Collective2 Collective2
Featured Strategy Gold and Silver +118.9% Cumul. Return since Jan 14, 2025 Hypothetical

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Lista osservati Lista osservati

This is an archived track record. This track record was archived on 11/17/23 10:19 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more


Broadcast Watchlist Watchlist More...

Weekly Collars
(141384677)

Creato da: SVJoshi SVJoshi
Started: 08/2022
Stocks, Options
Last trade: 651 days ago
Trading style: Equity Hedged Equity Sector Rotation

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 $50.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.

3.4%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(16.4%)
Max Drawdown
293
Num Trades
54.3%
Win Trades
1.1 : 1
Profit Factor
21.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                 +0.4%+1.1%+1.6%+3.3%(1.7%)+4.8%
2023+0.9%(0.5%)+0.4%(0.3%)(0.7%)+8.7%(3.4%)+1.0%(0.3%)(4.6%)(1.1%)  -  (0.4%)
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -                          0.0


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/18/23 9:46 GDX VANECK GOLD MINERS ETF LONG 200 29.95 11/17 10:19 28.57 1.18%
Trade id #146160462
Max drawdown($587)
Time11/10/23 0:00
Quant open200
Worst price27.02
Drawdown as % of equity-1.18%
 ($281)
Includes Typical Broker Commissions trade costs of $4.00
10/19/23 9:58 TSLY2315X12 TSLY Dec15'23 12 put LONG 2 1.10 11/17 10:19 1.32 0.14%
Trade id #146172632
Max drawdown($70)
Time11/6/23 0:00
Quant open2
Worst price0.75
Drawdown as % of equity-0.14%
 $41
Includes Typical Broker Commissions trade costs of $2.80
10/23/23 10:24 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 400 20.99 11/17 10:19 16.39 3.82%
Trade id #146205459
Max drawdown($1,988)
Time11/15/23 0:00
Quant open400
Worst price16.02
Drawdown as % of equity-3.82%
 ($1,848)
Includes Typical Broker Commissions trade costs of $8.00
10/30/23 10:57 ERX2301L64 ERX Dec1'23 64 call SHORT 1 1.25 11/17 10:19 0.13 0.04%
Trade id #146276592
Max drawdown($20)
Time10/30/23 15:51
Quant open1
Worst price1.45
Drawdown as % of equity-0.04%
 $110
Includes Typical Broker Commissions trade costs of $2.00
11/7/23 15:30 SQQQ2315L20 SQQQ Dec15'23 20 call SHORT 4 0.67 11/17 10:19 0.20 0.14%
Trade id #146360421
Max drawdown($68)
Time11/9/23 0:00
Quant open4
Worst price0.84
Drawdown as % of equity-0.14%
 $182
Includes Typical Broker Commissions trade costs of $5.60
11/8/23 9:49 UDOW PROSHARES ULTRAPRO DOW30 LONG 44 56.45 11/17 10:19 60.00 0.16%
Trade id #146365302
Max drawdown($82)
Time11/9/23 0:00
Quant open44
Worst price54.58
Drawdown as % of equity-0.16%
 $155
Includes Typical Broker Commissions trade costs of $0.88
11/8/23 9:55 TQQQ2308X35 TQQQ Dec8'23 35 put SHORT 2 0.79 11/17 10:19 0.19 0.1%
Trade id #146365464
Max drawdown($52)
Time11/9/23 0:00
Quant open2
Worst price1.05
Drawdown as % of equity-0.10%
 $117
Includes Typical Broker Commissions trade costs of $2.80
11/8/23 10:54 GOOY YIELDMAX GOOGL OPTION INCOME STRATEGY ETF LONG 300 18.82 11/17 10:19 19.09 0.05%
Trade id #146366305
Max drawdown($27)
Time11/9/23 0:00
Quant open300
Worst price18.73
Drawdown as % of equity-0.05%
 $75
Includes Typical Broker Commissions trade costs of $6.00
11/8/23 10:59 GOOGL2416N130 GOOGL Feb16'24 130 put LONG 3 5.90 11/17 10:19 4.20 1.25%
Trade id #146366404
Max drawdown($651)
Time11/16/23 0:00
Quant open3
Worst price3.73
Drawdown as % of equity-1.25%
 ($514)
Includes Typical Broker Commissions trade costs of $4.20
11/8/23 10:59 GOOGL2416N120 GOOGL Feb16'24 120 put SHORT 3 2.79 11/17 10:19 1.70 0.19%
Trade id #146366406
Max drawdown($93)
Time11/10/23 0:00
Quant open3
Worst price3.10
Drawdown as % of equity-0.19%
 $323
Includes Typical Broker Commissions trade costs of $4.20
11/8/23 13:28 TBT2315L41 TBT Dec15'23 41 call SHORT 1 0.72 11/17 10:19 0.46 0.16%
Trade id #146369162
Max drawdown($78)
Time11/9/23 0:00
Quant open1
Worst price1.50
Drawdown as % of equity-0.16%
 $24
Includes Typical Broker Commissions trade costs of $2.00
11/9/23 9:55 GDX2315L30 GDX Dec15'23 30 call SHORT 2 0.42 11/17 10:19 0.48 0.08%
Trade id #146385040
Max drawdown($42)
Time11/16/23 0:00
Quant open2
Worst price0.63
Drawdown as % of equity-0.08%
