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

MAR1 QUANT
(139591006)

Created by: EstoTrader EstoTrader
Started: 03/2022
Options
Last trade: Yesterday
Trading style: Options Premium Collecting 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 $29.00 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.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
18.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(18.7%)
Max Drawdown
292
Num Trades
54.1%
Win Trades
1.4 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +5.9%(4.9%)+0.7%(6.5%)+2.9%(0.1%)(6.8%)+2.8%+1.7%+1.2%(4.1%)
2023(3.4%)+1.3%(0.2%)+2.5%+2.2%(0.9%)+1.0%(2.3%)(3.3%)(1.9%)+22.1%+0.5%+16.4%
2024(0.3%)(0.2%)(0.1%)+1.4%+27.1%  -  +5.0%                              +34.6%

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 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 827 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/8/24 15:45 IWM2412G202 IWM Jul12'24 202 call LONG 4 1.92 7/12 15:51 11.39 0.49%
Trade id #148593759
Max drawdown($347)
Time7/9/24 0:00
Quant open4
Worst price1.05
Drawdown as % of equity-0.49%
$3,783
Includes Typical Broker Commissions trade costs of $5.90
5/21/24 11:41 TSLA2421R175 TSLA Jun21'24 175 put LONG 1 6.75 6/22 9:35 0.00 0.94%
Trade id #148217147
Max drawdown($674)
Time6/21/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.94%
($676)
Includes Typical Broker Commissions trade costs of $1.00
6/20/24 9:32 IWM2421F202 IWM Jun21'24 202 call LONG 3 0.36 6/22 9:35 0.00 0.15%
Trade id #148454115
Max drawdown($105)
Time6/21/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.15%
($110)
Includes Typical Broker Commissions trade costs of $2.10
4/29/24 11:09 TSLA2421F190 TSLA Jun21'24 190 call SHORT 1 15.10 6/22 9:35 0.00 1.14%
Trade id #148038838
Max drawdown($674)
Time4/29/24 12:30
Quant open1
Worst price21.84
Drawdown as % of equity-1.14%
$1,509
Includes Typical Broker Commissions trade costs of $1.00
5/21/24 11:41 TSLA2421F175 TSLA Jun21'24 175 call SHORT 1 10.85 6/22 9:35 0.00 0.93%
Trade id #148217145
Max drawdown($665)
Time6/13/24 0:00
Quant open1
Worst price17.50
Drawdown as % of equity-0.93%
$1,084
Includes Typical Broker Commissions trade costs of $1.00
4/29/24 11:09 TSLA2421R190 TSLA Jun21'24 190 put LONG 1 13.85 6/22 9:35 0.00 1.34%
Trade id #148038833
Max drawdown($960)
Time6/17/24 0:00
Quant open1
Worst price4.25
Drawdown as % of equity-1.34%
($1,386)
Includes Typical Broker Commissions trade costs of $1.00
5/6/24 9:35 IWM2414R189 IWM Jun14'24 189 put SHORT 1 1.11 6/12 15:36 0.02 n/a $107
Includes Typical Broker Commissions trade costs of $2.00
5/6/24 9:32 IWM2414R191 IWM Jun14'24 191 put SHORT 1 1.31 6/12 15:35 0.03 0%
Trade id #148098484
Max drawdown($2)
Time5/6/24 9:50
Quant open1
Worst price1.33
Drawdown as % of equity-0.00%
$126
Includes Typical Broker Commissions trade costs of $2.00
5/2/24 9:31 IWM2407R188 IWM Jun7'24 188 put SHORT 1 1.31 6/8 9:35 0.00 0.06%
Trade id #148071836
Max drawdown($31)
Time5/2/24 10:14
Quant open1
Worst price1.62
Drawdown as % of equity-0.06%
$130
Includes Typical Broker Commissions trade costs of $1.00
5/18/24 9:35 SPY SPDR S&P 500 SHORT 200 527.00 5/18 9:35 507.50 n/a $3,896
Includes Typical Broker Commissions trade costs of $4.00
4/30/24 11:11 SPY2417E511 SPY May17'24 511 call LONG 1 4.86 5/18 9:35 0.00 0.47%
Trade id #148051639
Max drawdown($265)
Time5/1/24 0:00
Quant open1
Worst price2.21
Drawdown as % of equity-0.47%
($487)
Includes Typical Broker Commissions trade costs of $1.00
5/1/24 10:00 SPY2417E504 SPY May17'24 504 call LONG 1 5.30 5/18 9:35 0.00 0.1%
Trade id #148061742
Max drawdown($54)
Time5/2/24 0:00
Quant open1
Worst price4.76
Drawdown as % of equity-0.10%
($531)
Includes Typical Broker Commissions trade costs of $1.00
5/17/24 15:55 SPY2417E527 SPY May17'24 527 call SHORT 2 2.20 5/18 9:35 0.00 0.05%
Trade id #148197744
Max drawdown($36)
Time5/17/24 15:59
Quant open2
Worst price2.38
Drawdown as % of equity-0.05%
$439
Includes Typical Broker Commissions trade costs of $1.40
