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These are hypothetical performance results that have certain inherent limitations. Learn more
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SPX SmartQuant
(141922133)

Created by: SmartQuant SmartQuant
Started: 09/2022
Options
Last trade: 353 days ago
Trading style: Options Directional Bets

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $250.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
-15.7%
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.

(100.0%)
Max Drawdown
118
Num Trades
51.7%
Win Trades
1.0 : 1
Profit Factor
15.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (5.7%)+51.9%+32.8%(45.1%)+4.4%
2023(20.3%)+1.0%(1.3%)(1.4%)(6.3%)  -    -    -    -    -    -    -  (26.6%)
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 123 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/3/23 13:39 SPXW2308E4130 SPX May8'23 4130 call LONG 4 36.02 5/3 15:12 22.76 27.35%
Trade id #144515402
Max drawdown($5,608)
Time5/3/23 15:11
Quant open4
Worst price22.00
Drawdown as % of equity-27.35%
 ($5,310)
Includes Typical Broker Commissions trade costs of $5.60
5/3/23 13:39 SPXW2308Q4130 SPX May8'23 4130 put LONG 4 31.00 5/3 15:12 40.19 13.26%
Trade id #144515400
Max drawdown($2,720)
Time5/3/23 14:41
Quant open4
Worst price24.20
Drawdown as % of equity-13.26%
 $3,670
Includes Typical Broker Commissions trade costs of $5.60
5/3/23 13:39 SPXW2303Q4045 SPX May3'23 4045 put SHORT 4 0.62 5/3 15:12 0.15 0.74%
Trade id #144515398
Max drawdown($152)
Time5/3/23 14:37
Quant open4
Worst price1.00
Drawdown as % of equity-0.74%
 $182
Includes Typical Broker Commissions trade costs of $5.60
5/3/23 13:39 SPXW2303E4215 SPX May3'23 4215 call SHORT 4 0.50 5/3 15:12 0.05 0.68%
Trade id #144515396
Max drawdown($140)
Time5/3/23 14:00
Quant open4
Worst price0.85
Drawdown as % of equity-0.68%
 $174
Includes Typical Broker Commissions trade costs of $5.60
2/13/23 10:01 SPXW2313B4120 SPX Feb13'23 4120 call SHORT 3 8.98 2/14 8:05 17.29 15.22%
Trade id #143560219
Max drawdown($3,336)
Time2/13/23 14:01
Quant open3
Worst price20.10
Drawdown as % of equity-15.22%
 ($2,497)
Includes Typical Broker Commissions trade costs of $4.20
2/13/23 10:01 SPXW2313B4115 SPX Feb13'23 4115 call LONG 3 11.53 2/14 8:05 22.29 3.77%
Trade id #143560217
Max drawdown($819)
Time2/13/23 10:13
Quant open3
Worst price8.80
Drawdown as % of equity-3.77%
 $3,224
Includes Typical Broker Commissions trade costs of $4.20
1/30/23 16:00 SPXW2302N4020 SPX Feb2'23 4020 put LONG 6 37.73 2/3 8:05 0.00 103.86%
Trade id #143390970
Max drawdown($22,608)
Time2/2/23 0:00
Quant open6
Worst price0.05
Drawdown as % of equity-103.86%
 ($22,642)
Includes Typical Broker Commissions trade costs of $4.20
1/30/23 16:00 SPXW2302N4015 SPX Feb2'23 4015 put SHORT 6 35.33 2/3 8:05 0.00 0.65%
Trade id #143390968
Max drawdown($162)
Time1/31/23 0:00
Quant open6
Worst price35.60
Drawdown as % of equity-0.65%
 $21,194
Includes Typical Broker Commissions trade costs of $4.20
1/27/23 16:01 SPXW2301N4075 SPX Feb1'23 4075 put SHORT 3 37.75 2/2 8:05 0.00 36.09%
Trade id #143370797
Max drawdown($9,285)
Time1/30/23 0:00
Quant open3
Worst price68.70
Drawdown as % of equity-36.09%
 $11,323
Includes Typical Broker Commissions trade costs of $2.10
1/27/23 16:01 SPXW2301N4080 SPX Feb1'23 4080 put LONG 3 40.35 2/2 8:05 0.00 55.11%
Trade id #143370794
Max drawdown($12,090)
Time2/1/23 0:00
Quant open3
Worst price0.05
Drawdown as % of equity-55.11%
 ($12,107)
Includes Typical Broker Commissions trade costs of $2.10
1/26/23 16:06 SPXW2331M4065 SPX Jan31'23 4065 put LONG 3 30.61 2/1 8:05 0.00 37.02%
Trade id #143356582
Max drawdown($9,168)
Time1/31/23 0:00
Quant open3
Worst price0.05
Drawdown as % of equity-37.02%
 ($9,185)
Includes Typical Broker Commissions trade costs of $2.10
1/26/23 16:06 SPXW2331M4060 SPX Jan31'23 4060 put SHORT 3 28.11 2/1 8:05 0.00 44.81%
Trade id #143356583
Max drawdown($11,097)
Time1/31/23 0:00
Quant open3
Worst price65.10
Drawdown as % of equity-44.81%
 $8,431
Includes Typical Broker Commissions trade costs of $2.10
