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

Credit Spreads Income
(111339819)

Created by: jennifertrader74 jennifertrader74
Started: 05/2017
Options
Last trade: 2,357 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 $49.00 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.

6.7%
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.

(13.5%)
Max Drawdown
74
Num Trades
47.3%
Win Trades
1.5 : 1
Profit Factor
7.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +3.5%+10.2%+11.5%+12.3%+5.6%+3.9%  -    -  +56.7%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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 12 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
9/18/17 14:18 AMZN1713V940 AMZN Oct13'17 940 put SHORT 5 7.09 10/14 9:35 0.00 20.75%
Trade id #113728485
Max drawdown($7,377)
Time9/25/17 15:05
Quant open-5
Worst price21.85
Drawdown as % of equity-20.75%
$3,545
Includes Typical Broker Commissions trade costs of $3.50
9/18/17 14:16 AMZN1713V920 AMZN Oct13'17 920 put LONG 5 4.14 10/14 9:35 0.00 5.13%
Trade id #113728454
Max drawdown($2,071)
Time10/14/17 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-5.13%
($2,075)
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 12:25 GOOGL1715I970 GOOGL Sep15'17 970 call SHORT 5 1.50 9/14 16:15 0.00 8.45%
Trade id #113449012
Max drawdown($3,214)
Time9/8/17 9:31
Quant open-5
Worst price7.93
Drawdown as % of equity-8.45%
$748
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 12:24 GOOGL1715I985 GOOGL Sep15'17 985 call LONG 5 0.50 9/14 16:15 0.00 0.64%
Trade id #113448987
Max drawdown($250)
Time9/14/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-0.64%
($254)
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 10:45 GOOGL1715U910 GOOGL Sep15'17 910 put SHORT 5 3.11 9/14 16:15 0.00 0.46%
Trade id #113445776
Max drawdown($170)
Time8/30/17 11:22
Quant open-5
Worst price3.45
Drawdown as % of equity-0.46%
$1,552
Includes Typical Broker Commissions trade costs of $3.50
8/30/17 10:44 GOOGL1715U895 GOOGL Sep15'17 895 put LONG 5 1.90 9/14 16:15 0.00 2.45%
Trade id #113445711
Max drawdown($950)
Time9/14/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-2.45%
($954)
Includes Typical Broker Commissions trade costs of $3.50
8/18/17 11:04 NFLX1715U160 NFLX Sep15'17 160 put SHORT 5 2.32 9/14 16:15 0.00 1.77%
Trade id #113223600
Max drawdown($605)
Time8/21/17 10:23
Quant open-5
Worst price3.53
Drawdown as % of equity-1.77%
$1,157
Includes Typical Broker Commissions trade costs of $3.50
8/18/17 11:04 NFLX1715U150 NFLX Sep15'17 150 put LONG 5 0.90 9/14 16:15 0.00 1.16%
Trade id #113223574
Max drawdown($450)
Time9/14/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-1.16%
($454)
Includes Typical Broker Commissions trade costs of $3.50
8/18/17 11:10 SPXW1708U2380 SPX Sep8'17 2380 put SHORT 5 16.00 9/7 16:15 0.00 n/a $7,997
Includes Typical Broker Commissions trade costs of $3.50
8/18/17 11:08 SPXW1708U2360 SPX Sep8'17 2360 put LONG 5 13.00 9/7 16:15 0.00 17.06%
Trade id #113223753
Max drawdown($6,500)
Time9/7/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-17.06%
($6,504)
Includes Typical Broker Commissions trade costs of $3.50
8/21/17 10:27 RUTW1701U1320 RUTW Sep1'17 1320 put SHORT 5 6.20 8/31 16:15 0.00 0%
Trade id #113256113
Max drawdown$0
Time8/21/17 10:29
Quant open-5
Worst price6.20
Drawdown as % of equity0.00%
$3,097
Includes Typical Broker Commissions trade costs of $3.50
8/21/17 10:26 RUTW1701U1300 RUTW Sep1'17 1300 put LONG 5 3.80 8/31 16:15 0.00 5.17%
Trade id #113256088
Max drawdown($1,900)
Time8/31/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-5.17%
($1,904)
Includes Typical Broker Commissions trade costs of $3.50
8/2/17 14:25 AMZN1718T950 AMZN Aug18'17 950 put SHORT 5 3.92 8/17 16:15 0.00 13.98%
Trade id #112950642
Max drawdown($4,370)
Time8/11/17 9:49
Quant open-5
Worst price12.66
Drawdown as % of equity-13.98%
$1,957
Includes Typical Broker Commissions trade costs of $3.50
8/2/17 14:24 AMZN1718T930 AMZN Aug18'17 930 put LONG 5 1.95 8/17 16:15 0.00 2.87%
Trade id #112950566
