Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

Got it
This is an archived track record. This track record was archived on 9/18/19 15:51 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Regular Income
(107003652)

Created by: Heiko Heiko
Started: 11/2016
Options
Last trade: 1,754 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 $49.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

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.
-4.3%
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.

(30.1%)
Max Drawdown
261
Num Trades
82.0%
Win Trades
1.2 : 1
Profit Factor
23.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      (0.4%)+1.3%+1.0%
2017(0.1%)+3.2%+3.0%+3.9%+0.6%(2.4%)+2.0%  -  +1.2%(1.4%)+3.7%+0.1%+14.4%
2018+3.8%(13.5%)(17.8%)+1.3%+0.7%+0.6%+0.8%+2.7%+1.4%(8.3%)+1.4%(1.3%)(27.1%)
2019+2.9%+0.1%+2.2%  -  (11.8%)+0.2%(1%)(1.1%)  -    -    -    -  (8.9%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 468 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/28/19 10:42 V1919S150 V Jul19'19 150 put SHORT 1 1.05 6/10 9:30 0.50 1.2%
Trade id #123844722
Max drawdown($141)
Time6/3/19 15:31
Quant open-1
Worst price2.46
Drawdown as % of equity-1.20%
$53
Includes Typical Broker Commissions trade costs of $2.00
4/24/19 14:06 COST1931Q227.5 COST May31'19 227.5 put SHORT 1 1.06 5/17 10:57 0.50 1.05%
Trade id #123416564
Max drawdown($131)
Time5/7/19 14:04
Quant open-1
Worst price2.37
Drawdown as % of equity-1.05%
$54
Includes Typical Broker Commissions trade costs of $2.00
5/1/19 14:50 AAPL1921R195 AAPL Jun21'19 195 put SHORT 1 1.07 5/13 14:01 11.62 9.58%
Trade id #123496398
Max drawdown($1,180)
Time5/13/19 13:13
Quant open-1
Worst price12.87
Drawdown as % of equity-9.58%
($1,057)
Includes Typical Broker Commissions trade costs of $2.00
4/16/19 15:23 TIF1924Q100 TIF May24'19 100 put SHORT 1 0.74 5/3 12:29 0.35 n/a $37
Includes Typical Broker Commissions trade costs of $2.00
4/3/19 14:17 W1917Q105 W May17'19 105 put SHORT 1 1.38 4/29 11:00 0.65 0.28%
Trade id #123190912
Max drawdown($36)
Time4/9/19 14:08
Quant open-1
Worst price1.74
Drawdown as % of equity-0.28%
$71
Includes Typical Broker Commissions trade costs of $2.00
4/16/19 15:12 SMH1917E122 SMH May17'19 122 call SHORT 1 0.55 4/24 14:19 1.88 1.14%
Trade id #123332530
Max drawdown($146)
Time4/24/19 11:41
Quant open-1
Worst price2.01
Drawdown as % of equity-1.14%
($135)
Includes Typical Broker Commissions trade costs of $2.00
4/16/19 15:06 SMH1917Q108 SMH May17'19 108 put SHORT 1 0.85 4/23 12:05 0.40 0%
Trade id #123332451
Max drawdown$0
Time4/16/19 15:10
Quant open-1
Worst price0.85
Drawdown as % of equity0.00%
$43
Includes Typical Broker Commissions trade costs of $2.00
3/12/19 15:58 JNJ1926P130 JNJ Apr26'19 130 put SHORT 1 0.73 4/16 15:43 0.11 0.13%
Trade id #122884341
Max drawdown($17)
Time4/12/19 9:36
Quant open-1
Worst price0.90
Drawdown as % of equity-0.13%
$60
Includes Typical Broker Commissions trade costs of $2.00
4/1/19 15:33 SMH1917Q100 SMH May17'19 100 put SHORT 1 0.98 4/11 9:30 0.45 0.05%
Trade id #123158053
Max drawdown($6)
Time4/2/19 11:11
Quant open-1
Worst price1.04
Drawdown as % of equity-0.05%
$51
Includes Typical Broker Commissions trade costs of $2.00
4/1/19 15:17 ADSK1917Q145 ADSK May17'19 145 put SHORT 1 1.07 4/11 9:30 0.50 0.2%
Trade id #123157789
Max drawdown($25)
Time4/4/19 15:50
Quant open-1
Worst price1.32
Drawdown as % of equity-0.20%
$55
Includes Typical Broker Commissions trade costs of $2.00
3/20/19 15:38 HD1917Q170 HD May17'19 170 put SHORT 1 0.84 4/1 9:32 0.40 n/a $42
Includes Typical Broker Commissions trade costs of $2.00
3/14/19 12:17 PYPL1926P92.5 PYPL Apr26'19 92.5 put SHORT 1 1.41 3/27 10:15 0.70 0%
Trade id #122913626