4/30/24 12:42 QQQ2417E432 QQQ May17'24 432 call LONG 1 5.62 5/17 15:50 19.48 0.49%
Trade id #148053531
Max drawdown($275)
Time5/1/24 0:00
Quant open1
Worst price2.87
Drawdown as % of equity-0.49%
$1,384
Includes Typical Broker Commissions trade costs of $2.00
4/24/24 10:41 QQQ2417E433 QQQ May17'24 433 call LONG 1 6.16 5/17 15:50 18.48 0.64%
Trade id #147997303
Max drawdown($352)
Time5/2/24 0:00
Quant open1
Worst price2.64
Drawdown as % of equity-0.64%
$1,230
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 9:33 SPY2417E503 SPY May17'24 503 call LONG 1 6.57 5/15 15:50 26.53 0.25%
Trade id #147973778
Max drawdown($137)
Time5/2/24 0:00
Quant open1
Worst price5.20
Drawdown as % of equity-0.25%
$1,994
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 10:09 QQQ2417E422 QQQ May17'24 422 call LONG 1 7.51 5/15 15:49 30.90 0.2%
Trade id #147974619
Max drawdown($112)
Time4/22/24 11:16
Quant open1
Worst price6.39
Drawdown as % of equity-0.20%
$2,337
Includes Typical Broker Commissions trade costs of $2.00
5/13/24 10:14 TSLA2419G165 TSLA Jul19'24 165 call SHORT 1 19.20 5/13 10:18 19.05 n/a $13
Includes Typical Broker Commissions trade costs of $2.00
5/13/24 10:14 IWM ISHARES RUSSELL 2000 INDEX LONG 100 206.35 5/13 10:15 206.36 n/a ($1)
Includes Typical Broker Commissions trade costs of $2.00
5/11/24 9:35 SPY SPDR S&P 500 LONG 200 505.50 5/11 9:35 519.00 n/a $2,696
Includes Typical Broker Commissions trade costs of $4.00
5/10/24 15:45 SPY2410E519 SPY May10'24 519 call SHORT 2 1.89 5/11 9:35 0.00 0.14%
Trade id #148144501
Max drawdown($90)
Time5/10/24 15:58
Quant open2
Worst price2.34
Drawdown as % of equity-0.14%
$377
Includes Typical Broker Commissions trade costs of $1.40
5/2/24 10:28 SPY2410E504 SPY May10'24 504 call LONG 1 3.95 5/11 9:35 0.00 0.1%
Trade id #148073312
Max drawdown($56)
Time5/2/24 10:46
Quant open1
Worst price3.39
Drawdown as % of equity-0.10%
($396)
Includes Typical Broker Commissions trade costs of $1.00
4/18/24 9:37 SPY2410E507 SPY May10'24 507 call LONG 1 5.52 5/11 9:35 0.00 0.62%
Trade id #147944561
Max drawdown($344)
Time5/2/24 0:00
Quant open1
Worst price2.08
Drawdown as % of equity-0.62%
($553)
Includes Typical Broker Commissions trade costs of $1.00
4/19/24 9:33 QQQ2410E426 QQQ May10'24 426 call LONG 1 7.08 5/10 15:46 15.89 0.7%
Trade id #147955910
Max drawdown($385)
Time5/2/24 0:00
Quant open1
Worst price3.23
Drawdown as % of equity-0.70%
$879
Includes Typical Broker Commissions trade costs of $2.00
4/30/24 9:30 IWM2403E200 IWM May3'24 200 call LONG 4 1.36 5/3 9:30 3.39 0.68%
Trade id #148049155
Max drawdown($384)
Time5/1/24 0:00
Quant open4
Worst price0.40
Drawdown as % of equity-0.68%
$806
Includes Typical Broker Commissions trade costs of $5.60
4/30/24 12:34 IWM2401E200 IWM May1'24 200 call LONG 3 0.36 5/2 8:05 0.00 0.19%
Trade id #148053413
Max drawdown($106)
Time5/1/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.19%
($111)
Includes Typical Broker Commissions trade costs of $2.40
4/22/24 15:50 SPY2426D499 SPY Apr26'24 499 call LONG 1 4.16 4/26 9:36 7.70 0.36%
Trade id #147979662
Max drawdown($212)
Time4/25/24 0:00
Quant open1
Worst price2.04
Drawdown as % of equity-0.36%
$352
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 9:41 QQQ2426P409 QQQ Apr26'24 409 put LONG 2 1.54 4/26 9:35 0.01 0.54%
Trade id #147973935
Max drawdown($305)
Time4/26/24 9:30
Quant open2
Worst price0.01
Drawdown as % of equity-0.54%
($308)
Includes Typical Broker Commissions trade costs of $3.40
4/22/24 15:51 QQQ2426D419 QQQ Apr26'24 419 call LONG 2 4.33 4/26 9:35 9.50 0.6%
Trade id #147979783
Max drawdown($352)
Time4/25/24 0:00
Quant open2
Worst price2.57
Drawdown as % of equity-0.60%
$1,031
Includes Typical Broker Commissions trade costs of $2.80
4/22/24 15:49 IWM2426D195 IWM Apr26'24 195 call LONG 4 2.23 4/26 9:35 2.06 0.92%
Trade id #147979644
Max drawdown($540)
Time4/25/24 0:00
Quant open4
Worst price0.88
Drawdown as % of equity-0.92%
($74)
Includes Typical Broker Commissions trade costs of $5.60

