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These are hypothetical performance results that have certain inherent limitations. Learn more
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TradeWin Live 10k
(142498904)

Created by: ThomasZugarramurd ThomasZugarramurd
Started: 11/2022
Options
Last trade: 484 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 $400.00 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.
-16.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(31.3%)
Max Drawdown
30
Num Trades
46.7%
Win Trades
0.8 : 1
Profit Factor
5.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +4.4%(25.9%)(22.7%)
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.

Trading Record

This strategy has placed 42 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
12/9/22 9:39 GME GAMESTOP LONG 500 23.23 12/29 4:40 18.06 39.26%
Trade id #142827877
Max drawdown($3,126)
Time12/28/22 0:00
Quant open500
Worst price16.98
Drawdown as % of equity-39.26%
 ($2,596)
Includes Typical Broker Commissions trade costs of $10.00
12/9/22 9:40 GME2209L24 GME Dec9'22 24 call SHORT 4 0.46 12/10 9:35 0.00 0.34%
Trade id #142827896
Max drawdown($36)
Time12/9/22 9:45
Quant open4
Worst price0.55
Drawdown as % of equity-0.34%
 $181
Includes Typical Broker Commissions trade costs of $2.80
12/2/22 11:35 SPXW2209L4200 SPX Dec9'22 4200 call SHORT 1 1.12 12/9 9:30 0.05 0.83%
Trade id #142751773
Max drawdown($88)
Time12/2/22 15:09
Quant open1
Worst price2.00
Drawdown as % of equity-0.83%
 $105
Includes Typical Broker Commissions trade costs of $2.00
12/2/22 11:35 SPXW2209X3825 SPX Dec9'22 3825 put LONG 1 0.98 12/9 9:30 0.10 0.82%
Trade id #142751771
Max drawdown($88)
Time12/9/22 9:30
Quant open1
Worst price0.10
Drawdown as % of equity-0.82%
 ($91)
Includes Typical Broker Commissions trade costs of $2.00
12/2/22 11:35 SPXW2209X3875 SPX Dec9'22 3875 put SHORT 1 1.70 12/9 9:30 0.65 14.69%
Trade id #142751769
Max drawdown($1,500)
Time12/7/22 0:00
Quant open1
Worst price16.70
Drawdown as % of equity-14.69%
 $103
Includes Typical Broker Commissions trade costs of $2.00
12/2/22 11:35 SPXW2209L4250 SPX Dec9'22 4250 call LONG 1 0.34 12/9 9:30 0.05 0.27%
Trade id #142751767
Max drawdown($28)
Time12/5/22 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.27%
 ($31)
Includes Typical Broker Commissions trade costs of $2.00
11/22/22 9:36 NDXP2223W11100 NDXP Nov23'22 11100 put SHORT 1 2.08 11/24 8:05 0.00 n/a $207
Includes Typical Broker Commissions trade costs of $1.00
11/22/22 9:36 NDXP2223W11000 NDXP Nov23'22 11000 put LONG 1 1.54 11/24 8:05 0.00 1.45%
Trade id #142644428
Max drawdown($148)
Time11/23/22 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-1.45%
 ($155)
Includes Typical Broker Commissions trade costs of $1.00
11/22/22 9:36 NDXP2223K11950 NDXP Nov23'22 11950 call SHORT 1 2.30 11/24 8:05 0.00 9.11%
Trade id #142644423
Max drawdown($935)
Time11/23/22 0:00
Quant open1
Worst price11.65
Drawdown as % of equity-9.11%
 $229
Includes Typical Broker Commissions trade costs of $1.00
11/22/22 9:36 NDXP2223K12050 NDXP Nov23'22 12050 call LONG 1 1.17 11/24 8:05 0.00 1.09%
Trade id #142644421
Max drawdown($112)
Time11/23/22 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-1.09%
 ($118)
Includes Typical Broker Commissions trade costs of $1.00
11/21/22 10:42 NDXP2222W11100 NDXP Nov22'22 11100 put SHORT 1 1.25 11/21 14:41 1.09 0.78%
Trade id #142632512
Max drawdown($82)
Time11/21/22 10:47
Quant open1
Worst price2.07
Drawdown as % of equity-0.78%
 $14
Includes Typical Broker Commissions trade costs of $2.00
11/21/22 10:42 NDXP2222K12050 NDXP Nov22'22 12050 call SHORT 1 0.35 11/21 14:41 0.36 0.54%
Trade id #142632510
Max drawdown($57)
Time11/21/22 11:26
Quant open1
Worst price0.92
Drawdown as % of equity-0.54%
 ($3)
Includes Typical Broker Commissions trade costs of $2.00
11/21/22 9:44 NDXP2222W11000 NDXP Nov22'22 11000 put LONG 1 1.33 11/21 14:41 0.48 0.82%
