Collective2 Collective2
Featured Strategy Day Trade Algo 2025 Followed by live capital $7,800 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Income Trades
(147357636)

Created by: Foundational_Capital Foundational_Capital
Started: 02/2024
Options
Last trade: Today

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 $20.00 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.

25.8%
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.

(16.7%)
Max Drawdown
159
Num Trades
93.7%
Win Trades
2.7 : 1
Profit Factor
84.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024       +3.0%+1.5%+1.7%+3.4%+2.4%(6.3%)+3.0%+1.6%+2.4%+6.3%+2.5%+23.3%
2025+7.0%(4.1%)                                                            +2.7%

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 131 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/13/25 14:52 RACE2521N450 RACE Feb21'25 450 put SHORT 1 0.27 2/22 9:35 0.00 0.03%
Trade id #150862910
Max drawdown($8)
Time2/13/25 15:56
Quant open1
Worst price0.35
Drawdown as % of equity-0.03%
 $26
Includes Typical Broker Commissions trade costs of $1.00
1/27/25 13:11 UNH2521N475 UNH Feb21'25 475 put SHORT 1 0.44 2/21 15:32 9.00 10.27%
Trade id #150680806
Max drawdown($3,411)
Time2/21/25 9:30
Quant open1
Worst price34.55
Drawdown as % of equity-10.27%
 ($858)
Includes Typical Broker Commissions trade costs of $2.00
1/29/25 12:23 NEE2528N64 NEE Feb28'25 64 put SHORT 2 0.38 2/21 15:25 0.06 0.05%
Trade id #150702391
Max drawdown($18)
Time2/6/25 0:00
Quant open2
Worst price0.47
Drawdown as % of equity-0.05%
 $61
Includes Typical Broker Commissions trade costs of $2.80
2/12/25 14:19 MCY2521O40 MCY Mar21'25 40 put SHORT 4 0.39 2/21 9:59 0.24 0.19%
Trade id #150851294
Max drawdown($64)
Time2/12/25 14:46
Quant open4
Worst price0.55
Drawdown as % of equity-0.19%
 $52
Includes Typical Broker Commissions trade costs of $5.60
1/24/25 13:14 DG2521N64 DG Feb21'25 64 put SHORT 2 0.40 2/21 9:59 0.02 0.14%
Trade id #150663107
Max drawdown($46)
Time2/3/25 0:00
Quant open2
Worst price0.63
Drawdown as % of equity-0.14%
 $73
Includes Typical Broker Commissions trade costs of $2.80
1/15/25 13:16 MRVL2521N92.5 MRVL Feb21'25 92.5 put SHORT 1 0.45 2/21 9:59 0.02 0.91%
Trade id #150579461
Max drawdown($300)
Time1/27/25 0:00
Quant open1
Worst price3.45
Drawdown as % of equity-0.91%
 $41
Includes Typical Broker Commissions trade costs of $2.00
1/15/25 13:39 NRG2521N85 NRG Feb21'25 85 put SHORT 1 0.40 2/21 9:59 0.05 0.37%
Trade id #150579681
Max drawdown($120)
Time1/27/25 0:00
Quant open1
Worst price1.60
Drawdown as % of equity-0.37%
 $33
Includes Typical Broker Commissions trade costs of $2.00
2/4/25 12:24 PLTR2528N78 PLTR Feb28'25 78 put SHORT 1 0.41 2/21 9:59 0.19 0.29%
Trade id #150763419
Max drawdown($95)
Time2/20/25 0:00
Quant open1
Worst price1.36
Drawdown as % of equity-0.29%
 $20
Includes Typical Broker Commissions trade costs of $2.00
1/22/25 12:38 TSM2514N185 TSM Feb14'25 185 put SHORT 1 0.32 2/15 9:35 0.00 2.19%
Trade id #150641193
Max drawdown($718)
Time1/27/25 0:00
Quant open1
Worst price7.50
Drawdown as % of equity-2.19%
 $31
Includes Typical Broker Commissions trade costs of $1.00
2/3/25 9:30 META2514N585 META Feb14'25 585 put SHORT 1 0.89 2/15 9:35 0.00 n/a $88
Includes Typical Broker Commissions trade costs of $1.00
1/22/25 12:34 IONQ2514N25 IONQ Feb14'25 25 put SHORT 2 0.35 2/15 9:35 0.00 0.12%
Trade id #150641121
Max drawdown($38)
Time1/27/25 0:00
Quant open2
Worst price0.54
Drawdown as % of equity-0.12%
 $69
Includes Typical Broker Commissions trade costs of $1.40
1/24/25 10:53 COIN2507N200 COIN Feb7'25 200 put SHORT 2 0.42 2/8 9:35 0.00 0.43%
Trade id #150661114
Max drawdown($142)
Time1/27/25 0:00
Quant open2
Worst price1.13
Drawdown as % of equity-0.43%
 $83
Includes Typical Broker Commissions trade costs of $1.40
2/3/25 12:49 DE2514N400 DE Feb14'25 400 put SHORT 1 0.88 2/6 15:38 0.64 0.08%
Trade id #150752124
Max drawdown($27)
Time2/4/25 0:00
Quant open1
Worst price1.15
Drawdown as % of equity-0.08%
 $22
Includes Typical Broker Commissions trade costs of $2.00
1/8/25 12:24 MSTR2531M170 MSTR Jan31'25 170 put SHORT 1 1.06 2/1 9:35 0.00 0.07%
