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QQQ Short Strangle NLT
(132655614)

Created by: NextLevelTrader NextLevelTrader
Started: 12/2020
Options
Last trade: 2 days ago
Trading style: Options Premium Collecting

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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.
20.0%
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.

(14.9%)
Max Drawdown
74
Num Trades
81.1%
Win Trades
1.6 : 1
Profit Factor
91.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +3.1%+3.1%
2021+0.9%+4.4%+6.4%+1.2%+3.8%+0.7%+1.8%+2.2%+1.8%+1.5%(8.5%)      +16.5%

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 125 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
11/22/21 10:09 QQQ2117X396 QQQ Dec17'21 396 put SHORT 2 3.91 11/26 9:39 8.70 2.14%
Trade id #138293053
Max drawdown($1,307)
Time11/24/21 0:00
Quant open2
Worst price10.45
Drawdown as % of equity-2.14%
($960)
Includes Typical Broker Commissions trade costs of $2.80
10/22/21 11:42 QQQ2117L396 QQQ Dec17'21 396 call SHORT 4 1.68 11/26 9:39 12.59 9.5%
Trade id #137920894
Max drawdown($5,860)
Time11/22/21 0:00
Quant open4
Worst price16.33
Drawdown as % of equity-9.50%
($4,371)
Includes Typical Broker Commissions trade costs of $5.60
11/18/21 15:12 QQQ2117X381 QQQ Dec17'21 381 put SHORT 4 2.93 11/22 10:08 2.02 0.03%
Trade id #138250701
Max drawdown($16)
Time11/18/21 15:58
Quant open4
Worst price2.97
Drawdown as % of equity-0.03%
$358
Includes Typical Broker Commissions trade costs of $5.60
11/16/21 10:11 QQQ2131X364 QQQ Dec31'21 364 put SHORT 4 3.10 11/22 10:00 1.88 0%
Trade id #138211348
Max drawdown($2)
Time11/16/21 10:15
Quant open4
Worst price3.10
Drawdown as % of equity-0.00%
$480
Includes Typical Broker Commissions trade costs of $6.80
11/4/21 14:15 QQQ2117X375 QQQ Dec17'21 375 put SHORT 4 3.60 11/18 15:13 2.24 1.62%
Trade id #138081191
Max drawdown($1,013)
Time11/10/21 0:00
Quant open4
Worst price6.13
Drawdown as % of equity-1.62%
$536
Includes Typical Broker Commissions trade costs of $6.80
11/4/21 14:21 QQQ2126W384 QQQ Nov26'21 384 put SHORT 3 2.28 11/5 15:45 2.28 0.12%
Trade id #138081282
Max drawdown($71)
Time11/5/21 13:28
Quant open3
Worst price2.52
Drawdown as % of equity-0.12%
($4)
Includes Typical Broker Commissions trade costs of $5.10
10/26/21 9:56 QQQ2126K394 QQQ Nov26'21 394 call SHORT 3 1.58 11/5 15:45 9.22 4.2%
Trade id #137957988
Max drawdown($2,612)
Time11/5/21 12:08
Quant open3
Worst price10.29
Drawdown as % of equity-4.20%
($2,294)
Includes Typical Broker Commissions trade costs of $4.20
11/2/21 11:45 QQQ2126W374 QQQ Nov26'21 374 put SHORT 3 2.21 11/4 14:22 1.23 0.1%
Trade id #138045363
Max drawdown($67)
Time11/2/21 12:06
Quant open3
Worst price2.43
Drawdown as % of equity-0.10%
$288
Includes Typical Broker Commissions trade costs of $6.00