1/24/23 16:06 SPXW2327M4035 SPX Jan27'23 4035 put LONG 3 29.51 1/28 9:35 0.00 34.35%
Trade id #143325389
Max drawdown($8,838)
Time1/27/23 0:00
Quant open3
Worst price0.05
Drawdown as % of equity-34.35%
 ($8,855)
Includes Typical Broker Commissions trade costs of $2.10
1/24/23 16:06 SPXW2327M4030 SPX Jan27'23 4030 put SHORT 3 27.01 1/28 9:35 0.00 61.92%
Trade id #143325394
Max drawdown($15,930)
Time1/25/23 0:00
Quant open3
Worst price80.11
Drawdown as % of equity-61.92%
 $8,101
Includes Typical Broker Commissions trade costs of $2.10
1/9/23 16:05 SPXW2312M3900 SPX Jan12'23 3900 put LONG 3 48.53 1/13 8:06 0.00 56.01%
Trade id #143152839
Max drawdown($14,544)
Time1/12/23 0:00
Quant open3
Worst price0.05
Drawdown as % of equity-56.01%
 ($14,561)
Includes Typical Broker Commissions trade costs of $2.10
1/9/23 16:05 SPXW2312M3895 SPX Jan12'23 3895 put SHORT 3 45.98 1/13 8:05 0.00 3.66%
Trade id #143152844
Max drawdown($993)
Time1/10/23 0:00
Quant open3
Worst price49.29
Drawdown as % of equity-3.66%
 $13,792
Includes Typical Broker Commissions trade costs of $2.10
1/6/23 16:06 SPXW2311M3895 SPX Jan11'23 3895 put LONG 3 29.58 1/12 8:05 0.00 28.28%
Trade id #143130261
Max drawdown($7,554)
Time1/11/23 0:00
Quant open3
Worst price4.40
Drawdown as % of equity-28.28%
 ($8,876)
Includes Typical Broker Commissions trade costs of $2.10
1/6/23 16:06 SPXW2311M3890 SPX Jan11'23 3890 put SHORT 3 27.18 1/12 8:05 0.00 7.54%
Trade id #143130262
Max drawdown($2,046)
Time1/10/23 0:00
Quant open3
Worst price34.00
Drawdown as % of equity-7.54%
 $8,152
Includes Typical Broker Commissions trade costs of $2.10
12/23/22 16:05 SPXW2229L3855 SPX Dec29'22 3855 call SHORT 3 23.91 12/30 8:05 0.00 1.1%
Trade id #142987896
Max drawdown($297)
Time12/27/22 0:00
Quant open3
Worst price24.90
Drawdown as % of equity-1.10%
 $7,171
Includes Typical Broker Commissions trade costs of $2.10
12/23/22 16:05 SPXW2229L3850 SPX Dec29'22 3850 call LONG 3 26.46 12/30 8:05 0.00 28.26%
Trade id #142987895
Max drawdown($7,578)
Time12/28/22 0:00
Quant open3
Worst price1.20
Drawdown as % of equity-28.26%
 ($7,940)
Includes Typical Broker Commissions trade costs of $2.10
12/22/22 16:05 SPXW2228X3830 SPX Dec28'22 3830 put SHORT 3 32.96 12/29 8:05 46.78 15.19%
Trade id #142976300
Max drawdown($4,074)
Time12/28/22 0:00
Quant open3
Worst price46.54
Drawdown as % of equity-15.19%
 ($4,150)
Includes Typical Broker Commissions trade costs of $4.20
12/22/22 16:05 SPXW2228X3835 SPX Dec28'22 3835 put LONG 3 35.56 12/29 8:05 51.78 33.11%
Trade id #142976297
Max drawdown($8,877)
Time12/28/22 0:00
Quant open3
Worst price5.97
Drawdown as % of equity-33.11%
 $4,862
Includes Typical Broker Commissions trade costs of $4.20
12/14/22 16:05 SPXW2219L4000 SPX Dec19'22 4000 call LONG 1 36.61 12/20 8:05 0.00 12.87%
Trade id #142881969
Max drawdown($3,656)
Time12/16/22 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-12.87%
 ($3,662)
Includes Typical Broker Commissions trade costs of $1.00
12/14/22 16:05 SPXW2219L4005 SPX Dec19'22 4005 call SHORT 1 34.01 12/20 8:05 0.00 n/a $3,400
Includes Typical Broker Commissions trade costs of $1.00
12/13/22 16:05 SPXW2216X4020 SPX Dec16'22 4020 put LONG 1 48.33 12/17 9:35 167.64 6%
Trade id #142866783
Max drawdown($1,750)
Time12/14/22 0:00
Quant open1
Worst price30.83
Drawdown as % of equity-6.00%
 $11,929
Includes Typical Broker Commissions trade costs of $2.00
12/13/22 16:05 SPXW2216X4015 SPX Dec16'22 4015 put SHORT 1 45.88 12/17 9:35 162.64 48.57%
Trade id #142866784
Max drawdown($13,799)
Time12/16/22 0:00
Quant open1
Worst price183.87
Drawdown as % of equity-48.57%
 ($11,678)
Includes Typical Broker Commissions trade costs of $2.00
12/9/22 16:05 SPXW2214X3940 SPX Dec14'22 3940 put LONG 12 59.52 12/15 8:05 0.00 244.57%
Trade id #142834346
Max drawdown($71,364)
Time12/14/22 0:00
Quant open12
Worst price0.05
Drawdown as % of equity-244.57%
 ($71,432)
Includes Typical Broker Commissions trade costs of $8.40
12/9/22 16:05 SPXW2214X3935 SPX Dec14'22 3935 put SHORT 12 57.07 12/15 8:05 0.00 n/a $68,476