Trade id #150517150
Max drawdown($21)
Time1/13/25 0:00
Quant open1
Worst price1.27
Drawdown as % of equity-0.07%
 $105
Includes Typical Broker Commissions trade costs of $1.00
1/10/25 9:30 PLTR2531M55 PLTR Jan31'25 55 put SHORT 1 0.60 2/1 9:35 0.00 0.11%
Trade id #150531181
Max drawdown($35)
Time1/13/25 0:00
Quant open1
Worst price0.95
Drawdown as % of equity-0.11%
 $59
Includes Typical Broker Commissions trade costs of $1.00
1/15/25 15:13 LEN2531M130 LEN Jan31'25 130 put SHORT 1 0.96 2/1 9:35 0.00 0.09%
Trade id #150580318
Max drawdown($29)
Time1/24/25 0:00
Quant open1
Worst price1.25
Drawdown as % of equity-0.09%
 $95
Includes Typical Broker Commissions trade costs of $1.00
1/16/25 12:10 MSTR2524M220 MSTR Jan24'25 220 put SHORT 1 0.62 1/25 9:35 0.00 0.01%
Trade id #150589820
Max drawdown($4)
Time1/16/25 15:12
Quant open1
Worst price0.66
Drawdown as % of equity-0.01%
 $61
Includes Typical Broker Commissions trade costs of $1.00
12/27/24 9:30 MSFT2524M380 MSFT Jan24'25 380 put SHORT 1 0.72 1/25/25 9:35 0.00 0.17%
Trade id #150420430
Max drawdown($52)
Time12/30/24 0:00
Quant open1
Worst price1.25
Drawdown as % of equity-0.17%
 $72
Includes Typical Broker Commissions trade costs of $1.00
1/18/25 9:35 PM PHILIP MORRIS LONG 100 125.00 1/24 9:37 126.00 0.87%
Trade id #150605230
Max drawdown($278)
Time1/21/25 0:00
Quant open100
Worst price122.22
Drawdown as % of equity-0.87%
 $98
Includes Typical Broker Commissions trade costs of $2.00
1/13/25 9:30 ALL2517M160 ALL Jan17'25 160 put SHORT 1 0.50 1/18 9:35 0.00 n/a $49
Includes Typical Broker Commissions trade costs of $1.00
12/16/24 12:23 ASML2517M580 ASML Jan17'25 580 put SHORT 1 0.80 1/18/25 9:35 0.00 0.37%
Trade id #150336290
Max drawdown($110)
Time12/20/24 0:00
Quant open1
Worst price1.90
Drawdown as % of equity-0.37%
 $79
Includes Typical Broker Commissions trade costs of $1.00
12/12/24 13:21 MSTR2517M140 MSTR Jan17'25 140 put SHORT 1 1.00 1/18/25 9:35 0.00 0.19%
Trade id #150312346
Max drawdown($58)
Time12/19/24 0:00
Quant open1
Worst price1.58
Drawdown as % of equity-0.19%
 $99
Includes Typical Broker Commissions trade costs of $1.00
12/16/24 12:31 PM2517M125 PM Jan17'25 125 put SHORT 1 2.55 1/18/25 9:35 0.00 1.94%
Trade id #150336384
Max drawdown($605)
Time1/13/25 0:00
Quant open1
Worst price8.60
Drawdown as % of equity-1.94%
 $254
Includes Typical Broker Commissions trade costs of $1.00
12/12/24 14:22 GOOGL2517M165 GOOGL Jan17'25 165 put SHORT 1 0.34 1/18/25 9:35 0.00 0.3%
Trade id #150312893
Max drawdown($88)
Time12/20/24 0:00
Quant open1
Worst price1.22
Drawdown as % of equity-0.30%
 $33
Includes Typical Broker Commissions trade costs of $1.00
12/20/24 11:47 LEN2517M135 LEN Jan17'25 135 put SHORT 1 2.65 1/15/25 15:15 0.38 1.34%
Trade id #150377194
Max drawdown($417)
Time1/13/25 0:00
Quant open1
Worst price6.82
Drawdown as % of equity-1.34%
 $225
Includes Typical Broker Commissions trade costs of $2.00
1/6/25 12:28 CVNA2510M140 CVNA Jan10'25 140 put SHORT 1 0.51 1/11 9:35 0.00 0.02%
Trade id #150496047
Max drawdown($5)
Time1/6/25 12:41
Quant open1
Worst price0.56
Drawdown as % of equity-0.02%
 $50
Includes Typical Broker Commissions trade costs of $1.00
12/12/24 9:33 VST2510M135 VST Jan10'25 135 put SHORT 2 4.50 1/11/25 9:35 0.00 3.52%
Trade id #150308773
Max drawdown($1,060)
Time12/18/24 0:00
Quant open2
Worst price9.80
Drawdown as % of equity-3.52%
 $899
Includes Typical Broker Commissions trade costs of $1.40
1/3/25 11:25 MSTR2510M205 MSTR Jan10'25 205 put SHORT 1 0.50 1/11 9:35 0.00 0.02%
Trade id #150477347
Max drawdown($5)
Time1/3/25 11:34
Quant open1
Worst price0.55
Drawdown as % of equity-0.02%
 $49
Includes Typical Broker Commissions trade costs of $1.00
12/17/24 15:24 PLTR2510M55 PLTR Jan10'25 55 put SHORT 1 0.23 1/11/25 9:35 0.00 0.15%
Trade id #150347060
Max drawdown($46)
Time12/30/24 0:00
Quant open1
Worst price0.69
Drawdown as % of equity-0.15%
 $22
Includes Typical Broker Commissions trade costs of $1.00
12/27/24 13:29 COIN2503M200 COIN Jan3'25 200 put SHORT 1 0.35 1/4/25 9:35 0.00 0.05%
Trade id #150424030
Max drawdown($15)
Time12/30/24 0:00
Quant open1
Worst price0.50
Drawdown as % of equity-0.05%
 $34
