Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +38.3% Cumul. Return since Sep 23, 2025 Hypothetical

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Reditus
(75514600)

Created by: BAMVentures BAMVentures
Started: 07/2012
Options
Last trade: 4,216 days ago
Subscriptions not currently available.

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 $65.00 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.

8.5%
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.

(46.6%)
Max Drawdown
134
Num Trades
97.0%
Win Trades
12.1 : 1
Profit Factor
56.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                          +0.7%+2.1%+2.5%+0.2%(2%)+2.4%+6.1%
2013+6.3%(2%)+0.5%+4.1%+2.6%(2.6%)+5.0%(5.7%)+4.3%+3.9%+5.3%(0.7%)+22.2%
2014(9.2%)+4.7%(5.5%)(1.6%)(5.2%)(2.3%)+0.4%+9.6%(3.5%)(3.1%)+3.6%(6.3%)(18.2%)
2015(3.1%)+7.8%(2.6%)(2.5%)(5.6%)(0.7%)(3.4%)(0.9%)(6.5%)+9.2%+4.8%(1.8%)(6.6%)
2016(5.3%)+4.6%+6.8%+65.8%(1%)+0.2%+4.8%(3.4%)(1.7%)(43%)+7.7%(7.1%)(1.2%)
2017+74.3%+2.3%+0.3%(0.2%)+2.4%+2.6%+1.2%+0.9%(0.3%)(0.1%)+0.2%+2.3%+95.8%
2018+3.7%+2.5%(1.3%)+2.8%+3.2%+6.1%(0.6%)(3.6%)(0.4%)(3.1%)(5.8%)(5.6%)(2.9%)
2019+1.6%(3.7%)+0.8%+2.7%+0.8%  -  (1.8%)  -  +0.6%(0.6%)+0.3%(4.5%)
2020(0.5%)(2.1%)(5%)+0.1%+2.2%+0.3%(0.5%)+2.3%+1.1%+1.0%+4.4%+2.6%+5.7%
2021+3.3%+0.3%+4.1%+3.4%+1.6%+2.6%(1.7%)(2%)(2.9%)(0.6%)+0.4%(0.9%)+7.4%
2022+44.8%+0.9%+3.4%(6.1%)(1.2%)(6.6%)+1.8%+0.6%(2.3%)+4.3%+6.4%+0.2%+45.6%
2023+2.9%(3.5%)(2.8%)+2.0%(4.4%)+3.0%(2.7%)+0.4%(0.1%)+4.6%+2.5%+1.9%+3.3%
2024+1.2%+5.9%+1.3%(5.1%)(0.6%)+0.2%  -  +0.4%+1.4%+1.0%(1.1%)+8.5%
2025+1.8%+0.8%(1.1%)(3.7%)(1.1%)(1.2%)+1.7%+5.4%+3.1%(1.8%)+0.3%+2.5%+6.6%
2026(1.6%)(2.2%)(5.6%)+0.9%(4.9%)+1.5%                                    (11.5%)

