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Premium wheel
(130296923)

Created by: ChristopherCilibe ChristopherCilibe
Started: 07/2020
Options
Last trade: 2 days ago
Trading style: Options Covered Calls 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 $80.00 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
Covered Calls
Category: Equity

Covered Calls

Strategy buys a stock, and sells call options for the same amount (or less) of stock, and then waits for the options contract to be exercised or to expire.
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.
169.4%
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.

(43.7%)
Max Drawdown
125
Num Trades
76.8%
Win Trades
1.6 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +7.3%+58.5%(9.9%)+9.9%+41.9%+6.9%+155.7%
2021+22.4%(17.1%)+10.2%(20.3%)+17.6%+13.1%(14.8%)+16.7%+3.3%                  +21.6%

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 267 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/10/21 12:45 BABA2117L200 BABA Dec17'21 200 call SHORT 3 4.16 9/15 15:35 2.75 n/a $419
Includes Typical Broker Commissions trade costs of $4.20
8/24/21 12:56 BABA ALIBABA GROUP HOLDING LIMITED LONG 400 164.86 9/15 10:21 159.22 1.77%
Trade id #137101514
Max drawdown($2,782)
Time9/15/21 9:35
Quant open300
Worst price155.59
Drawdown as % of equity-1.77%
($2,264)
Includes Typical Broker Commissions trade costs of $8.00
9/1/21 10:27 AFRM2117U90 AFRM Sep17'21 90 put SHORT 20 4.02 9/10 12:11 0.32 4.77%
Trade id #137209756
Max drawdown($6,951)
Time9/9/21 0:00
Quant open20
Worst price7.50
Drawdown as % of equity-4.77%
$7,386
Includes Typical Broker Commissions trade costs of $28.00
8/24/21 12:58 MLCO MELCO RESORTS & ENTERTAINMENT LTD LONG 1,000 12.64 9/8 14:48 14.20 0.28%
Trade id #137101563
Max drawdown($395)
Time8/25/21 0:00
Quant open1,000
Worst price12.24
Drawdown as % of equity-0.28%
$1,549
Includes Typical Broker Commissions trade costs of $12.50
8/6/21 12:02 MGM2124U40 MGM Sep24'21 40 put SHORT 20 2.67 8/27 11:41 0.67 1.27%
Trade id #136862238
Max drawdown($1,780)
Time8/19/21 0:00
Quant open20
Worst price3.56
Drawdown as % of equity-1.27%
$3,972
Includes Typical Broker Commissions trade costs of $28.00
8/21/21 9:36 VIAC VIACOMCBS INC CLASS B LONG 4,000 42.50 8/23 10:18 39.94 8.4%
Trade id #137065510
Max drawdown($11,600)
Time8/23/21 9:42
Quant open4,000
Worst price39.60
Drawdown as % of equity-8.40%
($10,245)
Includes Typical Broker Commissions trade costs of $5.00
7/2/21 11:28 VIAC2120T42.5 VIAC Aug20'21 42.5 put SHORT 40 2.27 8/21 9:36 0.00 7.86%
Trade id #136308274
Max drawdown($10,383)
Time8/3/21 0:00
Quant open40
Worst price4.87
Drawdown as % of equity-7.86%
$9,069
Includes Typical Broker Commissions trade costs of $28.00
7/12/21 12:19 SNOW2120T260 SNOW Aug20'21 260 put SHORT 10 12.90 8/18 11:05 0.40 8.75%
Trade id #136433563
Max drawdown($11,198)
Time7/19/21 0:00
Quant open10
Worst price24.10
Drawdown as % of equity-8.75%
$12,490
Includes Typical Broker Commissions trade costs of $14.00
6/30/21 13:06 XLE2120T53 XLE Aug20'21 53 put SHORT 30 1.98 8/18 10:03 5.74 11.76%
Trade id #136271756
Max drawdown($15,050)
Time7/19/21 0:00
Quant open30
Worst price7.00
Drawdown as % of equity-11.76%
($11,302)
Includes Typical Broker Commissions trade costs of $42.00
6/19/21 9:35 PRTY PARTY CITY HOLDCO INC LONG 5,000 9.00 7/12 12:19 9.19 2.5%
Trade id #136126778
Max drawdown($3,500)
Time7/8/21 0:00
Quant open5,000
Worst price8.30
Drawdown as % of equity-2.50%
$969
Includes Typical Broker Commissions trade costs of $5.00
7/1/21 12:04 PRTY2116G11 PRTY Jul16'21 11 call SHORT 50 0.10 7/12 12:19 0.05 0.16%
Trade id #136289422
Max drawdown($240)
Time7/1/21 12:31
Quant open50
Worst price0.15
