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

Premium Capital
(135046330)

Created by: ShawnCannon ShawnCannon
Started: 04/2021
Options
Last trade: Yesterday
Trading style: Options Covered Calls Premium Collecting

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
Covered Calls
Category: Equity

Covered Calls

Strategy buys a stock, and sells call options for the same amount (or less) of stock, and then waits for the options contract to be exercised or to expire.
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
-18.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(60.6%)
Max Drawdown
695
Num Trades
71.7%
Win Trades
0.9 : 1
Profit Factor
70.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     +3.7%+12.4%+12.1%(7.4%)+13.7%+5.1%+8.6%+6.1%(5.8%)+57.0%
2022(48.3%)                                                                  (48.3%)

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 963 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/11/22 14:15 ZM2204B215 ZM Feb4'22 215 call SHORT 1 0.88 1/26 15:55 0.08 n/a $78
Includes Typical Broker Commissions trade costs of $2.00
1/11/22 14:25 ETSY2204B225 ETSY Feb4'22 225 call SHORT 1 1.08 1/26 15:50 0.66 n/a $41
Includes Typical Broker Commissions trade costs of $2.00
1/11/22 14:25 ETSY2204N150 ETSY Feb4'22 150 put SHORT 1 1.71 1/26 15:49 13.18 2.92%
Trade id #138908513
Max drawdown($1,548)
Time1/24/22 0:00
Quant open1
Worst price17.19
Drawdown as % of equity-2.92%
($1,149)
Includes Typical Broker Commissions trade costs of $2.00
1/11/22 14:15 ZM2204N150 ZM Feb4'22 150 put SHORT 1 1.77 1/26 15:46 12.98 2.48%
Trade id #138908433
Max drawdown($1,318)
Time1/24/22 0:00
Quant open1
Worst price14.95
Drawdown as % of equity-2.48%
($1,124)
Includes Typical Broker Commissions trade costs of $2.00
1/21/22 10:45 ZM2218N150 ZM Feb18'22 150 put SHORT 1 10.07 1/24 9:46 13.85 1.03%
Trade id #139046702
Max drawdown($547)
Time1/24/22 9:31
Quant open1
Worst price15.54
Drawdown as % of equity-1.03%
($380)
Includes Typical Broker Commissions trade costs of $2.00
1/6/22 12:57 NET2217F115 NET Jun17'22 115 call SHORT 2 15.47 1/24 9:42 7.58 1.7%
Trade id #138849254
Max drawdown($1,278)
Time1/12/22 0:00
Quant open2
Worst price21.86
Drawdown as % of equity-1.70%
$1,575
Includes Typical Broker Commissions trade costs of $2.80
1/6/22 12:57 NET2217F105 NET Jun17'22 105 call LONG 1 19.65 1/24 9:42 9.55 2.19%
Trade id #138849251
Max drawdown($1,044)
Time1/24/22 9:42
Quant open1
Worst price9.20
Drawdown as % of equity-2.19%
($1,011)
Includes Typical Broker Commissions trade costs of $2.00
12/23/21 15:38 SPY2218O361 SPY Mar18'22 361 put SHORT 2 1.76 1/24/22 9:33 3.98 0.87%
Trade id #138691010
Max drawdown($460)
Time1/24/22 9:31
Quant open2
Worst price4.06
Drawdown as % of equity-0.87%
($447)
Includes Typical Broker Commissions trade costs of $2.80
12/23/21 15:33 SPY2218O400 SPY Mar18'22 400 put LONG 1 3.53 1/24/22 9:33 9.04 0.22%
Trade id #138690803
Max drawdown($166)
Time1/12/22 0:00
Quant open1
Worst price1.87
Drawdown as % of equity-0.22%
$549
Includes Typical Broker Commissions trade costs of $2.00
1/6/22 12:05 CPNG2221A29 CPNG Jan21'22 29 call SHORT 1 0.16 1/22 9:36 0.00 0.01%
Trade id #138848521
Max drawdown($8)
Time1/7/22 0:00
Quant open1
Worst price0.24
Drawdown as % of equity-0.01%
$15
Includes Typical Broker Commissions trade costs of $1.00
1/6/22 12:06 PLTR2221A20.5 PLTR Jan21'22 20.5 call SHORT 1 0.06 1/22 9:35 0.00 0.01%
Trade id #138848540
Max drawdown($4)
Time1/7/22 0:00
Quant open1
Worst price0.10
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $1.00