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 9 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4469 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/14 14:05 WU1422W14 WU Nov22'14 14 put SHORT 2 0.70 11/23 10:11 0.00 0%
Trade id #87118187
Max drawdown$0
Time4/28/14 13:07
Quant open-2
Worst price0.70
Drawdown as % of equity0.00%
 $139
Includes Typical Broker Commissions trade costs of $1.40
4/15/14 14:49 JCP1422W5 JCP Nov22'14 5 put SHORT 6 0.59 11/23 10:11 0.00 0.05%
Trade id #87070922
Max drawdown($24)
Time4/15/14 21:35
Quant open6
Worst price0.00
Drawdown as % of equity-0.05%
 $350
Includes Typical Broker Commissions trade costs of $4.20
4/25/14 10:35 DHI1422W20 DHI Nov22'14 20 put SHORT 2 1.07 11/23 10:11 0.00 0.05%
Trade id #87242266
Max drawdown($22)
Time10/14/14 9:53
Quant open-2
Worst price1.18
Drawdown as % of equity-0.05%
 $213
Includes Typical Broker Commissions trade costs of $1.40
3/13/14 12:00 WTW1418V15 WTW Oct18'14 15 put SHORT 2 1.30 10/19 10:14 0.00 0.04%
Trade id #86454613
Max drawdown($20)
Time3/19/14 15:49
Quant open-2
Worst price1.40
Drawdown as % of equity-0.04%
 $259
Includes Typical Broker Commissions trade costs of $1.40
3/4/14 15:02 DRI1418V45 DRI Oct18'14 45 put SHORT 1 2.65 10/19 10:14 0.00 0.01%
Trade id #86283933
Max drawdown($6)
Time7/21/14 14:06
Quant open-1
Worst price2.71
Drawdown as % of equity-0.01%
 $264
Includes Typical Broker Commissions trade costs of $1.00
3/12/14 9:58 CLF1418V13 CLF Oct18'14 13 put SHORT 2 0.87 10/19 10:14 0.00 2.28%
Trade id #86424696
Max drawdown($1,028)
Time10/10/14 14:48
Quant open-2
Worst price6.01
Drawdown as % of equity-2.28%
 $173
Includes Typical Broker Commissions trade costs of $1.40
3/14/14 10:27 ADT1418V25 ADT Oct18'14 25 put SHORT 1 1.25 10/19 10:14 0.00 n/a $124
Includes Typical Broker Commissions trade costs of $1.00
1/14/14 10:33 DHI1416T19 DHI Aug16'14 19 put SHORT 2 1.23 8/17 9:10 0.00 0.09%
Trade id #85159192
Max drawdown($44)
Time1/27/14 13:35
Quant open-2
Worst price1.45
Drawdown as % of equity-0.09%
 $245
Includes Typical Broker Commissions trade costs of $1.40
2/6/14 15:05 COH1416T42 COH Aug16'14 42 put SHORT 1 2.10 8/17 9:10 0.00 1.3%
Trade id #85633690
Max drawdown($581)
Time7/21/14 11:55
Quant open-1
Worst price7.91
Drawdown as % of equity-1.30%
 $209
Includes Typical Broker Commissions trade costs of $1.00
2/7/14 13:48 FCX1416T29 FCX Aug16'14 29 put SHORT 1 1.50 8/17 9:10 0.00 0.03%
Trade id #85666471
Max drawdown($14)
Time3/20/14 10:02
Quant open-1
Worst price1.64
Drawdown as % of equity-0.03%
 $149
Includes Typical Broker Commissions trade costs of $1.00
1/7/14 15:29 EXC1419S25 EXC Jul19'14 25 put SHORT 1 1.00 7/20 9:12 0.00 0%
Trade id #85035403
Max drawdown$0
Time1/9/14 11:59
Quant open-1
Worst price1.00
Drawdown as % of equity0.00%
 $99
Includes Typical Broker Commissions trade costs of $1.00
12/4/13 10:25 EXPR1419S17.5 EXPR Jul19'14 17.5 put SHORT 2 1.10 7/20/14 9:12 0.00 0.38%
Trade id #84415454
Max drawdown($168)
Time7/15/14 12:51
Quant open-2
Worst price1.94
Drawdown as % of equity-0.38%
 $219
Includes Typical Broker Commissions trade costs of $1.40
1/6/14 12:49 WTW1419S25 WTW Jul19'14 25 put SHORT 1 1.15 7/20 9:12 0.00 1.08%
Trade id #85008890
Max drawdown($479)
Time7/15/14 13:48
Quant open-1
Worst price5.94
Drawdown as % of equity-1.08%
 $114
Includes Typical Broker Commissions trade costs of $1.00
1/24/14 12:24 CLF1419S15 CLF Jul19'14 15 put SHORT 2 0.95 7/20 9:12 0.00 0.17%
Trade id #85365878
Max drawdown($76)
Time6/25/14 11:35
Quant open-2
Worst price1.33
Drawdown as % of equity-0.17%
 $189
Includes Typical Broker Commissions trade costs of $1.40
1/21/14 9:54 BBY1421R19 BBY Jun21'14 19 put SHORT 2 0.80 6/22 9:01 0.00 0.16%
Trade id #85278260
Max drawdown($78)
Time2/5/14 9:41
Quant open-2
Worst price1.19
Drawdown as % of equity-0.16%
 $159
Includes Typical Broker Commissions trade costs of $1.40