Drawdown as % of equity-0.16%
$189
Includes Typical Broker Commissions trade costs of $70.00
3/20/21 9:35 TTCF TATTOOED CHEF INC LONG 4,000 22.50 7/12 12:19 19.43 19.15%
Trade id #134744828
Max drawdown($21,240)
Time4/20/21 0:00
Quant open3,000
Worst price15.42
Drawdown as % of equity-19.15%
($12,297)
Includes Typical Broker Commissions trade costs of $10.00
6/22/21 12:42 TTCF2116G22.5 TTCF Jul16'21 22.5 call SHORT 30 0.55 7/12 12:19 0.12 1%
Trade id #136163005
Max drawdown($1,500)
Time6/30/21 0:00
Quant open30
Worst price1.05
Drawdown as % of equity-1.00%
$1,258
Includes Typical Broker Commissions trade costs of $42.00
6/30/21 14:29 RIG2130S4 RIG Jul30'21 4 put SHORT 100 0.21 7/8 9:48 0.22 0.23%
Trade id #136272946
Max drawdown($350)
Time6/30/21 15:39
Quant open100
Worst price0.25
Drawdown as % of equity-0.23%
($193)
Includes Typical Broker Commissions trade costs of $140.00
6/14/21 11:59 VIAC2116S42.5 VIAC Jul16'21 42.5 put SHORT 10 1.99 7/2 11:20 0.44 1.27%
Trade id #136049590
Max drawdown($1,710)
Time6/18/21 0:00
Quant open10
Worst price3.70
Drawdown as % of equity-1.27%
$1,536
Includes Typical Broker Commissions trade costs of $14.00
6/25/21 11:00 NNDM2116S7.5 NNDM Jul16'21 7.5 put SHORT 100 0.26 7/2 11:19 0.34 0.7%
Trade id #136210798
Max drawdown($1,059)
Time7/2/21 10:34
Quant open100
Worst price0.37
Drawdown as % of equity-0.70%
($899)
Includes Typical Broker Commissions trade costs of $140.00
11/9/20 13:57 BEST BEST INC LONG 35,000 2.26 7/2/21 11:14 1.78 31.94%
Trade id #132157933
Max drawdown($34,578)
Time5/11/21 0:00
Quant open30,000
Worst price1.11
Drawdown as % of equity-31.94%
($16,858)
Includes Typical Broker Commissions trade costs of $22.50
6/7/21 13:16 VIAC2116S40 VIAC Jul16'21 40 put SHORT 20 1.40 6/30 14:04 0.19 0.39%
Trade id #135944896
Max drawdown($520)
Time6/18/21 0:00
Quant open10
Worst price2.05
Drawdown as % of equity-0.39%
$2,392
Includes Typical Broker Commissions trade costs of $28.00
6/25/21 10:57 NIO2116S45 NIO Jul16'21 45 put SHORT 10 2.14 6/30 14:03 0.36 0.16%
Trade id #136210745
Max drawdown($230)
Time6/25/21 15:06
Quant open10
Worst price2.37
Drawdown as % of equity-0.16%
$1,767
Includes Typical Broker Commissions trade costs of $14.00
6/19/21 9:36 VIAC VIACOMCBS INC CLASS B LONG 2,000 42.50 6/21 9:30 40.23 3.74%
Trade id #136126947
Max drawdown($4,920)
Time6/21/21 9:30
Quant open2,000
Worst price40.04
Drawdown as % of equity-3.74%
($4,548)
Includes Typical Broker Commissions trade costs of $5.00
6/1/21 14:33 VIAC2118R42.5 VIAC Jun18'21 42.5 put SHORT 20 1.84 6/19 9:36 0.00 1.7%
Trade id #135862247
Max drawdown($2,355)
Time6/18/21 0:00
Quant open20
Worst price3.02
Drawdown as % of equity-1.70%
$3,671
Includes Typical Broker Commissions trade costs of $14.00
5/19/21 12:30 IQ2118R12.5 IQ Jun18'21 12.5 put SHORT 40 0.53 6/19 9:36 0.00 0.33%
Trade id #135684316
Max drawdown($400)
Time5/19/21 15:42
Quant open40
Worst price0.63
Drawdown as % of equity-0.33%
$2,092
Includes Typical Broker Commissions trade costs of $28.00
5/26/21 12:39 PRTY2118R9 PRTY Jun18'21 9 put SHORT 50 0.58 6/19 9:35 0.00 0.25%
Trade id #135787469
Max drawdown($335)
Time5/28/21 0:00
Quant open50
Worst price0.65
Drawdown as % of equity-0.25%
$2,880
Includes Typical Broker Commissions trade costs of $35.00
5/24/21 12:05 TTCF2118F25 TTCF Jun18'21 25 call SHORT 15 0.15 6/19 9:35 0.00 1.29%
Trade id #135750122
Max drawdown($1,800)
Time6/15/21 0:00
Quant open15
Worst price1.35
Drawdown as % of equity-1.29%
$215
Includes Typical Broker Commissions trade costs of $10.50
5/24/21 12:05 TTCF2118F22.5 TTCF Jun18'21 22.5 call SHORT 15 0.50 6/19 9:35 0.00 2.09%
Trade id #135750109
Max drawdown($2,925)
Time6/15/21 0:00
Quant open15
Worst price2.45
Drawdown as % of equity-2.09%
