Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Delta 15
(121635275)

Created by: Andrew_Walker Andrew_Walker
Started: 12/2018
Options
Last trade: 2 days ago
Trading style: Options Premium Collecting Volatility Long / Short

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 $50.00 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.
Volatility Long / Short
Category: Equity

Volatility Long / Short

This strategy constructs portfolios that make bets about whether market volatility will increase or decrease.
77.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(21.8%)
Max Drawdown
944
Num Trades
89.3%
Win Trades
1.8 : 1
Profit Factor
81.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +5.7%+5.7%
2019+6.7%+4.9%+12.2%(5%)+6.3%+13.2%(2.9%)+8.3%+2.4%+8.7%            +68.0%

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.

System developer has asked us to delay this information by 16 hours.

Trading Record

This strategy has placed 631 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/7/19 12:12 AMTD1911J34 AMTD Oct11'19 34 call SHORT 2 0.60 10/12 9:35 0.00 0.22%
Trade id #125662581
Max drawdown($192)
Time10/11/19 0:00
Quant open2
Worst price1.56
Drawdown as % of equity-0.22%
$119
Includes Typical Broker Commissions trade costs of $1.40
10/5/19 9:35 AMTD TD AMERITRADE HOLDING LONG 200 36.00 10/12 9:35 34.00 0.64%
Trade id #125642659
Max drawdown($560)
Time10/8/19 0:00
Quant open200
Worst price33.20
Drawdown as % of equity-0.64%
($404)
Includes Typical Broker Commissions trade costs of $4.00
10/4/19 11:27 TNDM1911J63 TNDM Oct11'19 63 call SHORT 2 0.55 10/12 9:35 0.00 0.19%
Trade id #125633148
Max drawdown($170)
Time10/8/19 0:00
Quant open2
Worst price1.40
Drawdown as % of equity-0.19%
$109
Includes Typical Broker Commissions trade costs of $1.40
9/27/19 12:26 DDS1911J71.5 DDS Oct11'19 71.5 call SHORT 2 0.75 10/12 9:35 0.00 0.13%
Trade id #125535902
Max drawdown($110)
Time10/4/19 0:00
Quant open2
Worst price1.30
Drawdown as % of equity-0.13%
$149
Includes Typical Broker Commissions trade costs of $1.40
10/1/19 15:26 ETFC1911V35 ETFC Oct11'19 35 put SHORT 2 0.45 10/12 9:35 0.00 0.13%
Trade id #125580875
Max drawdown($112)
Time10/3/19 0:00
Quant open2
Worst price1.01
Drawdown as % of equity-0.13%
$89
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 11:37 JDST1911J20 JDST Oct11'19 20 call SHORT 2 0.45 10/12 9:35 0.00 0.04%
Trade id #125557136
Max drawdown($30)
Time9/30/19 13:15
Quant open2
Worst price0.60
Drawdown as % of equity-0.04%
$89
Includes Typical Broker Commissions trade costs of $1.40
9/26/19 10:57 BYND1911J170 BYND Oct11'19 170 call SHORT 2 1.89 10/12 9:35 0.00 0.03%
Trade id #125518920
Max drawdown($28)
Time9/26/19 13:36
Quant open2
Worst price2.03
Drawdown as % of equity-0.03%
$377
Includes Typical Broker Commissions trade costs of $1.40
10/1/19 15:21 W1911V95 W Oct11'19 95 put SHORT 2 0.56 10/12 9:35 0.00 0.24%
Trade id #125580723
Max drawdown($198)
Time10/3/19 0:00
Quant open2
Worst price1.55
Drawdown as % of equity-0.24%
$111
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 11:57 YY1911J61 YY Oct11'19 61 call SHORT 2 0.50 10/12 9:35 0.00 0.03%
Trade id #125557903
Max drawdown($28)
Time10/1/19 0:00
Quant open2
Worst price0.64
Drawdown as % of equity-0.03%
$99
Includes Typical Broker Commissions trade costs of $1.40
9/26/19 10:50 OSTK1911J15 OSTK Oct11'19 15 call SHORT 2 0.50 10/12 9:35 0.00 0.01%
Trade id #125518752
Max drawdown($10)
Time9/26/19 12:47
Quant open2
Worst price0.55
Drawdown as % of equity-0.01%
$99
Includes Typical Broker Commissions trade costs of $1.40
9/27/19 15:51 IRBT1911J65 IRBT Oct11'19 65 call SHORT 2 0.52 10/12 9:35 0.00 0.02%
Trade id #125539366
Max drawdown($17)
Time9/30/19 0:00
Quant open2
Worst price0.60
Drawdown as % of equity-0.02%
$102
Includes Typical Broker Commissions trade costs of $1.40
10/7/19 12:15 SHAK1911V90 SHAK Oct11'19 90 put SHORT 2 0.56 10/12 9:35 0.00 0.12%
Trade id #125662616
Max drawdown($107)
Time10/8/19 0:00
Quant open2
Worst price1.10
Drawdown as % of equity-0.12%
$112
Includes Typical Broker Commissions trade costs of $1.40
10/7/19 12:27 RH1911J185 RH Oct11'19 185 call SHORT 2 0.91 10/12 9:35 0.00 0.03%
Trade id #125662801