10/23/13 12:55 COH1417Q45 COH May17'14 45 put SHORT 1 2.85 5/18/14 9:09 0.00 0.22%
Trade id #83668200
Max drawdown($105)
Time5/15/14 10:17
Quant open-1
Worst price3.90
Drawdown as % of equity-0.22%
 $284
Includes Typical Broker Commissions trade costs of $1.00
11/13/13 10:27 AEO1417Q16 AEO May17'14 16 put SHORT 2 1.65 5/18/14 9:08 0.00 1.26%
Trade id #84051965
Max drawdown($610)
Time4/24/14 11:43
Quant open-2
Worst price4.70
Drawdown as % of equity-1.26%
 $329
Includes Typical Broker Commissions trade costs of $1.40
2/23/14 9:17 JCP J.C. PENNEY LONG 600 7.00 5/18 9:08 7.00 2.15%
Trade id #86114191
Max drawdown($1,062)
Time2/26/14 9:36
Quant open600
Worst price5.23
Drawdown as % of equity-2.15%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
2/24/14 10:53 JCP1417E7 JCP May17'14 7 call SHORT 6 0.30 5/18 9:08 0.00 3.27%
Trade id #86130063
Max drawdown($1,554)
Time5/16/14 9:40
Quant open-6
Worst price2.89
Drawdown as % of equity-3.27%
 $176
Includes Typical Broker Commissions trade costs of $4.20
2/24/14 10:52 COH1417E50 COH May17'14 50 call SHORT 1 1.40 5/18 9:08 0.00 0.16%
Trade id #86130041
Max drawdown($80)
Time4/28/14 10:52
Quant open-1
Worst price2.20
Drawdown as % of equity-0.16%
 $139
Includes Typical Broker Commissions trade costs of $1.00
12/10/13 14:53 POT1421R28 POT Jun21'14 28 put SHORT 1 1.25 4/21/14 15:04 0.06 0.03%
Trade id #84523894
Max drawdown($16)
Time12/16/13 10:47
Quant open-1
Worst price1.41
Drawdown as % of equity-0.03%
 $117
Includes Typical Broker Commissions trade costs of $2.00
11/4/13 15:04 STRA1419P30 STRA Apr19'14 30 put SHORT 1 1.45 4/20/14 9:23 0.00 0.03%
Trade id #83880899
Max drawdown($15)
Time12/20/13 9:31
Quant open-1
Worst price1.60
Drawdown as % of equity-0.03%
 $144
Includes Typical Broker Commissions trade costs of $1.00
9/25/13 15:25 JCP1422O5 JCP Mar22'14 5 put SHORT 8 0.42 3/23/14 9:18 0.00 0.16%
Trade id #83164297
Max drawdown($80)
Time2/24/14 15:57
Quant open-8
Worst price0.52
Drawdown as % of equity-0.16%
 $330
Includes Typical Broker Commissions trade costs of $5.60
2/24/14 10:50 AEO1422C15 AEO Mar22'14 15 call SHORT 3 0.35 3/23 9:04 0.00 0.29%
Trade id #86130012
Max drawdown($150)
Time2/27/14 13:32
Quant open-3
Worst price0.85
Drawdown as % of equity-0.29%
 $103
Includes Typical Broker Commissions trade costs of $2.10
10/4/13 13:56 DRI1419P41 DRI Apr19'14 41 put SHORT 1 1.65 3/21/14 10:03 0.05 0.03%
Trade id #83310091
Max drawdown($15)
Time10/9/13 23:03
Quant open1
Worst price0.00
Drawdown as % of equity-0.03%
 $158
Includes Typical Broker Commissions trade costs of $2.00
10/14/13 15:10 ANF1417Q27 ANF May17'14 27 put SHORT 1 1.68 2/26/14 11:23 0.18 0.05%
Trade id #83493705
Max drawdown($27)
Time10/25/13 0:12
Quant open1
Worst price0.00
Drawdown as % of equity-0.05%
 $148
Includes Typical Broker Commissions trade costs of $2.00
10/31/13 15:16 PHM1419P15 PHM Apr19'14 15 put SHORT 2 0.77 2/6/14 14:58 0.08 0.03%
Trade id #83821604
Max drawdown($18)
Time11/13/13 15:58
Quant open-2
Worst price0.86
Drawdown as % of equity-0.03%
 $135
Includes Typical Broker Commissions trade costs of $2.80
10/10/13 13:33 DHI1417Q15 DHI May17'14 15 put SHORT 2 0.99 1/28/14 12:54 0.14 0.03%
Trade id #83435107
Max drawdown($16)
Time10/15/13 13:05
Quant open-2
Worst price1.07
Drawdown as % of equity-0.03%
 $167
Includes Typical Broker Commissions trade costs of $2.80
10/17/13 13:42 CLF1418A29 CLF Jan18'14 29 call SHORT 1 0.70 1/19/14 9:08 0.00 0.03%
Trade id #83564283
Max drawdown($14)
Time11/22/13 15:52
Quant open-1
Worst price0.84
Drawdown as % of equity-0.03%
 $69
Includes Typical Broker Commissions trade costs of $1.00
10/8/13 12:37 APOL1417Q17 APOL May17'14 17 put SHORT 3 1.34 1/13/14 11:44 0.15 0.1%
Trade id #83364653
Max drawdown($45)
Time10/9/13 22:43
Quant open3
Worst price0.00
Drawdown as % of equity-0.10%
 $353
Includes Typical Broker Commissions trade costs of $4.20

