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

SPX Weekly Income
(127557980)

Created by: BluevilleCapitalLLC BluevilleCapitalLLC
Started: 02/2020
Options
Last trade: 482 days ago
Trading style: Options Directional Bets

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 $1,000.00 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
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
3.1%
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.

(98.7%)
Max Drawdown
81
Num Trades
65.4%
Win Trades
1.3 : 1
Profit Factor
47.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +17.1%(5.1%)(14.5%)+27.3%(2.6%)+19.5%  -  +47.0%(9.7%)+109.4%
2021+27.9%+7.0%(1%)+29.8%(4.6%)+10.1%+8.3%+10.8%(11.7%)+6.4%+1.7%(9.8%)+91.3%
2022(14.3%)(15.9%)+8.3%(32.6%)(16.7%)+12.2%+0.4%(14%)(46.4%)(15%)+57.9%(6.1%)(71.3%)
2023(0.8%)(1.3%)(0.5%)+0.5%(2.3%)+1.6%+1.9%(0.8%)(2%)(0.6%)+1.3%+2.5%(0.8%)
2024(2.5%)(0.6%)+2.6%                                                      (0.6%)

Model Account Details

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

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

Trading Record

This strategy has placed 98 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1478 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/21/20 9:35 GOOG ALPHABET INC CLASS C LONG 2,000 76.00 12/2/22 11:11 99.60 n/a $47,195
Includes Typical Broker Commissions trade costs of $5.00
9/19/20 9:35 RH RH LONG 100 280.00 12/2/22 11:11 280.21 7.37%
Trade id #131254092
Max drawdown($7,262)
Time6/30/22 0:00
Quant open100
Worst price207.37
Drawdown as % of equity-7.37%
$19
Includes Typical Broker Commissions trade costs of $2.00
8/22/20 9:35 JD JD.COM INC LONG 1,000 57.50 12/2/22 11:10 58.30 75.23%
Trade id #130739989
Max drawdown($24,330)
Time10/24/22 0:00
Quant open1,000
Worst price33.17
Drawdown as % of equity-75.23%
$795
Includes Typical Broker Commissions trade costs of $5.00
5/26/20 15:05 GOOG2020K1520 GOOG Nov20'20 1520 call LONG 1 78.00 11/21 9:35 0.00 4.19%
Trade id #129197750
Max drawdown($3,300)
Time10/7/20 0:00
Quant open1
Worst price45.00
Drawdown as % of equity-4.19%
($7,801)
Includes Typical Broker Commissions trade costs of $1.00
4/28/20 9:47 MMM2018I160 MMM Sep18'20 160 call LONG 1 13.00 9/19 9:35 0.00 1.67%
Trade id #128768558
Max drawdown($1,174)
Time7/31/20 0:00
Quant open1
Worst price1.26
Drawdown as % of equity-1.67%
($1,301)
Includes Typical Broker Commissions trade costs of $1.00
5/27/20 13:45 NEM2018I65 NEM Sep18'20 65 call LONG 10 2.90 9/19 9:35 0.00 3.64%
Trade id #129220010
Max drawdown($2,870)
Time9/18/20 0:00
Quant open10
Worst price0.03
Drawdown as % of equity-3.64%
($2,907)
Includes Typical Broker Commissions trade costs of $7.00
6/16/20 15:16 RH2018I280 RH Sep18'20 280 call LONG 1 23.50 9/19 9:35 0.00 0.96%
Trade id #129588123
Max drawdown($600)
Time6/24/20 0:00
Quant open1
Worst price17.50
Drawdown as % of equity-0.96%
