Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

Got it
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

OptionsCentral
(68780464)

Created by: UkOptions UkOptions
Started: 05/2012
Options
Last trade: 3,755 days ago

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 $149.00 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.

-
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.

(100.0%)
Max Drawdown
921
Num Trades
45.7%
Win Trades
0.6 : 1
Profit Factor
26.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            (1.8%)(2.9%)(5.4%)(11.6%)(5.9%)+13.8%+21.6%(3.3%)+0.5%
2013(4.2%)(1.9%)+0.5%+1.5%+11.2%(4.3%)(2.5%)+4.6%(3.8%)(23.4%)(5.8%)(10.6%)(35.4%)
2014(10.5%)(7.2%)+20.1%+102.0%(3.6%)(1.5%)+0.5%  -  +0.3%+0.8%+2.2%+0.6%+100.0%
2015(0.7%)(2%)+0.9%(0.3%)+1.0%+0.7%(8%)+1.0%+0.5%(10.2%)(2.7%)(2.4%)(20.6%)
2016+4.7%+2.8%(3.4%)+4.1%(3.9%)+6.5%(9.6%)  -  (0.9%)(0.8%)+1.8%(0.4%)(0.1%)
2017(5.5%)(0.2%)(0.5%)(9.3%)(8.1%)+7.9%(3%)+0.5%(1.6%)(8.9%)+1.0%(5.2%)(29.2%)
2018(9.9%)+1.2%+16.5%(1.8%)(14.7%)+0.9%(17.7%)+0.4%+4.8%+30.7%(7.4%)+6.8%+0.4%
2019(10%)(5%)(10.4%)(15%)+21.1%+16.6%  -  (11.9%)(10%)(7.7%)(7.3%)(15.7%)(47.4%)
2020(21.1%)+16.3%+83.3%(26.3%)(32.4%)(7.2%)(30.8%)(69%)+311.7%(40.4%)(157.1%)(66.1%)(107.9%)
2021(348.2%)(161.3%)(5.7%)(102.9%)(9.3%)(31.6%)(22.8%)(18%)(7.5%)(5.1%)(7.8%)(5.6%)(4244.5%)
2022(27.9%)(12.4%)(16.6%)(40.7%)(18.6%)(3.1%)(16.4%)(6%)(53.4%)(19%)(20.3%)(68.8%)-
2023(228.8%)(59.4%)(206.4%)(24.8%)(80.9%)(7.2%)(24.5%)(3.4%)(1.6%)(11.2%)(16.2%)(19.9%)(1283.7%)
2024(18.8%)(22.8%)(26.4%)(9.1%)                                                (26.4%)

