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

Option Arbitrage
(126345239)

Created by: JacobPi JacobPi
Started: 11/2019
Options
Last trade: 1,467 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. Subscriptions to this system cost $150.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
-7.0%
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
78
Num Trades
71.8%
Win Trades
0.8 : 1
Profit Factor
39.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (11.6%)+1.3%(10.5%)
2020+15.2%+33.2%(31.7%)+3.1%+11.5%+12.5%+4.3%+10.6%  -  +16.0%+2.6%(2.3%)+81.7%
2021+1.4%+7.4%(11.7%)(4.1%)(39.2%)(32.5%)(116.2%)(18%)(15.3%)(15.9%)(18.9%)(42.7%)(108.1%)
2022(48%)(2.4%)(10%)(9.8%)(8.8%)(33.6%)(77.5%)(43.1%)(436%)(30.5%)(76.7%)(749.2%)(176%)
2023+54.8%(22.7%)(27.4%)+114.4%(51.7%)+28.8%+168.6%(7.2%)+1.7%+39.9%+29.5%(7.8%)+391.2%
2024+21.2%+27.1%(4.2%)                                                      +47.6%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/14/20 9:35 TTD THE TRADE DESK INC. CLASS A LONG 100 277.50 3/23 12:57 176.00 39.21%
Trade id #128046270
Max drawdown($14,150)
Time3/19/20 0:00
Quant open100
Worst price136.00
Drawdown as % of equity-39.21%
($10,152)
Includes Typical Broker Commissions trade costs of $2.00
3/14/20 9:35 ROKU ROKU INC. CLASS A COMMON STOCK LONG 200 115.00 3/23 10:49 81.47 23.93%
Trade id #128046154
Max drawdown($11,356)
Time3/17/20 0:00
Quant open200
Worst price58.22
Drawdown as % of equity-23.93%
($6,710)
Includes Typical Broker Commissions trade costs of $4.00
3/21/20 9:36 EHTH EHEALTH LONG 300 120.00 3/23 10:49 101.93 16.45%
Trade id #128171420
Max drawdown($7,557)
Time3/23/20 9:34
Quant open300
Worst price94.81
Drawdown as % of equity-16.45%
($5,427)
Includes Typical Broker Commissions trade costs of $6.00
3/9/20 15:41 EHTH2020O120 EHTH Mar20'20 120 put SHORT 3 3.50 3/21 9:36 0.00 18.65%
Trade id #127930942
Max drawdown($8,850)
Time3/17/20 0:00
Quant open3
Worst price33.00
Drawdown as % of equity-18.65%
$1,048
Includes Typical Broker Commissions trade costs of $2.10
3/9/20 15:38 EDU2020O120 EDU Mar20'20 120 put SHORT 3 2.45 3/21 9:35 0.00 6.9%
Trade id #127930880
Max drawdown($2,850)
Time3/20/20 0:00
Quant open3
Worst price11.95
Drawdown as % of equity-6.90%
$733
Includes Typical Broker Commissions trade costs of $2.10
3/9/20 15:37 GSX2020O35 GSX Mar20'20 35 put SHORT 10 0.60 3/21 9:35 0.00 3.31%
Trade id #127930868
Max drawdown($1,900)
Time3/16/20 0:00
Quant open10
Worst price2.50
Drawdown as % of equity-3.31%
$593
Includes Typical Broker Commissions trade costs of $7.00
3/3/20 15:34 EDU2020O130 EDU Mar20'20 130 put SHORT 3 3.50 3/21 9:35 0.00 14.96%
Trade id #127833953
Max drawdown($5,400)
Time3/19/20 0:00
Quant open3
Worst price21.50
Drawdown as % of equity-14.96%
$1,048
Includes Typical Broker Commissions trade costs of $2.10
3/14/20 9:35 LK LONG 1,000 34.50 3/16 10:44 30.39 10.88%
Trade id #128046230
Max drawdown($6,240)
Time3/16/20 9:49
Quant open1,000
Worst price28.26
Drawdown as % of equity-10.88%
($4,115)
Includes Typical Broker Commissions trade costs of $5.00
3/2/20 14:42 TTD2013O277.5 TTD Mar13'20 277.5 put SHORT 1 12.50 3/14 9:35 0.00 12.71%
Trade id #127810462
Max drawdown($7,050)
Time3/13/20 0:00
Quant open1
Worst price83.00
Drawdown as % of equity-12.71%
$1,249
Includes Typical Broker Commissions trade costs of $1.00
3/9/20 15:39 LK2013O34.5 LK Mar13'20 34.5 put SHORT 10 0.80 3/14 9:35 0.00 5.33%
Trade id #127930898
Max drawdown($3,600)
Time3/12/20 0:00
Quant open10
Worst price4.40
Drawdown as % of equity-5.33%
$793
Includes Typical Broker Commissions trade costs of $7.00
2/28/20 14:48 ROKU2013O115 ROKU Mar13'20 115 put SHORT 4 9.65 3/14 9:35 3.80 10.16%
Trade id #127779452
Max drawdown($5,634)
Time3/13/20 0:00
Quant open2
Worst price37.82
Drawdown as % of equity-10.16%
$2,336
Includes Typical Broker Commissions trade costs of $4.20
3/2/20 14:39 LK2006O36.5 LK Mar6'20 36.5 put SHORT 10 1.10 3/7 9:35 0.00 0.08%
Trade id #127810407
Max drawdown($60)
Time3/3/20 0:00
Quant open10
Worst price1.16
Drawdown as % of equity-0.08%