11/2/21 11:15 QQQ2117X365 QQQ Dec17'21 365 put SHORT 4 3.50 11/4 14:17 2.43 0.08%
Trade id #138044036
Max drawdown($52)
Time11/2/21 12:09
Quant open4
Worst price3.63
Drawdown as % of equity-0.08%
$420
Includes Typical Broker Commissions trade costs of $8.00
10/26/21 9:53 QQQ2126W364 QQQ Nov26'21 364 put SHORT 4 2.55 11/2 11:46 1.58 0.24%
Trade id #137957897
Max drawdown($161)
Time10/26/21 13:57
Quant open3
Worst price3.09
Drawdown as % of equity-0.24%
$383
Includes Typical Broker Commissions trade costs of $6.80
10/28/21 12:58 QQQ2117X352 QQQ Dec17'21 352 put SHORT 4 3.06 11/2 11:17 2.13 0.42%
Trade id #137994126
Max drawdown($275)
Time10/29/21 0:00
Quant open4
Worst price3.75
Drawdown as % of equity-0.42%
$366
Includes Typical Broker Commissions trade costs of $8.00
10/22/21 11:42 QQQ2117X340 QQQ Dec17'21 340 put SHORT 4 3.17 10/28 13:00 2.02 0.1%
Trade id #137920881
Max drawdown($70)
Time10/22/21 11:49
Quant open4
Worst price3.35
Drawdown as % of equity-0.10%
$454
Includes Typical Broker Commissions trade costs of $6.80
10/11/21 9:43 QQQ2126K382 QQQ Nov26'21 382 call SHORT 4 1.75 10/26 9:51 6.21 2.86%
Trade id #137750305
Max drawdown($1,898)
Time10/26/21 9:40
Quant open4
Worst price6.50
Drawdown as % of equity-2.86%
($1,787)
Includes Typical Broker Commissions trade costs of $5.60
10/21/21 11:13 QQQ2126W357 QQQ Nov26'21 357 put SHORT 4 2.81 10/26 9:44 1.81 0.38%
Trade id #137904422
Max drawdown($256)
Time10/22/21 0:00
Quant open4
Worst price3.45
Drawdown as % of equity-0.38%
$396
Includes Typical Broker Commissions trade costs of $5.60
10/18/21 10:24 QQQ2126W340 QQQ Nov26'21 340 put SHORT 4 2.15 10/21 11:13 1.33 0.03%
Trade id #137854900
Max drawdown($19)
Time10/18/21 10:34
Quant open4
Worst price2.20
Drawdown as % of equity-0.03%
$324
Includes Typical Broker Commissions trade costs of $5.60
10/11/21 9:44 QQQ2126W328 QQQ Nov26'21 328 put SHORT 4 3.15 10/18 10:23 1.34 0.22%
Trade id #137750322
Max drawdown($144)
Time10/12/21 0:00
Quant open4
Worst price3.51
Drawdown as % of equity-0.22%
$718
Includes Typical Broker Commissions trade costs of $5.60
9/28/21 13:32 QQQ2119K385 QQQ Nov19'21 385 call SHORT 4 1.86 10/12 11:31 0.54 0.24%
Trade id #137566704
Max drawdown($156)
Time9/29/21 0:00
Quant open4
Worst price2.25
Drawdown as % of equity-0.24%
$522
Includes Typical Broker Commissions trade costs of $5.60
9/28/21 13:32 QQQ2119W324 QQQ Nov19'21 324 put SHORT 4 3.75 10/12 11:31 2.37 0.89%
Trade id #137566695
Max drawdown($576)
Time10/4/21 0:00
Quant open4
Worst price5.19
Drawdown as % of equity-0.89%
$546
Includes Typical Broker Commissions trade costs of $5.60
9/14/21 9:46 QQQ2129V345 QQQ Oct29'21 345 put SHORT 4 3.01 10/8 9:35 2.62 2.87%
Trade id #137364028
Max drawdown($1,868)
Time10/4/21 0:00
Quant open4
Worst price7.68