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/23/13 9:15 AAPL APPLE SHORT 5,000 63.20 10/21 10:33 57.14 0.5%
Trade id #81652950
Max drawdown($838)
Time10/21/13 10:02
Quant open-12
Worst price521.29
Drawdown as % of equity-0.50%
 $30,303
Includes Typical Broker Commissions trade costs of $24.28
6/7/13 10:47 GOOG1320S835 GOOG Jul20'13 835 put SHORT 1 16.60 6/24 10:35 14.90 0.02%
Trade id #81366851
Max drawdown($35)
Time6/7/13 10:54
Quant open-1
Worst price16.95
Drawdown as % of equity-0.02%
 $168
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:47 GOOG1320G905 GOOG Jul20'13 905 call SHORT 1 16.80 6/24 10:35 12.50 0.62%
Trade id #81366837
Max drawdown($1,320)
Time6/19/13 14:15
Quant open-1
Worst price30.00
Drawdown as % of equity-0.62%
 $428
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:47 GOOG1320G785 GOOG Jul20'13 785 call LONG 2 93.60 6/24 10:35 84.50 0.85%
Trade id #81366872
Max drawdown($1,820)
Time6/24/13 10:35
Quant open0
Worst price84.50
Drawdown as % of equity-0.85%
 ($1,823)
Includes Typical Broker Commissions trade costs of $3.40
6/7/13 10:46 GOOG1320S945 GOOG Jul20'13 945 put LONG 2 81.20 6/24 10:34 81.50 1.37%
Trade id #81366790
Max drawdown($2,932)
Time6/10/13 15:54
Quant open2
Worst price66.54
Drawdown as % of equity-1.37%
 $57
Includes Typical Broker Commissions trade costs of $3.40
6/7/13 10:56 AAPL1320S425 AAPL Jul20'13 425 put SHORT 1 11.00 6/24 10:34 27.35 0.77%
Trade id #81367145
Max drawdown($1,650)
Time6/24/13 10:03
Quant open-1
Worst price27.50
Drawdown as % of equity-0.77%
 ($1,637)
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:56 AAPL1320G455 AAPL Jul20'13 455 call SHORT 1 9.05 6/24 10:34 0.78 0.18%
Trade id #81367122
Max drawdown($380)
Time6/10/13 9:53
Quant open-1
Worst price12.85
Drawdown as % of equity-0.18%
 $825
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:55 AAPL1320S480 AAPL Jul20'13 480 put LONG 2 46.50 6/24 10:34 77.30 0.89%
Trade id #81367116
Max drawdown($1,920)
Time6/10/13 12:28
Quant open2
Worst price36.90
Drawdown as % of equity-0.89%
 $6,157
Includes Typical Broker Commissions trade costs of $3.40
6/7/13 10:56 AAPL1320G400 AAPL Jul20'13 400 call LONG 2 41.55 6/24 10:33 13.20 2.67%
Trade id #81367158
Max drawdown($5,690)
Time6/24/13 10:28
Quant open2
Worst price13.10
Drawdown as % of equity-2.67%
 ($5,673)
Includes Typical Broker Commissions trade costs of $3.40
6/7/13 10:54 AAPL1322R480 AAPL Jun22'13 480 put LONG 2 43.35 6/23 9:18 0.00 4.26%
Trade id #81367082
Max drawdown($8,670)
Time6/23/13 9:18
Quant open0
Worst price0.00
Drawdown as % of equity-4.26%
 ($8,672)
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:53 AAPL1322F455 AAPL Jun22'13 455 call SHORT 1 4.00 6/23 9:18 0.00 0.12%
Trade id #81367070
Max drawdown($260)
Time6/10/13 13:11
Quant open-1
Worst price6.60
Drawdown as % of equity-0.12%
 $399
Includes Typical Broker Commissions trade costs of $1.00
6/7/13 10:53 AAPL1322R425 AAPL Jun22'13 425 put SHORT 1 5.05 6/23 9:18 0.00 0.58%
Trade id #81367064
Max drawdown($1,178)
Time6/21/13 11:41
Quant open-1
Worst price16.83
Drawdown as % of equity-0.58%
 $504
Includes Typical Broker Commissions trade costs of $1.00
6/7/13 10:52 AAPL1322F400 AAPL Jun22'13 400 call LONG 2 38.80 6/23 9:18 0.00 3.82%
Trade id #81367033
Max drawdown($7,760)
Time6/23/13 9:18
Quant open0
Worst price0.00
Drawdown as % of equity-3.82%
 ($7,762)
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:45 GOOG1322R945 GOOG Jun22'13 945 put LONG 2 74.90 6/23 9:18 0.00 7.36%
Trade id #81366761
Max drawdown($14,980)
Time6/23/13 9:18
Quant open0
Worst price0.00
Drawdown as % of equity-7.36%
 ($14,982)
Includes Typical Broker Commissions trade costs of $2.00
6/7/13 10:45 GOOG1322F905 GOOG Jun22'13 905 call SHORT 1 2.90 6/23 9:18 0.00 0.27%
Trade id #81366744
Max drawdown($580)
Time6/19/13 14:38
Quant open-1
Worst price8.70