Max drawdown$0
Time3/14/19 12:25
Quant open-1
Worst price1.41
Drawdown as % of equity0.00%
$69
Includes Typical Broker Commissions trade costs of $2.00
3/18/19 12:31 XBI1926D98 XBI Apr26'19 98 call SHORT 1 0.64 3/22 15:34 0.30 n/a $32
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 14:12 WYNN1918P100 WYNN Apr18'19 100 put SHORT 1 0.93 3/19 10:12 0.45 0.39%
Trade id #122589831
Max drawdown($48)
Time3/8/19 9:40
Quant open-1
Worst price1.41
Drawdown as % of equity-0.39%
$46
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 14:21 SMH1929O95 SMH Mar29'19 95 put SHORT 1 0.83 3/11 13:27 0.31 0.27%
Trade id #122589955
Max drawdown($33)
Time3/8/19 9:39
Quant open-1
Worst price1.16
Drawdown as % of equity-0.27%
$50
Includes Typical Broker Commissions trade costs of $2.00
3/4/19 15:19 FB1918P145 FB Apr18'19 145 put SHORT 1 0.66 3/11 11:38 0.30 0.21%
Trade id #122780206
Max drawdown($26)
Time3/8/19 9:31
Quant open-1
Worst price0.92
Drawdown as % of equity-0.21%
$34
Includes Typical Broker Commissions trade costs of $2.00
2/19/19 14:05 DIS1918P100 DIS Apr18'19 100 put SHORT 1 0.54 3/5 12:02 0.25 0.04%
Trade id #122589714
Max drawdown($5)
Time2/19/19 14:59
Quant open-1
Worst price0.59
Drawdown as % of equity-0.04%
$27
Includes Typical Broker Commissions trade costs of $2.00
1/8/19 11:43 VXXB1921F80 VXXB Jun21'19 80 call LONG 1 1.60 2/20 14:31 0.16 1.21%
Trade id #121846392
Max drawdown($149)
Time2/20/19 14:08
Quant open1
Worst price0.11
Drawdown as % of equity-1.21%
($146)
Includes Typical Broker Commissions trade costs of $2.00
1/24/19 11:34 SMH1915C105 SMH Mar15'19 105 call SHORT 1 0.56 2/20 13:54 1.80 1.05%
Trade id #122159296
Max drawdown($130)
Time2/20/19 10:34
Quant open-1
Worst price1.86
Drawdown as % of equity-1.05%
($126)
Includes Typical Broker Commissions trade costs of $2.00
1/8/19 11:36 VXXB1921F70 VXXB Jun21'19 70 call SHORT 1 2.25 2/20 9:40 0.38 0.36%
Trade id #121846218
Max drawdown($43)
Time1/24/19 9:31
Quant open-1
Worst price2.68
Drawdown as % of equity-0.36%
$185
Includes Typical Broker Commissions trade costs of $2.00
2/6/19 14:37 SMH1922O92 SMH Mar22'19 92 put SHORT 1 0.86 2/19 14:00 0.39 0.66%
Trade id #122401652
Max drawdown($81)
Time2/8/19 9:31
Quant open-1
Worst price1.67
Drawdown as % of equity-0.66%
$45
Includes Typical Broker Commissions trade costs of $2.00
2/6/19 15:27 DRI1915O100 DRI Mar15'19 100 put SHORT 1 0.55 2/15 11:55 0.25 0.04%
Trade id #122402344
Max drawdown($5)
Time2/7/19 13:44
Quant open-1
Worst price0.60
Drawdown as % of equity-0.04%
$28
Includes Typical Broker Commissions trade costs of $2.00
2/1/19 15:35 V1915O130 V Mar15'19 130 put SHORT 1 0.91 2/12 9:33 0.45 0.12%
Trade id #122325283
Max drawdown($15)
Time2/8/19 9:31
Quant open-1
Worst price1.06
Drawdown as % of equity-0.12%
$44
Includes Typical Broker Commissions trade costs of $2.00
1/24/19 12:42 SMH1915O85 SMH Mar15'19 85 put SHORT 1 1.16 2/6 14:13 0.24 0.37%
Trade id #122161765
Max drawdown($45)
Time1/28/19 9:31
Quant open-1
Worst price1.61
Drawdown as % of equity-0.37%
$90
Includes Typical Broker Commissions trade costs of $2.00
1/29/19 14:01 JNJ1915O120 JNJ Mar15'19 120 put SHORT 1 0.76 2/6 10:19 0.35 0.46%
Trade id #122250437
Max drawdown($56)
Time2/5/19 9:31
Quant open-1
Worst price1.32
Drawdown as % of equity-0.46%
$39
Includes Typical Broker Commissions trade costs of $2.00
1/24/19 11:46 KEYS1915O62.5 KEYS Mar15'19 62.5 put SHORT 1 0.80 1/31 12:05 0.40 n/a $38
Includes Typical Broker Commissions trade costs of $2.00
1/16/19 14:15 IBB1915C120 IBB Mar15'19 120 call SHORT 1 0.55 1/28 11:26 0.25 n/a $28
Includes Typical Broker Commissions trade costs of $2.00
1/14/19 15:31 DLR1915N95 DLR Feb15'19 95 put SHORT 1 0.45 1/28 11:22 0.20 0.12%