Includes Typical Broker Commissions trade costs of $8.40
12/8/22 16:05 SPXW2213X3970 SPX Dec13'22 3970 put SHORT 12 52.03 12/14 8:05 0.00 38.58%
Trade id #142821668
Max drawdown($15,732)
Time12/9/22 0:00
Quant open12
Worst price65.14
Drawdown as % of equity-38.58%
 $62,428
Includes Typical Broker Commissions trade costs of $8.40
12/8/22 16:05 SPXW2213X3975 SPX Dec13'22 3975 put LONG 12 54.53 12/14 8:05 0.00 198.93%
Trade id #142821667
Max drawdown($65,376)
Time12/13/22 0:00
Quant open12
Worst price0.05
Drawdown as % of equity-198.93%
 ($65,444)
Includes Typical Broker Commissions trade costs of $8.40
Next

Statistics

  • Strategy began
    9/25/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    566.11
  • Age
    19 months ago
  • What it trades
    Options
  • # Trades
    118
  • # Profitable
    61
  • % Profitable
    51.70%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 25, 2022 - Dec 13, 2022
  • Annual Return (Compounded)
    -15.7%
  • Avg win
    $29,824
  • Avg loss
    $31,944
  • Model Account Values (Raw)
  • Cash
    $23,460
  • Margin Used
    $0
  • Buying Power
    $23,460
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    0.06
  • Sortino Ratio
    0.1
  • Calmar Ratio
    -0.168
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -62.06%
  • Correlation to SP500
    -0.03810
  • Return Percent SP500 (cumu) during strategy life
    34.50%
  • Return Statistics
  • Ann Return (w trading costs)
    -15.7%
  • Slump
  • Current Slump as Pcnt Equity
    281.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • 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)
    -0.157%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $31,944
  • Avg Win
    $29,824
  • Sum Trade PL (losers)
    $1,820,830.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $1,819,290.000
  • # Winners
    61
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    57
  • % Winners
    51.7%
  • Frequency
  • Avg Position Time (mins)
    6620.00
  • Avg Position Time (hrs)
    110.33
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    346
  • Leverage
  • Daily leverage (average)
    214.77
  • Daily leverage (max)
    658.02
  • Regression
  • Alpha
    0.02
  • Beta
    -0.15
  • Treynor Index
    -0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.15
  • MAE:Equity, average, winning trades
    0.34
  • MAE:Equity, average, losing trades
    0.94
  • Avg(MAE) / Avg(PL) - All trades
    -13.987
  • 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
    0.58
  • Avg(MAE) / Avg(PL) - Winning trades
    0.413
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.141
  • Hold-and-Hope Ratio
    -0.071
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43112
  • SD
    1.34657
  • Sharpe ratio (Glass type estimate)
    0.32016
  • Sharpe ratio (Hedges UMVUE)
    0.28437
  • df
    7.00000
  • t
    0.26141
  • p
    0.40065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68944
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95119
  • Upside Potential Ratio
    3.19341
  • Upside part of mean
    1.44740
  • Downside part of mean
    -1.01628
  • Upside SD
    1.18180
  • Downside SD
    0.45325
  • N nonnegative terms
    1.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.52721
  • Mean of criterion
    0.43112
  • SD of predictor
    0.14430
  • SD of criterion
    1.34657
  • Covariance
    0.04345
  • r
    0.22362
  • b (slope, estimate of beta)
    2.08681
  • a (intercept, estimate of alpha)
    -0.66906
  • Mean Square Error
    2.00967
  • DF error
    6.00000
  • t(b)
    0.56200
  • p(b)
    0.29724
  • t(a)
    -0.25570
  • p(a)
    0.59664
  • Lowerbound of 95% confidence interval for beta
    -6.99920
  • Upperbound of 95% confidence interval for beta
    11.17280
  • Lowerbound of 95% confidence interval for alpha
    -7.07185
  • Upperbound of 95% confidence interval for alpha
    5.73372
  • Treynor index (mean / b)
    0.20659
  • Jensen alpha (a)
    -0.66906
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12327
  • SD
    1.03850
  • Sharpe ratio (Glass type estimate)