$1,093
Includes Typical Broker Commissions trade costs of $7.00
2/28/20 14:49 MU2006O50 MU Mar6'20 50 put SHORT 8 1.66 3/7 9:35 0.00 0.47%
Trade id #127779482
Max drawdown($320)
Time2/28/20 15:45
Quant open8
Worst price2.06
Drawdown as % of equity-0.47%
$1,322
Includes Typical Broker Commissions trade costs of $5.60
3/2/20 14:45 BYND2006C96 BYND Mar6'20 96 call SHORT 4 2.13 3/7 9:35 0.00 2.67%
Trade id #127810515
Max drawdown($1,968)
Time3/3/20 0:00
Quant open4
Worst price7.05
Drawdown as % of equity-2.67%
$849
Includes Typical Broker Commissions trade costs of $2.80
2/29/20 9:35 BYND BEYOND MEAT INC. COMMON STOCK LONG 400 109.00 3/7 9:35 96.00 10.87%
Trade id #127785417
Max drawdown($7,480)
Time3/2/20 0:00
Quant open400
Worst price90.30
Drawdown as % of equity-10.87%
($5,208)
Includes Typical Broker Commissions trade costs of $8.00
2/8/20 9:35 PTON PELOTON INTERACTIVE INC. CLASS A LONG 500 31.50 3/3 15:33 26.62 4.77%
Trade id #127422449
Max drawdown($3,490)
Time2/24/20 0:00
Quant open500
Worst price24.52
Drawdown as % of equity-4.77%
($2,450)
Includes Typical Broker Commissions trade costs of $10.00
2/24/20 14:50 TTD2028N240 TTD Feb28'20 240 put SHORT 2 4.00 2/29 9:35 0.00 2.82%
Trade id #127684111
Max drawdown($2,100)
Time2/27/20 0:00
Quant open2
Worst price14.50
Drawdown as % of equity-2.82%
$799
Includes Typical Broker Commissions trade costs of $1.40
2/24/20 14:49 BYND2028N109 BYND Feb28'20 109 put SHORT 4 6.20 2/29 9:35 0.00 9.91%
Trade id #127684087
Max drawdown($7,132)
Time2/28/20 0:00
Quant open4
Worst price24.03
Drawdown as % of equity-9.91%
$2,477
Includes Typical Broker Commissions trade costs of $2.80
2/24/20 14:50 LK2028N35 LK Feb28'20 35 put SHORT 10 0.75 2/29 9:35 0.00 1.13%
Trade id #127684140
Max drawdown($840)
Time2/27/20 0:00
Quant open10
Worst price1.59
Drawdown as % of equity-1.13%
$743
Includes Typical Broker Commissions trade costs of $7.00
2/24/20 14:51 ROKU2028N115 ROKU Feb28'20 115 put SHORT 4 3.30 2/28 14:47 3.35 4%
Trade id #127684152
Max drawdown($2,880)
Time2/28/20 9:31
Quant open4
Worst price10.50
Drawdown as % of equity-4.00%
($26)
Includes Typical Broker Commissions trade costs of $5.60
2/13/20 15:33 BYND2021N108 BYND Feb21'20 108 put SHORT 4 2.87 2/22 9:35 0.00 n/a $1,145
Includes Typical Broker Commissions trade costs of $2.80
2/6/20 15:28 BYND2014N109 BYND Feb14'20 109 put SHORT 3 2.78 2/15 9:35 0.00 0.11%
Trade id #127402056
Max drawdown($69)
Time2/6/20 15:59
Quant open3
Worst price3.01
Drawdown as % of equity-0.11%
$832
Includes Typical Broker Commissions trade costs of $2.10
2/6/20 15:28 TTD2014N282.5 TTD Feb14'20 282.5 put SHORT 2 5.90 2/15 9:35 0.00 n/a $1,178
Includes Typical Broker Commissions trade costs of $2.00
1/30/20 14:53 LK2014N34 LK Feb14'20 34 put SHORT 5 2.00 2/15 9:35 0.00 5.58%
Trade id #127296799
Max drawdown($3,165)
Time1/31/20 0:00
Quant open5
Worst price8.33
Drawdown as % of equity-5.58%
$997
Includes Typical Broker Commissions trade costs of $3.50
2/13/20 15:35 NVDA2014N262.5 NVDA Feb14'20 262.5 put SHORT 2 4.90 2/15 9:35 0.00 0.09%
Trade id #127501036
Max drawdown($60)
Time2/13/20 15:53
Quant open2
Worst price5.20
Drawdown as % of equity-0.09%
$979
Includes Typical Broker Commissions trade costs of $1.40
2/13/20 15:32 ROKU2014N130 ROKU Feb14'20 130 put SHORT 4 5.45 2/15 9:35 0.00 0.4%
Trade id #127500985
Max drawdown($280)
Time2/13/20 15:58
Quant open4
Worst price6.15
Drawdown as % of equity-0.40%
$2,177
Includes Typical Broker Commissions trade costs of $2.80
2/6/20 15:28 LYFT2014N44 LYFT Feb14'20 44 put SHORT 4 1.21 2/15 9:35 0.00 n/a $481
Includes Typical Broker Commissions trade costs of $2.80
1/30/20 14:54 PTON2014N30 PTON Feb14'20 30 put SHORT 5 1.85 2/14 15:59 2.45 1.18%
Trade id #127296816
Max drawdown($725)
Time2/7/20 0:00
Quant open5
Worst price3.30
Drawdown as % of equity-1.18%
($307)
Includes Typical Broker Commissions trade costs of $7.00
2/8/20 9:35 MU MICRON TECHNOLOGY LONG 300 57.00 2/13 15:31 59.36 0.4%
Trade id #127422578
Max drawdown($240)
Time2/10/20 0:00
Quant open300
Worst price56.20
Drawdown as % of equity-0.40%