Trade id #121964336
Max drawdown($15)
Time1/23/19 11:26
Quant open-1
Worst price0.60
Drawdown as % of equity-0.12%
$23
Includes Typical Broker Commissions trade costs of $2.00
1/3/19 15:23 GLD1915C129 GLD Mar15'19 129 call SHORT 1 1.03 1/24 11:18 0.20 0%
Trade id #121771942
Max drawdown$0
Time1/3/19 15:29
Quant open-1
Worst price1.03
Drawdown as % of equity0.00%
$81
Includes Typical Broker Commissions trade costs of $2.00
1/3/19 15:25 GLD1915O115 GLD Mar15'19 115 put SHORT 1 0.32 1/24 11:17 0.17 0.06%
Trade id #121771977
Max drawdown($7)
Time1/4/19 9:31
Quant open-1
Worst price0.39
Drawdown as % of equity-0.06%
$13
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    11/8/2016
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2696.69
  • Age
    90 months ago
  • What it trades
    Options
  • # Trades
    261
  • # Profitable
    214
  • % Profitable
    82.00%
  • Avg trade duration
    15.1 days
  • Max peak-to-valley drawdown
    30.06%
  • drawdown period
    Jan 29, 2018 - June 03, 2019
  • Annual Return (Compounded)
    -4.3%
  • Avg win
    $56.25
  • Avg loss
    $216.43
  • Model Account Values (Raw)
  • Cash
    $11,874
  • Margin Used
    $0
  • Buying Power
    $11,874
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    0.213
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -52.22%
  • Correlation to SP500
    0.10410
  • Return Percent SP500 (cumu) during strategy life
    145.58%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.3%
  • Slump
  • Current Slump as Pcnt Equity
    57.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.83%
  • 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)
    -0.043%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    662
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    461
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $216
  • Avg Win
    $56
  • Sum Trade PL (losers)
    $10,172.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $12,037.000
  • # Winners
    214
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    12
  • Win / Loss
  • # Losers
    47
  • % Winners
    82.0%
  • Frequency
  • Avg Position Time (mins)
    21674.00
  • Avg Position Time (hrs)
    361.23
  • Avg Trade Length
    15.1 days
  • Last Trade Ago
    1766
  • Leverage
  • Daily leverage (average)
    2.50
  • Daily leverage (max)
    9.05
  • Regression
  • Alpha
    -0.02
  • Beta
    0.06
  • Treynor Index
    -0.24
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    24.59
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.85
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    36.389
  • 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
    1.001
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.222
  • Hold-and-Hope Ratio
    0.027
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04719
  • SD
    0.15460
  • Sharpe ratio (Glass type estimate)
    0.30527
  • Sharpe ratio (Hedges UMVUE)
    0.29805
  • df
    32.00000
  • t
    0.50623
  • p
    0.30808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88611
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48220
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36408
  • Upside Potential Ratio
    1.57077
  • Upside part of mean
    0.20361
  • Downside part of mean
    -0.15642
  • Upside SD
    0.08099
  • Downside SD
    0.12962
  • N nonnegative terms
    25.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08870
  • Mean of criterion
    0.04719
  • SD of predictor
    0.09854
  • SD of criterion
    0.15460
  • Covariance
    0.00875
  • r
    0.57424
  • b (slope, estimate of beta)
    0.90092
  • a (intercept, estimate of alpha)
    -0.03272
  • Mean Square Error