Statistics

  • Strategy began
    7/24/2012
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    5065.06
  • Age
    169 months ago
  • What it trades
    Options
  • # Trades
    134
  • # Profitable
    130
  • % Profitable
    97.00%
  • Avg trade duration
    322.5 days
  • Max peak-to-valley drawdown
    46.61%
  • drawdown period
    Sept 12, 2016 - Nov 04, 2016
  • Annual Return (Compounded)
    8.5%
  • Avg win
    $671.33
  • Avg loss
    $1,969
  • Model Account Values (Raw)
  • Cash
    $46,482
  • Margin Used
    $0
  • Buying Power
    $106,854
  • Ratios
  • W:L ratio
    12.08:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.65
  • Calmar Ratio
    0.722
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -240.84%
  • Correlation to SP500
    0.11300
  • Return Percent SP500 (cumu) during strategy life
    453.36%
  • Return Statistics
  • Ann Return (w trading costs)
    8.5%
  • Slump
  • Current Slump as Pcnt Equity
    14.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.085%
  • Instruments
  • Percent Trades Options
    0.92%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    26.67%
  • Chance of 70% account loss (Monte Carlo)
    13.33%
  • Chance of 80% account loss (Monte Carlo)
    13.33%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    26.67%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,969
  • Avg Win
    $671
  • Sum Trade PL (losers)
    $7,876.000
  • Age
  • Num Months filled monthly returns table
    168
  • Win / Loss
  • Sum Trade PL (winners)
    $87,273.000
  • # Winners
    130
  • Num Months Winners
    93
  • Dividends
  • Dividends Received in Model Acct
    7857
  • Win / Loss
  • # Losers
    4
  • % Winners
    97.0%
  • Frequency
  • Avg Position Time (mins)
    464354.00
  • Avg Position Time (hrs)
    7739.23
  • Avg Trade Length
    322.5 days
  • Last Trade Ago
    4213
  • Regression
  • Alpha
    0.04
  • Beta
    0.44
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.92
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.75
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    0.601
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.334
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.172
  • Hold-and-Hope Ratio
    1.643
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34040
  • SD
    0.47516
  • Sharpe ratio (Glass type estimate)
    0.71638
  • Sharpe ratio (Hedges UMVUE)
    0.70535
  • df
    49.00000
  • t
    1.46231
  • p
    0.07502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26493
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67564
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78617
  • Upside Potential Ratio
    4.67378
  • Upside part of mean
    0.57101
  • Downside part of mean
    -0.23062
  • Upside SD
    0.46475
  • Downside SD
    0.12217
  • N nonnegative terms
    26.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.36173
  • Mean of criterion
    0.34040
  • SD of predictor
    0.25016
  • SD of criterion
    0.47516
  • Covariance
    0.03088
  • r
    0.25976
  • b (slope, estimate of beta)
    0.49339
  • a (intercept, estimate of alpha)
    0.16192
  • Mean Square Error
    0.21493
  • DF error
    48.00000
  • t(b)
    1.86365
  • p(b)
    0.03425
  • t(a)
    0.65693
  • p(a)
    0.25718
  • Lowerbound of 95% confidence interval for beta
    -0.03891
  • Upperbound of 95% confidence interval for beta
    1.02570
  • Lowerbound of 95% confidence interval for alpha
    -0.33366
  • Upperbound of 95% confidence interval for alpha
    0.65751
  • Treynor index (mean / b)
    0.68991
  • Jensen alpha (a)
    0.16192
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25507
  • SD
    0.37935
  • Sharpe ratio (Glass type estimate)
    0.67238
  • Sharpe ratio (Hedges UMVUE)
    0.66203
  • df
    49.00000
  • t
    1.37250
  • p
    0.08808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63837
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30706
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63112
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00380