$702
Includes Typical Broker Commissions trade costs of $6.00
2/8/20 9:35 ROKU ROKU INC. CLASS A COMMON STOCK LONG 300 130.00 2/13 15:31 140.51 2.57%
Trade id #127422514
Max drawdown($1,560)
Time2/10/20 0:00
Quant open300
Worst price124.80
Drawdown as % of equity-2.57%
$3,147
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    11/24/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1582.92
  • Age
    53 months ago
  • What it trades
    Options
  • # Trades
    78
  • # Profitable
    56
  • % Profitable
    71.80%
  • Avg trade duration
    26.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 01, 2021 - May 13, 2022
  • Annual Return (Compounded)
    -7.0%
  • Avg win
    $1,024
  • Avg loss
    $3,166
  • Model Account Values (Raw)
  • Cash
    $20,725
  • Margin Used
    $0
  • Buying Power
    $205
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -0.27
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    -0.242
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -94.85%
  • Correlation to SP500
    0.10490
  • Return Percent SP500 (cumu) during strategy life
    68.93%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    173.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    1.67%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.070%
  • Instruments
  • Percent Trades Options
    0.81%
  • Percent Trades Stocks
    0.18%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.3%
  • Automation
  • Percentage Signals Automated
    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
    $3,166
  • Avg Win
    $1,024
  • Sum Trade PL (losers)
    $69,662.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $57,367.000
  • # Winners
    56
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    22
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    37440.10
  • Avg Position Time (hrs)
    624.00
  • Avg Trade Length
    26.0 days
  • Last Trade Ago
    1463
  • Leverage
  • Daily leverage (average)
    2.07
  • Daily leverage (max)
    3.80
  • Regression
  • Alpha
    0.00
  • Beta
    0.63
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.32
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -12.822
  • 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
    0.17
  • Avg(MAE) / Avg(PL) - Winning trades
    1.457
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.058
  • Hold-and-Hope Ratio
    -0.100
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    776.77700
  • SD
    765.06800
  • Sharpe ratio (Glass type estimate)
    1.01530
  • Sharpe ratio (Hedges UMVUE)
    0.94419
  • df
    11.00000
  • t
    1.01530
  • p
    0.16589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99787
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94347
  • Statistics related to Sortino ratio
  • Sortino ratio
    712.06200
  • Upside Potential Ratio
    713.56000
  • Upside part of mean
    778.41100
  • Downside part of mean
    -1.63401
  • Upside SD
    766.05000
  • Downside SD
    1.09088
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.45527
  • Mean of criterion
    776.77700
  • SD of predictor
    0.39678
  • SD of criterion
    765.06800
  • Covariance
    8.20907
  • r
    0.02704
  • b (slope, estimate of beta)
    52.14230
  • a (intercept, estimate of alpha)
    753.03800
  • Mean Square Error
    643391.00000
  • DF error
    10.00000
  • t(b)
    0.08555
  • p(b)
    0.46676
  • t(a)
    0.88722
  • p(a)
    0.19790
  • Lowerbound of 95% confidence interval for beta
    -1305.96000
  • Upperbound of 95% confidence interval for beta
    1410.24000
  • Lowerbound of 95% confidence interval for alpha
    -1138.12000
  • Upperbound of 95% confidence interval for alpha
    2644.20000
  • Treynor index (mean / b)
    14.89720
  • Jensen alpha (a)
    753.03800
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.57954
  • SD
    13.70410
  • Sharpe ratio (Glass type estimate)
    -0.04229
  • Sharpe ratio (Hedges UMVUE)
    -0.03933
  • df
    11.00000
  • t
    -0.04229
  • p