    0.01654
  • DF error
    31.00000
  • t(b)
    3.90533
  • p(b)
    0.00024
  • t(a)
    -0.40793
  • p(a)
    0.65693
  • Lowerbound of 95% confidence interval for beta
    0.43042
  • Upperbound of 95% confidence interval for beta
    1.37141
  • Lowerbound of 95% confidence interval for alpha
    -0.19628
  • Upperbound of 95% confidence interval for alpha
    0.13085
  • Treynor index (mean / b)
    0.05238
  • Jensen alpha (a)
    -0.03272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03478
  • SD
    0.16133
  • Sharpe ratio (Glass type estimate)
    0.21558
  • Sharpe ratio (Hedges UMVUE)
    0.21048
  • df
    32.00000
  • t
    0.35750
  • p
    0.36153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39351
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25197
  • Upside Potential Ratio
    1.44860
  • Upside part of mean
    0.19995
  • Downside part of mean
    -0.16517
  • Upside SD
    0.07929
  • Downside SD
    0.13803
  • N nonnegative terms
    25.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.08347
  • Mean of criterion
    0.03478
  • SD of predictor
    0.09887
  • SD of criterion
    0.16133
  • Covariance
    0.00910
  • r
    0.57042
  • b (slope, estimate of beta)
    0.93080
  • a (intercept, estimate of alpha)
    -0.04291
  • Mean Square Error
    0.01813
  • DF error
    31.00000
  • t(b)
    3.86677
  • p(b)
    0.00026
  • t(a)
    -0.51309
  • p(a)
    0.69424
  • Lowerbound of 95% confidence interval for beta
    0.43985
  • Upperbound of 95% confidence interval for beta
    1.42175
  • Lowerbound of 95% confidence interval for alpha
    -0.21349
  • Upperbound of 95% confidence interval for alpha
    0.12766
  • Treynor index (mean / b)
    0.03737
  • Jensen alpha (a)
    -0.04291
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07106
  • Expected Shortfall on VaR
    0.08882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.04251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.85596
  • Quartile 1
    1.00465
  • Median
    1.01405
  • Quartile 3
    1.02633
  • Maximum
    1.05179
  • Mean of quarter 1
    0.95479
  • Mean of quarter 2
    1.01149
  • Mean of quarter 3
    1.02063
  • Mean of quarter 4
    1.04456
  • Inter Quartile Range
    0.02168
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.12121
  • Mean of outliers low
    0.90133
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.17980
  • VaR(95%) (regression method)
    0.07836
  • Expected Shortfall (regression method)
    0.11957
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00411
  • Quartile 1
    0.00842
  • Median
    0.01274
  • Quartile 3
    0.11077
  • Maximum
    0.20879
  • Mean of quarter 1
    0.00411
  • Mean of quarter 2
    0.01274
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20879
  • Inter Quartile Range
    0.10234
  • 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)
    0.06842
  • Compounded annual return (geometric extrapolation)
    0.06469
  • Calmar ratio (compounded annual return / max draw down)
    0.30986
  • Compounded annual return / average of 25% largest draw downs
    0.30986
  • Compounded annual return / Expected Shortfall lognormal
    0.72833
  • 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
    0.04236
  • SD
    0.12428
  • Sharpe ratio (Glass type estimate)
    0.34085
  • Sharpe ratio (Hedges UMVUE)
    0.34050
  • df
    724.00000
  • t
    0.56700
  • p
    0.28545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51886
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38793
  • Upside Potential Ratio
    4.53913
  • Upside part of mean
    0.49565
  • Downside part of mean
    -0.45329
  • Upside SD
    0.05922
