Collective2 Collective2
Featured Strategy TechSignal Followed by live capital $584.7 thousand Hypothetical

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Lista osservati Lista osservati

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


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Income Trades
(147357636)

Creato da: 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 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.


23.6%
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.

(33.3%)
Max Drawdown
195
Num Trades
94.9%
Win Trades
2.1 : 1
Profit Factor
82.4%
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%(5.2%)(9%)+4.6%+2.2%+9.4%                                    +8.0%


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.

Trading Record

This strategy has placed 176 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/29/25 13:14 LNG2520R200 LNG Jun20'25 200 put SHORT 1 0.45 6/6 9:41 0.18 n/a $25
Includes Typical Broker Commissions trade costs of $2.00
5/30/25 13:45 MSTR2506R300 MSTR Jun6'25 300 put SHORT 1 0.92 6/4 14:33 0.10 0.01%
Trade id #151877343
Max drawdown($2)
Time5/30/25 13:59
Quant open1
Worst price0.94
Drawdown as % of equity-0.01%
 $80
Includes Typical Broker Commissions trade costs of $2.00
5/21/25 12:11 GE2520R200 GE Jun20'25 200 put SHORT 1 0.50 6/4 9:36 0.18 0.17%
Trade id #151789864
Max drawdown($52)
Time5/23/25 0:00
Quant open1
Worst price1.02
Drawdown as % of equity-0.17%
 $30
Includes Typical Broker Commissions trade costs of $2.00
5/20/25 14:56 HIMS2506R43 HIMS Jun6'25 43 put SHORT 1 0.48 6/2 10:27 0.05 0.3%
Trade id #151779035
Max drawdown($93)
Time5/22/25 0:00
Quant open1
Worst price1.41
Drawdown as % of equity-0.30%
 $41
Includes Typical Broker Commissions trade costs of $2.00
5/14/25 15:25 GOOGL2506R140 GOOGL Jun6'25 140 put SHORT 1 0.33 5/30 13:20 0.04 0.02%
Trade id #151725937
Max drawdown($5)
Time5/15/25 0:00
Quant open1
Worst price0.38
Drawdown as % of equity-0.02%
 $27
Includes Typical Broker Commissions trade costs of $2.00
5/15/25 9:50 META2530Q540 META May30'25 540 put SHORT 1 0.50 5/28 14:34 0.02 0.1%
Trade id #151732867
Max drawdown($30)
Time5/16/25 0:00
Quant open1
Worst price0.80
Drawdown as % of equity-0.10%
 $46
Includes Typical Broker Commissions trade costs of $2.00
5/7/25 12:08 HIMS2530Q33 HIMS May30'25 33 put SHORT 1 0.41 5/28 12:19 0.01 0.02%
Trade id #151649628
Max drawdown($5)
Time5/7/25 12:12
Quant open1
Worst price0.46
Drawdown as % of equity-0.02%
 $38
Includes Typical Broker Commissions trade costs of $2.00
5/5/25 12:07 LLY2516Q700 LLY May16'25 700 put SHORT 1 0.62 5/15 14:35 0.55 3.06%
Trade id #151623958
Max drawdown($909)
Time5/12/25 0:00
Quant open1
Worst price9.71
Drawdown as % of equity-3.06%
 $5
Includes Typical Broker Commissions trade costs of $2.00