Statistics

  • Strategy began
    3/1/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    865.17
  • Age
    29 months ago
  • What it trades
    Options
  • # Trades
    292
  • # Profitable
    158
  • % Profitable
    54.10%
  • Avg trade duration
    14.9 days
  • Max peak-to-valley drawdown
    18.68%
  • drawdown period
    July 11, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    18.7%
  • Avg win
    $580.91
  • Avg loss
    $479.94
  • Model Account Values (Raw)
  • Cash
    $48,786
  • Margin Used
    $0
  • Buying Power
    $63,833
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.89
  • Sortino Ratio
    1.68
  • Calmar Ratio
    1.618
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.84%
  • Correlation to SP500
    0.33020
  • Return Percent SP500 (cumu) during strategy life
    30.40%
  • Return Statistics
  • Ann Return (w trading costs)
    18.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    13.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.187%
  • Instruments
  • Percent Trades Options
    0.93%
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.50%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    3.00%
  • 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)
    910
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    954
  • Popularity (7 days, Percentile 1000 scale)
    799
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $480
  • Avg Win
    $581
  • Sum Trade PL (losers)
    $64,312.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $91,783.000
  • # Winners
    158
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    134
  • % Winners
    54.1%
  • Frequency
  • Avg Position Time (mins)
    21514.50
  • Avg Position Time (hrs)
    358.57
  • Avg Trade Length
    14.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.80
  • Daily leverage (max)
    5.79
  • Regression
  • Alpha
    0.04
  • Beta
    0.30
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.40
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.005
  • 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
    0.836
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.124
  • Hold-and-Hope Ratio
    0.135
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16854
  • SD
    0.21433
  • Sharpe ratio (Glass type estimate)
    0.78636
  • Sharpe ratio (Hedges UMVUE)
    0.76342
  • df
    26.00000
  • t
    1.17954
  • p
    0.12443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08643
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27367
  • Upside Potential Ratio
    4.18571
  • Upside part of mean
    0.31027
  • Downside part of mean
    -0.14173
  • Upside SD
    0.20275
  • Downside SD
    0.07413
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.10687
  • Mean of criterion
    0.16854
  • SD of predictor
    0.17569
  • SD of criterion
    0.21433
  • Covariance
    0.02254
  • r
    0.59857
  • b (slope, estimate of beta)
    0.73020
  • a (intercept, estimate of alpha)
    0.09050
  • Mean Square Error
    0.03066
  • DF error
    25.00000
  • t(b)
    3.73601
  • p(b)
    0.00049
  • t(a)
    0.76316
  • p(a)
    0.22625
  • Lowerbound of 95% confidence interval for beta
    0.32767
  • Upperbound of 95% confidence interval for beta
    1.13274
  • Lowerbound of 95% confidence interval for alpha
    -0.15373
  • Upperbound of 95% confidence interval for alpha
    0.33472
  • Treynor index (mean / b)
    0.23081
  • Jensen alpha (a)
    0.09050
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14690
  • SD
    0.20104
  • Sharpe ratio (Glass type estimate)
    0.73071
  • Sharpe ratio (Hedges UMVUE)
    0.70939
  • df
    26.00000
  • t
    1.09607
  • p
    0.14155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61140
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03018
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93883
  • Upside Potential Ratio
    3.84236
  • Upside part of mean
    0.29113
  • Downside part of mean
    -0.14423
  • Upside SD
    0.18702
  • Downside SD
    0.07577
  • N nonnegative terms
    13.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.09153
  • Mean of criterion
    0.14690
  • SD of predictor
    0.17458
  • SD of criterion
    0.20104
  • Covariance
    0.02139
  • r
    0.60949
  • b (slope, estimate of beta)