Drawdown as % of equity-0.27%
 $289
Includes Typical Broker Commissions trade costs of $1.00
6/7/13 10:44 GOOG1322R835 GOOG Jun22'13 835 put SHORT 1 2.95 6/23 9:18 0.00 0.01%
Trade id #81366725
Max drawdown($28)
Time6/7/13 10:59
Quant open-1
Worst price3.23
Drawdown as % of equity-0.01%
 $294
Includes Typical Broker Commissions trade costs of $1.00
6/7/13 10:44 GOOG1322F785 GOOG Jun22'13 785 call LONG 2 88.00 6/23 9:17 0.00 8.65%
Trade id #81366687
Max drawdown($17,600)
Time6/23/13 9:17
Quant open0
Worst price0.00
Drawdown as % of equity-8.65%
 ($17,602)
Includes Typical Broker Commissions trade costs of $2.00
5/28/13 13:51 GOOG1322F885 GOOG Jun22'13 885 call LONG 5 17.70 6/23 9:15 0.00 4.35%
Trade id #81134193
Max drawdown($8,850)
Time6/23/13 9:15
Quant open0
Worst price0.00
Drawdown as % of equity-4.35%
 ($8,854)
Includes Typical Broker Commissions trade costs of $3.50
5/28/13 13:51 GOOG1322R885 GOOG Jun22'13 885 put LONG 5 18.20 6/23 9:15 0.00 4.47%
Trade id #81134178
Max drawdown($9,100)
Time6/23/13 9:15
Quant open0
Worst price0.00
Drawdown as % of equity-4.47%
 ($9,104)
Includes Typical Broker Commissions trade costs of $3.50
5/28/13 13:50 AAPL1322F440 AAPL Jun22'13 440 call LONG 5 13.25 6/23 9:15 0.00 3.26%
Trade id #81134164
Max drawdown($6,625)
Time6/23/13 9:15
Quant open0
Worst price0.00
Drawdown as % of equity-3.26%
 ($6,629)
Includes Typical Broker Commissions trade costs of $3.50
5/28/13 13:50 AAPL1322R440 AAPL Jun22'13 440 put LONG 5 11.15 6/23 9:14 0.00 2.74%
Trade id #81134158
Max drawdown($5,575)
Time6/23/13 9:14
Quant open0
Worst price0.00
Drawdown as % of equity-2.74%
 ($5,579)
Includes Typical Broker Commissions trade costs of $3.50
5/19/13 11:00 GOOG ALPHABET INC CLASS C LONG 500 810.00 5/28 13:48 883.84 n/a $36,910
Includes Typical Broker Commissions trade costs of $10.00
5/19/13 11:00 AAPL APPLE LONG 3,571 55.30 5/20 10:34 61.82 n/a $23,278
Includes Typical Broker Commissions trade costs of $5.00
4/23/13 15:59 GOOG1318E810 GOOG May18'13 810 call LONG 5 14.20 5/19 11:00 0.00 3.07%
Trade id #80445147
Max drawdown($7,100)
Time5/19/13 11:00
Quant open0
Worst price0.00
Drawdown as % of equity-3.07%
 ($7,104)
Includes Typical Broker Commissions trade costs of $3.50
4/23/13 15:59 GOOG1318Q810 GOOG May18'13 810 put LONG 5 15.50 5/19 11:00 0.00 3.35%
Trade id #80445128
Max drawdown($7,750)
Time5/19/13 11:00
Quant open0
Worst price0.00
Drawdown as % of equity-3.35%
 ($7,754)
Includes Typical Broker Commissions trade costs of $3.50
4/19/13 10:58 AAPL1318E395 AAPL May18'13 395 call LONG 5 18.90 5/19 11:00 0.00 4.08%
Trade id #80363787
Max drawdown($9,450)
Time5/19/13 11:00
Quant open0
Worst price0.00
Drawdown as % of equity-4.08%
 ($9,454)
Includes Typical Broker Commissions trade costs of $3.50
4/19/13 10:57 AAPL1318Q395 AAPL May18'13 395 put LONG 5 19.60 5/19 10:59 0.00 4.24%
Trade id #80363778
Max drawdown($9,800)
Time5/19/13 10:59
Quant open0
Worst price0.00
Drawdown as % of equity-4.24%
 ($9,804)
Includes Typical Broker Commissions trade costs of $3.50
4/19/13 10:56 GOOG1318E785 GOOG May18'13 785 call LONG 5 16.20 4/23 15:58 30.30 0.11%
Trade id #80363755
Max drawdown($250)
Time4/19/13 10:58
Quant open5
Worst price15.70
Drawdown as % of equity-0.11%
 $7,043
Includes Typical Broker Commissions trade costs of $7.00
4/19/13 10:56 GOOG1318Q785 GOOG May18'13 785 put LONG 5 15.90 4/23 15:58 6.50 2.67%
Trade id #80363746
Max drawdown($5,250)
Time4/23/13 10:39
Quant open5
Worst price5.40
Drawdown as % of equity-2.67%
 ($4,707)
Includes Typical Broker Commissions trade costs of $7.00
3/15/13 9:36 GOOG1320D825 GOOG Apr20'13 825 call LONG 5 21.30 4/19 10:55 0.04 4.57%
Trade id #79729086
Max drawdown($10,645)
Time4/19/13 9:45
Quant open5
Worst price0.01
Drawdown as % of equity-4.57%
 ($10,637)
Includes Typical Broker Commissions trade costs of $7.00
Next