5/9/25 14:36 MPWR2516Q560 MPWR May16'25 560 put SHORT 1 1.10 5/15 10:19 0.15 0.03%
Trade id #151680294
Max drawdown($10)
Time5/9/25 15:01
Quant open1
Worst price1.20
Drawdown as % of equity-0.03%
 $93
Includes Typical Broker Commissions trade costs of $2.00
4/21/25 9:30 DG2516Q75 DG May16'25 75 put SHORT 2 1.29 5/15 9:59 0.03 n/a $249
Includes Typical Broker Commissions trade costs of $2.80
4/28/25 12:47 GOOG2516Q138 GOOG May16'25 138 put SHORT 1 0.41 5/15 9:56 0.02 0.22%
Trade id #151549659
Max drawdown($66)
Time5/7/25 0:00
Quant open1
Worst price1.07
Drawdown as % of equity-0.22%
 $37
Includes Typical Broker Commissions trade costs of $2.00
4/28/25 11:56 HIMS2523Q23 HIMS May23'25 23 put SHORT 1 1.35 5/12 10:26 0.05 0.03%
Trade id #151549120
Max drawdown($8)
Time4/28/25 12:28
Quant open1
Worst price1.43
Drawdown as % of equity-0.03%
 $128
Includes Typical Broker Commissions trade costs of $2.00
4/30/25 13:05 GOOG2516Q135 GOOG May16'25 135 put SHORT 1 0.30 5/12 9:30 0.05 0.14%
Trade id #151576497
Max drawdown($42)
Time5/7/25 0:00
Quant open1
Worst price0.72
Drawdown as % of equity-0.14%
 $23
Includes Typical Broker Commissions trade costs of $2.00
4/29/25 12:22 UNH2509Q370 UNH May9'25 370 put SHORT 1 0.75 5/9 14:21 0.04 0.27%
Trade id #151562510
Max drawdown($82)
Time4/30/25 0:00
Quant open1
Worst price1.57
Drawdown as % of equity-0.27%
 $69
Includes Typical Broker Commissions trade costs of $2.00
3/26/25 12:52 PLTR2525P65 PLTR Apr25'25 65 put SHORT 1 0.41 4/26 9:35 0.00 2.69%
Trade id #151197577
Max drawdown($611)
Time4/7/25 0:00
Quant open1
Worst price6.52
Drawdown as % of equity-2.69%
 $40
Includes Typical Broker Commissions trade costs of $1.00
3/12/25 10:22 MRVL2517D90 MRVL Apr17'25 90 call SHORT 2 0.52 4/18 8:05 0.00 0.1%
Trade id #151078812
Max drawdown($28)
Time3/13/25 0:00
Quant open2
Worst price0.66
Drawdown as % of equity-0.10%
 $103
Includes Typical Broker Commissions trade costs of $1.40
3/12/25 9:56 PLTR2517P85 PLTR Apr17'25 85 put SHORT 2 9.22 4/18 8:05 0.00 8.99%
Trade id #151078355
Max drawdown($2,046)
Time4/7/25 0:00
Quant open2
Worst price19.45
Drawdown as % of equity-8.99%
 $1,843
Includes Typical Broker Commissions trade costs of $1.40
4/11/25 12:21 LLY2517P600 LLY Apr17'25 600 put SHORT 1 2.60 4/18 8:05 0.00 0.04%
Trade id #151375027
Max drawdown($11)
Time4/11/25 12:26
Quant open1
Worst price2.71
Drawdown as % of equity-0.04%
 $259
Includes Typical Broker Commissions trade costs of $1.00
4/10/25 14:08 META2517P370 META Apr17'25 370 put SHORT 1 0.36 4/18 8:05 0.00 0.08%
Trade id #151359725
Max drawdown($21)
Time4/11/25 0:00
Quant open1
Worst price0.57
Drawdown as % of equity-0.08%
 $35
Includes Typical Broker Commissions trade costs of $1.00
4/1/25 12:25 VST2517P95 VST Apr17'25 95 put SHORT 1 0.53 4/18 8:05 0.00 3.09%