  • Downside SD
    0.10919
  • N nonnegative terms
    418.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    725.00000
  • Mean of predictor
    0.10371
  • Mean of criterion
    0.04236
  • SD of predictor
    0.13215
  • SD of criterion
    0.12428
  • Covariance
    0.00401
  • r
    0.24389
  • b (slope, estimate of beta)
    0.22937
  • a (intercept, estimate of alpha)
    0.01600
  • Mean Square Error
    0.01455
  • DF error
    723.00000
  • t(b)
    6.76217
  • p(b)
    -0.00000
  • t(a)
    0.25586
  • p(a)
    0.39907
  • Lowerbound of 95% confidence interval for beta
    0.16278
  • Upperbound of 95% confidence interval for beta
    0.29596
  • Lowerbound of 95% confidence interval for alpha
    -0.12394
  • Upperbound of 95% confidence interval for alpha
    0.16108
  • Treynor index (mean / b)
    0.18468
  • Jensen alpha (a)
    0.01857
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03439
  • SD
    0.12731
  • Sharpe ratio (Glass type estimate)
    0.27014
  • Sharpe ratio (Hedges UMVUE)
    0.26986
  • df
    724.00000
  • t
    0.44937
  • p
    0.32665
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44817
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30480
  • Upside Potential Ratio
    4.37696
  • Upside part of mean
    0.49386
  • Downside part of mean
    -0.45947
  • Upside SD
    0.05881
  • Downside SD
    0.11283
  • N nonnegative terms
    418.00000
  • N negative terms
    307.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    725.00000
  • Mean of predictor
    0.09493
  • Mean of criterion
    0.03439
  • SD of predictor
    0.13244
  • SD of criterion
    0.12731
  • Covariance
    0.00404
  • r
    0.23978
  • b (slope, estimate of beta)
    0.23050
  • a (intercept, estimate of alpha)
    0.01251
  • Mean Square Error
    0.01530
  • DF error
    723.00000
  • t(b)
    6.64110
  • p(b)
    0.00000
  • t(a)
    0.16808
  • p(a)
    0.43328
  • Lowerbound of 95% confidence interval for beta
    0.16236
  • Upperbound of 95% confidence interval for beta
    0.29864
  • Lowerbound of 95% confidence interval for alpha
    -0.13360
  • Upperbound of 95% confidence interval for alpha
    0.15862
  • Treynor index (mean / b)
    0.14921
  • Jensen alpha (a)
    0.01251
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01272
  • Expected Shortfall on VaR
    0.01596
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00339
  • Expected Shortfall on VaR
    0.00806
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    725.00000
  • Minimum
    0.89923
  • Quartile 1
    0.99941
  • Median
    1.00069
  • Quartile 3
    1.00288
  • Maximum
    1.03771
  • Mean of quarter 1
    0.99335
  • Mean of quarter 2
    1.00005
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.00605
  • Inter Quartile Range
    0.00347
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.07172
  • Mean of outliers low
    0.98284
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.04276
  • Mean of outliers high
    1.01233
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67934
  • VaR(95%) (moments method)
    0.00462
  • Expected Shortfall (moments method)
    0.01702
  • Extreme Value Index (regression method)
    0.47225
  • VaR(95%) (regression method)
    0.00550
  • Expected Shortfall (regression method)
    0.01371
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00193
  • Median
    0.00440
  • Quartile 3
    0.01984
  • Maximum
    0.24437
  • Mean of quarter 1
    0.00074
  • Mean of quarter 2
    0.00307
  • Mean of quarter 3
    0.00839
  • Mean of quarter 4
    0.05318
  • Inter Quartile Range
    0.01791
  • 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
    0.02941