    0.51649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92070
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05270
  • Upside Potential Ratio
    1.01412
  • Upside part of mean
    11.15240
  • Downside part of mean
    -11.73200
  • Upside SD
    7.15852
  • Downside SD
    10.99710
  • N nonnegative terms
    7.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.37687
  • Mean of criterion
    -0.57954
  • SD of predictor
    0.39132
  • SD of criterion
    13.70410
  • Covariance
    0.24082
  • r
    0.04491
  • b (slope, estimate of beta)
    1.57259
  • a (intercept, estimate of alpha)
    -1.17221
  • Mean Square Error
    206.16600
  • DF error
    10.00000
  • t(b)
    0.14215
  • p(b)
    0.44489
  • t(a)
    -0.07840
  • p(a)
    0.53047
  • Lowerbound of 95% confidence interval for beta
    -23.07750
  • Upperbound of 95% confidence interval for beta
    26.22270
  • Lowerbound of 95% confidence interval for alpha
    -34.48640
  • Upperbound of 95% confidence interval for alpha
    32.14200
  • Treynor index (mean / b)
    -0.36853
  • Jensen alpha (a)
    -1.17221
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99858
  • Expected Shortfall on VaR
    0.99949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.27453
  • Expected Shortfall on VaR
    0.58256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.91277
  • Median
    1.17651
  • Quartile 3
    2.07307
  • Maximum
    767.00000
  • Mean of quarter 1
    0.46562
  • Mean of quarter 2
    1.04425
  • Mean of quarter 3
    1.29034
  • Mean of quarter 4
    260.13500
  • Inter Quartile Range
    1.16029
  • 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
    0.25000
  • Mean of outliers high
    260.13500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52623
  • VaR(95%) (moments method)
    0.60990
  • Expected Shortfall (moments method)
    1.36416
  • Extreme Value Index (regression method)
    4.05321
  • VaR(95%) (regression method)
    1.26225
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01923
  • Quartile 1
    0.15522
  • Median
    0.29121
  • Quartile 3
    0.64560
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01923
  • Mean of quarter 2
    0.29121
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.49038
  • 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)
    -0.42399
  • Compounded annual return (geometric extrapolation)
    -0.42399
  • Calmar ratio (compounded annual return / max draw down)
    -0.42400
  • Compounded annual return / average of 25% largest draw downs
    -0.42400
  • Compounded annual return / Expected Shortfall lognormal
    -0.42421
  • 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
    797.90000
  • SD
    573.46400
  • Sharpe ratio (Glass type estimate)
    1.39137
  • Sharpe ratio (Hedges UMVUE)
    1.38749
  • df
    269.00000
  • t
    1.41245
  • p
    0.07949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32175
  • Statistics related to Sortino ratio
  • Sortino ratio
    464.96100
  • Upside Potential Ratio
    469.80000
  • Upside part of mean
    806.20400
  • Downside part of mean
    -8.30438
  • Upside SD
    574.51700
  • Downside SD
    1.71606
  • N nonnegative terms
    123.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    270.00000
  • Mean of predictor
    0.55954
  • Mean of criterion
    797.90000
  • SD of predictor
    0.42931
  • SD of criterion
    573.46400
  • Covariance
    -8.15025
  • r
    -0.03311
  • b (slope, estimate of beta)
    -44.22140
  • a (intercept, estimate of alpha)
    822.64300
  • Mean Square Error
    329726.00000
  • DF error
    268.00000
  • t(b)
    -0.54225
  • p(b)
    0.70595
  • t(a)
    1.44963
  • p(a)
    0.07417
  • Lowerbound of 95% confidence interval for beta
    -204.78400
  • Upperbound of 95% confidence interval for beta
    116.34200
  • Lowerbound of 95% confidence interval for alpha
    -294.65200
  • Upperbound of 95% confidence interval for alpha
    1939.94000
  • Treynor index (mean / b)
    -18.04330
  • Jensen alpha (a)