Trade id #142631232
Max drawdown($85)
Time11/21/22 14:41
Quant open1
Worst price0.48
Drawdown as % of equity-0.82%
 ($87)
Includes Typical Broker Commissions trade costs of $2.00
11/21/22 9:44 NDXP2222K12150 NDXP Nov22'22 12150 call LONG 1 0.98 11/21 14:41 0.25 0.7%
Trade id #142631228
Max drawdown($73)
Time11/21/22 14:41
Quant open1
Worst price0.25
Drawdown as % of equity-0.70%
 ($75)
Includes Typical Broker Commissions trade costs of $2.00
11/16/22 9:38 NDX2218K12400 NDX.X Nov18'22 12400 call LONG 4 2.17 11/19 9:35 0.00 6.33%
Trade id #142583598
Max drawdown($636)
Time11/17/22 0:00
Quant open4
Worst price0.58
Drawdown as % of equity-6.33%
 ($871)
Includes Typical Broker Commissions trade costs of $2.80
11/16/22 9:38 NDX2218W11000 NDX.X Nov18'22 11000 put SHORT 4 2.65 11/19 9:35 0.00 n/a $1,054
Includes Typical Broker Commissions trade costs of $5.60
11/16/22 9:38 NDX2218K12375 NDX.X Nov18'22 12375 call SHORT 4 2.50 11/19 9:35 0.00 n/a $995
Includes Typical Broker Commissions trade costs of $2.80
11/16/22 9:38 NDX2218W10975 NDX.X Nov18'22 10975 put LONG 4 2.50 11/19 9:35 0.00 4.9%
Trade id #142583592
Max drawdown($510)
Time11/16/22 12:48
Quant open4
Worst price1.22
Drawdown as % of equity-4.90%
 ($1,001)
Includes Typical Broker Commissions trade costs of $2.80
11/14/22 15:18 NDXP2215K12125 NDXP Nov15'22 12125 call SHORT 1 2.35 11/16 8:05 0.00 21.59%
Trade id #142560526
Max drawdown($2,231)
Time11/15/22 0:00
Quant open1
Worst price24.66
Drawdown as % of equity-21.59%
 $234
Includes Typical Broker Commissions trade costs of $1.00
11/14/22 15:18 NDXP2215K12225 NDXP Nov15'22 12225 call LONG 1 0.93 11/16 8:05 0.00 0.85%
Trade id #142560524
Max drawdown($88)
Time11/15/22 0:00
Quant open1
Worst price0.05
Drawdown as % of equity-0.85%
 ($94)
Includes Typical Broker Commissions trade costs of $1.00
11/14/22 15:18 NDXP2215W11210 NDXP Nov15'22 11210 put LONG 1 0.97 11/16 8:05 0.00 n/a ($98)
Includes Typical Broker Commissions trade costs of $1.00
11/14/22 15:18 NDXP2215W11310 NDXP Nov15'22 11310 put SHORT 1 1.48 11/16 8:05 0.00 0.02%
Trade id #142560520
Max drawdown($2)
Time11/14/22 15:45
Quant open1
Worst price1.50
Drawdown as % of equity-0.02%
 $147
Includes Typical Broker Commissions trade costs of $1.00
11/14/22 9:33 NDXP2215K12200 NDXP Nov15'22 12200 call SHORT 1 2.94 11/14 12:21 1.54 n/a $138
Includes Typical Broker Commissions trade costs of $2.00
11/14/22 9:33 NDXP2215K12300 NDXP Nov15'22 12300 call LONG 1 1.66 11/14 12:21 0.81 1.15%
Trade id #142553812
Max drawdown($116)
Time11/14/22 11:30
Quant open1
Worst price0.50
Drawdown as % of equity-1.15%
 ($87)
Includes Typical Broker Commissions trade costs of $2.00
11/14/22 9:33 NDXP2215W11100 NDXP Nov15'22 11100 put LONG 1 2.71 11/14 12:21 0.72 1.96%
Trade id #142553810
Max drawdown($199)
Time11/14/22 12:21
Quant open1
Worst price0.72
Drawdown as % of equity-1.96%
 ($201)
Includes Typical Broker Commissions trade costs of $2.00
11/14/22 9:33 NDXP2215W11200 NDXP Nov15'22 11200 put SHORT 1 4.50 11/14 12:21 1.44 n/a $304
Includes Typical Broker Commissions trade costs of $2.00
11/9/22 9:32 NDXP2209K11300 NDXP Nov9'22 11300 call SHORT 4 1.91 11/10 8:05 0.00 13.39%
Trade id #142500501
Max drawdown($1,300)
Time11/9/22 10:05
Quant open4
Worst price5.16
Drawdown as % of equity-13.39%
 $761
Includes Typical Broker Commissions trade costs of $2.80
11/9/22 9:32 NDXP2209W10600 NDXP Nov9'22 10600 put SHORT 4 2.97 11/10 8:05 0.00 n/a $1,185
Includes Typical Broker Commissions trade costs of $2.80
11/9/22 9:32 NDXP2209W10575 NDXP Nov9'22 10575 put LONG 4 2.24 11/10 8:05 0.00 7.17%
Trade id #142500495
Max drawdown($696)
Time11/9/22 10:56
Quant open4
Worst price0.50
Drawdown as % of equity-7.17%
 ($899)
Includes Typical Broker Commissions trade costs of $2.80
11/9/22 9:32 NDXP2209K11325 NDXP Nov9'22 11325 call LONG 4 1.74 11/10 8:05 0.00 5.59%
Trade id #142500497
Max drawdown($560)
Time11/9/22 12:09