    0.70186
  • a (intercept, estimate of alpha)
    0.08266
  • Mean Square Error
    0.02642
  • DF error
    25.00000
  • t(b)
    3.84396
  • p(b)
    0.00037
  • t(a)
    0.75392
  • p(a)
    0.22897
  • Lowerbound of 95% confidence interval for beta
    0.32581
  • Upperbound of 95% confidence interval for beta
    1.07791
  • Lowerbound of 95% confidence interval for alpha
    -0.14315
  • Upperbound of 95% confidence interval for alpha
    0.30847
  • Treynor index (mean / b)
    0.20930
  • Jensen alpha (a)
    0.08266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07985
  • Expected Shortfall on VaR
    0.10169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02809
  • Expected Shortfall on VaR
    0.05088
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.93759
  • Quartile 1
    0.98561
  • Median
    1.00114
  • Quartile 3
    1.02313
  • Maximum
    1.22464
  • Mean of quarter 1
    0.96401
  • Mean of quarter 2
    0.99509
  • Mean of quarter 3
    1.00824
  • Mean of quarter 4
    1.09699
  • Inter Quartile Range
    0.03752
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.16186
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.32239
  • VaR(95%) (moments method)
    0.03422
  • Expected Shortfall (moments method)
    0.03464
  • Extreme Value Index (regression method)
    -0.50442
  • VaR(95%) (regression method)
    0.05063
  • Expected Shortfall (regression method)
    0.06010
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00187
  • Quartile 1
    0.00337
  • Median
    0.00486
  • Quartile 3
    0.06417
  • Maximum
    0.12348
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00486
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12348
  • Inter Quartile Range
    0.06080
  • 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)
    0.21417
  • Compounded annual return (geometric extrapolation)
    0.19102
  • Calmar ratio (compounded annual return / max draw down)
    1.54699
  • Compounded annual return / average of 25% largest draw downs
    1.54699
  • Compounded annual return / Expected Shortfall lognormal
    1.87847
  • 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
    0.18154
  • SD
    0.15515
  • Sharpe ratio (Glass type estimate)
    1.17004
  • Sharpe ratio (Hedges UMVUE)
    1.16855
  • df
    591.00000
  • t
    1.75877
  • p
    0.03957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47413
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21739
  • Upside Potential Ratio
    8.10723
  • Upside part of mean
    0.66373
  • Downside part of mean
    -0.48219
  • Upside SD
    0.13212
  • Downside SD
    0.08187
  • N nonnegative terms
    318.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    592.00000
  • Mean of predictor
    0.10604
  • Mean of criterion
    0.18154
  • SD of predictor
    0.18147
  • SD of criterion
    0.15515
  • Covariance
    0.00974
  • r
    0.34582
  • b (slope, estimate of beta)
    0.29566
  • a (intercept, estimate of alpha)
    0.15000
  • Mean Square Error
    0.02123
  • DF error
    590.00000
  • t(b)
    8.95217
  • p(b)
    0.00000
  • t(a)
    1.54837
  • p(a)
    0.06103
  • Lowerbound of 95% confidence interval for beta
    0.23079
  • Upperbound of 95% confidence interval for beta
    0.36052
  • Lowerbound of 95% confidence interval for alpha
    -0.04031
  • Upperbound of 95% confidence interval for alpha
    0.34068
  • Treynor index (mean / b)
    0.61400
  • Jensen alpha (a)
    0.15018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16967
  • SD
    0.15299
  • Sharpe ratio (Glass type estimate)
    1.10904
  • Sharpe ratio (Hedges UMVUE)
    1.10763
  • df
    591.00000
  • t
    1.66708
  • p
    0.04801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19778
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41304
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04832
  • Upside Potential Ratio
    7.91008
  • Upside part of mean
    0.65521
  • Downside part of mean
    -0.48555
  • Upside SD
    0.12890
  • Downside SD
    0.08283
  • N nonnegative terms
    318.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    592.00000
  • Mean of predictor
    0.08957
  • Mean of criterion
    0.16967
  • SD of predictor
    0.18157
  • SD of criterion
    0.15299
  • Covariance