($2,351)
Includes Typical Broker Commissions trade costs of $1.00
6/12/20 15:27 JD2021H57.5 JD Aug21'20 57.5 call LONG 10 5.75 8/22 9:35 0.00 2.14%
Trade id #129536702
Max drawdown($1,510)
Time7/24/20 0:00
Quant open10
Worst price4.24
Drawdown as % of equity-2.14%
($5,757)
Includes Typical Broker Commissions trade costs of $7.00
5/28/20 15:15 GDX2017G45.5 GDX Jul17'20 45.5 call LONG 100 0.21 7/18 9:35 0.00 3.36%
Trade id #129245015
Max drawdown($2,000)
Time6/5/20 0:00
Quant open100
Worst price0.01
Drawdown as % of equity-3.36%
($2,170)
Includes Typical Broker Commissions trade costs of $70.00
5/26/20 15:11 SDOW2017G33 SDOW Jul17'20 33 call LONG 10 2.30 6/11 15:31 2.43 3.09%
Trade id #129197894
Max drawdown($1,830)
Time6/8/20 0:00
Quant open10
Worst price0.47
Drawdown as % of equity-3.09%
$116
Includes Typical Broker Commissions trade costs of $14.00
5/19/20 12:34 TECK2019F10 TECK Jun19'20 10 call LONG 100 0.55 6/2 11:01 0.60 4.72%
Trade id #129092793
Max drawdown($2,900)
Time5/29/20 0:00
Quant open100
Worst price0.26
Drawdown as % of equity-4.72%
$360
Includes Typical Broker Commissions trade costs of $140.00
5/21/20 14:27 LULU2018I280 LULU Sep18'20 280 call LONG 1 22.97 5/28 13:27 36.00 n/a $1,301
Includes Typical Broker Commissions trade costs of $2.00
5/19/20 12:26 PHM2016J35 PHM Oct16'20 35 call LONG 10 2.84 5/26 13:38 4.20 n/a $1,346
Includes Typical Broker Commissions trade costs of $14.00
4/29/20 10:29 MA2016J290 MA Oct16'20 290 call LONG 1 25.50 5/19 11:37 29.50 1.6%
Trade id #128787753
Max drawdown($900)
Time5/12/20 0:00
Quant open1
Worst price16.50
Drawdown as % of equity-1.60%
$398
Includes Typical Broker Commissions trade costs of $2.00
4/27/20 13:45 BABA2018I205 BABA Sep18'20 205 call LONG 1 17.60 5/18 15:30 22.65 1.43%
Trade id #128756514
Max drawdown($680)
Time5/4/20 0:00
Quant open1
Worst price10.80
Drawdown as % of equity-1.43%
$503
Includes Typical Broker Commissions trade costs of $2.00
5/14/20 13:41 CVX2018I95 CVX Sep18'20 95 call LONG 5 5.95 5/18 15:08 7.20 n/a $618
Includes Typical Broker Commissions trade costs of $7.00
4/28/20 9:47 DIS2018I115 DIS Sep18'20 115 call LONG 2 7.60 5/18 10:00 13.12 1.41%
Trade id #128768554
Max drawdown($720)
Time5/6/20 0:00
Quant open2
Worst price4.00
Drawdown as % of equity-1.41%
$1,101
Includes Typical Broker Commissions trade costs of $2.80
4/29/20 10:21 V2018I180 V Sep18'20 180 call LONG 1 14.30 5/18 9:53 19.65 0.57%
Trade id #128787570
Max drawdown($269)
Time5/4/20 0:00
Quant open1
Worst price11.61
Drawdown as % of equity-0.57%
$533
Includes Typical Broker Commissions trade costs of $2.00
4/23/20 14:49 AMD2015E60 AMD May15'20 60 call LONG 30 1.25 5/16 9:35 0.00 7.06%
Trade id #128715092
Max drawdown($3,660)
Time5/8/20 0:00
Quant open30
Worst price0.03
Drawdown as % of equity-7.06%
($3,771)
Includes Typical Broker Commissions trade costs of $21.00