Drawdown as % of equity-2.87%
$148
Includes Typical Broker Commissions trade costs of $5.60
10/1/21 10:16 QQQ2129J372 QQQ Oct29'21 372 call SHORT 4 2.07 10/8 9:35 2.41 0.91%
Trade id #137618191
Max drawdown($596)
Time10/7/21 0:00
Quant open4
Worst price3.56
Drawdown as % of equity-0.91%
($140)
Includes Typical Broker Commissions trade costs of $5.60
9/28/21 9:45 QQQ2129J383 QQQ Oct29'21 383 call SHORT 4 1.11 10/1 10:16 0.45 0.07%
Trade id #137559336
Max drawdown($48)
Time9/28/21 9:59
Quant open4
Worst price1.23
Drawdown as % of equity-0.07%
$258
Includes Typical Broker Commissions trade costs of $5.60
9/20/21 9:42 QQQ2129J389 QQQ Oct29'21 389 call SHORT 4 1.55 9/28 9:45 0.48 0.07%
Trade id #137440470
Max drawdown($48)
Time9/20/21 10:00
Quant open4
Worst price1.67
Drawdown as % of equity-0.07%
$420
Includes Typical Broker Commissions trade costs of $5.60
9/14/21 9:46 QQQ2129J397 QQQ Oct29'21 397 call SHORT 4 1.47 9/20 9:42 0.57 0.03%
Trade id #137364013
Max drawdown($17)
Time9/14/21 12:01
Quant open4
Worst price1.51
Drawdown as % of equity-0.03%
$353
Includes Typical Broker Commissions trade costs of $5.60
9/2/21 9:47 QQQ2115V354 QQQ Oct15'21 354 put SHORT 4 2.67 9/16 9:53 2.59 0.56%
Trade id #137223727
Max drawdown($356)
Time9/13/21 0:00
Quant open4
Worst price3.56
Drawdown as % of equity-0.56%
$26
Includes Typical Broker Commissions trade costs of $5.60
8/26/21 10:51 QQQ2115J392 QQQ Oct15'21 392 call SHORT 4 1.63 9/16 9:53 0.82 1.3%
Trade id #137134825
Max drawdown($824)
Time9/1/21 0:00
Quant open4
Worst price3.69
Drawdown as % of equity-1.30%
$318
Includes Typical Broker Commissions trade costs of $5.60
9/2/21 9:46 QQQ2130U365 QQQ Sep30'21 365 put SHORT 4 2.55 9/10 10:33 2.58 0.35%
Trade id #137223700
Max drawdown($221)
Time9/2/21 14:04
Quant open4
Worst price3.10
Drawdown as % of equity-0.35%
($19)
Includes Typical Broker Commissions trade costs of $5.60
8/11/21 11:35 QQQ2130I386 QQQ Sep30'21 386 call SHORT 4 1.55 9/10 10:33 2.46 1.74%
Trade id #136921598
Max drawdown($1,108)
Time9/1/21 0:00
Quant open4
Worst price4.32
Drawdown as % of equity-1.74%
($370)
Includes Typical Broker Commissions trade costs of $5.60
8/26/21 10:51 QQQ2115V340 QQQ Oct15'21 340 put SHORT 4 3.22 9/2 9:47 1.74 0.03%
Trade id #137134850
Max drawdown($16)
Time8/26/21 11:01
Quant open4
Worst price3.26
Drawdown as % of equity-0.03%
$586
Includes Typical Broker Commissions trade costs of $5.60
8/11/21 11:35 QQQ2130U335 QQQ Sep30'21 335 put SHORT 4 2.84 9/2 9:45 0.87 0.78%
Trade id #136921587
Max drawdown($496)
Time8/19/21 0:00
Quant open4
Worst price4.08
Drawdown as % of equity-0.78%
$782
Includes Typical Broker Commissions trade costs of $5.60
7/30/21 9:37 QQQ2117U332 QQQ Sep17'21 332 put SHORT 4 2.93 8/13 10:02 1.24 n/a $670
Includes Typical Broker Commissions trade costs of $5.60