    0.00969
  • r
    0.34883
  • b (slope, estimate of beta)
    0.29392
  • a (intercept, estimate of alpha)
    0.14334
  • Mean Square Error
    0.02059
  • DF error
    590.00000
  • t(b)
    9.04092
  • p(b)
    0.00000
  • t(a)
    1.50085
  • p(a)
    0.06696
  • Lowerbound of 95% confidence interval for beta
    0.23007
  • Upperbound of 95% confidence interval for beta
    0.35776
  • Lowerbound of 95% confidence interval for alpha
    -0.04423
  • Upperbound of 95% confidence interval for alpha
    0.33092
  • Treynor index (mean / b)
    0.57727
  • Jensen alpha (a)
    0.14334
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01479
  • Expected Shortfall on VaR
    0.01867
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00865
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    592.00000
  • Minimum
    0.95289
  • Quartile 1
    0.99892
  • Median
    1.00021
  • Quartile 3
    1.00188
  • Maximum
    1.07942
  • Mean of quarter 1
    0.99308
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.00952
  • Inter Quartile Range
    0.00295
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.09966
  • Mean of outliers low
    0.98690
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.09966
  • Mean of outliers high
    1.01855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56076
  • VaR(95%) (moments method)
    0.00521
  • Expected Shortfall (moments method)
    0.01407
  • Extreme Value Index (regression method)
    0.27298
  • VaR(95%) (regression method)
    0.00555
  • Expected Shortfall (regression method)
    0.01026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00030
  • Median
    0.00152
  • Quartile 3
    0.01802
  • Maximum
    0.13500
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00087
  • Mean of quarter 3
    0.01026
  • Mean of quarter 4
    0.05584
  • Inter Quartile Range
    0.01772
  • 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
    0.11111
  • Mean of outliers high
    0.09676
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08310
  • VaR(95%) (moments method)
    0.05035
  • Expected Shortfall (moments method)
    0.07471
  • Extreme Value Index (regression method)
    0.65099
  • VaR(95%) (regression method)
    0.09375
  • Expected Shortfall (regression method)
    0.30469
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24904
  • Compounded annual return (geometric extrapolation)
    0.21844
  • Calmar ratio (compounded annual return / max draw down)
    1.61815
  • Compounded annual return / average of 25% largest draw downs
    3.91185
  • Compounded annual return / Expected Shortfall lognormal
    11.70300
  • 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
    0.59512
  • SD
    0.23378
  • Sharpe ratio (Glass type estimate)
    2.54569
  • Sharpe ratio (Hedges UMVUE)
    2.53097
  • df
    130.00000
  • t
    1.80007
  • p
    0.42203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32985
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25786
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.31980
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.81210
  • Upside Potential Ratio
    10.45930
  • Upside part of mean
    1.07096
  • Downside part of mean
    -0.47584
  • Upside SD
    0.21237
  • Downside SD
    0.10239
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33193
  • Mean of criterion
    0.59512
  • SD of predictor
    0.10779
  • SD of criterion
    0.23378
  • Covariance
    0.00816
  • r
    0.32381
  • b (slope, estimate of beta)
    0.70227
  • a (intercept, estimate of alpha)
    0.36201
  • Mean Square Error
    0.04930
  • DF error
    129.00000
  • t(b)
    3.88725
  • p(b)
    0.29752
  • t(a)
    1.13243
  • p(a)
    0.43694
  • Lowerbound of 95% confidence interval for beta
    0.34483
  • Upperbound of 95% confidence interval for beta
    1.05971
  • Lowerbound of 95% confidence interval for alpha
    -0.27048
  • Upperbound of 95% confidence interval for alpha
    0.99451
  • Treynor index (mean / b)
    0.84742
  • Jensen alpha (a)
    0.36201
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56797
  • SD
    0.22948
  • Sharpe ratio (Glass type estimate)
    2.47503
  • Sharpe ratio (Hedges UMVUE)
    2.46072
  • df
    130.00000
  • t
    1.75011
  • p
    0.42414