Max drawdown($27)
Time10/7/19 14:05
Quant open2
Worst price1.05
Drawdown as % of equity-0.03%
$181
Includes Typical Broker Commissions trade costs of $1.40
10/7/19 12:11 BRZU1911V24.5 BRZU Oct11'19 24.5 put SHORT 2 0.50 10/12 9:35 0.00 0.25%
Trade id #125662548
Max drawdown($220)
Time10/8/19 0:00
Quant open2
Worst price1.60
Drawdown as % of equity-0.25%
$99
Includes Typical Broker Commissions trade costs of $1.40
10/7/19 12:13 LABD1911V23.5 LABD Oct11'19 23.5 put SHORT 2 0.45 10/12 9:35 0.00 n/a $89
Includes Typical Broker Commissions trade costs of $1.40
10/4/19 15:05 STMP1911J79 STMP Oct11'19 79 call SHORT 2 0.50 10/12 9:35 0.00 n/a $99
Includes Typical Broker Commissions trade costs of $1.40
10/1/19 11:02 ACAD1911J41 ACAD Oct11'19 41 call SHORT 2 0.48 10/12 9:35 0.00 0.03%
Trade id #125571329
Max drawdown($24)
Time10/9/19 0:00
Quant open2
Worst price0.60
Drawdown as % of equity-0.03%
$95
Includes Typical Broker Commissions trade costs of $1.40
10/3/19 11:10 TSLA1911V210 TSLA Oct11'19 210 put SHORT 2 0.98 10/12 9:35 0.00 0.06%
Trade id #125614569
Max drawdown($50)
Time10/3/19 11:38
Quant open2
Worst price1.23
Drawdown as % of equity-0.06%
$195
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 11:39 BBBY1911J11 BBBY Oct11'19 11 call SHORT 2 0.79 10/12 9:35 0.00 0.31%
Trade id #125557165
Max drawdown($275)
Time10/11/19 0:00
Quant open2
Worst price2.17
Drawdown as % of equity-0.31%
$158
Includes Typical Broker Commissions trade costs of $1.40
10/7/19 12:28 NVDA1911J195 NVDA Oct11'19 195 call SHORT 2 0.61 10/12 9:35 0.00 0%
Trade id #125662827
Max drawdown($2)
Time10/7/19 12:29
Quant open2
Worst price0.62
Drawdown as % of equity-0.00%
$121
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 13:18 SFIX1911J25 SFIX Oct11'19 25 call SHORT 2 0.50 10/12 9:35 0.00 0.11%
Trade id #125559035
Max drawdown($90)
Time10/1/19 0:00
Quant open2
Worst price0.95
Drawdown as % of equity-0.11%
$99
Includes Typical Broker Commissions trade costs of $1.40
10/5/19 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 200 27.00 10/7 12:17 26.19 0.1%
Trade id #125642638
Max drawdown($88)
Time10/7/19 9:48
Quant open200
Worst price27.44
Drawdown as % of equity-0.10%
$158
Includes Typical Broker Commissions trade costs of $4.00
9/30/19 11:33 LABD1904V24.5 LABD Oct4'19 24.5 put SHORT 2 0.50 10/5 9:35 0.00 0.07%
Trade id #125557074
Max drawdown($60)
Time9/30/19 13:36
Quant open2
Worst price0.80
Drawdown as % of equity-0.07%
$99
Includes Typical Broker Commissions trade costs of $1.40
10/1/19 12:47 UVXY1904V25.5 UVXY Oct4'19 25.5 put SHORT 2 0.52 10/5 9:35 0.00 n/a $103
Includes Typical Broker Commissions trade costs of $1.40
9/26/19 13:00 LABD1904J27 LABD Oct4'19 27 call SHORT 2 0.50 10/5 9:35 0.00 0.33%
Trade id #125522059
Max drawdown($270)
Time10/2/19 0:00
Quant open2
Worst price1.85
Drawdown as % of equity-0.33%
$99
Includes Typical Broker Commissions trade costs of $1.40
10/1/19 15:24 AMTD1904V36 AMTD Oct4'19 36 put SHORT 2 1.45 10/5 9:35 0.00 0.42%
Trade id #125580765
Max drawdown($350)
Time10/3/19 0:00
Quant open2
Worst price3.20
Drawdown as % of equity-0.42%
$289
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 11:45 ICPT1904J69 ICPT Oct4'19 69 call SHORT 2 0.50 10/5 9:35 0.00 0.1%
Trade id #125557336
Max drawdown($80)
Time9/30/19 13:49
Quant open2
Worst price0.90
Drawdown as % of equity-0.10%
$99
Includes Typical Broker Commissions trade costs of $1.40
9/26/19 10:54 RAD1904J9.5 RAD Oct4'19 9.5 call SHORT 2 0.50 10/5 9:35 0.00 0.46%
Trade id #125518828
Max drawdown($370)
Time9/26/19 11:03
Quant open2
Worst price2.35
Drawdown as % of equity-0.46%
$99
Includes Typical Broker Commissions trade costs of $1.40
9/30/19 11:34 BRZU1904V25.5 BRZU Oct4'19 25.5 put SHORT 2 0.45 10/5 9:35 0.00 0.11%
Trade id #125557078
Max drawdown($90)
Time10/2/19 0:00
Quant open2
Worst price0.90
Drawdown as % of equity-0.11%
$89
Includes Typical Broker Commissions trade costs of $1.40
9/26/19 10:47 BYND1904J170 BYND Oct4'19 170 call SHORT 2 1.55 10/5 9:35 0.00 0.15%
Trade id #125518643
Max drawdown($120)
Time9/26/19 13:35
Quant open2
Worst price2.15
Drawdown as % of equity-0.15%
$309
Includes Typical Broker Commissions trade costs of $1.40

