Error
    0.00077
  • DF error
    2.00000
  • t(b)
    12.44760
  • p(b)
    0.00320
  • t(a)
    -2.69448
  • p(a)
    0.94273
  • Lowerbound of 95% confidence interval for beta
    1.41070
  • Upperbound of 95% confidence interval for beta
    2.90113
  • Lowerbound of 95% confidence interval for alpha
    -0.49723
  • Upperbound of 95% confidence interval for alpha
    0.11428
  • Treynor index (mean / b)
    0.21277
  • Jensen alpha (a)
    -0.19147
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05570
  • Expected Shortfall on VaR
    0.07813
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00976
  • Expected Shortfall on VaR
    0.02152
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.97482
  • Quartile 1
    1.01788
  • Median
    1.03656
  • Quartile 3
    1.06138
  • Maximum
    1.12290
  • Mean of quarter 1
    0.97482
  • Mean of quarter 2
    1.03223
  • Mean of quarter 3
    1.04088
  • Mean of quarter 4
    1.12290
  • Inter Quartile Range
    0.04350
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02518
  • Quartile 1
    0.02518
  • Median
    0.02518
  • Quartile 3
    0.02518
  • Maximum
    0.02518
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52830
  • Compounded annual return (geometric extrapolation)
    0.62679
  • Calmar ratio (compounded annual return / max draw down)
    24.89520
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.02254
  • 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
    0.49274
  • SD
    0.37200
  • Sharpe ratio (Glass type estimate)
    1.32458
  • Sharpe ratio (Hedges UMVUE)
    1.31501
  • df
    104.00000
  • t
    0.83854
  • p
    0.45903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77976
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.41618
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00188
  • Upside Potential Ratio
    7.65672
  • Upside part of mean
    1.88461
  • Downside part of mean
    -1.39187
  • Upside SD
    0.27822
  • Downside SD
    0.24614
  • N nonnegative terms
    49.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    105.00000
  • Mean of predictor
    0.34021
  • Mean of criterion
    0.49274
  • SD of predictor
    0.17949
  • SD of criterion
    0.37200
  • Covariance
    0.04010
  • r
    0.60050
  • b (slope, estimate of beta)
    1.24454
  • a (intercept, estimate of alpha)
    0.06900
  • Mean Square Error
    0.08934
  • DF error
    103.00000
  • t(b)
    7.62170
  • p(b)
    0.14212
  • t(a)
    0.14585
  • p(a)
    0.49085
  • Lowerbound of 95% confidence interval for beta
    0.92069
  • Upperbound of 95% confidence interval for beta
    1.56838
  • Lowerbound of 95% confidence interval for alpha
    -0.87352
  • Upperbound of 95% confidence interval for alpha
    1.01219
  • Treynor index (mean / b)
    0.39592
  • Jensen alpha (a)
    0.06934
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42391
  • SD
    0.37160
  • Sharpe ratio (Glass type estimate)
    1.14075
  • Sharpe ratio (Hedges UMVUE)
    1.13251
  • df
    104.00000
  • t
    0.72216
  • p
    0.46468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23235
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66841
  • Upside Potential Ratio
    7.27028
  • Upside part of mean
    1.84723
  • Downside part of mean
    -1.42332
  • Upside SD
    0.27001
  • Downside SD
    0.25408
  • N nonnegative terms
    49.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    105.00000
  • Mean of predictor
    0.32394
  • Mean of criterion
    0.42391
  • SD of predictor
    0.18009
  • SD of criterion
    0.37160
  • Covariance
    0.04029
  • r
    0.60212
  • b (slope, estimate of beta)
    1.24244
  • a (intercept, estimate of alpha)
    0.02143
  • Mean Square Error
    0.08888
  • DF error
    103.00000
  • t(b)
    7.65384
  • p(b)
    0.14130
  • t(a)
    0.04522
  • p(a)
    0.49716
  • Lowerbound of 95% confidence interval for beta
    0.92050
  • Upperbound of 95% confidence interval for beta
    1.56438
  • Lowerbound of 95% confidence interval for alpha
    -0.91836
  • Upperbound of 95% confidence interval for alpha
    0.96121
  • Treynor index (mean / b)
    0.34119
  • Jensen alpha (a)
    0.02143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03550
  • Expected Shortfall on VaR
    0.04467
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01244
  • Expected Shortfall on VaR
    0.02716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    105.00000
  • Minimum
    0.91990
  • Quartile 1
    0.99709
  • Median
    1.00000
  • Quartile 3
    1.00745
  • Maximum
    1.08436
  • Mean of quarter 1
    0.97986
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00313
  • Mean of quarter 4
    1.02612
  • Inter Quartile Range
    0.01037
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.08571
  • Mean of outliers low
    0.95509
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.08571
  • Mean of outliers high
    1.05115
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82752
  • VaR(95%) (moments method)
    0.01723
  • Expected Shortfall (moments method)
    0.11082
  • Extreme Value Index (regression method)
    0.46885
  • VaR(95%) (regression method)
    0.02162
  • Expected Shortfall (regression method)
    0.05256
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00085
  • Median
    0.00499
  • Quartile 3
    0.02082
  • Maximum
    0.23115
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00312
  • Mean of quarter 3
    0.00561
  • Mean of quarter 4
    0.13359
  • Inter Quartile Range
    0.01997
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.23115
  • 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)
    0.49530
  • Compounded annual return (geometric extrapolation)
    0.57116
  • Calmar ratio (compounded annual return / max draw down)
    2.47090
  • Compounded annual return / average of 25% largest draw downs
    4.27541
  • Compounded annual return / Expected Shortfall lognormal
    12.78550
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.03500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -292628000
  • Max Equity Drawdown (num days)
    57

Strategy Description

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

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

Goals for this strategy include:

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

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

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

Summary Statistics

Strategy began
2020-07-07
Suggested Minimum Capital
$35,000
# Trades
175
# Profitable
84
% Profitable
48.0%
Correlation S&P500
0.630
Sharpe Ratio
0.59
Sortino Ratio
0.90
Beta
1.45
Alpha
-0.05
Leverage
19.65 Average
48.27 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#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.