    822.64300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30459
  • SD
    14.35840
  • Sharpe ratio (Glass type estimate)
    -0.02121
  • Sharpe ratio (Hedges UMVUE)
    -0.02115
  • df
    269.00000
  • t
    -0.02153
  • p
    0.50858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90955
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02671
  • Upside Potential Ratio
    1.92693
  • Upside part of mean
    21.97710
  • Downside part of mean
    -22.28170
  • Upside SD
    8.67877
  • Downside SD
    11.40520
  • N nonnegative terms
    123.00000
  • N negative terms
    147.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    270.00000
  • Mean of predictor
    0.46694
  • Mean of criterion
    -0.30459
  • SD of predictor
    0.43039
  • SD of criterion
    14.35840
  • Covariance
    -0.16384
  • r
    -0.02651
  • b (slope, estimate of beta)
    -0.88448
  • a (intercept, estimate of alpha)
    0.10841
  • Mean Square Error
    206.78700
  • DF error
    268.00000
  • t(b)
    -0.43418
  • p(b)
    0.66775
  • t(a)
    0.00764
  • p(a)
    0.49696
  • Lowerbound of 95% confidence interval for beta
    -4.89533
  • Upperbound of 95% confidence interval for beta
    3.12636
  • Lowerbound of 95% confidence interval for alpha
    -27.84410
  • Upperbound of 95% confidence interval for alpha
    28.06100
  • Treynor index (mean / b)
    0.34437
  • Jensen alpha (a)
    0.10841
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.76782
  • Expected Shortfall on VaR
    0.83207
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07468
  • Expected Shortfall on VaR
    0.16771
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    270.00000
  • Minimum
    0.00005
  • Quartile 1
    0.98169
  • Median
    1.00000
  • Quartile 3
    1.03097
  • Maximum
    469.00000
  • Mean of quarter 1
    0.87769
  • Mean of quarter 2
    0.99664
  • Mean of quarter 3
    1.01071
  • Mean of quarter 4
    13.20760
  • Inter Quartile Range
    0.04928
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.10370
  • Mean of outliers low
    0.76829
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.08889
  • Mean of outliers high
    35.48360
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59369
  • VaR(95%) (moments method)
    0.08939
  • Expected Shortfall (moments method)
    0.25851
  • Extreme Value Index (regression method)
    0.09914
  • VaR(95%) (regression method)
    0.10326
  • Expected Shortfall (regression method)
    0.16648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00271
  • Quartile 1
    0.01259
  • Median
    0.07139
  • Quartile 3
    0.10130
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00904
  • Mean of quarter 2
    0.05741
  • Mean of quarter 3
    0.09633
  • Mean of quarter 4
    0.53548
  • Inter Quartile Range
    0.08872
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.72784
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27665
  • VaR(95%) (moments method)
    0.37074
  • Expected Shortfall (moments method)
    0.66943
  • Extreme Value Index (regression method)
    1.03766
  • VaR(95%) (regression method)
    0.89618
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.24073
  • Compounded annual return (geometric extrapolation)
    -0.24170
  • Calmar ratio (compounded annual return / max draw down)
    -0.24171
  • Compounded annual return / average of 25% largest draw downs
    -0.45137
  • Compounded annual return / Expected Shortfall lognormal
    -0.29049
  • 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
    1643.14000
  • SD
    821.67600
  • Sharpe ratio (Glass type estimate)
    1.99974
  • Sharpe ratio (Hedges UMVUE)
    1.98818
  • df
    130.00000
  • t
    1.41403
  • p
    0.43846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77843
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77051
  • Statistics related to Sortino ratio
  • Sortino ratio
    683.59600
  • Upside Potential Ratio
    689.02200
  • Upside part of mean
    1656.18000
  • Downside part of mean
    -13.04190
  • Upside SD
    824.80100