Statistics

  • Strategy began
    12/23/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    298.04
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    944
  • # Profitable
    843
  • % Profitable
    89.30%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    21.83%
  • drawdown period
    July 05, 2019 - July 26, 2019
  • Cumul. Return
    77.6%
  • Avg win
    $112.85
  • Avg loss
    $536.83
  • Model Account Values (Raw)
  • Cash
    $138,909
  • Margin Used
    $122,867
  • Buying Power
    $15,366
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    2
  • Sortino Ratio
    3.18
  • Calmar Ratio
    5.206
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    53.56%
  • Correlation to SP500
    -0.15190
  • Return Percent SP500 (cumu) during strategy life
    24.09%
  • Return Statistics
  • Ann Return (w trading costs)
    100.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.02%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    24.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.776%
  • Instruments
  • Percent Trades Options
    0.91%
  • Percent Trades Stocks
    0.09%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    106.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    970
  • Popularity (Last 6 weeks)
    981
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    326
  • Popularity (7 days, Percentile 1000 scale)
    983
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $544
  • Avg Win
    $113
  • Sum Trade PL (losers)
    $53,894.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months (Age strategy)
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $95,166.000
  • # Winners
    845
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    40
  • AUM
  • AUM (AutoTrader live capital)
    307206
  • Win / Loss
  • # Losers
    99
  • % Winners
    89.5%
  • Frequency
  • Avg Position Time (mins)
    13180.50
  • Avg Position Time (hrs)
    219.68
  • Avg Trade Length
    9.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.10
  • Daily leverage (max)
    4.72
  • Regression
  • Alpha
    0.22
  • Beta
    -0.31
  • Treynor Index
    -0.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.28
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.79
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.483
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.782
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.903
  • Hold-and-Hope Ratio
    0.123
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78137
  • SD
    0.36764
  • Sharpe ratio (Glass type estimate)
    2.12535
  • Sharpe ratio (Hedges UMVUE)
    1.91856
  • df
    8.00000
  • t
    1.84060
  • p
    0.05147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41248
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36921
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.69316
  • Upside Potential Ratio
    6.14539
  • Upside part of mean
    1.02315
  • Downside part of mean
    -0.24178
  • Upside SD
    0.37855
  • Downside SD
    0.16649
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.32682
  • Mean of criterion
    0.78137
  • SD of predictor
    0.18677
  • SD of criterion
    0.36764
  • Covariance
    -0.01678
  • r
    -0.24444
  • b (slope, estimate of beta)
    -0.48116
  • a (intercept, estimate of alpha)
    0.93862
  • Mean Square Error
    0.14524
  • DF error
    7.00000
  • t(b)
    -0.66695
  • p(b)
    0.73691
  • t(a)
    1.88008
  • p(a)
    0.05108
  • Lowerbound of 95% confidence interval for beta
    -2.18710
  • Upperbound of 95% confidence interval for beta
    1.22478
  • Lowerbound of 95% confidence interval for alpha
    -0.24191
  • Upperbound of 95% confidence interval for alpha
    2.11915
  • Treynor index (mean / b)
    -1.62392
  • Jensen alpha (a)
    0.93862
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70165
  • SD
    0.35706
  • Sharpe ratio (Glass type estimate)
    1.96505
  • Sharpe ratio (Hedges UMVUE)
    1.77386
  • df
    8.00000
  • t
    1.70179
  • p
    0.06360
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36724
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65048
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19820
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.93560
  • Upside Potential Ratio
    5.37693
  • Upside part of mean
    0.95861
  • Downside part of mean
    -0.25696
  • Upside SD
    0.35010
  • Downside SD
    0.17828
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.30788
  • Mean of criterion
    0.70165
  • SD of predictor
    0.18068
  • SD of criterion
    0.35706
  • Covariance
    -0.01560
  • r
    -0.24174
  • b (slope, estimate of beta)
    -0.47775
  • a (intercept, estimate of alpha)
    0.84874
  • Mean Square Error
    0.13719
  • DF error
    7.00000
  • t(b)
    -0.65915
  • p(b)
    0.73456
  • t(a)
    1.75937
  • p(a)
    0.06096
  • Lowerbound of 95% confidence interval for beta
    -2.19165
  • Upperbound of 95% confidence interval for beta
    1.23614
  • Lowerbound of 95% confidence interval for alpha
    -0.29199
  • Upperbound of 95% confidence interval for alpha
    1.98947
  • Treynor index (mean / b)
    -1.46865
  • Jensen alpha (a)
    0.84874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10513
  • Expected Shortfall on VaR
    0.14223
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02480