3/18/20 14:44 WMT2015E130 WMT May15'20 130 call LONG 14 1.63 5/16 9:35 0.00 4.21%
Trade id #128121398
Max drawdown($2,184)
Time5/8/20 0:00
Quant open14
Worst price0.07
Drawdown as % of equity-4.21%
($2,292)
Includes Typical Broker Commissions trade costs of $9.80
4/23/20 12:48 ZM2021H175 ZM Aug21'20 175 call LONG 1 26.37 5/15 14:29 27.70 3.42%
Trade id #128712999
Max drawdown($1,627)
Time5/1/20 0:00
Quant open1
Worst price10.10
Drawdown as % of equity-3.42%
$131
Includes Typical Broker Commissions trade costs of $2.00
4/22/20 14:12 NEM2019F65 NEM Jun19'20 65 call LONG 8 3.50 5/14 10:05 4.60 3.26%
Trade id #128694054
Max drawdown($1,552)
Time5/1/20 0:00
Quant open8
Worst price1.56
Drawdown as % of equity-3.26%
$869
Includes Typical Broker Commissions trade costs of $11.20
4/22/20 15:37 GOOG2018I1340 GOOG Sep18'20 1340 call LONG 4 90.00 5/11 14:57 102.53 5.55%
Trade id #128695402
Max drawdown($2,930)
Time4/28/20 0:00
Quant open1
Worst price60.70
Drawdown as % of equity-5.55%
$5,004
Includes Typical Broker Commissions trade costs of $5.90
4/27/20 13:53 LULU2018I240 LULU Sep18'20 240 call LONG 1 22.50 5/11 14:38 30.00 1.29%
Trade id #128756685
Max drawdown($620)
Time5/5/20 0:00
Quant open1
Worst price16.30
Drawdown as % of equity-1.29%
$748
Includes Typical Broker Commissions trade costs of $2.00
4/29/20 10:38 AAPL2016J290 AAPL Oct16'20 290 call LONG 1 25.00 5/8 11:47 35.30 0.32%
Trade id #128787967
Max drawdown($165)
Time4/29/20 13:35
Quant open1
Worst price23.35
Drawdown as % of equity-0.32%
$1,028
Includes Typical Broker Commissions trade costs of $2.00
4/22/20 15:27 NFLX2018I435 NFLX Sep18'20 435 call LONG 1 47.45 5/8 11:13 50.00 3.8%
Trade id #128695244
Max drawdown($1,843)
Time4/29/20 0:00
Quant open1
Worst price29.02
Drawdown as % of equity-3.80%
$253
Includes Typical Broker Commissions trade costs of $2.00
4/24/20 11:27 TWTR2019F30 TWTR Jun19'20 30 call LONG 10 2.08 4/29 12:28 3.06 0.08%
Trade id #128728168
Max drawdown($40)
Time4/24/20 12:35
Quant open10
Worst price2.04
Drawdown as % of equity-0.08%
$966
Includes Typical Broker Commissions trade costs of $14.00
4/23/20 14:42 DAL2015E26 DAL May15'20 26 call LONG 10 0.80 4/28 14:28 1.05 0.84%
Trade id #128715025
Max drawdown($450)
Time4/27/20 0:00
Quant open10
Worst price0.35
Drawdown as % of equity-0.84%
$236
Includes Typical Broker Commissions trade costs of $14.00
3/20/20 11:25 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 1,000 4.00 3/24 9:40 5.31 1.25%
Trade id #128160891
Max drawdown($680)
Time3/20/20 16:00
Quant open1,000
Worst price3.32
Drawdown as % of equity-1.25%
$1,305
Includes Typical Broker Commissions trade costs of $5.00
3/9/20 12:45 AMZN2020C2090 AMZN Mar20'20 2090 call SHORT 20 1.49 3/21 9:36 0.00 1.77%
Trade id #127926071
Max drawdown($957)
Time3/17/20 0:00
Quant open20
Worst price1.97
Drawdown as % of equity-1.77%
$2,969
Includes Typical Broker Commissions trade costs of $14.00