  • Mean of outliers high
    0.24437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73179
  • VaR(95%) (moments method)
    0.05870
  • Expected Shortfall (moments method)
    0.20766
  • Extreme Value Index (regression method)
    0.87104
  • VaR(95%) (regression method)
    0.04209
  • Expected Shortfall (regression method)
    0.22354
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06799
  • Compounded annual return (geometric extrapolation)
    0.06428
  • Calmar ratio (compounded annual return / max draw down)
    0.26305
  • Compounded annual return / average of 25% largest draw downs
    1.20866
  • Compounded annual return / Expected Shortfall lognormal
    4.02770
  • 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
    -0.10865
  • SD
    0.08599
  • Sharpe ratio (Glass type estimate)
    -1.26345
  • Sharpe ratio (Hedges UMVUE)
    -1.25615
  • df
    130.00000
  • t
    -0.89340
  • p
    0.53906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.03710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.03216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51986
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.34186
  • Upside Potential Ratio
    2.31182
  • Upside part of mean
    0.18718
  • Downside part of mean
    -0.29583
  • Upside SD
    0.02877
  • Downside SD
    0.08097
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12747
  • Mean of criterion
    -0.10865
  • SD of predictor
    0.14702
  • SD of criterion
    0.08599
  • Covariance
    0.00469
  • r
    0.37129
  • b (slope, estimate of beta)
    0.21718
  • a (intercept, estimate of alpha)
    -0.13633
  • Mean Square Error
    0.00642
  • DF error
    129.00000
  • t(b)
    4.54177
  • p(b)
    0.26918
  • t(a)
    -1.20095
  • p(a)
    0.56682
  • Lowerbound of 95% confidence interval for beta
    0.12257
  • Upperbound of 95% confidence interval for beta
    0.31178
  • Lowerbound of 95% confidence interval for alpha
    -0.36092
  • Upperbound of 95% confidence interval for alpha
    0.08827
  • Treynor index (mean / b)
    -0.50027
  • Jensen alpha (a)
    -0.13633
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11241
  • SD
    0.08749
  • Sharpe ratio (Glass type estimate)
    -1.28486
  • Sharpe ratio (Hedges UMVUE)
    -1.27743
  • df
    130.00000
  • t
    -0.90853
  • p
    0.53972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49376
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.05358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49872
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36088
  • Upside Potential Ratio
    2.26082
  • Upside part of mean
    0.18675
  • Downside part of mean
    -0.29916
  • Upside SD
    0.02866
  • Downside SD
    0.08260
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11666
  • Mean of criterion
    -0.11241
  • SD of predictor
    0.14749
  • SD of criterion
    0.08749
  • Covariance
    0.00478
  • r
    0.37055
  • b (slope, estimate of beta)
    0.21981
  • a (intercept, estimate of alpha)
    -0.13805
  • Mean Square Error
    0.00665
  • DF error
    129.00000
  • t(b)
    4.53120
  • p(b)
    0.26962
  • t(a)
    -1.19523
  • p(a)
    0.56650
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.12383
  • Upperbound of 95% confidence interval for beta
    0.31579
  • Lowerbound of 95% confidence interval for alpha
    -0.36658
  • Upperbound of 95% confidence interval for alpha
    0.09047
  • Treynor index (mean / b)
    -0.51140
  • Jensen alpha (a)
    -0.13805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00928
  • Expected Shortfall on VaR
    0.01151
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95132