  • Expected Shortfall on VaR
    0.06103
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.86271
  • Quartile 1
    1.03080
  • Median
    1.08247
  • Quartile 3
    1.11142
  • Maximum
    1.23437
  • Mean of quarter 1
    0.94982
  • Mean of quarter 2
    1.08199
  • Mean of quarter 3
    1.11070
  • Mean of quarter 4
    1.17559
  • Inter Quartile Range
    0.08062
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.86271
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.23437
  • 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)
    -0.68283
  • VaR(95%) (regression method)
    0.17328
  • Expected Shortfall (regression method)
    0.20780
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04404
  • Quartile 1
    0.06736
  • Median
    0.09067
  • Quartile 3
    0.11398
  • Maximum
    0.13729
  • Mean of quarter 1
    0.04404
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13729
  • Inter Quartile Range
    0.04663
  • 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)
    0.92340
  • Compounded annual return (geometric extrapolation)
    1.01708
  • Calmar ratio (compounded annual return / max draw down)
    7.40802
  • Compounded annual return / average of 25% largest draw downs
    7.40802
  • Compounded annual return / Expected Shortfall lognormal
    7.15072
  • 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
    0.79354
  • SD
    0.30100
  • Sharpe ratio (Glass type estimate)
    2.63639
  • Sharpe ratio (Hedges UMVUE)
    2.62696
  • df
    210.00000
  • t
    2.36592
  • p
    0.00945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.83183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.82539
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.22026
  • Upside Potential Ratio
    11.23400
  • Upside part of mean
    2.11234
  • Downside part of mean
    -1.31880
  • Upside SD
    0.23920
  • Downside SD
    0.18803
  • N nonnegative terms
    130.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.31291
  • Mean of criterion
    0.79354
  • SD of predictor
    0.14610
  • SD of criterion
    0.30100
  • Covariance
    -0.00833
  • r
    -0.18947
  • b (slope, estimate of beta)
    -0.39036
  • a (intercept, estimate of alpha)
    0.91600
  • Mean Square Error
    0.08776
  • DF error
    209.00000
  • t(b)
    -2.78970
  • p(b)
    0.99712
  • t(a)
    2.74975
  • p(a)
    0.00324
  • Lowerbound of 95% confidence interval for beta
    -0.66621
  • Upperbound of 95% confidence interval for beta
    -0.11450
  • Lowerbound of 95% confidence interval for alpha
    0.25920
  • Upperbound of 95% confidence interval for alpha
    1.57217
  • Treynor index (mean / b)
    -2.03287
  • Jensen alpha (a)
    0.91569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74749
  • SD
    0.30035
  • Sharpe ratio (Glass type estimate)
    2.48875
  • Sharpe ratio (Hedges UMVUE)
    2.47985
  • df
    210.00000
  • t
    2.23343
  • p
    0.01329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.68277
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.67671
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87809
  • Upside Potential Ratio
    10.81500
  • Upside part of mean
    2.08456
  • Downside part of mean
    -1.33707
  • Upside SD
    0.23401
  • Downside SD
    0.19275
  • N nonnegative terms
    130.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    211.00000
  • Mean of predictor
    0.30214
  • Mean of criterion
    0.74749
  • SD of predictor
    0.14581
  • SD of criterion
    0.30035
  • Covariance
    -0.00831
  • r
    -0.18979
  • b (slope, estimate of beta)
    -0.39094
  • a (intercept, estimate of alpha)
    0.86561
  • Mean Square Error
    0.08738
  • DF error
    209.00000
  • t(b)
    -2.79462
  • p(b)
    0.99716
  • t(a)
    2.60658
  • p(a)
    0.00490
  • Lowerbound of 95% confidence interval for beta
    -0.66672
  • Upperbound of 95% confidence interval for beta
    -0.11516
  • Lowerbound of 95% confidence interval for alpha
    0.21094
  • Upperbound of 95% confidence interval for alpha
    1.52028
  • Treynor index (mean / b)
    -1.91203
  • Jensen alpha (a)
    0.86561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02729
  • Expected Shortfall on VaR
    0.03478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00959
  • Expected Shortfall on VaR
    0.02061
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    211.00000
  • Minimum
    0.90528
  • Quartile 1
    0.99328
  • Median
    1.00323
  • Quartile 3
    1.01166
  • Maximum
    1.09062
  • Mean of quarter 1
    0.98143
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00719
  • Mean of quarter 4
    1.02436
  • Inter Quartile Range
    0.01838
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01422
  • Mean of outliers low
    0.94146
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02370
  • Mean of outliers high
    1.06387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07922
  • VaR(95%) (moments method)
    0.01670
  • Expected Shortfall (moments method)
    0.02384
  • Extreme Value Index (regression method)
    0.13623
  • VaR(95%) (regression method)
    0.01882
  • Expected Shortfall (regression method)
    0.02842
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00479
  • Median
    0.01003
  • Quartile 3
    0.02999
  • Maximum
    0.21354
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00679