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    2/16/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    371.97
  • Age
    12 months ago
  • What it trades
    Options
  • # Trades
    159
  • # Profitable
    149
  • % Profitable
    93.70%
  • Avg trade duration
    18.4 days
  • Max peak-to-valley drawdown
    16.66%
  • drawdown period
    July 14, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    25.8%
  • Avg win
    $81.34
  • Avg loss
    $454.20
  • Model Account Values (Raw)
  • Cash
    $34,955
  • Margin Used
    $26,384
  • Buying Power
    $8,571
  • Ratios
  • W:L ratio
    2.67:1
  • Sharpe Ratio
    0.96
  • Sortino Ratio
    1.27
  • Calmar Ratio
    1.855
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.41%
  • Correlation to SP500
    0.49760
  • Return Percent SP500 (cumu) during strategy life
    20.13%
  • Return Statistics
  • Ann Return (w trading costs)
    25.8%
  • Slump
  • Current Slump as Pcnt Equity
    5.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    16.550%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.258%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    874
  • Popularity (Last 6 weeks)
    984
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    524
  • Popularity (7 days, Percentile 1000 scale)
    964
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $454
  • Avg Win
    $81
  • Sum Trade PL (losers)
    $4,542.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $12,119.000
  • # Winners
    149
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    80830
  • Win / Loss
  • # Losers
    10
  • % Winners
    93.7%
  • Frequency
  • Avg Position Time (mins)
    26426.70
  • Avg Position Time (hrs)
    440.44
  • Avg Trade Length
    18.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.59
  • Daily leverage (max)
    5.25
  • Regression
  • Alpha
    0.03
  • Beta
    0.75
  • Treynor Index
    0.08
  • 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)
    2.54
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.563
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.902
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.940
  • Hold-and-Hope Ratio
    0.203
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31314
  • SD
    0.10562
  • Sharpe ratio (Glass type estimate)
    2.96473
  • Sharpe ratio (Hedges UMVUE)
    2.73569
  • df
    10.00000
  • t
    2.83851
  • p
    0.00880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36332
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10806
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.02406
  • Upside Potential Ratio
    7.06853
  • Upside part of mean
    0.36744
  • Downside part of mean
    -0.05429
  • Upside SD
    0.12495
  • Downside SD
    0.05198
  • N nonnegative terms
    10.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.18870
  • Mean of criterion
    0.31314
  • SD of predictor
    0.11561
  • SD of criterion
    0.10562
  • Covariance
    0.00648
  • r
    0.53086
  • b (slope, estimate of beta)
    0.48500
  • a (intercept, estimate of alpha)
    0.22162
  • Mean Square Error
    0.00890
  • DF error
    9.00000
  • t(b)
    1.87923
  • p(b)
    0.04646
  • t(a)
    2.01614
  • p(a)
    0.03729
  • Lowerbound of 95% confidence interval for beta
    -0.09883
  • Upperbound of 95% confidence interval for beta
    1.06883
  • Lowerbound of 95% confidence interval for alpha
    -0.02704
  • Upperbound of 95% confidence interval for alpha
    0.47029
  • Treynor index (mean / b)
    0.64565
  • Jensen alpha (a)
    0.22162
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30351
  • SD
    0.10459
  • Sharpe ratio (Glass type estimate)
    2.90194
  • Sharpe ratio (Hedges UMVUE)
    2.67776
  • df
    10.00000
  • t
    2.77840
  • p
    0.00975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.25123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.03740
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.70575
  • Upside Potential Ratio
    6.75022
  • Upside part of mean
    0.35906
  • Downside part of mean
    -0.05556
  • Upside SD
    0.12162
  • Downside SD
    0.05319
  • N nonnegative terms