    -0.11871
  • Sharpe ratio (Hedges UMVUE)
    -0.10543
  • df
    7.00000
  • t
    -0.09692
  • p
    0.53725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29566
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24043
  • Upside Potential Ratio
    1.97274
  • Upside part of mean
    1.01148
  • Downside part of mean
    -1.13475
  • Upside SD
    0.82587
  • Downside SD
    0.51273
  • N nonnegative terms
    1.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.50616
  • Mean of criterion
    -0.12327
  • SD of predictor
    0.14168
  • SD of criterion
    1.03850
  • Covariance
    0.04948
  • r
    0.33630
  • b (slope, estimate of beta)
    2.46496
  • a (intercept, estimate of alpha)
    -1.37094
  • Mean Square Error
    1.11594
  • DF error
    6.00000
  • t(b)
    0.87470
  • p(b)
    0.20769
  • t(a)
    -0.71190
  • p(a)
    0.74837
  • Lowerbound of 95% confidence interval for beta
    -4.43066
  • Upperbound of 95% confidence interval for beta
    9.36059
  • Lowerbound of 95% confidence interval for alpha
    -6.08311
  • Upperbound of 95% confidence interval for alpha
    3.34124
  • Treynor index (mean / b)
    -0.05001
  • Jensen alpha (a)
    -1.37094
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.39552
  • Expected Shortfall on VaR
    0.46354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.25637
  • Expected Shortfall on VaR
    0.38261
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.73560
  • Quartile 1
    0.84088
  • Median
    0.97452
  • Quartile 3
    1.00000
  • Maximum
    1.96726
  • Mean of quarter 1
    0.76753
  • Mean of quarter 2
    0.90186
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.48363
  • Inter Quartile Range
    0.15912
  • 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
    1.96726
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.52299
  • Quartile 1
    0.52299
  • Median
    0.52299
  • Quartile 3
    0.52299
  • Maximum
    0.52299
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09240
  • Compounded annual return (geometric extrapolation)
    -0.09096
  • Calmar ratio (compounded annual return / max draw down)
    -0.17393
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.19623
  • 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
    0.21362
  • SD
    0.84359
  • Sharpe ratio (Glass type estimate)
    0.25323
  • Sharpe ratio (Hedges UMVUE)
    0.25217
  • df
    180.00000
  • t
    0.21047
  • p
    0.49216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.10606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61040
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42869
  • Upside Potential Ratio
    6.02550
  • Upside part of mean
    3.00254
  • Downside part of mean
    -2.78892
  • Upside SD
    0.67792
  • Downside SD
    0.49831
  • N nonnegative terms
    33.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    181.00000
  • Mean of predictor
    0.48838
  • Mean of criterion
    0.21362
  • SD of predictor
    0.23376
  • SD of criterion
    0.84359
  • Covariance
    -0.00794
  • r
    -0.04026
  • b (slope, estimate of beta)
    -0.14531
  • a (intercept, estimate of alpha)
    0.28500
  • Mean Square Error
    0.71445
  • DF error
    179.00000
  • t(b)
    -0.53914
  • p(b)
    0.52563
  • t(a)
    0.27753
  • p(a)
    0.48680
  • Lowerbound of 95% confidence interval for beta
    -0.67714
  • Upperbound of 95% confidence interval for beta
    0.38653
  • Lowerbound of 95% confidence interval for alpha
    -1.73891
  • Upperbound of 95% confidence interval for alpha
    2.30807
  • Treynor index (mean / b)
    -1.47012
  • Jensen alpha (a)
    0.28458
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11994
  • SD
    0.80924
  • Sharpe ratio (Glass type estimate)
    -0.14821
  • Sharpe ratio (Hedges UMVUE)
    -0.14759
  • df
    180.00000
  • t
    -0.12319
  • p
    0.50459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50617
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21054
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22628