11/24/21 15:56 PINS2221M30 PINS Jan21'22 30 put SHORT 1 0.37 1/22/22 9:35 0.00 0.14%
Trade id #138335092
Max drawdown($105)
Time12/6/21 0:00
Quant open1
Worst price1.42
Drawdown as % of equity-0.14%
$36
Includes Typical Broker Commissions trade costs of $1.00
1/6/22 12:08 RKT2221A16.5 RKT Jan21'22 16.5 call SHORT 1 0.07 1/22 9:35 0.00 0%
Trade id #138848556
Max drawdown($1)
Time1/6/22 12:20
Quant open1
Worst price0.08
Drawdown as % of equity-0.00%
$6
Includes Typical Broker Commissions trade costs of $1.00
12/21/21 15:27 APP2221M70 APP Jan21'22 70 put SHORT 1 0.73 1/22/22 9:35 0.00 0.19%
Trade id #138657176
Max drawdown($118)
Time1/21/22 0:00
Quant open1
Worst price1.92
Drawdown as % of equity-0.19%
$72
Includes Typical Broker Commissions trade costs of $1.00
12/23/21 15:04 FUTU2221M21 FUTU Jan21'22 21 put LONG 3 0.47 1/22/22 9:35 0.00 0.22%
Trade id #138690390
Max drawdown($137)
Time1/11/22 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.22%
($142)
Includes Typical Broker Commissions trade costs of $2.10
1/6/22 12:08 RKT2221M12.5 RKT Jan21'22 12.5 put SHORT 1 0.09 1/22 9:35 0.00 0.01%
Trade id #138848559
Max drawdown($5)
Time1/18/22 0:00
Quant open1
Worst price0.14
Drawdown as % of equity-0.01%
$8
Includes Typical Broker Commissions trade costs of $1.00
12/23/21 15:01 FUTU2221M25 FUTU Jan21'22 25 put SHORT 3 0.75 1/22/22 9:35 0.00 0.23%
Trade id #138690339
Max drawdown($177)
Time12/30/21 0:00
Quant open3
Worst price1.34
Drawdown as % of equity-0.23%
$223
Includes Typical Broker Commissions trade costs of $2.10
1/19/22 10:01 RBLX2228M79 RBLX Jan28'22 79 put SHORT 1 4.19 1/21 10:57 7.53 1.01%
Trade id #139009146
Max drawdown($531)
Time1/21/22 10:25
Quant open1
Worst price9.50
Drawdown as % of equity-1.01%
($336)
Includes Typical Broker Commissions trade costs of $2.00
1/6/22 12:07 PLTR2221M14.5 PLTR Jan21'22 14.5 put SHORT 1 0.15 1/21 10:52 0.49 0.15%
Trade id #138848549
Max drawdown($81)
Time1/21/22 10:21
Quant open1
Worst price0.96
Drawdown as % of equity-0.15%
($36)
Includes Typical Broker Commissions trade costs of $2.00
12/1/21 14:44 U2221M115 U Jan21'22 115 put SHORT 1 1.91 1/21/22 10:49 2.98 1%
Trade id #138418510
Max drawdown($529)
Time1/21/22 10:22
Quant open1
Worst price7.20
Drawdown as % of equity-1.00%
($110)
Includes Typical Broker Commissions trade costs of $2.00
11/24/21 15:54 ZM2221M160 ZM Jan21'22 160 put SHORT 1 2.23 1/21/22 10:45 8.70 1.94%
Trade id #138334987
Max drawdown($1,022)
Time1/21/22 10:21
Quant open1
Worst price12.45
Drawdown as % of equity-1.94%
($649)
Includes Typical Broker Commissions trade costs of $2.00
11/24/21 15:53 TDOC2221M75 TDOC Jan21'22 75 put SHORT 1 1.14 1/21/22 10:28 1.51 0.34%
Trade id #138334936
Max drawdown($271)
Time12/3/21 0:00
Quant open1
Worst price3.85
Drawdown as % of equity-0.34%
($40)
Includes Typical Broker Commissions trade costs of $2.00
1/19/22 10:11 CPNG2204N22 CPNG Feb4'22 22 put SHORT 1 1.52 1/20 13:13 2.08 0.09%
Trade id #139009436
Max drawdown($56)
Time1/20/22 0:00
Quant open1
Worst price2.08
Drawdown as % of equity-0.09%
($59)
Includes Typical Broker Commissions trade costs of $2.00
1/6/22 12:05 CPNG2221M22.5 CPNG Jan21'22 22.5 put SHORT 1 0.23 1/19 10:11 1.48 0.31%
Trade id #138848527
Max drawdown($191)
Time1/18/22 0:00
Quant open1
Worst price2.14
Drawdown as % of equity-0.31%
($127)
Includes Typical Broker Commissions trade costs of $2.00
12/1/21 14:43 RBLX2221M80 RBLX Jan21'22 80 put SHORT 1 1.36 1/19/22 10:01 3.05 0.63%
Trade id #138418465
Max drawdown($404)
Time1/10/22 0:00
Quant open1
Worst price5.40
Drawdown as % of equity-0.63%
($171)