    10.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.18090
  • Mean of criterion
    0.30351
  • SD of predictor
    0.11414
  • SD of criterion
    0.10459
  • Covariance
    0.00623
  • r
    0.52175
  • b (slope, estimate of beta)
    0.47808
  • a (intercept, estimate of alpha)
    0.21702
  • Mean Square Error
    0.00885
  • DF error
    9.00000
  • t(b)
    1.83479
  • p(b)
    0.04987
  • t(a)
    1.99188
  • p(a)
    0.03878
  • Lowerbound of 95% confidence interval for beta
    -0.11136
  • Upperbound of 95% confidence interval for beta
    1.06751
  • Lowerbound of 95% confidence interval for alpha
    -0.02945
  • Upperbound of 95% confidence interval for alpha
    0.46349
  • Treynor index (mean / b)
    0.63485
  • Jensen alpha (a)
    0.21702
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02407
  • Expected Shortfall on VaR
    0.03625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00171
  • Expected Shortfall on VaR
    0.00763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.95256
  • Quartile 1
    1.02210
  • Median
    1.03596
  • Quartile 3
    1.04187
  • Maximum
    1.07654
  • Mean of quarter 1
    0.99413
  • Mean of quarter 2
    1.02904
  • Mean of quarter 3
    1.03854
  • Mean of quarter 4
    1.05536
  • Inter Quartile Range
    0.01977
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.95256
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.07654
  • 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
    0.04744
  • Quartile 1
    0.04744
  • Median
    0.04744
  • Quartile 3
    0.04744
  • Maximum
    0.04744
  • 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)
    0.38726
  • Compounded annual return (geometric extrapolation)
    0.39293
  • Calmar ratio (compounded annual return / max draw down)
    8.28267
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.83990
  • 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
    0.25050
  • SD
    0.19146
  • Sharpe ratio (Glass type estimate)
    1.30837
  • Sharpe ratio (Hedges UMVUE)
    1.30445
  • df
    251.00000
  • t
    1.28315
  • p
    0.10031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69727
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30618
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77187
  • Upside Potential Ratio
    6.69729
  • Upside part of mean
    0.94685
  • Downside part of mean
    -0.69635
  • Upside SD
    0.12948
  • Downside SD
    0.14138
  • N nonnegative terms
    166.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.17124
  • Mean of criterion
    0.25050
  • SD of predictor
    0.12977
  • SD of criterion
    0.19146
  • Covariance
    0.01245
  • r
    0.50105
  • b (slope, estimate of beta)
    0.73925
  • a (intercept, estimate of alpha)
    0.12400
  • Mean Square Error
    0.02756
  • DF error
    250.00000
  • t(b)
    9.15432
  • p(b)
    0.00000
  • t(a)
    0.72955
  • p(a)
    0.23317
  • Lowerbound of 95% confidence interval for beta
    0.58020
  • Upperbound of 95% confidence interval for beta
    0.89829
  • Lowerbound of 95% confidence interval for alpha
    -0.21061
  • Upperbound of 95% confidence interval for alpha
    0.45844
  • Treynor index (mean / b)
    0.33886
  • Jensen alpha (a)
    0.12391
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23192
  • SD
    0.19298
  • Sharpe ratio (Glass type estimate)
    1.20178
  • Sharpe ratio (Hedges UMVUE)
    1.19819
  • df
    251.00000
  • t
    1.17862
  • p
    0.11983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19941
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59750
  • Upside Potential Ratio
    6.46476
  • Upside part of mean
    0.93855
  • Downside part of mean
    -0.70662
  • Upside SD
    0.12737
  • Downside SD
    0.14518
  • N nonnegative terms
    166.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.16276
  • Mean of criterion
    0.23192
  • SD of predictor
    0.12998
  • SD of criterion
    0.19298
  • Covariance
    0.01259
  • r
    0.50192
  • b (slope, estimate of beta)
    0.74522
  • a (intercept, estimate of alpha)
    0.11063
  • Mean Square Error
    0.02797
  • DF error