 ($15)
Includes Typical Broker Commissions trade costs of $2.80
11/13/23 12:14 SDS2315L37 SDS Dec15'23 37 call SHORT 1 0.55 11/17 10:19 0.21 n/a $32
Includes Typical Broker Commissions trade costs of $2.00
11/17/23 10:04 RYLD2415O16 RYLD Mar15'24 16 put LONG 6 0.60 11/17 10:19 0.46 n/a ($92)
Includes Typical Broker Commissions trade costs of $8.40
11/7/23 18:08 @MYMZ3 MICRO E-MINI DOW LONG 2 34224 11/16 16:17 34621 0.31%
Trade id #146361982
Max drawdown($156)
Time11/10/23 0:00
Quant open1
Worst price33912
Drawdown as % of equity-0.31%
 $396
Includes Typical Broker Commissions trade costs of $1.88
11/7/23 18:10 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 1 15370.25 11/15 16:37 15842.00 0.66%
Trade id #146361996
Max drawdown($326)
Time11/10/23 0:00
Quant open1
Worst price15207.00
Drawdown as % of equity-0.66%
 $943
Includes Typical Broker Commissions trade costs of $0.94
11/3/23 10:50 SDS2317K37 SDS Nov17'23 37 call SHORT 1 0.50 11/13 12:13 0.10 n/a $38
Includes Typical Broker Commissions trade costs of $2.00
10/26/23 10:04 GDX2310K30 GDX Nov10'23 30 call SHORT 2 0.29 11/9 9:54 0.02 0.08%
Trade id #146244228
Max drawdown($40)
Time10/27/23 0:00
Quant open2
Worst price0.49
Drawdown as % of equity-0.08%
 $51
Includes Typical Broker Commissions trade costs of $2.80
10/17/23 9:33 BAC2317W26 BAC Nov17'23 26 put SHORT 2 0.35 11/8 14:13 0.06 0.37%
Trade id #146149610
Max drawdown($194)
Time10/27/23 0:00
Quant open2
Worst price1.32
Drawdown as % of equity-0.37%
 $55
Includes Typical Broker Commissions trade costs of $2.80
11/1/23 14:35 SQQQ2317K21 SQQQ Nov17'23 21 call SHORT 4 1.08 11/7 15:30 0.10 0.17%
Trade id #146304280
Max drawdown($88)
Time11/1/23 14:44
Quant open4
Worst price1.30
Drawdown as % of equity-0.17%
 $386
Includes Typical Broker Commissions trade costs of $5.60
10/19/23 9:31 SDS2303K37 SDS Nov3'23 37 call SHORT 1 0.85 11/3 10:50 0.05 0.5%
Trade id #146171837
Max drawdown($265)
Time10/27/23 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-0.50%
 $78
Includes Typical Broker Commissions trade costs of $2.00
10/19/23 16:08 @M2KZ3 MICRO E-MINI RUSSELL 2000 SHORT 1 1710.50 11/1 16:08 1674.20 0.04%
Trade id #146179668
Max drawdown($19)
Time10/20/23 0:00
Quant open1
Worst price1714.40
Drawdown as % of equity-0.04%
 $181
Includes Typical Broker Commissions trade costs of $0.94
10/25/23 18:08 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 1 14382.00 11/1 16:07 14740.75 1.46%
Trade id #146237933
Max drawdown($760)
Time11/1/23 15:56
Quant open1
Worst price14762.00
Drawdown as % of equity-1.46%
 ($719)
Includes Typical Broker Commissions trade costs of $0.94
10/23/23 16:00 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4243.75 11/1 15:02 4255.00 0.45%
Trade id #146211274
Max drawdown($233)
Time10/24/23 0:00
Quant open1
Worst price4290.50
Drawdown as % of equity-0.45%
 ($57)
Includes Typical Broker Commissions trade costs of $1.20
10/23/23 10:25 SQQQ2303K23 SQQQ Nov3'23 23 call SHORT 4 0.53 11/1 14:35 0.08 0.61%
Trade id #146205489
Max drawdown($324)
Time10/26/23 0:00
Quant open4
Worst price1.34
Drawdown as % of equity-0.61%
 $174
Includes Typical Broker Commissions trade costs of $5.60
10/23/23 10:21 ERX2303K64.5 ERX Nov3'23 64.5 call SHORT 1 2.65 10/30 10:57 0.15 n/a $248
Includes Typical Broker Commissions trade costs of $2.00
10/18/23 9:47 GDX2303K31.5 GDX Nov3'23 31.5 call SHORT 2 0.35 10/26 10:03 0.05 0%
Trade id #146160506
Max drawdown($2)
Time10/20/23 0:00
Quant open2
Worst price0.36
Drawdown as % of equity-0.00%
 $57
Includes Typical Broker Commissions trade costs of $2.80
10/23/23 10:08 IVOL QUADRATIC INT RATE VLT AND INFLATION HEDGE ETF LONG 100 21.18 10/24 14:50 20.71 0.09%
Trade id #146204962
Max drawdown($47)
Time10/24/23 14:50
Quant open100
Worst price20.71
Drawdown as % of equity-0.09%
 ($49)
Includes Typical Broker Commissions trade costs of $2.00
10/23/23 8:30 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 1 14601.75 10/24 10:37 14854.50 0.98%
Trade id #146202693
Max drawdown($512)
Time10/24/23 10:37
Quant open1
Worst price14857.80
Drawdown as % of equity-0.98%
 ($507)
Includes Typical Broker Commissions trade costs of $0.94
10/18/23 9:30 KIE SPDR S&P INSURANCE ETF LONG 100 44.21 10/20 9:37 42.98 0.23%