  • Upside Potential Ratio
    3.87310
  • Upside part of mean
    0.49302
  • Downside part of mean
    -0.23795
  • Upside SD
    0.36090
  • Downside SD
    0.12729
  • N nonnegative terms
    26.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.32784
  • Mean of criterion
    0.25507
  • SD of predictor
    0.23589
  • SD of criterion
    0.37935
  • Covariance
    0.02611
  • r
    0.29181
  • b (slope, estimate of beta)
    0.46927
  • a (intercept, estimate of alpha)
    0.10122
  • Mean Square Error
    0.13440
  • DF error
    48.00000
  • t(b)
    2.11369
  • p(b)
    0.01988
  • t(a)
    0.52234
  • p(a)
    0.30192
  • Lowerbound of 95% confidence interval for beta
    0.02288
  • Upperbound of 95% confidence interval for beta
    0.91567
  • Lowerbound of 95% confidence interval for alpha
    -0.28841
  • Upperbound of 95% confidence interval for alpha
    0.49085
  • Treynor index (mean / b)
    0.54354
  • Jensen alpha (a)
    0.10122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14689
  • Expected Shortfall on VaR
    0.18439
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04362
  • Expected Shortfall on VaR
    0.08055
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.87824
  • Quartile 1
    0.97303
  • Median
    1.00360
  • Quartile 3
    1.05101
  • Maximum
    1.81103
  • Mean of quarter 1
    0.94082
  • Mean of quarter 2
    0.98889
  • Mean of quarter 3
    1.02614
  • Mean of quarter 4
    1.16336
  • Inter Quartile Range
    0.07797
  • 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
    0.04000
  • Mean of outliers high
    1.60296
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.34581
  • VaR(95%) (moments method)
    0.05955
  • Expected Shortfall (moments method)
    0.07117
  • Extreme Value Index (regression method)
    -0.08040
  • VaR(95%) (regression method)
    0.07280
  • Expected Shortfall (regression method)
    0.09716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01361
  • Quartile 1
    0.04017
  • Median
    0.04567
  • Quartile 3
    0.16264
  • Maximum
    0.27314
  • Mean of quarter 1
    0.02460
  • Mean of quarter 2
    0.04521
  • Mean of quarter 3
    0.08127
  • Mean of quarter 4
    0.25858
  • Inter Quartile Range
    0.12247
  • 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)
    0.54032
  • Compounded annual return (geometric extrapolation)
    0.32707
  • Calmar ratio (compounded annual return / max draw down)
    1.19744
  • Compounded annual return / average of 25% largest draw downs
    1.26487
  • Compounded annual return / Expected Shortfall lognormal
    1.77382
  • 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
    0.46573
  • SD
    0.70806
  • Sharpe ratio (Glass type estimate)
    0.65775
  • Sharpe ratio (Hedges UMVUE)
    0.65730
  • df
    1105.00000
  • t
    1.35141
  • p
    0.47415
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61164
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42249
  • Upside Potential Ratio
    5.23649
  • Upside part of mean
    1.71445
  • Downside part of mean
    -1.24872
  • Upside SD
    0.62812
  • Downside SD
    0.32740
  • N nonnegative terms
    577.00000
  • N negative terms
    529.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1106.00000
  • Mean of predictor
    0.38883
  • Mean of criterion
    0.46573
  • SD of predictor
    0.27341
  • SD of criterion
    0.70806
  • Covariance
    0.03126
  • r
    0.16149
  • b (slope, estimate of beta)
    0.41823
  • a (intercept, estimate of alpha)
    0.30300
  • Mean Square Error
    0.48872
  • DF error
    1104.00000
  • t(b)
    5.43721
  • p(b)
    0.41925
  • t(a)
    0.88741
  • p(a)
    0.48665
  • Lowerbound of 95% confidence interval for beta
    0.26730
  • Upperbound of 95% confidence interval for beta
    0.56915
  • Lowerbound of 95% confidence interval for alpha
    -0.36708
  • Upperbound of 95% confidence interval for alpha
    0.97330
  • Treynor index (mean / b)
    1.11358
  • Jensen alpha (a)
    0.30311
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25250