  • Mean of quarter 3
    0.01990
  • Mean of quarter 4
    0.09962
  • Inter Quartile Range
    0.02520
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.11660
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.62237
  • VaR(95%) (moments method)
    0.08618
  • Expected Shortfall (moments method)
    0.09016
  • Extreme Value Index (regression method)
    2.30442
  • VaR(95%) (regression method)
    0.05794
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.02533
  • Compounded annual return (geometric extrapolation)
    1.11169
  • Calmar ratio (compounded annual return / max draw down)
    5.20604
  • Compounded annual return / average of 25% largest draw downs
    11.15910
  • Compounded annual return / Expected Shortfall lognormal
    31.96460
  • 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
    0.69069
  • SD
    0.35123
  • Sharpe ratio (Glass type estimate)
    1.96648
  • Sharpe ratio (Hedges UMVUE)
    1.95511
  • df
    130.00000
  • t
    1.39051
  • p
    0.43947
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.73709
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.07385
  • Upside Potential Ratio
    10.32650
  • Upside part of mean
    2.32036
  • Downside part of mean
    -1.62967
  • Upside SD
    0.27158
  • Downside SD
    0.22470
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07662
  • Mean of criterion
    0.69069
  • SD of predictor
    0.14109
  • SD of criterion
    0.35123
  • Covariance
    -0.01113
  • r
    -0.22454
  • b (slope, estimate of beta)
    -0.55899
  • a (intercept, estimate of alpha)
    0.73352
  • Mean Square Error
    0.11805
  • DF error
    129.00000
  • t(b)
    -2.61716
  • p(b)
    0.64174
  • t(a)
    1.50874
  • p(a)
    0.41641
  • Lowerbound of 95% confidence interval for beta
    -0.98158
  • Upperbound of 95% confidence interval for beta
    -0.13640
  • Lowerbound of 95% confidence interval for alpha
    -0.22840
  • Upperbound of 95% confidence interval for alpha
    1.69544
  • Treynor index (mean / b)
    -1.23559
  • Jensen alpha (a)
    0.73352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62883
  • SD
    0.35067
  • Sharpe ratio (Glass type estimate)
    1.79324
  • Sharpe ratio (Hedges UMVUE)
    1.78287
  • df
    130.00000
  • t
    1.26801
  • p
    0.44473
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56314
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72416
  • Upside Potential Ratio
    9.89744
  • Upside part of mean
    2.28466
  • Downside part of mean
    -1.65583
  • Upside SD
    0.26505
  • Downside SD
    0.23083
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06669
  • Mean of criterion
    0.62883
  • SD of predictor
    0.14156
  • SD of criterion
    0.35067
  • Covariance
    -0.01115
  • r
    -0.22457
  • b (slope, estimate of beta)
    -0.55627
  • a (intercept, estimate of alpha)
    0.66592
  • Mean Square Error
    0.11767
  • DF error
    129.00000
  • t(b)
    -2.61743
  • p(b)
    0.64175
  • t(a)
    1.37211
  • p(a)
    0.42383
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.97675
  • Upperbound of 95% confidence interval for beta
    -0.13578
  • Lowerbound of 95% confidence interval for alpha
    -0.29431
  • Upperbound of 95% confidence interval for alpha
    1.62615
  • Treynor index (mean / b)
    -1.13044
  • Jensen alpha (a)
    0.66592
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03269
  • Expected Shortfall on VaR
    0.04137
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01282
  • Expected Shortfall on VaR
    0.02671
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90528
  • Quartile 1
    0.99222
  • Median
    1.00177
  • Quartile 3
    1.01406
  • Maximum
    1.09062
  • Mean of quarter 1
    0.97750
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00701
  • Mean of quarter 4
    1.02810
  • Inter Quartile Range
    0.02184
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.92999
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.06824
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07312
  • VaR(95%) (moments method)
    0.01936
  • Expected Shortfall (moments method)
    0.02576
  • Extreme Value Index (regression method)
    0.00469
  • VaR(95%) (regression method)
    0.02468
  • Expected Shortfall (regression method)
    0.03525
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00432
  • Median
    0.00898
  • Quartile 3
    0.06319
  • Maximum
    0.21354
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00630
  • Mean of quarter 3
    0.03240
  • Mean of quarter 4
    0.13234
  • Inter Quartile Range
    0.05887
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.21354
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.03555
  • VaR(95%) (moments method)
    0.14605
  • Expected Shortfall (moments method)
    0.15090
  • Extreme Value Index (regression method)
    0.15326
  • VaR(95%) (regression method)
    0.21422
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.33967
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -19
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73891
  • Compounded annual return (geometric extrapolation)
    0.87541
  • Calmar ratio (compounded annual return / max draw down)
    4.09953
  • Compounded annual return / average of 25% largest draw downs
    6.61471
  • Compounded annual return / Expected Shortfall lognormal
    21.15830