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00102
  • Maximum
    1.01270
  • Mean of quarter 1
    0.99581
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00015
  • Mean of quarter 4
    1.00282
  • Inter Quartile Range
    0.00102
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99056
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00476
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72154
  • VaR(95%) (moments method)
    0.00250
  • Expected Shortfall (moments method)
    0.01198
  • Extreme Value Index (regression method)
    0.88323
  • VaR(95%) (regression method)
    0.00339
  • Expected Shortfall (regression method)
    0.03845
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00109
  • Median
    0.00226
  • Quartile 3
    0.00721
  • Maximum
    0.08780
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00140
  • Mean of quarter 3
    0.00425
  • Mean of quarter 4
    0.05000
  • Inter Quartile Range
    0.00612
  • 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
    0.12500
  • Mean of outliers high
    0.08780
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -30
  • Max Equity Drawdown (num days)
    490
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08274
  • Compounded annual return (geometric extrapolation)
    -0.08103
  • Calmar ratio (compounded annual return / max draw down)
    -0.92297
  • Compounded annual return / average of 25% largest draw downs
    -1.62071
  • Compounded annual return / Expected Shortfall lognormal
    -7.04050

Strategy Description

Regular Income is an income trading strategy based on selling options on stocks & ETFs. It’s not about getting rich quickly with risky trades, but steady growth of the account even in bearish markets.
In most of the trades I’m selling naked out of the money put options with high probability of profit on several underlyings depending on the market conditions. By selling options we collect the premium from the option buyer.
I perform a daily routine every morning that shows me if the market is in a good condition for selling options and how's the market volatility.
Based on this big picture I scan the markets using different web tools like Dough, Finviz and Stockfetcher to look for high probability setups for selling options. I'm watching e.g. for high Implied Volatility Rank, no earning release dates are ahead and the return on margin factor and so on.
I’m looking for options with about 45 days till expiration. Depending on the volatility I risk between 0.5% to max. 2% of the portfolio size per position. Instead of trading big position sizes I like to trade small and often. That enables me to spread the risk in the portfolio onto more underlying stocks & ETFs.

I close the position with a profit if the option price dropped around 50%.
I close or adjust a position if it lost 200% of the initial premium, I earned by selling the option.

Notes for new Subscribers:
I strongly recommend Autotrading the strategy.
You need at least $10,000 in order to follow this strategy at 100% scaling. I’m trying to utilize between 50-70% of the accounts margin. So if you got for example $20,000, you should autotrade with 200% scaling.
You must enable “short options” in the C2 autotrading control panel, otherwise the selling orders will not be submitted to your broker.

Find more information about this strategy on my Facebook page “Regular Income Trading”.

Summary Statistics

Strategy began
2016-11-08
Suggested Minimum Capital
$35,000
# Trades
261
# Profitable
214
% Profitable
82.0%
Net Dividends
Correlation S&P500
0.104
Sharpe Ratio
-0.43
Sortino Ratio
-0.48
Beta
0.06
Alpha
-0.02
Leverage
2.50 Average
9.05 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.