  • SD
    0.63647
  • Sharpe ratio (Glass type estimate)
    0.39671
  • Sharpe ratio (Hedges UMVUE)
    0.39645
  • df
    1105.00000
  • t
    0.81509
  • p
    0.48440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35071
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35053
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63404
  • Upside Potential Ratio
    3.94348
  • Upside part of mean
    1.57042
  • Downside part of mean
    -1.31792
  • Upside SD
    0.49637
  • Downside SD
    0.39823
  • N nonnegative terms
    577.00000
  • N negative terms
    529.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1106.00000
  • Mean of predictor
    0.35032
  • Mean of criterion
    0.25250
  • SD of predictor
    0.27836
  • SD of criterion
    0.63647
  • Covariance
    0.03138
  • r
    0.17710
  • b (slope, estimate of beta)
    0.40495
  • a (intercept, estimate of alpha)
    0.11063
  • Mean Square Error
    0.39274
  • DF error
    1104.00000
  • t(b)
    5.97907
  • p(b)
    0.41145
  • t(a)
    0.36162
  • p(a)
    0.49456
  • Lowerbound of 95% confidence interval for beta
    0.27206
  • Upperbound of 95% confidence interval for beta
    0.53784
  • Lowerbound of 95% confidence interval for alpha
    -0.48966
  • Upperbound of 95% confidence interval for alpha
    0.71093
  • Treynor index (mean / b)
    0.62353
  • 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%)
    0.06173
  • Expected Shortfall on VaR
    0.07692
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01016
  • Expected Shortfall on VaR
    0.02395
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1106.00000
  • Minimum
    0.58503
  • Quartile 1
    0.99569
  • Median
    1.00047
  • Quartile 3
    1.00595
  • Maximum
    1.70943
  • Mean of quarter 1
    0.98277
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.00278
  • Mean of quarter 4
    1.02355
  • Inter Quartile Range
    0.01025
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.05154
  • Mean of outliers low
    0.95239
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.04430
  • Mean of outliers high
    1.08345
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56571
  • VaR(95%) (moments method)
    0.01527
  • Expected Shortfall (moments method)
    0.03919
  • Extreme Value Index (regression method)
    0.48717
  • VaR(95%) (regression method)
    0.01257
  • Expected Shortfall (regression method)
    0.02701
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    43.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00476
  • Median
    0.01589
  • Quartile 3
    0.04228
  • Maximum
    0.44814
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00829
  • Mean of quarter 3
    0.02843
  • Mean of quarter 4
    0.14725
  • Inter Quartile Range
    0.03753
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    0.28655
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.51861
  • VaR(95%) (moments method)
    0.14511
  • Expected Shortfall (moments method)
    0.34647
  • Extreme Value Index (regression method)
    0.59696
  • VaR(95%) (regression method)
    0.14376
  • Expected Shortfall (regression method)
    0.38686
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53689
  • Compounded annual return (geometric extrapolation)
    0.32366
  • Calmar ratio (compounded annual return / max draw down)
    0.72225
  • Compounded annual return / average of 25% largest draw downs
    2.19801
  • Compounded annual return / Expected Shortfall lognormal
    4.20784
  • 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
    0.98068
  • SD
    0.75071
  • Sharpe ratio (Glass type estimate)
    1.30634
  • Sharpe ratio (Hedges UMVUE)
    1.29879
  • df
    130.00000
  • t
    0.92372
  • p
    0.45962
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07509
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.28997
  • Upside Potential Ratio
    12.42020
  • Upside part of mean
    2.83923
  • Downside part of mean
    -1.85855
  • Upside SD
    0.71462
  • Downside SD
    0.22860