Includes Typical Broker Commissions trade costs of $2.00
12/22/21 11:05 SPY2218O357 SPY Mar18'22 357 put SHORT 2 1.95 1/18/22 11:28 1.23 n/a $141
Includes Typical Broker Commissions trade costs of $2.80
12/22/21 10:48 SPY2221M383 SPY Jan21'22 383 put SHORT 2 0.47 1/18/22 11:28 0.03 0.01%
Trade id #138665987
Max drawdown($4)
Time12/22/21 14:00
Quant open2
Worst price0.49
Drawdown as % of equity-0.01%
$85
Includes Typical Broker Commissions trade costs of $2.80
12/21/21 15:59 SPY2221M398 SPY Jan21'22 398 put LONG 1 0.93 1/18/22 11:28 0.03 0.14%
Trade id #138657713
Max drawdown($90)
Time1/13/22 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.14%
($92)
Includes Typical Broker Commissions trade costs of $2.00
12/21/21 15:47 BILL2221M200 BILL Jan21'22 200 put SHORT 1 2.00 1/10/22 11:08 25.13 4.07%
Trade id #138657476
Max drawdown($2,320)
Time1/10/22 11:08
Quant open1
Worst price25.20
Drawdown as % of equity-4.07%
($2,315)
Includes Typical Broker Commissions trade costs of $2.00
12/18/21 9:35 NET CLOUDFLARE INC LONG 100 150.00 1/10/22 10:43 102.20 7.77%
Trade id #138627025
Max drawdown($4,999)
Time1/10/22 9:30
Quant open100
Worst price100.01
Drawdown as % of equity-7.77%
($4,782)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    4/7/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    295.05
  • Age
    10 months ago
  • What it trades
    Options
  • # Trades
    695
  • # Profitable
    498
  • % Profitable
    71.70%
  • Avg trade duration
    22.7 days
  • Max peak-to-valley drawdown
    60.59%
  • drawdown period
    Dec 17, 2021 - Jan 27, 2022
  • Cumul. Return
    -18.8%
  • Avg win
    $159.15
  • Avg loss
    $442.82
  • Model Account Values (Raw)
  • Cash
    $82,308
  • Margin Used
    $71,271
  • Buying Power
    $1,103
  • Ratios
  • W:L ratio
    0.91:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.91
  • Calmar Ratio
    0.894
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -26.67%
  • Correlation to SP500
    0.36710
  • Return Percent SP500 (cumu) during strategy life
    6.62%
  • Return Statistics
  • Ann Return (w trading costs)
    -22.4%
  • Slump
  • Current Slump as Pcnt Equity
    153.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    7.49%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.188%
  • Instruments
  • Percent Trades Options
    0.91%
  • Percent Trades Stocks
    0.09%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -18.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    90.50%
  • Chance of 20% account loss
    78.00%
  • Chance of 30% account loss
    73.00%
  • Chance of 40% account loss
    51.00%
  • Chance of 60% account loss (Monte Carlo)
    18.00%
  • Chance of 70% account loss (Monte Carlo)
    7.00%
  • Chance of 80% account loss (Monte Carlo)
    1.00%
  • 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
    39.50%
  • Popularity
  • Popularity (Today)
    622
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    329
  • Popularity (7 days, Percentile 1000 scale)
    829
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $442
  • Avg Win
    $159
  • Sum Trade PL (losers)
    $86,975.000
  • AUM
  • AUM (AutoTrader num accounts)
    4
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $79,232.000
  • # Winners
    498
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    118
  • AUM
  • AUM (AutoTrader live capital)
    220987
  • Win / Loss
  • # Losers
    197
  • % Winners
    71.7%
  • Frequency
  • Avg Position Time (mins)
    32627.40
  • Avg Position Time (hrs)
    543.79
  • Avg Trade Length
    22.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.47