Trade id #151249047
Max drawdown($844)
Time4/4/25 0:00
Quant open1
Worst price8.97
Drawdown as % of equity-3.09%
 $52
Includes Typical Broker Commissions trade costs of $1.00
3/20/25 9:30 GOOGL2517P140 GOOGL Apr17'25 140 put SHORT 1 0.58 4/18 8:05 0.00 2.67%
Trade id #151143377
Max drawdown($607)
Time4/7/25 0:00
Quant open1
Worst price6.65
Drawdown as % of equity-2.67%
 $57
Includes Typical Broker Commissions trade costs of $1.00
3/27/25 14:33 MSTR2511P180 MSTR Apr11'25 180 put SHORT 1 0.45 4/11 12:21 0.02 1.3%
Trade id #151210316
Max drawdown($295)
Time4/7/25 0:00
Quant open1
Worst price3.40
Drawdown as % of equity-1.30%
 $41
Includes Typical Broker Commissions trade costs of $2.00
3/19/25 12:17 META2511P445 META Apr11'25 445 put SHORT 1 0.68 4/11 12:20 0.02 4.49%
Trade id #151136393
Max drawdown($1,022)
Time4/7/25 0:00
Quant open1
Worst price10.90
Drawdown as % of equity-4.49%
 $64
Includes Typical Broker Commissions trade costs of $2.00
3/21/25 12:15 MSTR2528O190 MSTR Mar28'25 190 put SHORT 1 0.53 3/29 9:35 0.00 0.02%
Trade id #151156714
Max drawdown($5)
Time3/21/25 15:52
Quant open1
Worst price0.58
Drawdown as % of equity-0.02%
 $52
Includes Typical Broker Commissions trade costs of $1.00
3/25/25 13:19 MSTR2528O255 MSTR Mar28'25 255 put SHORT 2 0.30 3/29 9:35 0.00 0.01%
Trade id #151184271
Max drawdown($4)
Time3/25/25 13:30
Quant open2
Worst price0.32
Drawdown as % of equity-0.01%
 $59
Includes Typical Broker Commissions trade costs of $1.40
3/17/25 14:29 LEN2521O100 LEN Mar21'25 100 put SHORT 1 0.30 3/22 9:35 0.00 0.02%
Trade id #151118364
Max drawdown($5)
Time3/18/25 0:00
Quant open1
Worst price0.35
Drawdown as % of equity-0.02%
 $29
Includes Typical Broker Commissions trade costs of $1.00
2/10/25 12:08 UNH2521O430 UNH Mar21'25 430 put SHORT 1 0.90 3/22 9:35 0.00 3.51%
Trade id #150825205
Max drawdown($1,165)
Time2/21/25 0:00
Quant open1
Worst price12.55
Drawdown as % of equity-3.51%
 $89
Includes Typical Broker Commissions trade costs of $1.00
3/14/25 13:20 MSTR2521O150 MSTR Mar21'25 150 put SHORT 1 0.47 3/22 9:35 0.00 0.01%
Trade id #151103924
Max drawdown($3)
Time3/14/25 14:13
Quant open1
Worst price0.50
Drawdown as % of equity-0.01%
 $46
Includes Typical Broker Commissions trade costs of $1.00
2/26/25 12:23 ETN2521O260 ETN Mar21'25 260 put SHORT 1 1.26 3/22 9:35 0.00 1.75%
Trade id #150960404
Max drawdown($544)
Time3/4/25 0:00
Quant open1
Worst price6.70
Drawdown as % of equity-1.75%
 $125
Includes Typical Broker Commissions trade costs of $1.00
2/19/25 12:18 PLTR2514O90 PLTR Mar14'25 90 put SHORT 2 0.37 3/12 9:55 8.25 10.35%
Trade id #150904035
Max drawdown($3,020)
Time3/10/25 0:00
Quant open2
Worst price15.47
Drawdown as % of equity-10.35%
 ($1,579)
Includes Typical Broker Commissions trade costs of $2.80