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.90225
  • Mean of criterion
    0.98068
  • SD of predictor
    0.45332
  • SD of criterion
    0.75071
  • Covariance
    0.07012
  • r
    0.20605
  • b (slope, estimate of beta)
    0.34122
  • a (intercept, estimate of alpha)
    0.67282
  • Mean Square Error
    0.54382
  • DF error
    129.00000
  • t(b)
    2.39159
  • p(b)
    0.36976
  • t(a)
    0.64028
  • p(a)
    0.46419
  • Lowerbound of 95% confidence interval for beta
    0.05893
  • Upperbound of 95% confidence interval for beta
    0.62350
  • Lowerbound of 95% confidence interval for alpha
    -1.40625
  • Upperbound of 95% confidence interval for alpha
    2.75188
  • Treynor index (mean / b)
    2.87406
  • Jensen alpha (a)
    0.67282
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75398
  • SD
    0.63994
  • Sharpe ratio (Glass type estimate)
    1.17820
  • Sharpe ratio (Hedges UMVUE)
    1.17139
  • df
    130.00000
  • t
    0.83311
  • p
    0.46356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94685
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.23527
  • Upside Potential Ratio
    11.32430
  • Upside part of mean
    2.63914
  • Downside part of mean
    -1.88516
  • Upside SD
    0.59520
  • Downside SD
    0.23305
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79888
  • Mean of criterion
    0.75398
  • SD of predictor
    0.45341
  • SD of criterion
    0.63994
  • Covariance
    0.07307
  • r
    0.25182
  • b (slope, estimate of beta)
    0.35541
  • a (intercept, estimate of alpha)
    0.47005
  • Mean Square Error
    0.38653
  • DF error
    129.00000
  • t(b)
    2.95536
  • p(b)
    0.34140
  • t(a)
    0.53144
  • p(a)
    0.47025
  • VAR (95 Confidence Intrvl)
    0.06200
  • Lowerbound of 95% confidence interval for beta
    0.11747
  • Upperbound of 95% confidence interval for beta
    0.59335
  • Lowerbound of 95% confidence interval for alpha
    -1.27990
  • Upperbound of 95% confidence interval for alpha
    2.22000
  • Treynor index (mean / b)
    2.12141
  • Jensen alpha (a)
    0.47005
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06026
  • Expected Shortfall on VaR
    0.07556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01567
  • Expected Shortfall on VaR
    0.03053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93358
  • Quartile 1
    0.99125
  • Median
    1.00093
  • Quartile 3
    1.01132
  • Maximum
    1.48164
  • Mean of quarter 1
    0.97555
  • Mean of quarter 2
    0.99657
  • Mean of quarter 3
    1.00656
  • Mean of quarter 4
    1.03679
  • Inter Quartile Range
    0.02007
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95271
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.16242
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51000
  • VaR(95%) (moments method)
    0.02215
  • Expected Shortfall (moments method)
    0.02578
  • Extreme Value Index (regression method)
    -0.25040
  • VaR(95%) (regression method)
    0.02603
  • Expected Shortfall (regression method)
    0.03300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00759
  • Median
    0.04021
  • Quartile 3
    0.08640
  • Maximum
    0.13028
  • Mean of quarter 1
    0.00441
  • Mean of quarter 2
    0.02381
  • Mean of quarter 3
    0.06822
  • Mean of quarter 4
    0.10622
  • Inter Quartile Range
    0.07881
  • 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)
    0.05641
  • VaR(95%) (moments method)
    0.11529
  • Expected Shortfall (moments method)
    0.13398
  • Extreme Value Index (regression method)
    3.39454
  • VaR(95%) (regression method)
    0.15192
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -480419000
  • Max Equity Drawdown (num days)
    53
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.95675
  • Compounded annual return (geometric extrapolation)
    1.18559
  • Calmar ratio (compounded annual return / max draw down)
    9.10041
  • Compounded annual return / average of 25% largest draw downs
    11.16200
  • Compounded annual return / Expected Shortfall lognormal
    15.69090