$740
Includes Typical Broker Commissions trade costs of $10.50
5/18/21 12:57 VIAC2118R40 VIAC Jun18'21 40 put SHORT 10 2.13 6/14 11:59 0.10 0.63%
Trade id #135667943
Max drawdown($780)
Time5/19/21 0:00
Quant open10
Worst price2.91
Drawdown as % of equity-0.63%
$2,016
Includes Typical Broker Commissions trade costs of $14.00
6/9/21 11:42 WISH2118R10 WISH Jun18'21 10 put SHORT 40 0.98 6/14 10:02 0.93 1.36%
Trade id #135987744
Max drawdown($1,896)
Time6/9/21 15:54
Quant open40
Worst price1.45
Drawdown as % of equity-1.36%
$129
Includes Typical Broker Commissions trade costs of $56.00
5/26/21 12:35 IQ2118R14 IQ Jun18'21 14 put SHORT 20 0.57 6/10 15:40 0.14 0.11%
Trade id #135787407
Max drawdown($160)
Time6/3/21 0:00
Quant open10
Worst price0.77
Drawdown as % of equity-0.11%
$842
Includes Typical Broker Commissions trade costs of $28.00
5/21/21 12:43 CCL2118R27.5 CCL Jun18'21 27.5 put SHORT 20 1.54 6/3 14:10 0.33 0.77%
Trade id #135723912
Max drawdown($980)
Time5/24/21 0:00
Quant open20
Worst price2.03
Drawdown as % of equity-0.77%
$2,392
Includes Typical Broker Commissions trade costs of $28.00
4/19/21 10:26 VIAC2121Q38.5 VIAC May21'21 38.5 put SHORT 10 2.41 5/22 9:37 0.00 0.62%
Trade id #135212101
Max drawdown($687)
Time4/20/21 0:00
Quant open10
Worst price3.10
Drawdown as % of equity-0.62%
$2,406
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    7/27/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    418.17
  • Age
    14 months ago
  • What it trades
    Options
  • # Trades
    125
  • # Profitable
    96
  • % Profitable
    76.80%
  • Avg trade duration
    21.4 days
  • Max peak-to-valley drawdown
    43.7%
  • drawdown period
    Feb 11, 2021 - May 13, 2021
  • Annual Return (Compounded)
    169.4%
  • Avg win
    $3,184
  • Avg loss
    $6,645
  • Model Account Values (Raw)
  • Cash
    $126,451
  • Margin Used
    $104,520
  • Buying Power
    $18,132
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    1.41
  • Sortino Ratio
    2.06
  • Calmar Ratio
    4.681
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    177.30%
  • Correlation to SP500
    0.24820
  • Return Percent SP500 (cumu) during strategy life
    36.85%
  • Return Statistics
  • Ann Return (w trading costs)
    169.4%
  • Slump
  • Current Slump as Pcnt Equity
    21.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • Instruments
  • Short Options - Percent Covered
    23.81%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.694%
  • Instruments
  • Percent Trades Options
    0.84%
  • Percent Trades Stocks
    0.16%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    178.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.50%
  • Chance of 20% account loss
    37.00%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    7.50%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    851
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    140
  • Popularity (7 days, Percentile 1000 scale)
    813
  • 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
    $6,645
  • Avg Win
    $3,184
  • Sum Trade PL (losers)
    $192,713.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $305,696.000
  • # Winners
    96
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    498
  • AUM
  • AUM (AutoTrader live capital)
    475987
  • Win / Loss
  • # Losers
    29
  • % Winners
    76.8%
  • Frequency
  • Avg Position Time (mins)
    30776.20
  • Avg Position Time (hrs)
    512.94
  • Avg Trade Length
    21.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.07
  • Daily leverage (max)
    3.30
  • Regression
  • Alpha
    0.25
  • Beta
    1.24
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.89
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    5.046