Quant open4
Worst price0.34
Drawdown as % of equity-5.59%
 ($699)
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    11/9/2022
  • Suggested Minimum Cap
    $10,200
  • Strategy Age (days)
    532.55
  • Age
    18 months ago
  • What it trades
    Options
  • # Trades
    30
  • # Profitable
    14
  • % Profitable
    46.70%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    31.3%
  • drawdown period
    Nov 17, 2022 - Dec 28, 2022
  • Annual Return (Compounded)
    -16.1%
  • Avg win
    $406.36
  • Avg loss
    $441.62
  • Model Account Values (Raw)
  • Cash
    $8,824
  • Margin Used
    $0
  • Buying Power
    $8,824
  • Ratios
  • W:L ratio
    0.81:1
  • Sharpe Ratio
    -1.25
  • Sortino Ratio
    -1.42
  • Calmar Ratio
    -1.677
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -57.96%
  • Correlation to SP500
    0.15870
  • Return Percent SP500 (cumu) during strategy life
    36.32%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.1%
  • Slump
  • Current Slump as Pcnt Equity
    39.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    6.67%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.161%
  • Instruments
  • Percent Trades Options
    0.95%
  • Percent Trades Stocks
    0.05%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -9.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    34.00%
  • Chance of 30% account loss
    1.50%
  • 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
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $442
  • Avg Win
    $406
  • Sum Trade PL (losers)
    $7,066.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $5,689.000
  • # Winners
    14
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    3837.18
  • Avg Position Time (hrs)
    63.95
  • Avg Trade Length
    2.7 days
  • Last Trade Ago
    483
  • Leverage
  • Daily leverage (average)
    167.13
  • Daily leverage (max)
    901.15
  • Regression
  • Alpha
    -0.06
  • Beta
    0.14
  • Treynor Index
    -0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.50
  • MAE:Equity, average, winning trades
    0.08
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    -2.451
  • 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
    3.451
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.936
  • Hold-and-Hope Ratio
    -0.408
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50559
  • SD
    0.38252
  • Sharpe ratio (Glass type estimate)
    -1.32172
  • Sharpe ratio (Hedges UMVUE)
    -0.95640
  • df
    3.00000
  • t
    -0.76310
  • p
    0.74954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.76845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.43634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52354
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.42437
  • Upside Potential Ratio
    0.34681
  • Upside part of mean
    0.12310
  • Downside part of mean
    -0.62869
  • Upside SD
    0.07107
  • Downside SD
    0.35496
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.87913
  • Mean of criterion
    -0.50559
  • SD of predictor
    0.18856
  • SD of criterion
    0.38252
  • Covariance
    0.04341
  • r
    0.60184
  • b (slope, estimate of beta)
    1.22093
  • a (intercept, estimate of alpha)
    -1.57895
  • Mean Square Error
    0.13998
  • DF error
    2.00000
  • t(b)
    1.06577
  • p(b)
    0.19908
  • t(a)
    -1.31843
  • p(a)
    0.84095
  • Lowerbound of 95% confidence interval for beta
    -3.70813
  • Upperbound of 95% confidence interval for beta
    6.14999
  • Lowerbound of 95% confidence interval for alpha
    -6.73180
  • Upperbound of 95% confidence interval for alpha
    3.57391
  • Treynor index (mean / b)
    -0.41410
  • Jensen alpha (a)
    -1.57895
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.57968
  • SD
    0.42232
  • Sharpe ratio (Glass type estimate)
    -1.37259
  • Sharpe ratio (Hedges UMVUE)
    -0.99321
  • df