Trade id #146159696
Max drawdown($123)
Time10/20/23 9:37
Quant open100
Worst price42.98
Drawdown as % of equity-0.23%
 ($125)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    8/11/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1104.19
  • Age
    37 months ago
  • What it trades
    Stocks, Options
  • # Trades
    293
  • # Profitable
    159
  • % Profitable
    54.30%
  • Avg trade duration
    19.9 days
  • Max peak-to-valley drawdown
    16.43%
  • drawdown period
    July 19, 2023 - Nov 09, 2023
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $187.13
  • Avg loss
    $210.95
  • Model Account Values (Raw)
  • Cash
    $54,144
  • Margin Used
    $0
  • Buying Power
    $54,144
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.01
  • Calmar Ratio
    0.454
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.79%
  • Correlation to SP500
    0.02230
  • Return Percent SP500 (cumu) during strategy life
    53.56%
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Slump
  • Current Slump as Pcnt Equity
    14.00%
  • Instruments
  • Percent Trades Futures
    0.10%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    94.38%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.034%
  • Instruments
  • Percent Trades Options
    0.33%
  • Percent Trades Stocks
    0.57%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    87.50%
  • Chance of 20% account loss
    51.50%
  • Chance of 30% account loss
    26.00%
  • Chance of 40% account loss
    5.00%
  • 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
    5.34%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    416
  • 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
    $211
  • Avg Win
    $187
  • Sum Trade PL (losers)
    $28,267.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $29,754.000
  • # Winners
    159
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    2650
  • Win / Loss
  • # Losers
    134
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    28694.80
  • Avg Position Time (hrs)
    478.25
  • Avg Trade Length
    19.9 days
  • Last Trade Ago
    641
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    6.91
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.29
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    74.05
  • MAE:Equity, average, winning trades
    0.35
  • MAE:Equity, average, losing trades
    0.23
  • Avg(MAE) / Avg(PL) - All trades
    -8082.900
  • 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
    98.251
  • Avg(MAE) / Avg(PL) - Losing trades
    -58.530
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03694
  • SD
    0.08191
  • Sharpe ratio (Glass type estimate)
    0.45103
  • Sharpe ratio (Hedges UMVUE)
    0.42441
  • df
    13.00000
  • t
    0.48717
  • p
    0.41501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24630
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80314
  • Upside Potential Ratio
    2.35234
  • Upside part of mean
    0.10821
  • Downside part of mean
    -0.07126
  • Upside SD
    0.06502
  • Downside SD
    0.04600
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.01259
  • Mean of criterion
    0.03694
  • SD of predictor
    0.20386
  • SD of criterion
    0.08191
  • Covariance
    0.00931
  • r
    0.55753
  • b (slope, estimate of beta)
    0.22402
  • a (intercept, estimate of alpha)
    0.03977
  • Mean Square Error
    0.00501
  • DF error
    12.00000
  • t(b)
    2.32650
  • p(b)
    0.22123
  • t(a)
    0.60677
  • p(a)
    0.41373
  • Lowerbound of 95% confidence interval for beta
    0.01422
  • Upperbound of 95% confidence interval for beta
    0.43382
  • Lowerbound of 95% confidence interval for alpha
    -0.10303
  • Upperbound of 95% confidence interval for alpha
    0.18256
  • Treynor index (mean / b)
    0.16492
  • Jensen alpha (a)
    0.03977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03374
  • SD
    0.08111
  • Sharpe ratio (Glass type estimate)
    0.41598
  • Sharpe ratio (Hedges UMVUE)
    0.39143
  • df
    13.00000
  • t
    0.44931
  • p
    0.42148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21223
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72047
  • Upside Potential Ratio