Strategy Description

Selling weekly options on liquid big names with 85% Probability of assignment. Using SPX Charting as a road map to overall Market sentiment.

A trading BOT scans around 200 Names with weekly options sending hourly commands with specific parameters. Trades then placed picking option contracts averaging 5-9 DTE.

Unfortunately, this strategy will not work for IRA or RRSP accounts. It is designed to Collect premium on weekly options while being Ready to be assigned the underlying overstretched in either direction.

Once assigned, we will be Writing puts against short and Calls against Long positions. Once profit is made, shares are disposed. May take number of weeks, so make sure you chose "sync positions" when setting up auto-trading. Also it is important to chose "Join open positions" and allow Naked short options when signing up or following. Every week there will be open positions against which the options are written with the goal to be assigned. That will assure your positions and mine are on the same page.

At this time this Delta 15 can scaled down 50%. Single options contracts or lots of 100 shares will be traded. Feel free to DM me if you have any questions. Good Luck trading! Andrew

Summary Statistics

Strategy began
2018-12-23
Suggested Minimum Capital
$35,000
# Trades
944
# Profitable
843
% Profitable
89.3%
Net Dividends
Correlation S&P500
-0.152
Sharpe Ratio
2.00
Sortino Ratio
3.18
Beta
-0.31
Alpha
0.22
Leverage
3.10 Average
4.72 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.