Strategy Description

Reditus is a system designed for subscribers whose main focus is generating disposable income on an annual basis, rather than capital appreciation.

To generate income, options are written on individual stocks. The individual stocks are selected through a value-based approach, following the guidelines developed for our 3Fold system.

Reditus follows a 3-step approach. First the stocks on which the options will be written are selected. Emphasis is placed on using only those stocks which we consider to be viable ongoing companies, since we may have to hold some of those stocks from time to time.

Then Puts will be written on the selected stocks. The Puts will generally be held until expiration, although we may choose to close a position at any time prior to expiration.

The final step depends on whether the Puts were exercised at expiration. If the Puts expired unexercised, then new Puts will be written and new premiums collected. If the Puts were exercised, we will use the newly acquired stock to write covered Calls and collect the corresponding premiums.

Reditus seeks to generate profits from closed trades in the range of 15% to 25% each year.

Although Reditus will reinvest all generated profits, the system is designed to allow subscribers to withdraw their realized gains on a quarterly or semi-anual basis.

The system has been designed to operate with a capital of $40,000, although it may be operated with higher or lower capital. Following Reditus with less than $15,000 will make the subscription fees to high for a desirable result.

Reditus does not write naked calls, and puts will only be written when the system has sufficient cash on hand to acquire the underlying shares should the put be exercised at expiration. Although Reditus does not seek to hold stocks for extended periods of time, unexpected moves in stock prices may force the system to hold specific stocks until calls may be profitably written against the position.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-07-24
Suggested Minimum Capital
$40,000
# Trades
134
# Profitable
130
% Profitable
97.0%
Net Dividends
$7,857
Correlation S&P500
0.113
Sharpe Ratio
0.29
Sortino Ratio
0.65
Beta
0.44
Alpha
0.04

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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