    2.26178
  • Upside part of mean
    0.10592
  • Downside part of mean
    -0.07218
  • Upside SD
    0.06333
  • Downside SD
    0.04683
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.03209
  • Mean of criterion
    0.03374
  • SD of predictor
    0.20591
  • SD of criterion
    0.08111
  • Covariance
    0.00886
  • r
    0.53040
  • b (slope, estimate of beta)
    0.20893
  • a (intercept, estimate of alpha)
    0.04044
  • Mean Square Error
    0.00512
  • DF error
    12.00000
  • t(b)
    2.16733
  • p(b)
    0.23480
  • t(a)
    0.60975
  • p(a)
    0.41332
  • Lowerbound of 95% confidence interval for beta
    -0.00111
  • Upperbound of 95% confidence interval for beta
    0.41896
  • Lowerbound of 95% confidence interval for alpha
    -0.10408
  • Upperbound of 95% confidence interval for alpha
    0.18496
  • Treynor index (mean / b)
    0.16149
  • Jensen alpha (a)
    0.04044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03507
  • Expected Shortfall on VaR
    0.04443
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01226
  • Expected Shortfall on VaR
    0.02555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.95702
  • Quartile 1
    0.99406
  • Median
    1.00424
  • Quartile 3
    1.00786
  • Maximum
    1.06126
  • Mean of quarter 1
    0.98231
  • Mean of quarter 2
    1.00194
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.03161
  • Inter Quartile Range
    0.01380
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.95702
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.04744
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70402
  • VaR(95%) (moments method)
    0.02214
  • Expected Shortfall (moments method)
    0.07493
  • Extreme Value Index (regression method)
    2.60636
  • VaR(95%) (regression method)
    0.03392
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00594
  • Median
    0.00821
  • Quartile 3
    0.01985
  • Maximum
    0.05386
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00792
  • Mean of quarter 3
    0.00851
  • Mean of quarter 4
    0.05386
  • Inter Quartile Range
    0.01391
  • 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
    0.25000
  • Mean of outliers high
    0.05386
  • 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)
    0.06392
  • Compounded annual return (geometric extrapolation)
    0.06359
  • Calmar ratio (compounded annual return / max draw down)
    1.18069
  • Compounded annual return / average of 25% largest draw downs
    1.18069
  • Compounded annual return / Expected Shortfall lognormal
    1.43118
  • 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
    0.04469
  • SD
    0.14572
  • Sharpe ratio (Glass type estimate)
    0.30670
  • Sharpe ratio (Hedges UMVUE)
    0.30598
  • df
    322.00000
  • t
    0.34054
  • p
    0.36684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07136
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46704
  • Upside Potential Ratio
    8.01607
  • Upside part of mean
    0.76709
  • Downside part of mean
    -0.72240
  • Upside SD
    0.10963
  • Downside SD
    0.09569
  • N nonnegative terms
    169.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.04405
  • Mean of criterion
    0.04469
  • SD of predictor
    0.17883
  • SD of criterion
    0.14572
  • Covariance
    0.00087
  • r
    0.03335
  • b (slope, estimate of beta)
    0.02717
  • a (intercept, estimate of alpha)
    0.03300
  • Mean Square Error
    0.02128
  • DF error
    321.00000
  • t(b)
    0.59780
  • p(b)
    0.27520
  • t(a)
    0.33105
  • p(a)
    0.37041
  • Lowerbound of 95% confidence interval for beta
    -0.06226
  • Upperbound of 95% confidence interval for beta
    0.11661
  • Lowerbound of 95% confidence interval for alpha
    -0.21500
  • Upperbound of 95% confidence interval for alpha
    0.30199
  • Treynor index (mean / b)
    1.64466
  • Jensen alpha (a)
    0.04350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03418
  • SD
    0.14494
  • Sharpe ratio (Glass type estimate)
    0.23580
  • Sharpe ratio (Hedges UMVUE)
    0.23525
  • df
    322.00000
  • t
    0.26182
  • p
    0.39681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00056