Statistics

  • Strategy began
    2/17/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1500.17
  • Age
    50 months ago
  • What it trades
    Options
  • # Trades
    81
  • # Profitable
    53
  • % Profitable
    65.40%
  • Avg trade duration
    57.9 days
  • Max peak-to-valley drawdown
    98.7%
  • drawdown period
    Nov 21, 2021 - Nov 03, 2022
  • Annual Return (Compounded)
    3.1%
  • Avg win
    $3,476
  • Avg loss
    $5,168
  • Model Account Values (Raw)
  • Cash
    $90,406
  • Margin Used
    $0
  • Buying Power
    $84,865
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    1.11
  • Calmar Ratio
    0.573
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -41.83%
  • Correlation to SP500
    0.20760
  • Return Percent SP500 (cumu) during strategy life
    55.27%
  • Return Statistics
  • Ann Return (w trading costs)
    3.1%
  • Slump
  • Current Slump as Pcnt Equity
    330.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.57%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.031%
  • Instruments
  • Percent Trades Options
    0.93%
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.2%
  • 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
    $5,169
  • Avg Win
    $3,476
  • Sum Trade PL (losers)
    $144,726.000
  • Age
  • Num Months filled monthly returns table
    50
  • Win / Loss
  • Sum Trade PL (winners)
    $184,234.000
  • # Winners
    53
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    3358
  • Win / Loss
  • # Losers
    28
  • % Winners
    65.4%
  • Frequency
  • Avg Position Time (mins)
    83386.40
  • Avg Position Time (hrs)
    1389.77
  • Avg Trade Length
    57.9 days
  • Last Trade Ago
    481
  • Leverage
  • Daily leverage (average)
    15.34
  • Daily leverage (max)
    89.66
  • Regression
  • Alpha
    0.18
  • Beta
    1.24
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.63
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.13
  • Avg(MAE) / Avg(PL) - All trades
    -5.034
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.920
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.304
  • Hold-and-Hope Ratio
    -0.180
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74396
  • SD
    0.94420
  • Sharpe ratio (Glass type estimate)
    0.78792
  • Sharpe ratio (Hedges UMVUE)
    0.75255
  • df
    17.00000
  • t
    0.96501
  • p
    0.35619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86762
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37273
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67292
  • Upside Potential Ratio
    3.15104
  • Upside part of mean
    1.40130
  • Downside part of mean
    -0.65734
  • Upside SD
    0.83087
  • Downside SD
    0.44471
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.30210
  • Mean of criterion
    0.74396
  • SD of predictor
    0.40329
  • SD of criterion
    0.94420
  • Covariance
    0.17645
  • r
    0.46339
  • b (slope, estimate of beta)
    1.08492
  • a (intercept, estimate of alpha)
    0.41620
  • Mean Square Error
    0.74384
  • DF error
    16.00000
  • t(b)
    2.09169
  • p(b)
    0.26831
  • t(a)
    0.57692
  • p(a)
    0.42862
  • Lowerbound of 95% confidence interval for beta
    -0.01464
  • Upperbound of 95% confidence interval for beta
    2.18449
  • Lowerbound of 95% confidence interval for alpha
    -1.11314
  • Upperbound of 95% confidence interval for alpha
    1.94555
  • Treynor index (mean / b)
    0.68573
  • Jensen alpha (a)
    0.41620
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37774
  • SD
    0.84439
  • Sharpe ratio (Glass type estimate)
    0.44735
  • Sharpe ratio (Hedges UMVUE)
    0.42727
  • df
    17.00000
  • t
    0.54789
  • p
    0.41639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16633
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03400
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70678
  • Upside Potential Ratio
    2.16982
  • Upside part of mean
    1.15966
  • Downside part of mean
    -0.78192
  • Upside SD
    0.63218
  • Downside SD
    0.53445
  • N nonnegative terms
    11.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.21840
  • Mean of criterion
    0.37774
  • SD of predictor
    0.41984
  • SD of criterion
    0.84439
  • Covariance
    0.13972
  • r
    0.39410
  • b (slope, estimate of beta)
    0.79263
  • a (intercept, estimate of alpha)
    0.20462
  • Mean Square Error
    0.63990
  • DF error
    16.00000
  • t(b)
    1.71524
  • p(b)
    0.30295
  • t(a)
    0.30961
  • p(a)
    0.46141
  • Lowerbound of 95% confidence interval for beta
    -0.18700
  • Upperbound of 95% confidence interval for beta
    1.77226
  • Lowerbound of 95% confidence interval for alpha
    -1.19642
  • Upperbound of 95% confidence interval for alpha
    1.60566
  • Treynor index (mean / b)
    0.47656
  • Jensen alpha (a)
    0.20462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30889
  • Expected Shortfall on VaR
    0.37337
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10507
  • Expected Shortfall on VaR
    0.22665
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.64819
  • Quartile 1
    0.99340
  • Median
    1.03511
  • Quartile 3
    1.11754
  • Maximum
    1.88511
  • Mean of quarter 1
    0.80801