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.778
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.344
  • Hold-and-Hope Ratio
    0.218
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.37259
  • SD
    0.91707
  • Sharpe ratio (Glass type estimate)
    1.49671
  • Sharpe ratio (Hedges UMVUE)
    1.40083
  • df
    12.00000
  • t
    1.55782
  • p
    0.29493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36553
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75668
  • Upside Potential Ratio
    7.93419
  • Upside part of mean
    1.89178
  • Downside part of mean
    -0.51919
  • Upside SD
    0.93620
  • Downside SD
    0.23843
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.27384
  • Mean of criterion
    1.37259
  • SD of predictor
    0.12001
  • SD of criterion
    0.91707
  • Covariance
    0.04728
  • r
    0.42962
  • b (slope, estimate of beta)
    3.28312
  • a (intercept, estimate of alpha)
    0.47355
  • Mean Square Error
    0.74813
  • DF error
    11.00000
  • t(b)
    1.57794
  • p(b)
    0.07144
  • t(a)
    0.46998
  • p(a)
    0.32377
  • Lowerbound of 95% confidence interval for beta
    -1.29634
  • Upperbound of 95% confidence interval for beta
    7.86257
  • Lowerbound of 95% confidence interval for alpha
    -1.74412
  • Upperbound of 95% confidence interval for alpha
    2.69121
  • Treynor index (mean / b)
    0.41807
  • Jensen alpha (a)
    0.47355
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01369
  • SD
    0.76535
  • Sharpe ratio (Glass type estimate)
    1.32448
  • Sharpe ratio (Hedges UMVUE)
    1.23964
  • df
    12.00000
  • t
    1.37856
  • p
    0.31512
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25386
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18692
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.99490
  • Upside Potential Ratio
    6.15777
  • Upside part of mean
    1.56251
  • Downside part of mean
    -0.54882
  • Upside SD
    0.74963
  • Downside SD
    0.25375
  • N nonnegative terms
    7.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.26374
  • Mean of criterion
    1.01369
  • SD of predictor
    0.11812
  • SD of criterion
    0.76535
  • Covariance
    0.03460
  • r
    0.38270
  • b (slope, estimate of beta)
    2.47969
  • a (intercept, estimate of alpha)
    0.35970
  • Mean Square Error
    0.54542
  • DF error
    11.00000
  • t(b)
    1.37386
  • p(b)
    0.09842
  • t(a)
    0.42098
  • p(a)
    0.34094
  • Lowerbound of 95% confidence interval for beta
    -1.49289
  • Upperbound of 95% confidence interval for beta
    6.45227
  • Lowerbound of 95% confidence interval for alpha
    -1.52091
  • Upperbound of 95% confidence interval for alpha
    2.24031
  • Treynor index (mean / b)
    0.40880
  • Jensen alpha (a)
    0.35970
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24341
  • Expected Shortfall on VaR
    0.30789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09698
  • Expected Shortfall on VaR
    0.16058
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.85276
  • Quartile 1
    0.92376
  • Median
    1.01269
  • Quartile 3
    1.25558
  • Maximum
    1.66318
  • Mean of quarter 1
    0.88682
  • Mean of quarter 2
    0.97230
  • Mean of quarter 3
    1.16922
  • Mean of quarter 4
    1.51513
  • Inter Quartile Range
    0.33182
  • 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)
    -2.94491
  • VaR(95%) (moments method)
    0.12511
  • Expected Shortfall (moments method)
    0.12552
  • Extreme Value Index (regression method)
    -1.36876
  • VaR(95%) (regression method)
    0.15626
  • Expected Shortfall (regression method)
    0.16094
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04144