Successivo

Statistics

  • Strategy began
    2/16/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    487.13
  • Age
    16 months ago
  • What it trades
    Options
  • # Trades
    195
  • # Profitable
    185
  • % Profitable
    94.90%
  • Avg trade duration
    18.6 days
  • Max peak-to-valley drawdown
    33.3%
  • drawdown period
    Feb 19, 2025 - April 07, 2025
  • Annual Return (Compounded)
    23.6%
  • Avg win
    $99.19
  • Avg loss
    $892.10
  • Model Account Values (Raw)
  • Cash
    $29,360
  • Margin Used
    $22,331
  • Buying Power
    $3,627
  • Ratios
  • W:L ratio
    2.06:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.87
  • Calmar Ratio
    0.962
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.40%
  • Correlation to SP500
    0.35890
  • Return Percent SP500 (cumu) during strategy life
    19.92%
  • Return Statistics
  • Ann Return (w trading costs)
    23.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Return Statistics
  • Return Pcnt Since TOS Status
    23.190%
  • Instruments
  • Short Options - Percent Covered
    1.04%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.236%
  • Instruments
  • Percent Trades Options
    0.99%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.50%
  • Chance of 20% account loss
    17.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    0.50%
  • 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)
    604
  • Popularity (Last 6 weeks)
    847
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    942
  • Popularity (7 days, Percentile 1000 scale)
    683
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $892
  • Avg Win
    $99
  • Sum Trade PL (losers)
    $8,921.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $18,351.000
  • # Winners
    185
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    12
  • AUM
  • AUM (AutoTrader live capital)
    34131
  • Win / Loss
  • # Losers
    10
  • % Winners
    94.9%
  • Frequency
  • Avg Position Time (mins)
    26845.00
  • Avg Position Time (hrs)
    447.42
  • Avg Trade Length
    18.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.46
  • Daily leverage (max)
    5.25
  • Regression
  • Alpha
    0.04
  • Beta
    0.62
  • Treynor Index
    0.11
  • 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)
    3.38
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    7.123
  • 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
    1.981
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.093
  • Hold-and-Hope Ratio
    0.149
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24759
  • SD
    0.24642
  • Sharpe ratio (Glass type estimate)
    1.00475
  • Sharpe ratio (Hedges UMVUE)
    0.94977
  • df
    14.00000
  • t
    1.12334
  • p
    0.35623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73777
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60009
  • Upside Potential Ratio
    3.03972
  • Upside part of mean
    0.47035
  • Downside part of mean
    -0.22276
  • Upside SD
    0.19453
  • Downside SD
    0.15474
  • N nonnegative terms
    12.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.14558
  • Mean of criterion
    0.24759
  • SD of predictor
    0.21804
  • SD of criterion
    0.24642
  • Covariance
    0.04481
  • r
    0.83401
  • b (slope, estimate of beta)
    0.94254
  • a (intercept, estimate of alpha)
    0.11037
  • Mean Square Error
    0.01991
  • DF error
    13.00000
  • t(b)
    5.45003
  • p(b)
    0.03957
  • t(a)
    0.85767
  • p(a)
    0.35400
  • Lowerbound of 95% confidence interval for beta
    0.56892
  • Upperbound of 95% confidence interval for beta
    1.31616
  • Lowerbound of 95% confidence interval for alpha
    -0.16764
  • Upperbound of 95% confidence interval for alpha
    0.38838
  • Treynor index (mean / b)
    0.26268
  • Jensen alpha (a)
    0.11037
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21649
  • SD
    0.24728
  • Sharpe ratio (Glass type estimate)
    0.87549
  • Sharpe ratio (Hedges UMVUE)
    0.82759
  • df
    14.00000
  • t
    0.97882
  • p
    0.37346
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60723
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31671
  • Upside Potential Ratio
    2.74725
  • Upside part of mean
    0.45169
  • Downside part of mean
    -0.23520
  • Upside SD
    0.18424
  • Downside SD
    0.16442
  • N nonnegative terms
    12.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.12222
  • Mean of criterion
    0.21649
  • SD of predictor
    0.21953
  • SD of criterion
    0.24728
  • Covariance
    0.04439
  • r
    0.81775
  • b (slope, estimate of beta)
    0.92110
  • a (intercept, estimate of alpha)
    0.10391
  • Mean Square Error
    0.02181
  • DF error
    13.00000
  • t(b)
    5.12266
  • p(b)
    0.04540
  • t(a)
    0.77594
  • p(a)
    0.36706
  • Lowerbound of 95% confidence interval for beta
    0.53265
  • Upperbound of 95% confidence interval for beta
    1.30956
  • Lowerbound of 95% confidence interval for alpha
    -0.18540
  • Upperbound of 95% confidence interval for alpha
    0.39323
  • Treynor index (mean / b)
    0.23503
  • Jensen alpha (a)
    0.10391
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09460
  • Expected Shortfall on VaR
    0.12090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02072
  • Expected Shortfall on VaR
    0.05284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.86245
  • Quartile 1
    1.01491
  • Median
    1.03596
  • Quartile 3
    1.04478
  • Maximum
    1.15489
  • Mean of quarter 1