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25838
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.24862
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45579
  • Upside Potential Ratio
    10.07760
  • Upside part of mean
    1.04912
  • Downside part of mean
    -0.48115
  • Upside SD
    0.20653
  • Downside SD
    0.10410
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32593
  • Mean of criterion
    0.56797
  • SD of predictor
    0.10770
  • SD of criterion
    0.22948
  • Covariance
    0.00802
  • r
    0.32433
  • b (slope, estimate of beta)
    0.69109
  • a (intercept, estimate of alpha)
    0.34272
  • Mean Square Error
    0.04749
  • DF error
    129.00000
  • t(b)
    3.89425
  • p(b)
    0.29720
  • t(a)
    1.09301
  • p(a)
    0.43911
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.33997
  • Upperbound of 95% confidence interval for beta
    1.04221
  • Lowerbound of 95% confidence interval for alpha
    -0.27766
  • Upperbound of 95% confidence interval for alpha
    0.96311
  • Treynor index (mean / b)
    0.82185
  • Jensen alpha (a)
    0.34272
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02093
  • Expected Shortfall on VaR
    0.02670
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00365
  • Expected Shortfall on VaR
    0.00851
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95289
  • Quartile 1
    0.99971
  • Median
    1.00020
  • Quartile 3
    1.00094
  • Maximum
    1.07942
  • Mean of quarter 1
    0.99303
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00048
  • Mean of quarter 4
    1.01596
  • Inter Quartile Range
    0.00123
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.98577
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.02409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.14576
  • VaR(95%) (moments method)
    0.00526
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.65637
  • VaR(95%) (regression method)
    0.00569
  • Expected Shortfall (regression method)
    0.02188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00064
  • Median
    0.01216
  • Quartile 3
    0.01802
  • Maximum
    0.05852
  • Mean of quarter 1
    0.00026
  • Mean of quarter 2
    0.00593
  • Mean of quarter 3
    0.01459
  • Mean of quarter 4
    0.03436
  • Inter Quartile Range
    0.01737
  • 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
    0.10000
  • Mean of outliers high
    0.05852
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.25578
  • VaR(95%) (moments method)
    0.03880
  • Expected Shortfall (moments method)
    0.04826
  • Extreme Value Index (regression method)
    1.33687
  • VaR(95%) (regression method)
    0.06819
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -342907000
  • Max Equity Drawdown (num days)
    107
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.69416
  • Compounded annual return (geometric extrapolation)
    0.81462
  • Calmar ratio (compounded annual return / max draw down)
    13.92010
  • Compounded annual return / average of 25% largest draw downs
    23.70760
  • Compounded annual return / Expected Shortfall lognormal
    30.51110

Strategy Description

Strategy is fully algorithmic (trading SPY,QQQ and IWM options) out of this i pace discrectional arbitrage trades with collateral (margin not used) money left. Usually those abitrage trades are "conversions" (100 shares +1put -1call) in very liquid underlyings.
Most trades are opened in the first or last 30 minutes of the NYSE session. Furthermore, I usually put the trades in the social tab in advance, with enough time to be able to execute the strategy in manual mode.
I always try to take the trades until expiration, but I have stop loos and take profit levels.

I am looking in to creating a fund, but no enougth money or partners

Chreck my webs for more info.
https://estotrader.wordpress.com/
https://estotrader.github.io/

Summary Statistics

Strategy began
2022-03-01
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.6%
Rank # 
#35
# Trades
292
# Profitable
158
% Profitable
54.1%
Correlation S&P500
0.330
Sharpe Ratio
0.89
Sortino Ratio
1.68
Beta
0.30
Alpha
0.04
Leverage
1.80 Average
5.79 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.

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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.