  • Quartile 1
    0.08644
  • Median
    0.13145
  • Quartile 3
    0.21036
  • Maximum
    0.28928
  • Mean of quarter 1
    0.04144
  • Mean of quarter 2
    0.13145
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28928
  • Inter Quartile Range
    0.12392
  • 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)
    1.92988
  • Compounded annual return (geometric extrapolation)
    1.83374
  • Calmar ratio (compounded annual return / max draw down)
    6.33896
  • Compounded annual return / average of 25% largest draw downs
    6.33896
  • Compounded annual return / Expected Shortfall lognormal
    5.95575
  • 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
    1.30304
  • SD
    0.72917
  • Sharpe ratio (Glass type estimate)
    1.78701
  • Sharpe ratio (Hedges UMVUE)
    1.78232
  • df
    286.00000
  • t
    1.87033
  • p
    0.03123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09602
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66066
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70437
  • Upside Potential Ratio
    9.89142
  • Upside part of mean
    4.76598
  • Downside part of mean
    -3.46293
  • Upside SD
    0.55151
  • Downside SD
    0.48183
  • N nonnegative terms
    164.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.26970
  • Mean of criterion
    1.30304
  • SD of predictor
    0.14904
  • SD of criterion
    0.72917
  • Covariance
    0.02937
  • r
    0.27022
  • b (slope, estimate of beta)
    1.32204
  • a (intercept, estimate of alpha)
    0.94600
  • Mean Square Error
    0.49460
  • DF error
    285.00000
  • t(b)
    4.73818
  • p(b)
    0.00000
  • t(a)
    1.39982
  • p(a)
    0.08133
  • Lowerbound of 95% confidence interval for beta
    0.77284
  • Upperbound of 95% confidence interval for beta
    1.87124
  • Lowerbound of 95% confidence interval for alpha
    -0.38439
  • Upperbound of 95% confidence interval for alpha
    2.27737
  • Treynor index (mean / b)
    0.98563
  • Jensen alpha (a)
    0.94649
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03737
  • SD
    0.72660
  • Sharpe ratio (Glass type estimate)
    1.42771
  • Sharpe ratio (Hedges UMVUE)
    1.42396
  • df
    286.00000
  • t
    1.49427
  • p
    0.06810
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30025
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03582
  • Upside Potential Ratio
    9.07640
  • Upside part of mean
    4.62495
  • Downside part of mean
    -3.58758
  • Upside SD
    0.52016
  • Downside SD
    0.50956
  • N nonnegative terms
    164.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.25845
  • Mean of criterion
    1.03737
  • SD of predictor
    0.14926
  • SD of criterion
    0.72660
  • Covariance
    0.02838
  • r
    0.26171
  • b (slope, estimate of beta)
    1.27403
  • a (intercept, estimate of alpha)
    0.70809
  • Mean Square Error
    0.49351
  • DF error
    285.00000
  • t(b)
    4.57771
  • p(b)
    0.00000
  • t(a)
    1.04894
  • p(a)
    0.14755
  • Lowerbound of 95% confidence interval for beta
    0.72622
  • Upperbound of 95% confidence interval for beta
    1.82184
  • Lowerbound of 95% confidence interval for alpha
    -0.62063
  • Upperbound of 95% confidence interval for alpha
    2.03681
  • Treynor index (mean / b)
    0.81424
  • Jensen alpha (a)
    0.70809
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06749
  • Expected Shortfall on VaR
    0.08469
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02725
  • Expected Shortfall on VaR
    0.05698
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    287.00000
  • Minimum
    0.81930
  • Quartile 1
    0.98459
  • Median
    1.00638
  • Quartile 3
    1.02871
  • Maximum