  • Daily leverage (max)
    7.98
  • Regression
  • Alpha
    0.08
  • Beta
    2.02
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -15.032
  • 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
    0.975
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.380
  • Hold-and-Hope Ratio
    -0.091
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46800
  • SD
    0.41254
  • Sharpe ratio (Glass type estimate)
    1.13442
  • Sharpe ratio (Hedges UMVUE)
    1.02405
  • df
    8.00000
  • t
    0.98244
  • p
    0.17733
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34218
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97477
  • Upside Potential Ratio
    3.15543
  • Upside part of mean
    0.74780
  • Downside part of mean
    -0.27980
  • Upside SD
    0.33670
  • Downside SD
    0.23699
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.18184
  • Mean of criterion
    0.46800
  • SD of predictor
    0.09038
  • SD of criterion
    0.41254
  • Covariance
    0.00633
  • r
    0.16989
  • b (slope, estimate of beta)
    0.77544
  • a (intercept, estimate of alpha)
    0.32700
  • Mean Square Error
    0.18889
  • DF error
    7.00000
  • t(b)
    0.45611
  • p(b)
    0.33106
  • t(a)
    0.55477
  • p(a)
    0.29816
  • Lowerbound of 95% confidence interval for beta
    -3.24474
  • Upperbound of 95% confidence interval for beta
    4.79561
  • Lowerbound of 95% confidence interval for alpha
    -1.06679
  • Upperbound of 95% confidence interval for alpha
    1.72078
  • Treynor index (mean / b)
    0.60353
  • Jensen alpha (a)
    0.32700
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38495
  • SD
    0.41509
  • Sharpe ratio (Glass type estimate)
    0.92739
  • Sharpe ratio (Hedges UMVUE)
    0.83716
  • df
    8.00000
  • t
    0.80315
  • p
    0.22255
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40683
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13721
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45140
  • Upside Potential Ratio
    2.62937
  • Upside part of mean
    0.69738
  • Downside part of mean
    -0.31243
  • Upside SD
    0.30848
  • Downside SD
    0.26523
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.17696
  • Mean of criterion
    0.38495
  • SD of predictor
    0.08877
  • SD of criterion
    0.41509
  • Covariance
    0.00670
  • r
    0.18181
  • b (slope, estimate of beta)
    0.85012
  • a (intercept, estimate of alpha)
    0.23451
  • Mean Square Error
    0.19040
  • DF error
    7.00000
  • t(b)
    0.48917
  • p(b)
    0.31984
  • t(a)
    0.39727
  • p(a)
    0.35150
  • Lowerbound of 95% confidence interval for beta
    -3.25937
  • Upperbound of 95% confidence interval for beta
    4.95961
  • Lowerbound of 95% confidence interval for alpha
    -1.16134
  • Upperbound of 95% confidence interval for alpha
    1.63036
  • Treynor index (mean / b)
    0.45282
  • Jensen alpha (a)
    0.23451
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15212
  • Expected Shortfall on VaR
    0.19275
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02768
  • Expected Shortfall on VaR
    0.07225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.79482
  • Quartile 1
    1.00385
  • Median
    1.02761
  • Quartile 3
    1.08805
  • Maximum
    1.23967
  • Mean of quarter 1
    0.93133
  • Mean of quarter 2
    1.01771
  • Mean of quarter 3
    1.08744
  • Mean of quarter 4
    1.17335
  • Inter Quartile Range
    0.08420
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.79482
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.23967