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35382
  • Upside Potential Ratio
    7.87934
  • Upside part of mean
    0.76114
  • Downside part of mean
    -0.72696
  • Upside SD
    0.10778
  • Downside SD
    0.09660
  • N nonnegative terms
    169.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.02814
  • Mean of criterion
    0.03418
  • SD of predictor
    0.17857
  • SD of criterion
    0.14494
  • Covariance
    0.00084
  • r
    0.03238
  • b (slope, estimate of beta)
    0.02628
  • a (intercept, estimate of alpha)
    0.03344
  • Mean Square Error
    0.02105
  • DF error
    321.00000
  • t(b)
    0.58040
  • p(b)
    0.28103
  • t(a)
    0.25588
  • p(a)
    0.39910
  • Lowerbound of 95% confidence interval for beta
    -0.06280
  • Upperbound of 95% confidence interval for beta
    0.11536
  • Lowerbound of 95% confidence interval for alpha
    -0.22367
  • Upperbound of 95% confidence interval for alpha
    0.29054
  • Treynor index (mean / b)
    1.30050
  • Jensen alpha (a)
    0.03344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00614
  • Expected Shortfall on VaR
    0.01236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    323.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99673
  • Median
    1.00034
  • Quartile 3
    1.00401
  • Maximum
    1.06900
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.00996
  • Inter Quartile Range
    0.00728
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04334
  • Mean of outliers low
    0.97903
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.04334
  • Mean of outliers high
    1.02393
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17955
  • VaR(95%) (moments method)
    0.00882
  • Expected Shortfall (moments method)
    0.01366
  • Extreme Value Index (regression method)
    -0.00315
  • VaR(95%) (regression method)
    0.00854
  • Expected Shortfall (regression method)
    0.01179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00026
  • Quartile 1
    0.01531
  • Median
    0.01960
  • Quartile 3
    0.03699
  • Maximum
    0.12533
  • Mean of quarter 1
    0.00721
  • Mean of quarter 2
    0.01820
  • Mean of quarter 3
    0.02807
  • Mean of quarter 4
    0.06778
  • Inter Quartile Range
    0.02168
  • 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
    0.06667
  • Mean of outliers high
    0.12533
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03729
  • VaR(95%) (moments method)
    0.07166
  • Expected Shortfall (moments method)
    0.09401
  • Extreme Value Index (regression method)
    0.82623
  • VaR(95%) (regression method)
    0.08557
  • Expected Shortfall (regression method)
    0.38873
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06452
  • Compounded annual return (geometric extrapolation)
    0.06405
  • Calmar ratio (compounded annual return / max draw down)
    0.51106
  • Compounded annual return / average of 25% largest draw downs
    0.94500
  • Compounded annual return / Expected Shortfall lognormal
    3.52561
  • 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
    0.01013
  • SD
    0.19633
  • Sharpe ratio (Glass type estimate)
    0.05158
  • Sharpe ratio (Hedges UMVUE)
    0.05128
  • df
    130.00000
  • t
    0.03647
  • p
    0.49840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72053
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82310
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08045
  • Upside Potential Ratio
    8.11765
  • Upside part of mean
    1.02185
  • Downside part of mean
    -1.01172
  • Upside SD
    0.14969
  • Downside SD
    0.12588
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15789
  • Mean of criterion
    0.01013
  • SD of predictor
    0.12391
  • SD of criterion
    0.19633
  • Covariance
    -0.00064
  • r
    -0.02633
  • b (slope, estimate of beta)
    -0.04172
  • a (intercept, estimate of alpha)
    0.01671
  • Mean Square Error
    0.03882
  • DF error
    129.00000
  • t(b)
    -0.29916
  • p(b)
    0.51676
  • t(a)
    0.05980
  • p(a)
    0.49665
  • Lowerbound of 95% confidence interval for beta
    -0.31763
  • Upperbound of 95% confidence interval for beta
    0.23419
  • Lowerbound of 95% confidence interval for alpha
    -0.53628