Statistics

  • Strategy began
    5/2/2012
  • Suggested Minimum Cap
    $200,000
  • Strategy Age (days)
    4373.3
  • Age
    146 months ago
  • What it trades
    Options
  • # Trades
    921
  • # Profitable
    421
  • % Profitable
    45.70%
  • Avg trade duration
    12.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 01, 2020 - April 14, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,844
  • Avg loss
    $2,563
  • Model Account Values (Raw)
  • Cash
    $384,616
  • Margin Used
    $296,354
  • Buying Power
    ($392,732)
  • Ratios
  • W:L ratio
    0.60:1
  • Sharpe Ratio
    -0.38
  • Sortino Ratio
    -0.47
  • Calmar Ratio
    -0.962
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -515.86%
  • Correlation to SP500
    -0.25250
  • Return Percent SP500 (cumu) during strategy life
    264.41%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    40.00%
  • Chance of 70% account loss (Monte Carlo)
    6.67%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,563
  • Avg Win
    $1,845
  • Sum Trade PL (losers)
    $1,281,720.000
  • Age
  • Num Months filled monthly returns table
    103
  • Win / Loss
  • Sum Trade PL (winners)
    $776,644.000
  • # Winners
    421
  • Num Months Winners
    39
  • Dividends
  • Dividends Received in Model Acct
    -2135
  • Win / Loss
  • # Losers
    500
  • % Winners
    45.7%
  • Frequency
  • Avg Position Time (mins)
    17660.00
  • Avg Position Time (hrs)
    294.33
  • Avg Trade Length
    12.3 days
  • Last Trade Ago
    3751
  • Regression
  • Alpha
    0.00
  • Beta
    -1.57
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    77.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.36
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.107
  • 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
    0.442
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.100
  • Hold-and-Hope Ratio
    -0.589
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.46809
  • SD
    0.95709
  • Sharpe ratio (Glass type estimate)
    -0.48907
  • Sharpe ratio (Hedges UMVUE)
    -0.48049
  • df
    43.00000
  • t
    -0.93651
  • p
    0.82288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51502
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54810
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.69236
  • Upside Potential Ratio
    0.93401
  • Upside part of mean
    0.63146
  • Downside part of mean
    -1.09955
  • Upside SD
    0.67557
  • Downside SD
    0.67608
  • N nonnegative terms
    13.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.30755
  • Mean of criterion
    -0.46809
  • SD of predictor
    0.20880
  • SD of criterion
    0.95709
  • Covariance
    -0.07526
  • r
    -0.37662
  • b (slope, estimate of beta)
    -1.72635
  • a (intercept, estimate of alpha)
    0.06284
  • Mean Square Error
    0.80481
  • DF error
    42.00000
  • t(b)
    -2.63477
  • p(b)
    0.99413
  • t(a)
    0.12322
  • p(a)
    0.45126
  • Lowerbound of 95% confidence interval for beta
    -3.04863
  • Upperbound of 95% confidence interval for beta
    -0.40407
  • Lowerbound of 95% confidence interval for alpha
    -0.96638
  • Upperbound of 95% confidence interval for alpha
    1.09207
  • Treynor index (mean / b)
    0.27115
  • Jensen alpha (a)
    0.06284
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.35684
  • SD
    5.58593
  • Sharpe ratio (Glass type estimate)
    -0.60094
  • Sharpe ratio (Hedges UMVUE)
    -0.59039
  • df
    43.00000
  • t
    -1.15072
  • p
    0.87190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.43383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44074
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60088
  • Upside Potential Ratio
    0.08758
  • Upside part of mean
    0.48926
  • Downside part of mean
    -3.84610
  • Upside SD
    0.47229
  • Downside SD
    5.58655
  • N nonnegative terms
    13.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.28229
  • Mean of criterion
    -3.35684
  • SD of predictor