    1.29922
  • Mean of quarter 1
    0.95313
  • Mean of quarter 2
    0.99534
  • Mean of quarter 3
    1.01757
  • Mean of quarter 4
    1.05445
  • Inter Quartile Range
    0.04412
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03484
  • Mean of outliers low
    0.87823
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.00697
  • Mean of outliers high
    1.23568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29428
  • VaR(95%) (moments method)
    0.04415
  • Expected Shortfall (moments method)
    0.07605
  • Extreme Value Index (regression method)
    0.07799
  • VaR(95%) (regression method)
    0.04622
  • Expected Shortfall (regression method)
    0.06830
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00117
  • Quartile 1
    0.01589
  • Median
    0.02733
  • Quartile 3
    0.04659
  • Maximum
    0.40625
  • Mean of quarter 1
    0.00782
  • Mean of quarter 2
    0.02181
  • Mean of quarter 3
    0.03549
  • Mean of quarter 4
    0.25942
  • Inter Quartile Range
    0.03070
  • 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
    0.20000
  • Mean of outliers high
    0.32901
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -58.96330
  • VaR(95%) (moments method)
    0.14629
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.51851
  • VaR(95%) (regression method)
    0.38704
  • Expected Shortfall (regression method)
    0.40632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.01940
  • Compounded annual return (geometric extrapolation)
    1.90163
  • Calmar ratio (compounded annual return / max draw down)
    4.68093
  • Compounded annual return / average of 25% largest draw downs
    7.33034
  • Compounded annual return / Expected Shortfall lognormal
    22.45310
  • 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
    0.62828
  • SD
    0.69667
  • Sharpe ratio (Glass type estimate)
    0.90182
  • Sharpe ratio (Hedges UMVUE)
    0.89661
  • df
    130.00000
  • t
    0.63769
  • p
    0.47208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87384
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87734
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67056
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51860
  • Upside Potential Ratio
    9.40520
  • Upside part of mean
    3.89111
  • Downside part of mean
    -3.26284
  • Upside SD
    0.55856
  • Downside SD
    0.41372
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26508
  • Mean of criterion
    0.62828
  • SD of predictor
    0.11581
  • SD of criterion
    0.69667
  • Covariance
    0.02704
  • r
    0.33511
  • b (slope, estimate of beta)
    2.01599
  • a (intercept, estimate of alpha)
    0.09388
  • Mean Square Error
    0.43419
  • DF error
    129.00000
  • t(b)
    4.03969
  • p(b)
    0.29073
  • t(a)
    0.09975
  • p(a)
    0.49441
  • Lowerbound of 95% confidence interval for beta
    1.02861
  • Upperbound of 95% confidence interval for beta
    3.00336
  • Lowerbound of 95% confidence interval for alpha
    -1.76833
  • Upperbound of 95% confidence interval for alpha
    1.95609
  • Treynor index (mean / b)
    0.31165
  • Jensen alpha (a)
    0.09388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39866
  • SD
    0.67240
  • Sharpe ratio (Glass type estimate)
    0.59290
  • Sharpe ratio (Hedges UMVUE)
    0.58947
  • df
    130.00000
  • t
    0.41924
  • p
    0.48163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36220
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92449
  • Upside Potential Ratio
    8.69981
  • Upside part of mean
    3.75157
  • Downside part of mean
    -3.35291
  • Upside SD
    0.51315
  • Downside SD
    0.43122
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25829