  • Upperbound of 95% confidence interval for alpha
    0.56971
  • Treynor index (mean / b)
    -0.24274
  • Jensen alpha (a)
    0.01671
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00881
  • SD
    0.19487
  • Sharpe ratio (Glass type estimate)
    -0.04519
  • Sharpe ratio (Hedges UMVUE)
    -0.04493
  • df
    130.00000
  • t
    -0.03196
  • p
    0.50140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72688
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06923
  • Upside Potential Ratio
    7.94568
  • Upside part of mean
    1.01084
  • Downside part of mean
    -1.01965
  • Upside SD
    0.14663
  • Downside SD
    0.12722
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15022
  • Mean of criterion
    -0.00881
  • SD of predictor
    0.12384
  • SD of criterion
    0.19487
  • Covariance
    -0.00070
  • r
    -0.02893
  • b (slope, estimate of beta)
    -0.04552
  • a (intercept, estimate of alpha)
    -0.00197
  • Mean Square Error
    0.03824
  • DF error
    129.00000
  • t(b)
    -0.32872
  • p(b)
    0.51841
  • t(a)
    -0.00710
  • p(a)
    0.50040
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.31953
  • Upperbound of 95% confidence interval for beta
    0.22848
  • Lowerbound of 95% confidence interval for alpha
    -0.55066
  • Upperbound of 95% confidence interval for alpha
    0.54672
  • Treynor index (mean / b)
    0.19345
  • Jensen alpha (a)
    -0.00197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01964
  • Expected Shortfall on VaR
    0.02455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00870
  • Expected Shortfall on VaR
    0.01696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99562
  • Median
    1.00036
  • Quartile 3
    1.00446
  • Maximum
    1.06900
  • Mean of quarter 1
    0.98669
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.01343
  • Inter Quartile Range
    0.00883
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97621
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14201
  • VaR(95%) (moments method)
    0.01141
  • Expected Shortfall (moments method)
    0.01486
  • Extreme Value Index (regression method)
    -0.07053
  • VaR(95%) (regression method)
    0.01069
  • Expected Shortfall (regression method)
    0.01415
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00116
  • Quartile 1
    0.00482
  • Median
    0.02667
  • Quartile 3
    0.05114
  • Maximum
    0.12533
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.01466
  • Mean of quarter 3
    0.03868
  • Mean of quarter 4
    0.09031
  • Inter Quartile Range
    0.04632
  • 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
    0.16667
  • Mean of outliers high
    0.12533
  • 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?
    -321076000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01919
  • Compounded annual return (geometric extrapolation)
    0.01928
  • Calmar ratio (compounded annual return / max draw down)
    0.15386
  • Compounded annual return / average of 25% largest draw downs
    0.21353
  • Compounded annual return / Expected Shortfall lognormal
    0.78546

Strategy Description

If you've been trading for a while, you know that no trading strategy always works. That is why I use a variety of trading strategies depending on the chart setup I see. The strategies are:

1. Long ETFs with manually monitored stops. When available, 2X and 3X ETFs are used.

2. Long stocks/ETF with covered calls. This strategy can be entered first with a cash-secured put.

3. Long/short micro futures on the Dow, S&P500, Russell200, and Nasdaq 100.

4. Long high-yield ETFs with protective puts

This strategy may be used in retirement accounts since it does NOT enter short stock/ETF positions.

All trades are open for a few days to a few weeks. So, this strategy is suitable for those who do not have the time to day trade.
Trade this strategy at Tradier

Summary Statistics


Strategy began
2022-08-11
Suggested Minimum Capital
$35,000
# Trades
293
# Profitable
159
% Profitable
54.3%
Net Dividends
$2,650
Correlation S&P500
0.022
Sharpe Ratio
0.01
Sortino Ratio
0.01
Beta
0.02
Alpha
-0.00
Leverage
1.45 Average
6.91 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.