    0.20735
  • SD of criterion
    5.58593
  • Covariance
    -0.48301
  • r
    -0.41702
  • b (slope, estimate of beta)
    -11.23440
  • a (intercept, estimate of alpha)
    -0.18552
  • Mean Square Error
    26.39000
  • DF error
    42.00000
  • t(b)
    -2.97351
  • p(b)
    0.99757
  • t(a)
    -0.06426
  • p(a)
    0.52547
  • Lowerbound of 95% confidence interval for beta
    -18.85910
  • Upperbound of 95% confidence interval for beta
    -3.60977
  • Lowerbound of 95% confidence interval for alpha
    -6.01171
  • Upperbound of 95% confidence interval for alpha
    5.64068
  • Treynor index (mean / b)
    0.29880
  • Jensen alpha (a)
    -0.18552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94671
  • Expected Shortfall on VaR
    0.96880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.25933
  • Expected Shortfall on VaR
    0.49596
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.00002
  • Quartile 1
    0.89318
  • Median
    0.98066
  • Quartile 3
    1.00764
  • Maximum
    2.16796
  • Mean of quarter 1
    0.70640
  • Mean of quarter 2
    0.93963
  • Mean of quarter 3
    0.99530
  • Mean of quarter 4
    1.21195
  • Inter Quartile Range
    0.11446
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06818
  • Mean of outliers low
    0.39032
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.06818
  • Mean of outliers high
    1.61983
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40137
  • VaR(95%) (moments method)
    0.30326
  • Expected Shortfall (moments method)
    0.58008
  • Extreme Value Index (regression method)
    0.68935
  • VaR(95%) (regression method)
    0.32353
  • Expected Shortfall (regression method)
    1.01849
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02790
  • Quartile 1
    0.18312
  • Median
    0.30261
  • Quartile 3
    0.48890
  • Maximum
    1.00000
  • Mean of quarter 1
    0.10551
  • Mean of quarter 2
    0.30261
  • Mean of quarter 3
    0.48890
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.30578
  • 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
    0.20000
  • Mean of outliers high
    1.00000
  • 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)
    -0.27273
  • Compounded annual return (geometric extrapolation)
    -0.96417
  • Calmar ratio (compounded annual return / max draw down)
    -0.96417
  • Compounded annual return / average of 25% largest draw downs
    -0.96417
  • Compounded annual return / Expected Shortfall lognormal
    -0.99521
  • 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
    375.39100
  • SD
    724.25500
  • Sharpe ratio (Glass type estimate)
    0.51831
  • Sharpe ratio (Hedges UMVUE)
    0.51792
  • df
    978.00000
  • t
    1.00192
  • p
    0.15832
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53237
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53210
  • Statistics related to Sortino ratio
  • Sortino ratio
    380.40200
  • Upside Potential Ratio
    384.06900
  • Upside part of mean
    379.01000
  • Downside part of mean
    -3.61920
  • Upside SD
    724.25600
  • Downside SD
    0.98683
  • N nonnegative terms
    361.00000
  • N negative terms
    618.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    979.00000
  • Mean of predictor
    0.35035
  • Mean of criterion
    375.39100
  • SD of predictor
    0.27232
  • SD of criterion
    724.25500
  • Covariance
    7.35901
  • r
    0.03731
  • b (slope, estimate of beta)
    99.23130
  • a (intercept, estimate of alpha)
    340.62500
  • Mean Square Error
    524351.00000
  • DF error
    977.00000
  • t(b)
    1.16706
  • p(b)
    0.12174
  • t(a)
    0.90644
  • p(a)
    0.18246
  • Lowerbound of 95% confidence interval for beta
    -67.62500
  • Upperbound of 95% confidence interval for beta
    266.08800
  • Lowerbound of 95% confidence interval for alpha
    -396.81300
  • Upperbound of 95% confidence interval for alpha
    1078.06000
  • Treynor index (mean / b)
    3.78299
  • Jensen alpha (a)