    250.00000
  • t(b)
    9.17555
  • p(b)
    0.00000
  • t(a)
    0.64678
  • p(a)
    0.25918
  • Lowerbound of 95% confidence interval for beta
    0.58526
  • Upperbound of 95% confidence interval for beta
    0.90518
  • Lowerbound of 95% confidence interval for alpha
    -0.22625
  • Upperbound of 95% confidence interval for alpha
    0.44750
  • Treynor index (mean / b)
    0.31122
  • Jensen alpha (a)
    0.11063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01855
  • Expected Shortfall on VaR
    0.02342
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.01076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    252.00000
  • Minimum
    0.91672
  • Quartile 1
    0.99934
  • Median
    1.00134
  • Quartile 3
    1.00430
  • Maximum
    1.05777
  • Mean of quarter 1
    0.98959
  • Mean of quarter 2
    1.00030
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01179
  • Inter Quartile Range
    0.00497
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.09524
  • Mean of outliers low
    0.97827
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.07540
  • Mean of outliers high
    1.02359
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52936
  • VaR(95%) (moments method)
    0.00534
  • Expected Shortfall (moments method)
    0.01431
  • Extreme Value Index (regression method)
    0.38806
  • VaR(95%) (regression method)
    0.01091
  • Expected Shortfall (regression method)
    0.02515
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00068
  • Median
    0.00270
  • Quartile 3
    0.01462
  • Maximum
    0.15995
  • Mean of quarter 1
    0.00030
  • Mean of quarter 2
    0.00147
  • Mean of quarter 3
    0.00577
  • Mean of quarter 4
    0.04197
  • Inter Quartile Range
    0.01394
  • 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
    0.08824
  • Mean of outliers high
    0.08705
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74138
  • VaR(95%) (moments method)
    0.04844
  • Expected Shortfall (moments method)
    0.18823
  • Extreme Value Index (regression method)
    1.72999
  • VaR(95%) (regression method)
    0.04828
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29518
  • Compounded annual return (geometric extrapolation)
    0.29671
  • Calmar ratio (compounded annual return / max draw down)
    1.85498
  • Compounded annual return / average of 25% largest draw downs
    7.06942
  • Compounded annual return / Expected Shortfall lognormal
    12.66960
  • 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
    0.29660
  • SD
    0.14707
  • Sharpe ratio (Glass type estimate)
    2.01673
  • Sharpe ratio (Hedges UMVUE)
    2.00507
  • df
    130.00000
  • t
    1.42604
  • p
    0.43795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78757
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66451
  • Upside Potential Ratio
    8.37073
  • Upside part of mean
    0.93178
  • Downside part of mean
    -0.63518
  • Upside SD
    0.09700
  • Downside SD
    0.11131
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14298
  • Mean of criterion
    0.29660
  • SD of predictor
    0.12762
  • SD of criterion
    0.14707
  • Covariance
    0.01016
  • r
    0.54119
  • b (slope, estimate of beta)
    0.62368
  • a (intercept, estimate of alpha)
    0.20742
  • Mean Square Error
    0.01541
  • DF error
    129.00000
  • t(b)
    7.30977
  • p(b)
    0.17311
  • t(a)
    1.17857
  • p(a)
    0.43441
  • Lowerbound of 95% confidence interval for beta
    0.45487
  • Upperbound of 95% confidence interval for beta
    0.79249
  • Lowerbound of 95% confidence interval for alpha
    -0.14079
  • Upperbound of 95% confidence interval for alpha
    0.55563
  • Treynor index (mean / b)
    0.47556
  • Jensen alpha (a)
    0.20742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28556
  • SD
    0.14827
  • Sharpe ratio (Glass type estimate)
    1.92599
  • Sharpe ratio (Hedges UMVUE)
    1.91486
  • df
    130.00000
  • t
    1.36188
  • p
    0.44070
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70403
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69642
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51928