    0.93490
  • Mean of quarter 2
    1.02647
  • Mean of quarter 3
    1.03998
  • Mean of quarter 4
    1.09476
  • Inter Quartile Range
    0.02987
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.90951
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    1.12789
  • 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)
    -1.06862
  • VaR(95%) (regression method)
    0.14742
  • Expected Shortfall (regression method)
    0.16528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04744
  • Quartile 1
    0.08861
  • Median
    0.12979
  • Quartile 3
    0.17096
  • Maximum
    0.21213
  • Mean of quarter 1
    0.04744
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21213
  • Inter Quartile Range
    0.08235
  • 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)
    0.28584
  • Compounded annual return (geometric extrapolation)
    0.27685
  • Calmar ratio (compounded annual return / max draw down)
    1.30508
  • Compounded annual return / average of 25% largest draw downs
    1.30508
  • Compounded annual return / Expected Shortfall lognormal
    2.28994
  • 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
    0.26923
  • SD
    0.30108
  • Sharpe ratio (Glass type estimate)
    0.89420
  • Sharpe ratio (Hedges UMVUE)
    0.89217
  • df
    332.00000
  • t
    1.00810
  • p
    0.15707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84631
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63200
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19625
  • Upside Potential Ratio
    6.39188
  • Upside part of mean
    1.43855
  • Downside part of mean
    -1.16933
  • Upside SD
    0.20001
  • Downside SD
    0.22506
  • N nonnegative terms
    214.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    333.00000
  • Mean of predictor
    0.12905
  • Mean of criterion
    0.26923
  • SD of predictor
    0.18309
  • SD of criterion
    0.30108
  • Covariance
    0.01957
  • r
    0.35499
  • b (slope, estimate of beta)
    0.58377
  • a (intercept, estimate of alpha)
    0.19400
  • Mean Square Error
    0.07947
  • DF error
    331.00000
  • t(b)
    6.90850
  • p(b)
    -0.00000
  • t(a)
    0.77469
  • p(a)
    0.21954
  • Lowerbound of 95% confidence interval for beta
    0.41755
  • Upperbound of 95% confidence interval for beta
    0.75000
  • Lowerbound of 95% confidence interval for alpha
    -0.29846
  • Upperbound of 95% confidence interval for alpha
    0.68624
  • Treynor index (mean / b)
    0.46119
  • Jensen alpha (a)
    0.19389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22303
  • SD
    0.30562
  • Sharpe ratio (Glass type estimate)
    0.72974
  • Sharpe ratio (Hedges UMVUE)
    0.72809
  • df
    332.00000
  • t
    0.82270
  • p
    0.20564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46748
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94864
  • Upside Potential Ratio
    6.03592
  • Upside part of mean
    1.41906
  • Downside part of mean
    -1.19603
  • Upside SD
    0.19504
  • Downside SD
    0.23510
  • N nonnegative terms
    214.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    333.00000
  • Mean of predictor
    0.11240
  • Mean of criterion
    0.22303
  • SD of predictor
    0.18231
  • SD of criterion
    0.30562
  • Covariance
    0.02083
  • r
    0.37387
  • b (slope, estimate of beta)
    0.62675
  • a (intercept, estimate of alpha)
    0.15258
  • Mean Square Error
    0.08059
  • DF error
    331.00000
  • t(b)
    7.33381
  • p(b)
    -0.00000
  • t(a)
    0.60550
  • p(a)
    0.27263
  • Lowerbound of 95% confidence interval for beta
    0.45864
  • Upperbound of 95% confidence interval for beta
    0.79487
  • Lowerbound of 95% confidence interval for alpha
    -0.34313
  • Upperbound of 95% confidence interval for alpha
    0.64830
  • Treynor index (mean / b)
    0.35585
  • Jensen alpha (a)
    0.15258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02975
  • Expected Shortfall on VaR
    0.03736
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00780
  • Expected Shortfall on VaR
    0.01846
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    333.00000
  • Minimum
    0.85168
  • Quartile 1
    0.99840
  • Median
    1.00148
  • Quartile 3
    1.00550
  • Maximum
    1.09976
  • Mean of quarter 1
    0.98265
  • Mean of quarter 2
    1.00019
  • Mean of quarter 3
    1.00319
  • Mean of quarter 4
    1.01873
  • Inter Quartile Range
    0.00710
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.09910
  • Mean of outliers low
    0.96543
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.10210
  • Mean of outliers high
    1.03127
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50588
  • VaR(95%) (moments method)
    0.00912
  • Expected Shortfall (moments method)
    0.02297
  • Extreme Value Index (regression method)
    0.34213
  • VaR(95%) (regression method)
    0.01675
  • Expected Shortfall (regression method)
    0.03531
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00071
  • Median
    0.00279
  • Quartile 3
    0.01409
  • Maximum
    0.29646
  • Mean of quarter 1
    0.00030
  • Mean of quarter 2
    0.00162
  • Mean of quarter 3
    0.00589
  • Mean of quarter 4
    0.06792
  • Inter Quartile Range
    0.01338
  • 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
    0.08571
  • Mean of outliers high
    0.16490
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.03112
  • VaR(95%) (moments method)
    0.06812
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.15232