  • Mean of quarter 2
    1.00291
  • Mean of quarter 3
    1.08612
  • Mean of quarter 4
    1.35234
  • Inter Quartile Range
    0.12415
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.69007
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.62947
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31853
  • VaR(95%) (moments method)
    0.04066
  • Expected Shortfall (moments method)
    0.05410
  • Extreme Value Index (regression method)
    -0.95582
  • VaR(95%) (regression method)
    0.21043
  • Expected Shortfall (regression method)
    0.23600
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.67253
  • Quartile 1
    0.67253
  • Median
    0.67253
  • Quartile 3
    0.67253
  • Maximum
    0.67253
  • 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)
    0.55841
  • Compounded annual return (geometric extrapolation)
    0.50027
  • Calmar ratio (compounded annual return / max draw down)
    0.74386
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.33989
  • 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
    0.89465
  • SD
    1.07035
  • Sharpe ratio (Glass type estimate)
    0.83585
  • Sharpe ratio (Hedges UMVUE)
    0.83432
  • df
    410.00000
  • t
    1.04688
  • p
    0.14788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40023
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48624
  • Upside Potential Ratio
    6.31885
  • Upside part of mean
    3.80366
  • Downside part of mean
    -2.90901
  • Upside SD
    0.88519
  • Downside SD
    0.60196
  • N nonnegative terms
    191.00000
  • N negative terms
    220.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    411.00000
  • Mean of predictor
    0.31533
  • Mean of criterion
    0.89465
  • SD of predictor
    0.35412
  • SD of criterion
    1.07035
  • Covariance
    0.12785
  • r
    0.33731
  • b (slope, estimate of beta)
    1.01954
  • a (intercept, estimate of alpha)
    0.57300
  • Mean Square Error
    1.01778
  • DF error
    409.00000
  • t(b)
    7.24640
  • p(b)
    -0.00000
  • t(a)
    0.71049
  • p(a)
    0.23890
  • Lowerbound of 95% confidence interval for beta
    0.74296
  • Upperbound of 95% confidence interval for beta
    1.29612
  • Lowerbound of 95% confidence interval for alpha
    -1.01265
  • Upperbound of 95% confidence interval for alpha
    2.15896
  • Treynor index (mean / b)
    0.87750
  • Jensen alpha (a)
    0.57315
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36677
  • SD
    1.02117
  • Sharpe ratio (Glass type estimate)
    0.35917
  • Sharpe ratio (Hedges UMVUE)
    0.35851
  • df
    410.00000
  • t
    0.44985
  • p
    0.32653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20609
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92404
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92357
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51816
  • Upside Potential Ratio
    4.94347
  • Upside part of mean
    3.49916
  • Downside part of mean
    -3.13238
  • Upside SD
    0.73467
  • Downside SD
    0.70783
  • N nonnegative terms
    191.00000
  • N negative terms
    220.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    411.00000
  • Mean of predictor
    0.25259
  • Mean of criterion
    0.36677
  • SD of predictor
    0.35436
  • SD of criterion
    1.02117
  • Covariance
    0.12558
  • r
    0.34704
  • b (slope, estimate of beta)
    1.00010
  • a (intercept, estimate of alpha)
    0.11416
  • Mean Square Error
    0.91944
  • DF error
    409.00000
  • t(b)
    7.48367
  • p(b)
    -0.00000
  • t(a)
    0.14897
  • p(a)
    0.44083
  • Lowerbound of 95% confidence interval for beta
    0.73739
  • Upperbound of 95% confidence interval for beta
    1.26280
  • Lowerbound of 95% confidence interval for alpha
    -1.39227
  • Upperbound of 95% confidence interval for alpha
    1.62058
  • Treynor index (mean / b)
    0.36674
  • Jensen alpha (a)
    0.11416
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09731
  • Expected Shortfall on VaR
    0.12055
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02586
  • Expected Shortfall on VaR
    0.05821
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    411.00000
  • Minimum
    0.54785
  • Quartile 1
    0.99673
  • Median
    0.99989
  • Quartile 3
    1.00605
  • Maximum
    1.74617
  • Mean of quarter 1
    0.95695
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00159
  • Mean of quarter 4
    1.05656
  • Inter Quartile Range
    0.00933
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.14842
  • Mean of outliers low
    0.93264
  • Number of outliers high
    68.00000
  • Percentage of outliers high
    0.16545
  • Mean of outliers high
    1.07977
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.00876
  • VaR(95%) (moments method)
    0.02946
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.51947
  • VaR(95%) (regression method)
    0.03587
  • Expected Shortfall (regression method)
    0.09775
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00114
  • Quartile 1
    0.00713
  • Median
    0.03408
  • Quartile 3
    0.07197
  • Maximum
    0.84512
  • Mean of quarter 1
    0.00456
  • Mean of quarter 2
    0.02540
  • Mean of quarter 3
    0.06145
  • Mean of quarter 4
    0.35609