Statistics

  • Strategy began
    12/5/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    357.32
  • Age
    12 months ago
  • What it trades
    Options
  • # Trades
    74
  • # Profitable
    60
  • % Profitable
    81.10%
  • Avg trade duration
    13.9 days
  • Max peak-to-valley drawdown
    14.86%
  • drawdown period
    Nov 19, 2021 - Nov 26, 2021
  • Cumul. Return
    20.0%
  • Avg win
    $460.52
  • Avg loss
    $1,200
  • Model Account Values (Raw)
  • Cash
    $60,710
  • Margin Used
    $15,324
  • Buying Power
    $45,385
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    1.34
  • Sortino Ratio
    1.99
  • Calmar Ratio
    2.699
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.20%
  • Correlation to SP500
    0.35780
  • Return Percent SP500 (cumu) during strategy life
    24.21%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    17.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.200%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    47.00%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    865
  • Popularity (Last 6 weeks)
    988
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    101
  • Popularity (7 days, Percentile 1000 scale)
    955
  • 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
    $1,200
  • Avg Win
    $461
  • Sum Trade PL (losers)
    $16,807.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $27,631.000
  • # Winners
    60
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    241638
  • Win / Loss
  • # Losers
    14
  • % Winners
    81.1%
  • Frequency
  • Avg Position Time (mins)
    20084.20
  • Avg Position Time (hrs)
    334.74
  • Avg Trade Length
    13.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.47
  • Daily leverage (max)
    5.60
  • Regression
  • Alpha
    0.03
  • Beta
    0.36
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.60
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.687
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.900
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.596
  • Hold-and-Hope Ratio
    0.188
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24654
  • SD
    0.12025
  • Sharpe ratio (Glass type estimate)
    2.05015
  • Sharpe ratio (Hedges UMVUE)
    1.89177
  • df
    10.00000
  • t
    1.96287
  • p
    0.03903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.23858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10040
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.09377
  • Upside Potential Ratio
    5.34342
  • Upside part of mean
    0.32179
  • Downside part of mean
    -0.07526
  • Upside SD
    0.12076
  • Downside SD
    0.06022
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.22869
  • Mean of criterion
    0.24654
  • SD of predictor
    0.08316
  • SD of criterion
    0.12025
  • Covariance
    -0.00570
  • r
    -0.56977
  • b (slope, estimate of beta)
    -0.82388
  • a (intercept, estimate of alpha)
    0.43495
  • Mean Square Error
    0.01085
  • DF error
    9.00000
  • t(b)
    -2.07994
  • p(b)
    0.96636
  • t(a)
    3.07220
  • p(a)
    0.00665
  • Lowerbound of 95% confidence interval for beta
    -1.71993
  • Upperbound of 95% confidence interval for beta
    0.07218
  • Lowerbound of 95% confidence interval for alpha
    0.11468
  • Upperbound of 95% confidence interval for alpha
    0.75521
  • Treynor index (mean / b)
    -0.29924
  • Jensen alpha (a)
    0.43495
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23708
  • SD
    0.11922
  • Sharpe ratio (Glass type estimate)
    1.98851
  • Sharpe ratio (Hedges UMVUE)
    1.83489
  • df
    10.00000
  • t
    1.90386
  • p
    0.04304
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03429
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83822
  • Upside Potential Ratio
    5.08410
  • Upside part of mean
    0.31403
  • Downside part of mean
    -0.07695
  • Upside SD
    0.11743
  • Downside SD
    0.06177
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.22300
  • Mean of criterion
    0.23708
  • SD of predictor
    0.08136
  • SD of criterion
    0.11922
  • Covariance
    -0.00554
  • r
    -0.57074
  • b (slope, estimate of beta)
    -0.83634
  • a (intercept, estimate of alpha)
    0.42358
  • Mean Square Error
    0.01065
  • DF error
    9.00000
  • t(b)
    -2.08521
  • p(b)
    0.96665
  • t(a)
    3.02430
  • p(a)
    0.00719
  • Lowerbound of 95% confidence interval for beta
    -1.74365
  • Upperbound of 95% confidence interval for beta
    0.07097
  • Lowerbound of 95% confidence interval for alpha
    0.10675
  • Upperbound of 95% confidence interval for alpha
    0.74042
  • Treynor index (mean / b)
    -0.28347
  • Jensen alpha (a)
    0.42358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03618
  • Expected Shortfall on VaR
    0.04987
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00620
  • Expected Shortfall on VaR
    0.01706
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.94610
  • Quartile 1
    1.01155
  • Median
    1.02439
  • Quartile 3
    1.04411
  • Maximum
    1.06874
  • Mean of quarter 1
    0.98168
  • Mean of quarter 2
    1.01768
  • Mean of quarter 3