    340.62500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.29450
  • SD
    7.79066
  • Sharpe ratio (Glass type estimate)
    -0.42288
  • Sharpe ratio (Hedges UMVUE)
    -0.42255
  • df
    978.00000
  • t
    -0.81744
  • p
    0.79306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43688
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.59132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59155
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49017
  • Upside Potential Ratio
    0.73109
  • Upside part of mean
    4.91371
  • Downside part of mean
    -8.20820
  • Upside SD
    3.93709
  • Downside SD
    6.72110
  • N nonnegative terms
    361.00000
  • N negative terms
    618.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    979.00000
  • Mean of predictor
    0.31289
  • Mean of criterion
    -3.29450
  • SD of predictor
    0.27341
  • SD of criterion
    7.79066
  • Covariance
    -0.22799
  • r
    -0.10704
  • b (slope, estimate of beta)
    -3.05002
  • a (intercept, estimate of alpha)
    -2.34018
  • Mean Square Error
    60.06040
  • DF error
    977.00000
  • t(b)
    -3.36502
  • p(b)
    0.99960
  • t(a)
    -0.58225
  • p(a)
    0.71973
  • Lowerbound of 95% confidence interval for beta
    -4.82872
  • Upperbound of 95% confidence interval for beta
    -1.27133
  • Lowerbound of 95% confidence interval for alpha
    -10.22740
  • Upperbound of 95% confidence interval for alpha
    5.54704
  • Treynor index (mean / b)
    1.08015
  • Jensen alpha (a)
    -2.34018
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.55258
  • Expected Shortfall on VaR
    0.62867
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03568
  • Expected Shortfall on VaR
    0.08151
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    979.00000
  • Minimum
    0.00002
  • Quartile 1
    0.98972
  • Median
    1.00000
  • Quartile 3
    1.00487
  • Maximum
    1401.00000
  • Mean of quarter 1
    0.94894
  • Mean of quarter 2
    0.99613
  • Mean of quarter 3
    1.00112
  • Mean of quarter 4
    6.77955
  • Inter Quartile Range
    0.01516
  • Number outliers low
    79.00000
  • Percentage of outliers low
    0.08069
  • Mean of outliers low
    0.88042
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.07354
  • Mean of outliers high
    20.63670
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82473
  • VaR(95%) (moments method)
    0.04540
  • Expected Shortfall (moments method)
    0.27041
  • Extreme Value Index (regression method)
    0.66702
  • VaR(95%) (regression method)
    0.03288
  • Expected Shortfall (regression method)
    0.10162
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01003
  • Quartile 1
    0.04074
  • Median
    0.06864
  • Quartile 3
    0.32839
  • Maximum
    1.00000
  • Mean of quarter 1
    0.02468
  • Mean of quarter 2
    0.06744
  • Mean of quarter 3
    0.27009
  • Mean of quarter 4
    0.75203
  • Inter Quartile Range
    0.28765
  • 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
    0.11111
  • Mean of outliers high
    1.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.26234
  • VaR(95%) (moments method)
    0.71312
  • Expected Shortfall (moments method)
    0.75164
  • Extreme Value Index (regression method)
    0.49733
  • VaR(95%) (regression method)
    1.15862
  • Expected Shortfall (regression method)
    2.55132
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26762
  • Compounded annual return (geometric extrapolation)
    -0.96186
  • Calmar ratio (compounded annual return / max draw down)
    -0.96187
  • Compounded annual return / average of 25% largest draw downs
    -1.27903
  • Compounded annual return / Expected Shortfall lognormal
    -1.52999
  • 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
    2796.07000
  • SD
    1979.92000
  • Sharpe ratio (Glass type estimate)
    1.41221
  • Sharpe ratio (Hedges UMVUE)
    1.40405
  • df
    130.00000
  • t
    0.99858
  • p
    0.45638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18667