    3.00000
  • t
    -0.79247
  • p
    0.75701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.82759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49333
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.46325
  • Upside Potential Ratio
    0.30384
  • Upside part of mean
    0.12037
  • Downside part of mean
    -0.70005
  • Upside SD
    0.06949
  • Downside SD
    0.39616
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.83503
  • Mean of criterion
    -0.57968
  • SD of predictor
    0.17488
  • SD of criterion
    0.42232
  • Covariance
    0.04635
  • r
    0.62754
  • b (slope, estimate of beta)
    1.51546
  • a (intercept, estimate of alpha)
    -1.84513
  • Mean Square Error
    0.16218
  • DF error
    2.00000
  • t(b)
    1.13986
  • p(b)
    0.18623
  • t(a)
    -1.40729
  • p(a)
    0.85268
  • Lowerbound of 95% confidence interval for beta
    -4.20500
  • Upperbound of 95% confidence interval for beta
    7.23592
  • Lowerbound of 95% confidence interval for alpha
    -7.48645
  • Upperbound of 95% confidence interval for alpha
    3.79619
  • Treynor index (mean / b)
    -0.38251
  • Jensen alpha (a)
    -1.84513
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22029
  • Expected Shortfall on VaR
    0.25827
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15353
  • Expected Shortfall on VaR
    0.27918
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.79742
  • Quartile 1
    0.94935
  • Median
    1.00000
  • Quartile 3
    1.01084
  • Maximum
    1.04336
  • Mean of quarter 1
    0.79742
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04336
  • Inter Quartile Range
    0.06149
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.79742
  • 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)
    0.00000
  • 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
    0.20258
  • Quartile 1
    0.20258
  • Median
    0.20258
  • Quartile 3
    0.20258
  • Maximum
    0.20258
  • 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)
    -0.50400
  • Compounded annual return (geometric extrapolation)
    -0.42407
  • Calmar ratio (compounded annual return / max draw down)
    -2.09337
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.64194
  • 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
    -0.51465
  • SD
    0.22460
  • Sharpe ratio (Glass type estimate)
    -2.29139
  • Sharpe ratio (Hedges UMVUE)
    -2.27286
  • df
    93.00000
  • t
    -1.37250
  • p
    0.91339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.57400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.56128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01556
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.62468
  • Upside Potential Ratio
    2.75212
  • Upside part of mean
    0.53964
  • Downside part of mean
    -1.05428
  • Upside SD
    0.11168
  • Downside SD
    0.19608
  • N nonnegative terms
    15.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.85887
  • Mean of criterion
    -0.51465
  • SD of predictor
    0.29512
  • SD of criterion
    0.22460
  • Covariance
    0.01087
  • r
    0.16404
  • b (slope, estimate of beta)
    0.12484
  • a (intercept, estimate of alpha)
    -0.62200
  • Mean Square Error
    0.04962
  • DF error
    92.00000
  • t(b)
    1.59500
  • p(b)
    0.05707
  • t(a)
    -1.64549
  • p(a)
    0.94836
  • Lowerbound of 95% confidence interval for beta
    -0.03061
  • Upperbound of 95% confidence interval for beta
    0.28029
  • Lowerbound of 95% confidence interval for alpha
    -1.37246
  • Upperbound of 95% confidence interval for alpha
    0.12872
  • Treynor index (mean / b)
    -4.12244
  • Jensen alpha (a)
    -0.62187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.54055
  • SD
    0.22772
  • Sharpe ratio (Glass type estimate)
    -2.37371
  • Sharpe ratio (Hedges UMVUE)
    -2.35452
  • df
    93.00000
  • t
    -1.42181
  • p