  • Upside Potential Ratio
    5.28905
  • Upside part of mean
    2.80346
  • Downside part of mean
    -2.92339
  • Upside SD
    0.60857
  • Downside SD
    0.53005
  • N nonnegative terms
    33.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    181.00000
  • Mean of predictor
    0.46094
  • Mean of criterion
    -0.11994
  • SD of predictor
    0.23247
  • SD of criterion
    0.80924
  • Covariance
    -0.00895
  • r
    -0.04757
  • b (slope, estimate of beta)
    -0.16559
  • a (intercept, estimate of alpha)
    -0.04361
  • Mean Square Error
    0.65705
  • DF error
    179.00000
  • t(b)
    -0.63716
  • p(b)
    0.53027
  • t(a)
    -0.04438
  • p(a)
    0.50211
  • Lowerbound of 95% confidence interval for beta
    -0.67844
  • Upperbound of 95% confidence interval for beta
    0.34726
  • Lowerbound of 95% confidence interval for alpha
    -1.98251
  • Upperbound of 95% confidence interval for alpha
    1.89529
  • Treynor index (mean / b)
    0.72430
  • Jensen alpha (a)
    -0.04361
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07937
  • Expected Shortfall on VaR
    0.09825
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03281
  • Expected Shortfall on VaR
    0.06842
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    181.00000
  • Minimum
    0.83258
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.34757
  • Mean of quarter 1
    0.95846
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04617
  • Inter Quartile Range
    0.00000
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.23757
  • Mean of outliers low
    0.95556
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.18785
  • Mean of outliers high
    1.06111
  • 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)
    0.16367
  • VaR(95%) (regression method)
    0.04005
  • Expected Shortfall (regression method)
    0.07453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.15885
  • Quartile 1
    0.17512
  • Median
    0.19139
  • Quartile 3
    0.35781
  • Maximum
    0.52423
  • Mean of quarter 1
    0.15885
  • Mean of quarter 2
    0.19139
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.52423
  • Inter Quartile Range
    0.18269
  • 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)
    -0.08917
  • Compounded annual return (geometric extrapolation)
    -0.08792
  • Calmar ratio (compounded annual return / max draw down)
    -0.16772
  • Compounded annual return / average of 25% largest draw downs
    -0.16772
  • Compounded annual return / Expected Shortfall lognormal
    -0.89494
  • 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
    -1.15446
  • SD
    0.36721
  • Sharpe ratio (Glass type estimate)
    -3.14388
  • Sharpe ratio (Hedges UMVUE)
    -3.12570
  • df
    130.00000
  • t
    -2.22306
  • p
    0.59569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.93593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.34000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.92343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32798
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.26323
  • Upside Potential Ratio
    1.09968
  • Upside part of mean
    0.38904
  • Downside part of mean
    -1.54351
  • Upside SD
    0.11722
  • Downside SD
    0.35378
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52036
  • Mean of criterion
    -1.15446
  • SD of predictor
    0.21637
  • SD of criterion
    0.36721
  • Covariance
    -0.00465
  • r
    -0.05856
  • b (slope, estimate of beta)
    -0.09939
  • a (intercept, estimate of alpha)
    -1.10274
  • Mean Square Error
    0.13542
  • DF error
    129.00000
  • t(b)
    -0.66629
  • p(b)
    0.53726
  • t(a)
    -2.09574
  • p(a)
    0.61488
  • Lowerbound of 95% confidence interval for beta
    -0.39453
  • Upperbound of 95% confidence interval for beta
    0.19575
  • Lowerbound of 95% confidence interval for alpha
    -2.14381
  • Upperbound of 95% confidence interval for alpha
    -0.06168
  • Treynor index (mean / b)
    11.61540
  • Jensen alpha (a)