  • 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)
    3.55719
  • VaR(95%) (regression method)
    0.65856
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20889
  • Quartile 1
    0.20889
  • Median
    0.20889
  • Quartile 3
    0.20889
  • Maximum
    0.20889
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44628
  • Compounded annual return (geometric extrapolation)
    0.46954
  • Calmar ratio (compounded annual return / max draw down)
    2.24776
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.43607
  • 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
    0.50990
  • SD
    0.60311
  • Sharpe ratio (Glass type estimate)
    0.84546
  • Sharpe ratio (Hedges UMVUE)
    0.84236
  • df
    205.00000
  • t
    0.74968
  • p
    0.22715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05424
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52232
  • Upside Potential Ratio
    8.69100
  • Upside part of mean
    2.91105
  • Downside part of mean
    -2.40115
  • Upside SD
    0.50077
  • Downside SD
    0.33495
  • N nonnegative terms
    108.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    206.00000
  • Mean of predictor
    0.10506
  • Mean of criterion
    0.50990
  • SD of predictor
    0.12794
  • SD of criterion
    0.60311
  • Covariance
    0.03188
  • r
    0.41319
  • b (slope, estimate of beta)
    1.94781
  • a (intercept, estimate of alpha)
    0.30500
  • Mean Square Error
    0.30312
  • DF error
    204.00000
  • t(b)
    6.48066
  • p(b)
    0.00000
  • t(a)
    0.49102
  • p(a)
    0.31197
  • Lowerbound of 95% confidence interval for beta
    1.35521
  • Upperbound of 95% confidence interval for beta
    2.54041
  • Lowerbound of 95% confidence interval for alpha
    -0.92051
  • Upperbound of 95% confidence interval for alpha
    1.53105
  • Treynor index (mean / b)
    0.26178
  • Jensen alpha (a)
    0.30527
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34097
  • SD
    0.57316
  • Sharpe ratio (Glass type estimate)
    0.59491
  • Sharpe ratio (Hedges UMVUE)
    0.59273
  • df
    205.00000
  • t
    0.52751
  • p
    0.29920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80384
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98067
  • Upside Potential Ratio
    8.05616
  • Upside part of mean
    2.80108
  • Downside part of mean
    -2.46010
  • Upside SD
    0.45438
  • Downside SD
    0.34769
  • N nonnegative terms
    108.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    206.00000
  • Mean of predictor
    0.09688
  • Mean of criterion
    0.34097
  • SD of predictor
    0.12809
  • SD of criterion
    0.57316
  • Covariance
    0.03120
  • r
    0.42505
  • b (slope, estimate of beta)
    1.90192
  • a (intercept, estimate of alpha)
    0.15671
  • Mean Square Error
    0.27048
  • DF error
    204.00000
  • t(b)
    6.70685
  • p(b)
    0.00000
  • t(a)
    0.26690
  • p(a)
    0.39491
  • Lowerbound of 95% confidence interval for beta
    1.34280
  • Upperbound of 95% confidence interval for beta
    2.46104
  • Lowerbound of 95% confidence interval for alpha
    -1.00097
  • Upperbound of 95% confidence interval for alpha
    1.31440
  • Treynor index (mean / b)
    0.17928
  • Jensen alpha (a)
    0.15671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05535
  • Expected Shortfall on VaR
    0.06915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02026
  • Expected Shortfall on VaR
    0.04173
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    206.00000
  • Minimum
    0.88811
  • Quartile 1