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37301
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18110
  • Statistics related to Sortino ratio
  • Sortino ratio
    1327.39000
  • Upside Potential Ratio
    1330.04000
  • Upside part of mean
    2801.64000
  • Downside part of mean
    -5.57971
  • Upside SD
    1979.90000
  • Downside SD
    2.10644
  • N nonnegative terms
    4.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85686
  • Mean of criterion
    2796.07000
  • SD of predictor
    0.44651
  • SD of criterion
    1979.92000
  • Covariance
    51.16690
  • r
    0.05788
  • b (slope, estimate of beta)
    256.63900
  • a (intercept, estimate of alpha)
    2576.16000
  • Mean Square Error
    3937240.00000
  • DF error
    129.00000
  • t(b)
    0.65846
  • p(b)
    0.46318
  • t(a)
    0.91161
  • p(a)
    0.44912
  • Lowerbound of 95% confidence interval for beta
    -514.50000
  • Upperbound of 95% confidence interval for beta
    1027.78000
  • Lowerbound of 95% confidence interval for alpha
    -3015.06000
  • Upperbound of 95% confidence interval for alpha
    8167.38000
  • Treynor index (mean / b)
    10.89490
  • Jensen alpha (a)
    2576.16000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.72810
  • SD
    20.94300
  • Sharpe ratio (Glass type estimate)
    -1.03749
  • Sharpe ratio (Hedges UMVUE)
    -1.03149
  • df
    130.00000
  • t
    -0.73361
  • p
    0.53211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.80613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74315
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19313
  • Upside Potential Ratio
    0.87212
  • Upside part of mean
    15.88210
  • Downside part of mean
    -37.61020
  • Upside SD
    10.26770
  • Downside SD
    18.21100
  • N nonnegative terms
    4.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75621
  • Mean of criterion
    -21.72810
  • SD of predictor
    0.44816
  • SD of criterion
    20.94300
  • Covariance
    -0.83701
  • r
    -0.08918
  • b (slope, estimate of beta)
    -4.16737
  • a (intercept, estimate of alpha)
    -18.57670
  • Mean Square Error
    438.49600
  • DF error
    129.00000
  • t(b)
    -1.01692
  • p(b)
    0.55670
  • t(a)
    -0.62389
  • p(a)
    0.53490
  • VAR (95 Confidence Intrvl)
    0.55300
  • Lowerbound of 95% confidence interval for beta
    -12.27550
  • Upperbound of 95% confidence interval for beta
    3.94071
  • Lowerbound of 95% confidence interval for alpha
    -77.48870
  • Upperbound of 95% confidence interval for alpha
    40.33530
  • Treynor index (mean / b)
    5.21386
  • Jensen alpha (a)
    -18.57670
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.89043
  • Expected Shortfall on VaR
    0.92994
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07262
  • Expected Shortfall on VaR
    0.16265
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1401.00000
  • Mean of quarter 1
    0.91587
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    43.44920
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.44473
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    351.20600
  • 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)
    -3.83581
  • VaR(95%) (regression method)
    -0.42316
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -431942000
  • Max Equity Drawdown (num days)
    1260
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99996
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.07534

Strategy Description

Replace stock position with deep InTheMoney call and get repeated income from selling options that are about to expire.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-05-02
Suggested Minimum Capital
$200,000
# Trades
921
# Profitable
421
% Profitable
45.7%
Net Dividends
($2,135)
Correlation S&P500
-0.253
Sharpe Ratio
-0.38
Sortino Ratio
-0.47
Beta
-1.57
Alpha
0.00

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?

Mark as Private Keep Public

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.