Max drawdown($975)
Time8/17/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-2.87%
($979)
Includes Typical Broker Commissions trade costs of $3.50
7/13/17 14:29 STZ1718T190 STZ Aug18'17 190 put SHORT 3 2.40 8/17 16:15 0.00 0%
Trade id #112588291
Max drawdown$0
Time7/27/17 13:39
Quant open-3
Worst price2.40
Drawdown as % of equity0.00%
$718
Includes Typical Broker Commissions trade costs of $2.10
7/13/17 14:28 STZ1718T180 STZ Aug18'17 180 put LONG 3 0.80 8/17 16:15 0.00 0.71%
Trade id #112588269
Max drawdown($240)
Time8/17/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-0.71%
($242)
Includes Typical Broker Commissions trade costs of $2.10
7/19/17 11:16 NVDA1704T155 NVDA Aug4'17 155 put SHORT 5 1.72 8/3 16:15 0.00 1.8%
Trade id #112682721
Max drawdown($590)
Time7/27/17 13:42
Quant open-5
Worst price2.90
Drawdown as % of equity-1.80%
$857
Includes Typical Broker Commissions trade costs of $3.50
7/19/17 11:15 NVDA1704T145 NVDA Aug4'17 145 put LONG 5 0.46 8/3 16:15 0.00 0.7%
Trade id #112682688
Max drawdown($230)
Time8/3/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-0.70%
($234)
Includes Typical Broker Commissions trade costs of $3.50
7/13/17 15:33 RUTW1728S1355 RUTW Jul28'17 1355 put LONG 5 2.11 7/21 12:00 0.40 2.61%
Trade id #112590124
Max drawdown($855)
Time7/21/17 12:00
Quant open0
Worst price0.40
Drawdown as % of equity-2.61%
($862)
Includes Typical Broker Commissions trade costs of $7.00
7/13/17 15:36 RUTW1728S1375 RUTW Jul28'17 1375 put SHORT 5 3.30 7/21 11:55 0.78 0.08%
Trade id #112590226
Max drawdown($25)
Time7/13/17 15:41
Quant open-5
Worst price3.35
Drawdown as % of equity-0.08%
$1,253
Includes Typical Broker Commissions trade costs of $7.00
7/11/17 13:09 RUT1721G1465 RUT.X Jul21'17 1465 call LONG 5 0.60 7/20 16:15 0.00 0.92%
Trade id #112527234
Max drawdown($300)
Time7/20/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-0.92%
($304)
Includes Typical Broker Commissions trade costs of $3.50
6/29/17 14:33 RUT1721S1340 RUT.X Jul21'17 1340 put SHORT 5 4.01 7/20 16:15 0.00 2.77%
Trade id #112289913
Max drawdown($850)
Time7/6/17 9:31
Quant open-5
Worst price5.71
Drawdown as % of equity-2.77%
$2,002
Includes Typical Broker Commissions trade costs of $3.50
6/29/17 14:32 RUT1721S1320 RUT.X Jul21'17 1320 put LONG 5 2.80 7/20 16:15 0.00 4.28%
Trade id #112289906
Max drawdown($1,400)
Time7/20/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-4.28%
($1,404)
Includes Typical Broker Commissions trade costs of $3.50
6/29/17 11:38 AAPL1721S140 AAPL Jul21'17 140 put SHORT 5 1.51 7/20 16:15 0.00 1.06%
Trade id #112284475
Max drawdown($300)
Time6/29/17 13:57
Quant open-5
Worst price2.11
Drawdown as % of equity-1.06%
$752
Includes Typical Broker Commissions trade costs of $3.50
6/29/17 11:37 AAPL1721S135 AAPL Jul21'17 135 put LONG 5 0.69 7/20 16:15 0.00 1.06%
Trade id #112284458
Max drawdown($345)
Time7/20/17 16:15
Quant open0
Worst price0.00
Drawdown as % of equity-1.06%
($349)
Includes Typical Broker Commissions trade costs of $3.50
7/11/17 13:12 RUT1721G1445 RUT.X Jul21'17 1445 call SHORT 5 1.96 7/20 10:36 2.25 6.08%
Trade id #112527325
Max drawdown($1,875)
Time7/12/17 10:35
Quant open-5
Worst price5.71
Drawdown as % of equity-6.08%
($152)
Includes Typical Broker Commissions trade costs of $7.00
6/29/17 11:42 AMZN1714S940 AMZN Jul14'17 940 put SHORT 5 7.25 7/13 14:37 0.13 6.25%
Trade id #112284622
Max drawdown($1,875)
Time7/3/17 12:48
Quant open-5
Worst price11.00
Drawdown as % of equity-6.25%
$3,553
Includes Typical Broker Commissions trade costs of $7.00
6/29/17 11:41 AMZN1714S920 AMZN Jul14'17 920 put LONG 5 3.90 7/13 14:36 0.09 6.08%
Trade id #112284570
Max drawdown($1,945)
Time7/12/17 9:37
Quant open5
Worst price0.01
Drawdown as % of equity-6.08%
($1,912)
Includes Typical Broker Commissions trade costs of $7.00
6/29/17 14:36 SPXW1714S2330 SPX Jul14'17 2330 put LONG 5 4.10 7/13 14:34 0.05 6.38%
Trade id #112290013
Max drawdown($2,035)
Time7/13/17 9:53
Quant open5
Worst price0.03
Drawdown as % of equity-6.38%
($2,032)
Includes Typical Broker Commissions trade costs of $7.00