    0.98988
  • Median
    1.00007
  • Quartile 3
    1.01283
  • Maximum
    1.33762
  • Mean of quarter 1
    0.96736
  • Mean of quarter 2
    0.99626
  • Mean of quarter 3
    1.00569
  • Mean of quarter 4
    1.03844
  • Inter Quartile Range
    0.02295
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04369
  • Mean of outliers low
    0.92153
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04369
  • Mean of outliers high
    1.10509
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23963
  • VaR(95%) (moments method)
    0.02930
  • Expected Shortfall (moments method)
    0.04829
  • Extreme Value Index (regression method)
    0.05008
  • VaR(95%) (regression method)
    0.02645
  • Expected Shortfall (regression method)
    0.03754
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00085
  • Quartile 1
    0.00756
  • Median
    0.03448
  • Quartile 3
    0.05384
  • Maximum
    0.45469
  • Mean of quarter 1
    0.00261
  • Mean of quarter 2
    0.01817
  • Mean of quarter 3
    0.04403
  • Mean of quarter 4
    0.17670
  • Inter Quartile Range
    0.04628
  • 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
    0.16667
  • Mean of outliers high
    0.24266
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.27125
  • VaR(95%) (moments method)
    0.15187
  • Expected Shortfall (moments method)
    0.19342
  • Extreme Value Index (regression method)
    0.50475
  • VaR(95%) (regression method)
    0.25723
  • Expected Shortfall (regression method)
    0.62080
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39105
  • Compounded annual return (geometric extrapolation)
    0.40632
  • Calmar ratio (compounded annual return / max draw down)
    0.89362
  • Compounded annual return / average of 25% largest draw downs
    2.29949
  • Compounded annual return / Expected Shortfall lognormal
    5.87624
  • 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
    0.37589
  • SD
    0.68895
  • Sharpe ratio (Glass type estimate)
    0.54560
  • Sharpe ratio (Hedges UMVUE)
    0.54244
  • df
    130.00000
  • t
    0.38580
  • p
    0.48309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31503
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97084
  • Upside Potential Ratio
    8.21586
  • Upside part of mean
    3.18099
  • Downside part of mean
    -2.80510
  • Upside SD
    0.56715
  • Downside SD
    0.38718
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00499
  • Mean of criterion
    0.37589
  • SD of predictor
    0.13480
  • SD of criterion
    0.68895
  • Covariance
    0.04077
  • r
    0.43897
  • b (slope, estimate of beta)
    2.24351
  • a (intercept, estimate of alpha)
    0.36469
  • Mean Square Error
    0.38615
  • DF error
    129.00000
  • t(b)
    5.54897
  • p(b)
    0.22980
  • t(a)
    0.41498
  • p(a)
    0.47676
  • Lowerbound of 95% confidence interval for beta
    1.44357
  • Upperbound of 95% confidence interval for beta
    3.04345
  • Lowerbound of 95% confidence interval for alpha
    -1.37406
  • Upperbound of 95% confidence interval for alpha
    2.10344
  • Treynor index (mean / b)
    0.16754
  • Jensen alpha (a)
    0.36469
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15808
  • SD
    0.65106
  • Sharpe ratio (Glass type estimate)
    0.24281
  • Sharpe ratio (Hedges UMVUE)
    0.24141
  • df
    130.00000
  • t
    0.17169
  • p
    0.49247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52952
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01337
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39204
  • Upside Potential Ratio