  • Inter Quartile Range
    0.06484
  • 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
    0.11765
  • Mean of outliers high
    0.57173
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23792
  • VaR(95%) (moments method)
    0.24785
  • Expected Shortfall (moments method)
    0.42601
  • Extreme Value Index (regression method)
    1.10155
  • VaR(95%) (regression method)
    0.49339
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54651
  • Compounded annual return (geometric extrapolation)
    0.48391
  • Calmar ratio (compounded annual return / max draw down)
    0.57259
  • Compounded annual return / average of 25% largest draw downs
    1.35896
  • Compounded annual return / Expected Shortfall lognormal
    4.01410
  • 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
    -0.04021
  • SD
    0.04894
  • Sharpe ratio (Glass type estimate)
    -0.82152
  • Sharpe ratio (Hedges UMVUE)
    -0.81678
  • df
    130.00000
  • t
    -0.58091
  • p
    0.52544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.59356
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.59036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95681
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.21408
  • Upside Potential Ratio
    6.05931
  • Upside part of mean
    0.20067
  • Downside part of mean
    -0.24088
  • Upside SD
    0.03587
  • Downside SD
    0.03312
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46520
  • Mean of criterion
    -0.04021
  • SD of predictor
    0.18286
  • SD of criterion
    0.04894
  • Covariance
    0.00360
  • r
    0.40176
  • b (slope, estimate of beta)
    0.10753
  • a (intercept, estimate of alpha)
    -0.09023
  • Mean Square Error
    0.00202
  • DF error
    129.00000
  • t(b)
    4.98301
  • p(b)
    0.25129
  • t(a)
    -1.40078
  • p(a)
    0.57773
  • Lowerbound of 95% confidence interval for beta
    0.06484
  • Upperbound of 95% confidence interval for beta
    0.15023
  • Lowerbound of 95% confidence interval for alpha
    -0.21768
  • Upperbound of 95% confidence interval for alpha
    0.03722
  • Treynor index (mean / b)
    -0.37391
  • Jensen alpha (a)
    -0.09023
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04139
  • SD
    0.04891
  • Sharpe ratio (Glass type estimate)
    -0.84638
  • Sharpe ratio (Hedges UMVUE)
    -0.84149
  • df
    130.00000
  • t
    -0.59848
  • p
    0.52621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61518
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93220
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.24415
  • Upside Potential Ratio
    6.01161
  • Upside part of mean
    0.20001
  • Downside part of mean
    -0.24140
  • Upside SD
    0.03568
  • Downside SD
    0.03327
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44828
  • Mean of criterion
    -0.04139
  • SD of predictor
    0.18193
  • SD of criterion
    0.04891
  • Covariance
    0.00357
  • r
    0.40086
  • b (slope, estimate of beta)
    0.10776
  • a (intercept, estimate of alpha)
    -0.08970
  • Mean Square Error
    0.00202
  • DF error
    129.00000
  • t(b)
    4.96969
  • p(b)
    0.25181
  • t(a)
    -1.39399
  • p(a)
    0.57736
  • VAR (95 Confidence Intrvl)
    0.09700
  • Lowerbound of 95% confidence interval for beta
    0.06486
  • Upperbound of 95% confidence interval for beta
    0.15066
  • Lowerbound of 95% confidence interval for alpha
    -0.21701
  • Upperbound of 95% confidence interval for alpha
    0.03761
  • Treynor index (mean / b)
    -0.38414
  • Jensen alpha (a)
    -0.08970
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00511
  • Expected Shortfall on VaR
    0.00637
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00476
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98510
  • Quartile 1
    0.99893
  • Median
    0.99977
  • Quartile 3
    1.00055
  • Maximum
    1.01580
  • Mean of quarter 1
    0.99724
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.00303
  • Inter Quartile Range
    0.00162
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.99250
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.00697
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61920
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.00828
  • Extreme Value Index (regression method)
    0.74711
  • VaR(95%) (regression method)
    0.00241
  • Expected Shortfall (regression method)
    0.00798
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02981
  • Quartile 1
    0.02981
  • Median
    0.02981
  • Quartile 3
    0.02981
  • Maximum
    0.02981
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352010000
  • Max Equity Drawdown (num days)
    347
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01344
  • Compounded annual return (geometric extrapolation)
    -0.01340
  • Calmar ratio (compounded annual return / max draw down)
    -0.44942
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.10319

Strategy Description

Summary Statistics

Strategy began
2020-02-17
Suggested Minimum Capital
$25,000
# Trades
81
# Profitable
53
% Profitable
65.4%
Net Dividends
Correlation S&P500
0.208
Sharpe Ratio
0.50
Sortino Ratio
1.11
Beta
1.24
Alpha
0.18
Leverage
15.34 Average
89.66 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.