    -1.10274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.22897
  • SD
    0.38761
  • Sharpe ratio (Glass type estimate)
    -3.17059
  • Sharpe ratio (Hedges UMVUE)
    -3.15226
  • df
    130.00000
  • t
    -2.24195
  • p
    0.59647
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.96309
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.36627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.95043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35410
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.26453
  • Upside Potential Ratio
    1.01560
  • Upside part of mean
    0.38233
  • Downside part of mean
    -1.61130
  • Upside SD
    0.11463
  • Downside SD
    0.37646
  • N nonnegative terms
    9.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49673
  • Mean of criterion
    -1.22897
  • SD of predictor
    0.21539
  • SD of criterion
    0.38761
  • Covariance
    -0.00489
  • r
    -0.05856
  • b (slope, estimate of beta)
    -0.10539
  • a (intercept, estimate of alpha)
    -1.17662
  • Mean Square Error
    0.15089
  • DF error
    129.00000
  • t(b)
    -0.66629
  • p(b)
    0.53726
  • t(a)
    -2.12027
  • p(a)
    0.61617
  • VAR (95 Confidence Intrvl)
    0.07900
  • Lowerbound of 95% confidence interval for beta
    -0.41834
  • Upperbound of 95% confidence interval for beta
    0.20756
  • Lowerbound of 95% confidence interval for alpha
    -2.27457
  • Upperbound of 95% confidence interval for alpha
    -0.07866
  • Treynor index (mean / b)
    11.66130
  • Jensen alpha (a)
    -1.17662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04312
  • Expected Shortfall on VaR
    0.05261
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01963
  • Expected Shortfall on VaR
    0.04231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83258
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06025
  • Mean of quarter 1
    0.97701
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00592
  • Inter Quartile Range
    0.00000
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.96551
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01955
  • 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)
    0.46086
  • VaR(95%) (regression method)
    0.02522
  • Expected Shortfall (regression method)
    0.07450
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.45148
  • Quartile 1
    0.45148
  • Median
    0.45148
  • Quartile 3
    0.45148
  • Maximum
    0.45148
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323578000
  • Max Equity Drawdown (num days)
    79
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.90296
  • Compounded annual return (geometric extrapolation)
    -0.69912
  • Calmar ratio (compounded annual return / max draw down)
    -1.54852
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -13.28820

Strategy Description

Limited risk using spreads: $4,000
Cost per contract: $250
Max drawdown: $2000

Option To Expire: SPX is a European Style Option vs SPY being an American Style Option. This means that SPX is cash-settled at the expiration date, so it cannot be exercised prior to expiration as SPY can. Trading on SPX options can save closing commission costs if we are able to hold to expiration and we don't need to close the position

Larger Contract Size: SPX contracts are 10x larger than SPY contracts which can lead to lower commission costs

Better Tax Benefits: There are major differences in tax treatment between the two option types. Investors are usually allowed 60% of the profits from trade when using SPX options- treated as long-term capital gains, no matter how long they are held them, even if it’s for 1 day. SPX options receive these advantages because the IRS gives SPX options special treatment (Section 1256).
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-09-25
Suggested Minimum Capital
$25,000
# Trades
118
# Profitable
61
% Profitable
51.7%
Correlation S&P500
-0.038
Sharpe Ratio
0.06
Sortino Ratio
0.10
Beta
-0.15
Alpha
0.02
Leverage
214.77 Average
658.02 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.