6/29/17 14:38 SPXW1714S2350 SPX Jul14'17 2350 put SHORT 5 5.93 7/13 14:33 0.10 n/a $2,908
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    5/1/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2515.84
  • Age
    84 months ago
  • What it trades
    Options
  • # Trades
    74
  • # Profitable
    35
  • % Profitable
    47.30%
  • Avg trade duration
    16.9 days
  • Max peak-to-valley drawdown
    13.48%
  • drawdown period
    June 08, 2017 - June 15, 2017
  • Annual Return (Compounded)
    6.7%
  • Avg win
    $1,382
  • Avg loss
    $846.97
  • Model Account Values (Raw)
  • Cash
    $40,357
  • Margin Used
    $0
  • Buying Power
    $40,357
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    0.84
  • Calmar Ratio
    3.75
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -62.07%
  • Correlation to SP500
    0.03020
  • Return Percent SP500 (cumu) during strategy life
    120.00%
  • Return Statistics
  • Ann Return (w trading costs)
    6.7%
  • 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
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.067%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    6.67%
  • Chance of 30% account loss
    n/a
  • 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)
    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
    $847
  • Avg Win
    $1,383
  • Sum Trade PL (losers)
    $33,032.000
  • Age
  • Num Months filled monthly returns table
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $48,391.000
  • # Winners
    35
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    39
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    24383.50
  • Avg Position Time (hrs)
    406.39
  • Avg Trade Length
    16.9 days
  • Last Trade Ago
    2350
  • Regression
  • Alpha
    0.01
  • Beta
    0.01
  • Treynor Index
    0.96
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.80
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    19.124
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.015
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    0.052
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30772
  • SD
    0.16712
  • Sharpe ratio (Glass type estimate)
    1.84126
  • Sharpe ratio (Hedges UMVUE)
    1.75861
  • df
    17.00000
  • t
    2.25508
  • p
    0.20668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46460
  • Statistics related to Sortino ratio
  • Sortino ratio
    46.72770
  • Upside Potential Ratio
    49.55620
  • Upside part of mean
    0.32635
  • Downside part of mean
    -0.01863
  • Upside SD
    0.18500
  • Downside SD
    0.00659
  • N nonnegative terms
    6.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.42535
  • Mean of criterion
    0.30772
  • SD of predictor
    0.32702
  • SD of criterion
    0.16712
  • Covariance
    -0.01034
  • r
    -0.18925
  • b (slope, estimate of beta)
    -0.09672
  • a (intercept, estimate of alpha)
    0.34886
  • Mean Square Error
    0.02861
  • DF error
    16.00000
  • t(b)
    -0.77093
  • p(b)
    0.59462
  • t(a)
    2.35613
  • p(a)
    0.24624
  • Lowerbound of 95% confidence interval for beta
    -0.36267
  • Upperbound of 95% confidence interval for beta
    0.16924
  • Lowerbound of 95% confidence interval for alpha
    0.03498
  • Upperbound of 95% confidence interval for alpha
    0.66274
  • Treynor index (mean / b)
    -3.18163
  • Jensen alpha (a)
    0.34886
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29119
  • SD
    0.15743
  • Sharpe ratio (Glass type estimate)
    1.84965
  • Sharpe ratio (Hedges UMVUE)
    1.76662
  • df
    17.00000
  • t
    2.26535
  • p
    0.20574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05970
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47355
  • Statistics related to Sortino ratio
  • Sortino ratio
    44.26860
  • Upside Potential Ratio
    47.09700
  • Upside part of mean
    0.30979
  • Downside part of mean
    -0.01860
  • Upside SD
    0.17444
  • Downside SD
    0.00658
  • N nonnegative terms
    6.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.37308