  • Downside SD
    2.40367
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64692
  • Mean of criterion
    1643.14000
  • SD of predictor
    0.37226
  • SD of criterion
    821.67600
  • Covariance
    -17.59140
  • r
    -0.05751
  • b (slope, estimate of beta)
    -126.94600
  • a (intercept, estimate of alpha)
    1725.27000
  • Mean Square Error
    678134.00000
  • DF error
    129.00000
  • t(b)
    -0.65430
  • p(b)
    0.53659
  • t(a)
    1.47291
  • p(a)
    0.41835
  • Lowerbound of 95% confidence interval for beta
    -510.81900
  • Upperbound of 95% confidence interval for beta
    256.92600
  • Lowerbound of 95% confidence interval for alpha
    -592.24700
  • Upperbound of 95% confidence interval for alpha
    4042.78000
  • Treynor index (mean / b)
    -12.94360
  • Jensen alpha (a)
    1725.27000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.68451
  • SD
    20.63800
  • Sharpe ratio (Glass type estimate)
    -0.08162
  • Sharpe ratio (Hedges UMVUE)
    -0.08115
  • df
    130.00000
  • t
    -0.05772
  • p
    0.50253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69032
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69067
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10294
  • Upside Potential Ratio
    2.44494
  • Upside part of mean
    40.00870
  • Downside part of mean
    -41.69320
  • Upside SD
    12.44630
  • Downside SD
    16.36380
  • N nonnegative terms
    44.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57747
  • Mean of criterion
    -1.68451
  • SD of predictor
    0.37208
  • SD of criterion
    20.63800
  • Covariance
    -0.52050
  • r
    -0.06778
  • b (slope, estimate of beta)
    -3.75961
  • a (intercept, estimate of alpha)
    0.48653
  • Mean Square Error
    427.25600
  • DF error
    129.00000
  • t(b)
    -0.77163
  • p(b)
    0.54312
  • t(a)
    0.01657
  • p(a)
    0.49907
  • VAR (95 Confidence Intrvl)
    0.76800
  • Lowerbound of 95% confidence interval for beta
    -13.39960
  • Upperbound of 95% confidence interval for beta
    5.88035
  • Lowerbound of 95% confidence interval for alpha
    -57.61700
  • Upperbound of 95% confidence interval for alpha
    58.59010
  • Treynor index (mean / b)
    0.44805
  • Jensen alpha (a)
    0.48653
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.87799
  • Expected Shortfall on VaR
    0.92157
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13446
  • Expected Shortfall on VaR
    0.28848
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00005
  • Quartile 1
    0.97833
  • Median
    1.00000
  • Quartile 3
    1.04053
  • Maximum
    469.00000
  • Mean of quarter 1
    0.80453
  • Mean of quarter 2
    0.99815
  • Mean of quarter 3
    1.00544
  • Mean of quarter 4
    26.08850
  • Inter Quartile Range
    0.06220
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.71248
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    42.35280
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.56758
  • VaR(95%) (moments method)
    0.09199
  • Expected Shortfall (moments method)
    0.10906
  • Extreme Value Index (regression method)
    -0.31749
  • VaR(95%) (regression method)
    0.17125
  • Expected Shortfall (regression method)
    0.22477
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344186000
  • Max Equity Drawdown (num days)
    316
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.12642
  • Compounded annual return (geometric extrapolation)
    -0.80922
  • Calmar ratio (compounded annual return / max draw down)
    -0.80922
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.87809

Strategy Description

I take advantage of an inaccurate option pricing to gain a statistical advantage in the market, and make huge returns over time.

Summary Statistics

Strategy began
2019-11-24
Suggested Minimum Capital
$25,000
# Trades
78
# Profitable
56
% Profitable
71.8%
Correlation S&P500
0.105
Sharpe Ratio
-0.27
Sortino Ratio
-0.28
Beta
0.63
Alpha
0.00
Leverage
2.07 Average
3.80 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.