    1.03859
  • Mean of quarter 4
    1.05878
  • Inter Quartile Range
    0.03256
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.94610
  • 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)
    0.13531
  • VaR(95%) (regression method)
    0.05801
  • Expected Shortfall (regression method)
    0.11189
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01043
  • Quartile 1
    0.02130
  • Median
    0.03216
  • Quartile 3
    0.04303
  • Maximum
    0.05390
  • Mean of quarter 1
    0.01043
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05390
  • Inter Quartile Range
    0.02174
  • 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)
    0.29994
  • Compounded annual return (geometric extrapolation)
    0.30341
  • Calmar ratio (compounded annual return / max draw down)
    5.62896
  • Compounded annual return / average of 25% largest draw downs
    5.62896
  • Compounded annual return / Expected Shortfall lognormal
    6.08427
  • 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
    0.20354
  • SD
    0.12272
  • Sharpe ratio (Glass type estimate)
    1.65859
  • Sharpe ratio (Hedges UMVUE)
    1.65361
  • df
    250.00000
  • t
    1.62340
  • p
    0.05288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66130
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45773
  • Upside Potential Ratio
    9.22676
  • Upside part of mean
    0.76412
  • Downside part of mean
    -0.56058
  • Upside SD
    0.09110
  • Downside SD
    0.08282
  • N nonnegative terms
    154.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.20811
  • Mean of criterion
    0.20354
  • SD of predictor
    0.12344
  • SD of criterion
    0.12272
  • Covariance
    0.00529
  • r
    0.34942
  • b (slope, estimate of beta)
    0.34736
  • a (intercept, estimate of alpha)
    0.13100
  • Mean Square Error
    0.01327
  • DF error
    249.00000
  • t(b)
    5.88477
  • p(b)
    0.00000
  • t(a)
    1.10900
  • p(a)
    0.13425
  • Lowerbound of 95% confidence interval for beta
    0.23111
  • Upperbound of 95% confidence interval for beta
    0.46362
  • Lowerbound of 95% confidence interval for alpha
    -0.10184
  • Upperbound of 95% confidence interval for alpha
    0.36434
  • Treynor index (mean / b)
    0.58595
  • Jensen alpha (a)
    0.13125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19594
  • SD
    0.12269
  • Sharpe ratio (Glass type estimate)
    1.59708
  • Sharpe ratio (Hedges UMVUE)
    1.59228
  • df
    250.00000
  • t
    1.56319
  • p
    0.05964
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59959
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34356
  • Upside Potential Ratio
    9.08911
  • Upside part of mean
    0.75994
  • Downside part of mean
    -0.56399
  • Upside SD
    0.09027
  • Downside SD
    0.08361
  • N nonnegative terms
    154.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    251.00000
  • Mean of predictor
    0.20041
  • Mean of criterion
    0.19594
  • SD of predictor
    0.12356
  • SD of criterion
    0.12269
  • Covariance
    0.00529
  • r
    0.34875
  • b (slope, estimate of beta)
    0.34629
  • a (intercept, estimate of alpha)
    0.12655
  • Mean Square Error
    0.01328
  • DF error
    249.00000
  • t(b)
    5.87175
  • p(b)
    0.00000
  • t(a)
    1.06965
  • p(a)
    0.14291
  • Lowerbound of 95% confidence interval for beta
    0.23013
  • Upperbound of 95% confidence interval for beta
    0.46244
  • Lowerbound of 95% confidence interval for alpha
    -0.10646
  • Upperbound of 95% confidence interval for alpha
    0.35956
  • Treynor index (mean / b)
    0.56585
  • Jensen alpha (a)
    0.12655
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01165
  • Expected Shortfall on VaR
    0.01477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    251.00000
  • Minimum
    0.96191
  • Quartile 1
    0.99814
  • Median
    1.00130
  • Quartile 3
    1.00391
  • Maximum
    1.03321
  • Mean of quarter 1
    0.99203
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00243
  • Mean of quarter 4
    1.00912
  • Inter Quartile Range
    0.00578
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.05578
  • Mean of outliers low
    0.98279
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03984
  • Mean of outliers high
    1.02190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17547
  • VaR(95%) (moments method)
    0.00622
  • Expected Shortfall (moments method)
    0.00993
  • Extreme Value Index (regression method)
    -0.02795
  • VaR(95%) (regression method)
    0.00803
  • Expected Shortfall (regression method)
    0.01162
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00107
  • Median
    0.00477
  • Quartile 3
    0.01859
  • Maximum
    0.09294
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00229
  • Mean of quarter 3
    0.01206
  • Mean of quarter 4
    0.03714
  • Inter Quartile Range
    0.01752
  • 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
    0.10000
  • Mean of outliers high
    0.06119
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36895
  • VaR(95%) (moments method)
    0.04258
  • Expected Shortfall (moments method)