    0.92079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.65736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.64413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93509
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.69244
  • Upside Potential Ratio
    2.65716
  • Upside part of mean
    0.53346
  • Downside part of mean
    -1.07401
  • Upside SD
    0.11006
  • Downside SD
    0.20076
  • N nonnegative terms
    15.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    94.00000
  • Mean of predictor
    0.81464
  • Mean of criterion
    -0.54055
  • SD of predictor
    0.29385
  • SD of criterion
    0.22772
  • Covariance
    0.01099
  • r
    0.16423
  • b (slope, estimate of beta)
    0.12727
  • a (intercept, estimate of alpha)
    -0.64423
  • Mean Square Error
    0.05101
  • DF error
    92.00000
  • t(b)
    1.59694
  • p(b)
    0.05685
  • t(a)
    -1.68381
  • p(a)
    0.95220
  • Lowerbound of 95% confidence interval for beta
    -0.03101
  • Upperbound of 95% confidence interval for beta
    0.28556
  • Lowerbound of 95% confidence interval for alpha
    -1.40410
  • Upperbound of 95% confidence interval for alpha
    0.11565
  • Treynor index (mean / b)
    -4.24721
  • Jensen alpha (a)
    -0.64423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02489
  • Expected Shortfall on VaR
    0.03059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01261
  • Expected Shortfall on VaR
    0.02646
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    94.00000
  • Minimum
    0.93749
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03660
  • Mean of quarter 1
    0.98459
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00813
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.18085
  • Mean of outliers low
    0.97825
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.15957
  • Mean of outliers high
    1.01301
  • 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)
    0.00096
  • VaR(95%) (regression method)
    0.01725
  • Expected Shortfall (regression method)
    0.03022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00857
  • Quartile 1
    0.01221
  • Median
    0.01584
  • Quartile 3
    0.12752
  • Maximum
    0.23919
  • Mean of quarter 1
    0.00857
  • Mean of quarter 2
    0.01584
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23919
  • Inter Quartile Range
    0.11531
  • 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)
    -0.46826
  • Compounded annual return (geometric extrapolation)
    -0.40109
  • Calmar ratio (compounded annual return / max draw down)
    -1.67683
  • Compounded annual return / average of 25% largest draw downs
    -1.67683
  • Compounded annual return / Expected Shortfall lognormal
    -13.11110
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -506334000
  • Max Equity Drawdown (num days)
    41

Strategy Description

TradeWin is a trading system that aims at consistently making gains in order to build wealth and generate income.

What is TradeWin ?
TradeWin is non-directionnal option trading strategy that collects premium selling iron condors on US indexes such as S&P500 and Nasdaq and tech stocks such as TSLA.

Trading Journal section
TradeWin Trading Journal already exists since july 1st, 2022 and is available here : https://shared.tradersync.com/zugatom
"Consistency of small gains is the key to financial independence".

Pricing
The price that appears in the subscription is not the real price, please DM me : Collective2 allows to make coupons and adapt the subscription price for each investor. Please be my guest !

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-11-09
Suggested Minimum Capital
$25,000
# Trades
30
# Profitable
14
% Profitable
46.7%
Correlation S&P500
0.159
Sharpe Ratio
-1.25
Sortino Ratio
-1.42
Beta
0.14
Alpha
-0.06
Leverage
167.13 Average
901.15 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.