  • Mean of criterion
    0.29119
  • SD of predictor
    0.30067
  • SD of criterion
    0.15743
  • Covariance
    -0.00835
  • r
    -0.17636
  • b (slope, estimate of beta)
    -0.09234
  • a (intercept, estimate of alpha)
    0.32564
  • Mean Square Error
    0.02551
  • DF error
    16.00000
  • t(b)
    -0.71666
  • p(b)
    0.58818
  • t(a)
    2.34279
  • p(a)
    0.24730
  • Lowerbound of 95% confidence interval for beta
    -0.36548
  • Upperbound of 95% confidence interval for beta
    0.18080
  • Lowerbound of 95% confidence interval for alpha
    0.03098
  • Upperbound of 95% confidence interval for alpha
    0.62029
  • Treynor index (mean / b)
    -3.15344
  • Jensen alpha (a)
    0.32564
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04923
  • Expected Shortfall on VaR
    0.06699
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00338
  • Expected Shortfall on VaR
    0.00381
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04128
  • Maximum
    1.14099
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00980
  • Mean of quarter 4
    1.09286
  • Inter Quartile Range
    0.04128
  • 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
    0.16667
  • Mean of outliers high
    1.12616
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40925
  • Compounded annual return (geometric extrapolation)
    0.37588
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.61140
  • 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
    0.29352
  • SD
    0.16730
  • Sharpe ratio (Glass type estimate)
    1.75440
  • Sharpe ratio (Hedges UMVUE)
    1.75117
  • df
    407.00000
  • t
    2.18932
  • p
    0.01457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17812
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32638
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88034
  • Upside Potential Ratio
    5.93141
  • Upside part of mean
    0.60443
  • Downside part of mean
    -0.31091
  • Upside SD
    0.13366
  • Downside SD
    0.10190
  • N nonnegative terms
    82.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.53619
  • Mean of criterion
    0.29352
  • SD of predictor
    0.36051
  • SD of criterion
    0.16730
  • Covariance
    0.00154
  • r
    0.02552
  • b (slope, estimate of beta)
    0.01185
  • a (intercept, estimate of alpha)
    0.28700
  • Mean Square Error
    0.02804
  • DF error
    406.00000
  • t(b)
    0.51446
  • p(b)
    0.30361
  • t(a)
    2.13101
  • p(a)
    0.01684
  • Lowerbound of 95% confidence interval for beta
    -0.03342
  • Upperbound of 95% confidence interval for beta
    0.05711
  • Lowerbound of 95% confidence interval for alpha
    0.02226
  • Upperbound of 95% confidence interval for alpha
    0.55207
  • Treynor index (mean / b)
    24.77960
  • Jensen alpha (a)
    0.28717
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27946
  • SD
    0.16659
  • Sharpe ratio (Glass type estimate)
    1.67749
  • Sharpe ratio (Hedges UMVUE)
    1.67440
  • df
    407.00000
  • t
    2.09334
  • p
    0.01847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24921
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66940
  • Upside Potential Ratio
    5.69039
  • Upside part of mean
    0.59572
  • Downside part of mean
    -0.31626
  • Upside SD
    0.13047
  • Downside SD
    0.10469
  • N nonnegative terms
    82.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    408.00000
  • Mean of predictor
    0.46867
  • Mean of criterion
    0.27946
  • SD of predictor
    0.36989
  • SD of criterion
    0.16659
  • Covariance
    0.00164
  • r
    0.02667
  • b (slope, estimate of beta)
    0.01201
  • a (intercept, estimate of alpha)
    0.27383
  • Mean Square Error
    0.02780
  • DF error
    406.00000
  • t(b)
    0.53754
  • p(b)
    0.29560
  • t(a)
    2.04311
  • p(a)
    0.02084
  • Lowerbound of 95% confidence interval for beta
    -0.03191
  • Upperbound of 95% confidence interval for beta
    0.05594
  • Lowerbound of 95% confidence interval for alpha
    0.01036