  • Upside Potential Ratio
    8.17841
  • Upside part of mean
    0.92702
  • Downside part of mean
    -0.64146
  • Upside SD
    0.09632
  • Downside SD
    0.11335
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13483
  • Mean of criterion
    0.28556
  • SD of predictor
    0.12783
  • SD of criterion
    0.14827
  • Covariance
    0.01024
  • r
    0.54054
  • b (slope, estimate of beta)
    0.62694
  • a (intercept, estimate of alpha)
    0.20103
  • Mean Square Error
    0.01568
  • DF error
    129.00000
  • t(b)
    7.29732
  • p(b)
    0.17346
  • t(a)
    1.13274
  • p(a)
    0.43693
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.45696
  • Upperbound of 95% confidence interval for beta
    0.79693
  • Lowerbound of 95% confidence interval for alpha
    -0.15010
  • Upperbound of 95% confidence interval for alpha
    0.55215
  • Treynor index (mean / b)
    0.45548
  • Jensen alpha (a)
    0.20103
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01388
  • Expected Shortfall on VaR
    0.01764
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.01005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94499
  • Quartile 1
    0.99877
  • Median
    1.00204
  • Quartile 3
    1.00544
  • Maximum
    1.02422
  • Mean of quarter 1
    0.99079
  • Mean of quarter 2
    1.00027
  • Mean of quarter 3
    1.00349
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00667
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.97916
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02035
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25666
  • VaR(95%) (moments method)
    0.00531
  • Expected Shortfall (moments method)
    0.00950
  • Extreme Value Index (regression method)
    0.32818
  • VaR(95%) (regression method)
    0.00931
  • Expected Shortfall (regression method)
    0.01889
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00126
  • Median
    0.00536
  • Quartile 3
    0.01515
  • Maximum
    0.06291
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00366
  • Mean of quarter 3
    0.00984
  • Mean of quarter 4
    0.03121
  • Inter Quartile Range
    0.01388
  • 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
    0.08000
  • Mean of outliers high
    0.05060
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23747
  • VaR(95%) (moments method)
    0.03271
  • Expected Shortfall (moments method)
    0.05029
  • Extreme Value Index (regression method)
    1.31630
  • VaR(95%) (regression method)
    0.03510
  • 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?
    -346538000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33937
  • Compounded annual return (geometric extrapolation)
    0.36816
  • Calmar ratio (compounded annual return / max draw down)
    5.85230
  • Compounded annual return / average of 25% largest draw downs
    11.79590
  • Compounded annual return / Expected Shortfall lognormal
    20.86940

Strategy Description

This strategy is focused on trading for income. We will sell puts to generate income when opening a position. Sometimes we will want to purchase the underlying stock of the puts we sell so we can then own the stock to write covered calls. Therefore a trade may show as a loss on the put sell even though it is not closed and also with the intention of purchase the stock at a discount. Even when purchasing the stock at a discount you will still keep the original premium received when selling an option to open a position.

The focus is low risk, recurring, reliable and consistent income.

In the model portfolio we will always trade one position. The cash and margin requirements will be based on the underlying stock price. Scale accordingly knowing the trades issued will always be for 1 contract, no matter what the stock price is.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-02-16
Suggested Minimum Capital
$35,000
# Trades
159
# Profitable
149
% Profitable
93.7%
Correlation S&P500
0.498
Sharpe Ratio
0.96
Sortino Ratio
1.27
Beta
0.75
Alpha
0.03
Leverage
3.59 Average
5.25 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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