  • Mean of criterion
    0.39866
  • SD of predictor
    0.11555
  • SD of criterion
    0.67240
  • Covariance
    0.02490
  • r
    0.32042
  • b (slope, estimate of beta)
    1.86453
  • a (intercept, estimate of alpha)
    -0.08292
  • Mean Square Error
    0.40885
  • DF error
    129.00000
  • t(b)
    3.84178
  • p(b)
    0.29956
  • t(a)
    -0.09083
  • p(a)
    0.50509
  • VAR (95 Confidence Intrvl)
    0.06700
  • Lowerbound of 95% confidence interval for beta
    0.90429
  • Upperbound of 95% confidence interval for beta
    2.82476
  • Lowerbound of 95% confidence interval for alpha
    -1.88914
  • Upperbound of 95% confidence interval for alpha
    1.72330
  • Treynor index (mean / b)
    0.21382
  • Jensen alpha (a)
    -0.08292
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06462
  • Expected Shortfall on VaR
    0.08061
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02799
  • Expected Shortfall on VaR
    0.05514
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86165
  • Quartile 1
    0.98361
  • Median
    1.00130
  • Quartile 3
    1.02124
  • Maximum
    1.29922
  • Mean of quarter 1
    0.95776
  • Mean of quarter 2
    0.99309
  • Mean of quarter 3
    1.01152
  • Mean of quarter 4
    1.04792
  • Inter Quartile Range
    0.03763
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.89904
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.19086
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10425
  • VaR(95%) (moments method)
    0.03955
  • Expected Shortfall (moments method)
    0.05712
  • Extreme Value Index (regression method)
    0.12673
  • VaR(95%) (regression method)
    0.04403
  • Expected Shortfall (regression method)
    0.06564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.33096
  • Quartile 1
    0.33096
  • Median
    0.33096
  • Quartile 3
    0.33096
  • Maximum
    0.33096
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -322190000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47547
  • Compounded annual return (geometric extrapolation)
    0.53199
  • Calmar ratio (compounded annual return / max draw down)
    1.60745
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.59942

Strategy Description

A quick rundown of the TYPICAL flow of positions is as follows
1. Sell puts
2a. If puts expire worthless (max gain for us!) then move on to the final step.
2b. If cash covered puts are assigned, evaluate whether the position should be used as collateral for cash covered calls, or held by themselves.
3a. Repeatedly sell cash covered calls against the stock lowering average price until you are assigned.
3b. Hold and evaluate as you would any long stock position. I prefer Value methods for the most part.
4. Close position and evaluate future trade.
No stop limits are used in this strategy as stop limits on options are very unreliable and are very easily "sniped" by those looking to take advantage of other traders. I monitor all positions all market hours, and decide on a position by position basis if it is worth holding or closing a position.

Joining trades in progress is recommended to new subscribers, as covered calls are often sold against long stock positions.

Summary Statistics

Strategy began
2020-07-27
Suggested Minimum Capital
$35,000
# Trades
125
# Profitable
96
% Profitable
76.8%
Net Dividends
Correlation S&P500
0.248
Sharpe Ratio
1.41
Sortino Ratio
2.06
Beta
1.24
Alpha
0.25
Leverage
2.07 Average
3.30 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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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.

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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.