    7.54479
  • Upside part of mean
    3.04230
  • Downside part of mean
    -2.88421
  • Upside SD
    0.50808
  • Downside SD
    0.40323
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00404
  • Mean of criterion
    0.15808
  • SD of predictor
    0.13500
  • SD of criterion
    0.65106
  • Covariance
    0.03988
  • r
    0.45371
  • b (slope, estimate of beta)
    2.18816
  • a (intercept, estimate of alpha)
    0.16693
  • Mean Square Error
    0.33923
  • DF error
    129.00000
  • t(b)
    5.78261
  • p(b)
    0.22140
  • t(a)
    0.20266
  • p(a)
    0.48864
  • VAR (95 Confidence Intrvl)
    0.05500
  • Lowerbound of 95% confidence interval for beta
    1.43948
  • Upperbound of 95% confidence interval for beta
    2.93685
  • Lowerbound of 95% confidence interval for alpha
    -1.46276
  • Upperbound of 95% confidence interval for alpha
    1.79662
  • Treynor index (mean / b)
    0.07224
  • Jensen alpha (a)
    0.16693
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06345
  • Expected Shortfall on VaR
    0.07896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02411
  • Expected Shortfall on VaR
    0.04926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88811
  • Quartile 1
    0.98815
  • Median
    1.00049
  • Quartile 3
    1.01324
  • Maximum
    1.33762
  • Mean of quarter 1
    0.96172
  • Mean of quarter 2
    0.99579
  • Mean of quarter 3
    1.00697
  • Mean of quarter 4
    1.04142
  • Inter Quartile Range
    0.02509
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.91814
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.10585
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34612
  • VaR(95%) (moments method)
    0.03750
  • Expected Shortfall (moments method)
    0.06822
  • Extreme Value Index (regression method)
    0.41585
  • VaR(95%) (regression method)
    0.02964
  • Expected Shortfall (regression method)
    0.05396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00085
  • Quartile 1
    0.00756
  • Median
    0.01885
  • Quartile 3
    0.04231
  • Maximum
    0.45469
  • Mean of quarter 1
    0.00305
  • Mean of quarter 2
    0.01360
  • Mean of quarter 3
    0.02816
  • Mean of quarter 4
    0.16356
  • Inter Quartile Range
    0.03475
  • 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
    0.14286
  • Mean of outliers high
    0.27771
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.82468
  • VaR(95%) (moments method)
    0.18368
  • Expected Shortfall (moments method)
    1.12346
  • Extreme Value Index (regression method)
    2.15724
  • VaR(95%) (regression method)
    0.35302
  • 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?
    -301503000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16450
  • Compounded annual return (geometric extrapolation)
    0.17126
  • Calmar ratio (compounded annual return / max draw down)
    0.37666
  • Compounded annual return / average of 25% largest draw downs
    1.04709
  • Compounded annual return / Expected Shortfall lognormal
    2.16895

Strategy Description

This system is designed to extract consistent monthly returns from the market. The focus is on low diversified risk with a positive expected value.

This system will have frequent trades and will be actively managed daily.

Summary Statistics

Strategy began
2021-04-07
Suggested Minimum Capital
$35,000
# Trades
695
# Profitable
498
% Profitable
71.7%
Net Dividends
Correlation S&P500
0.367
Sharpe Ratio
0.55
Sortino Ratio
0.91
Beta
2.02
Alpha
0.08
Leverage
2.47 Average
7.98 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.