    0.07449
  • Extreme Value Index (regression method)
    0.78696
  • VaR(95%) (regression method)
    0.03251
  • Expected Shortfall (regression method)
    0.10180
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24967
  • Compounded annual return (geometric extrapolation)
    0.25089
  • Calmar ratio (compounded annual return / max draw down)
    2.69947
  • Compounded annual return / average of 25% largest draw downs
    6.75542
  • Compounded annual return / Expected Shortfall lognormal
    16.98280
  • 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
    0.03118
  • SD
    0.10545
  • Sharpe ratio (Glass type estimate)
    0.29571
  • Sharpe ratio (Hedges UMVUE)
    0.29400
  • df
    130.00000
  • t
    0.20910
  • p
    0.49083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.47681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.47804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06604
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36726
  • Upside Potential Ratio
    6.96160
  • Upside part of mean
    0.59110
  • Downside part of mean
    -0.55992
  • Upside SD
    0.06189
  • Downside SD
    0.08491
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15929
  • Mean of criterion
    0.03118
  • SD of predictor
    0.10629
  • SD of criterion
    0.10545
  • Covariance
    0.00227
  • r
    0.20247
  • b (slope, estimate of beta)
    0.20088
  • a (intercept, estimate of alpha)
    -0.00081
  • Mean Square Error
    0.01075
  • DF error
    129.00000
  • t(b)
    2.34828
  • p(b)
    0.37199
  • t(a)
    -0.00552
  • p(a)
    0.50031
  • Lowerbound of 95% confidence interval for beta
    0.03163
  • Upperbound of 95% confidence interval for beta
    0.37012
  • Lowerbound of 95% confidence interval for alpha
    -0.29214
  • Upperbound of 95% confidence interval for alpha
    0.29051
  • Treynor index (mean / b)
    0.15524
  • Jensen alpha (a)
    -0.00081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02562
  • SD
    0.10608
  • Sharpe ratio (Glass type estimate)
    0.24150
  • Sharpe ratio (Hedges UMVUE)
    0.24010
  • df
    130.00000
  • t
    0.17077
  • p
    0.49251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01206
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29828
  • Upside Potential Ratio
    6.85949
  • Upside part of mean
    0.58914
  • Downside part of mean
    -0.56352
  • Upside SD
    0.06159
  • Downside SD
    0.08589
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15361
  • Mean of criterion
    0.02562
  • SD of predictor
    0.10646
  • SD of criterion
    0.10608
  • Covariance
    0.00228
  • r
    0.20187
  • b (slope, estimate of beta)
    0.20114
  • a (intercept, estimate of alpha)
    -0.00528
  • Mean Square Error
    0.01088
  • DF error
    129.00000
  • t(b)
    2.34095
  • p(b)
    0.37237
  • t(a)
    -0.03564
  • p(a)
    0.50200
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.03114
  • Upperbound of 95% confidence interval for beta
    0.37114
  • Lowerbound of 95% confidence interval for alpha
    -0.29828
  • Upperbound of 95% confidence interval for alpha
    0.28772
  • Treynor index (mean / b)
    0.12736
  • Jensen alpha (a)
    -0.00528
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.01333
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00884
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96191
  • Quartile 1
    0.99767
  • Median
    1.00128
  • Quartile 3
    1.00335
  • Maximum
    1.01895
  • Mean of quarter 1
    0.99222
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00220
  • Mean of quarter 4
    1.00671
  • Inter Quartile Range
    0.00568
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97954
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.01466
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22781
  • VaR(95%) (moments method)
    0.00686
  • Expected Shortfall (moments method)
    0.01120
  • Extreme Value Index (regression method)
    0.30057
  • VaR(95%) (regression method)
    0.00838
  • Expected Shortfall (regression method)
    0.01507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00180
  • Median
    0.01192
  • Quartile 3
    0.01795
  • Maximum
    0.09294
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00470
  • Mean of quarter 3
    0.01729
  • Mean of quarter 4
    0.04457
  • Inter Quartile Range
    0.01615
  • 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
    0.08333
  • Mean of outliers high
    0.09294
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64834
  • VaR(95%) (moments method)
    0.04887
  • Expected Shortfall (moments method)
    0.15082
  • Extreme Value Index (regression method)
    3.59195
  • VaR(95%) (regression method)
    0.11152
  • 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?
    -338555000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05425
  • Compounded annual return (geometric extrapolation)
    0.05498
  • Calmar ratio (compounded annual return / max draw down)
    0.59161
  • Compounded annual return / average of 25% largest draw downs
    1.23366
  • Compounded annual return / Expected Shortfall lognormal
    4.12542