  • VaR(95%) (regression method)
    0.06057
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29557
  • Compounded annual return (geometric extrapolation)
    0.28523
  • Calmar ratio (compounded annual return / max draw down)
    0.96209
  • Compounded annual return / average of 25% largest draw downs
    4.19933
  • Compounded annual return / Expected Shortfall lognormal
    7.63535
  • 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
    0.30780
  • SD
    0.41917
  • Sharpe ratio (Glass type estimate)
    0.73431
  • Sharpe ratio (Hedges UMVUE)
    0.73006
  • df
    130.00000
  • t
    0.51924
  • p
    0.47725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50623
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04316
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50329
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97348
  • Upside Potential Ratio
    7.27418
  • Upside part of mean
    2.29998
  • Downside part of mean
    -1.99218
  • Upside SD
    0.27341
  • Downside SD
    0.31618
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01546
  • Mean of criterion
    0.30780
  • SD of predictor
    0.24629
  • SD of criterion
    0.41917
  • Covariance
    0.03287
  • r
    0.31835
  • b (slope, estimate of beta)
    0.54180
  • a (intercept, estimate of alpha)
    0.31617
  • Mean Square Error
    0.15912
  • DF error
    129.00000
  • t(b)
    3.81416
  • p(b)
    0.30081
  • t(a)
    0.56046
  • p(a)
    0.46864
  • Lowerbound of 95% confidence interval for beta
    0.26075
  • Upperbound of 95% confidence interval for beta
    0.82285
  • Lowerbound of 95% confidence interval for alpha
    -0.79997
  • Upperbound of 95% confidence interval for alpha
    1.43232
  • Treynor index (mean / b)
    0.56811
  • Jensen alpha (a)
    0.31617
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21849
  • SD
    0.42659
  • Sharpe ratio (Glass type estimate)
    0.51216
  • Sharpe ratio (Hedges UMVUE)
    0.50920
  • df
    130.00000
  • t
    0.36215
  • p
    0.48413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28370
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28170
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65862
  • Upside Potential Ratio
    6.82399
  • Upside part of mean
    2.26372
  • Downside part of mean
    -2.04524
  • Upside SD
    0.26595
  • Downside SD
    0.33173
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04528
  • Mean of criterion
    0.21849
  • SD of predictor
    0.24466
  • SD of criterion
    0.42659
  • Covariance
    0.03585
  • r
    0.34351
  • b (slope, estimate of beta)
    0.59893
  • a (intercept, estimate of alpha)
    0.24560
  • Mean Square Error
    0.16175
  • DF error
    129.00000
  • t(b)
    4.15429
  • p(b)
    0.28570
  • t(a)
    0.43178
  • p(a)
    0.47582
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.31369
  • Upperbound of 95% confidence interval for beta
    0.88418
  • Lowerbound of 95% confidence interval for alpha
    -0.87980
  • Upperbound of 95% confidence interval for alpha
    1.37101
  • Treynor index (mean / b)
    0.36479
  • Jensen alpha (a)
    0.24560
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04163
  • Expected Shortfall on VaR
    0.05208
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01423
  • Expected Shortfall on VaR
    0.03175
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85168
  • Quartile 1
    0.99245
  • Median
    1.00327
  • Quartile 3
    1.01318
  • Maximum
    1.09976
  • Mean of quarter 1
    0.97175
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00781
  • Mean of quarter 4
    1.02684
  • Inter Quartile Range
    0.02073
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.93423
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.08032
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56396
  • VaR(95%) (moments method)
    0.02868
  • Expected Shortfall (moments method)
    0.07345
  • Extreme Value Index (regression method)
    0.53503
  • VaR(95%) (regression method)
    0.02580
  • Expected Shortfall (regression method)
    0.06084
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00227
  • Median
    0.00534
  • Quartile 3
    0.02140
  • Maximum
    0.29646
  • Mean of quarter 1
    0.00090
  • Mean of quarter 2
    0.00372
  • Mean of quarter 3
    0.01279
  • Mean of quarter 4
    0.12053
  • Inter Quartile Range
    0.01912
  • 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
    0.08333
  • Mean of outliers high
    0.29646
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.98546
  • VaR(95%) (moments method)
    0.11268
  • Expected Shortfall (moments method)
    8.44788
  • Extreme Value Index (regression method)
    3.59548
  • VaR(95%) (regression method)
    0.36425
  • 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?
    -381667000
  • Max Equity Drawdown (num days)
    47
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26221
  • Compounded annual return (geometric extrapolation)
    0.27940
  • Calmar ratio (compounded annual return / max draw down)
    0.94245
  • Compounded annual return / average of 25% largest draw downs
    2.31803
  • Compounded annual return / Expected Shortfall lognormal
    5.36524

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
Rank at C2 %
Top 5.8%
Rank # 
#40
# Trades
195
# Profitable
185
% Profitable
94.9%
Net Dividends
$12
Correlation S&P500
0.359
Sharpe Ratio
0.65
Sortino Ratio
0.87
Beta
0.62
Alpha
0.04
Leverage
3.46 Average
5.25 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.