  • Upperbound of 95% confidence interval for alpha
    0.53729
  • Treynor index (mean / b)
    23.26710
  • Jensen alpha (a)
    0.27383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01574
  • Expected Shortfall on VaR
    0.01995
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00358
  • Expected Shortfall on VaR
    0.00808
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    408.00000
  • Minimum
    0.92644
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08947
  • Mean of quarter 1
    0.99559
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00931
  • Inter Quartile Range
    0.00000
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.09069
  • Mean of outliers low
    0.98785
  • Number of outliers high
    82.00000
  • Percentage of outliers high
    0.20098
  • Mean of outliers high
    1.01159
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86026
  • VaR(95%) (moments method)
    0.00209
  • Expected Shortfall (moments method)
    0.02278
  • Extreme Value Index (regression method)
    0.69128
  • VaR(95%) (regression method)
    0.00310
  • Expected Shortfall (regression method)
    0.01930
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00303
  • Median
    0.00997
  • Quartile 3
    0.03002
  • Maximum
    0.09596
  • Mean of quarter 1
    0.00147
  • Mean of quarter 2
    0.00649
  • Mean of quarter 3
    0.01663
  • Mean of quarter 4
    0.06162
  • Inter Quartile Range
    0.02699
  • 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
    0.05882
  • Mean of outliers high
    0.09596
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49668
  • VaR(95%) (moments method)
    0.06173
  • Expected Shortfall (moments method)
    0.07082
  • Extreme Value Index (regression method)
    0.22755
  • VaR(95%) (regression method)
    0.07469
  • Expected Shortfall (regression method)
    0.11541
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39421
  • Compounded annual return (geometric extrapolation)
    0.35983
  • Calmar ratio (compounded annual return / max draw down)
    3.74979
  • Compounded annual return / average of 25% largest draw downs
    5.83952
  • Compounded annual return / Expected Shortfall lognormal
    18.03330
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.73899
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42066
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65011
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42117
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6835360000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    78671499999999997505061886361600.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -439390000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

What is spread trading?
Spread trading is an options trading strategy in which a premium is collected by selling and buying high probability call and put options - the spread between the sold and purchased options is the collected premium. The goal is to take advantage of time decay to capture premium on potentially expiring options.

It is different from directional trading - we are estimating where the market or stocks's upper and lower bounds are located - we are not dependent on an absolute move - making the strategy less risky and able to produce consistent income.

Benefits of spread trading:
-It is higher probability vs. directional trading. We have achieved and target 90% probabilities for trades.
-It is short term - trades last less than 30 days.
-It provides consistent income.
-It offers a higher risk-adjusted rate of return vs. directional trading.

Drawback of spread trading:
-Lower return on an absolute basis vs. directional trading

Summary Statistics

Strategy began
2017-05-01
Suggested Minimum Capital
$35,000
# Trades
74
# Profitable
35
% Profitable
47.3%
Correlation S&P500
0.030
Sharpe Ratio
0.52
Sortino Ratio
0.84
Beta
0.01
Alpha
0.01

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.

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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.