Strategy Description

Starting 1/1/22 the monthly subscription fee will be set at $50.

The performance goal of the portfolio is to earn consistent monthly profits with minimal draw downs. We achieve this by placing high probability of profit trades paired with sound risk management. We use an appropriate amount of capital without over leveraging ourselves. This portfolio is primarily a short options swing trade approach. We do go long on some options products when a profitable opportunity is there. All of my trades are manually entered without algorithms. We frequently using 40-80% of our options buying power. Higher amounts of buying power will be used when exceptional opportunities present themselves. Our core strategy is to sell naked options that have a high probability of profit and take advantage of time decay. Proprietary software helps determine what are high probability of profit trades to increase our success. This will be managed daily and adjustments will be made as necessary. We have manual stop losses in place if need be, but we will be defending our positions and closing them before expiration date. Bull, bear, and flat market profitable. It is common when shorting options to be in the red early in the trade before time decay overtakes volatility and any sharp price movements. Manually enter the trades at a smaller position size to see how this works if you need to feel more comfortable before auto trading. Tier 3 options access with a margin account for selling naked options required. Message me if you need assistance upgrading your status with your broker. For large accounts portfolio margin may be beneficial to your buying power reduction which will not tie up as much capital. This is for medium to large accounts. We trade liquid products so you can get fills at market price quickly. When products are hard to get filled quickly it may increase your losses on losing positions and reduce your profits on winning ones. Most of our short positions are paired with puts and calls so you need to do both orders for the same options contract. At times we incrementally place our orders so auto trading needs to be at 100%, 200%, 300%, etc to ensure fills. This is so our margin requirements doesn't fluctuate too much when rolling positions. Message me prior to joining open trades. We may be closing those soon and it may be better for you to wait and open our next positions.

This strategy is aggressive and is meant to be a compliment to your portfolio with 3-4 other uncorrelated strategies all equal weight. Other strategies to consider:

https://collective2.com/details/136320209
https://collective2.com/details/136412810

Feel free to simulate the portfolio and message any questions and or concerns. For those new to Collective2 look at the "Old-Timers" list on the leader board to see what returns and drawdowns long term strategies can have.

Summary Statistics

Strategy began
2020-12-05
Suggested Minimum Capital
$35,000
# Trades
74
# Profitable
60
% Profitable
81.1%
Correlation S&P500
0.358
Sharpe Ratio
1.34
Sortino Ratio
1.99
Beta
0.36
Alpha
0.03
Leverage
3.47 Average
5.60 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.