Collective2 Collective2
Featured Strategy Easiest +109.9% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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QQQ Short Strangle NLT
(132655614)

Created by: NextLevelTrader NextLevelTrader
Started: 12/2020
Options
Last trade: 762 days ago
Trading style: Options 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
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.
3.7%
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.

(26.9%)
Max Drawdown
100
Num Trades
80.0%
Win Trades
1.1 : 1
Profit Factor
31.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +3.1%+3.1%
2021+0.9%+4.4%+6.4%+1.2%+3.8%+0.7%+1.8%+2.2%+1.8%+1.5%(7.9%)+3.8%+21.7%
2022(13.7%)(4.6%)+1.8%  -    -    -    -    -    -    -    -    -  (16.3%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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.

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

Trading Record

This strategy has placed 213 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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/11/22 13:47 QQQ2214D364 QQQ Apr14'22 364 call SHORT 4 0.99 3/16 9:52 1.46 0.36%
Trade id #139755548
Max drawdown($186)
Time3/16/22 9:52
Quant open4
Worst price1.46
Drawdown as % of equity-0.36%
 ($192)
Includes Typical Broker Commissions trade costs of $5.60
2/28/22 10:10 QQQ2214P302 QQQ Apr14'22 302 put SHORT 4 4.17 3/16 9:52 3.34 3.62%
Trade id #139572676
Max drawdown($1,818)
Time3/8/22 0:00
Quant open4
Worst price8.71
Drawdown as % of equity-3.62%
 $324
Includes Typical Broker Commissions trade costs of $5.60
2/28/22 10:10 QQQ2214D374 QQQ Apr14'22 374 call SHORT 4 2.32 3/11 13:47 0.43 0.64%
Trade id #139572694
Max drawdown($329)
Time3/1/22 0:00
Quant open4
Worst price3.14
Drawdown as % of equity-0.64%
 $749
Includes Typical Broker Commissions trade costs of $5.60
3/4/22 15:58 QQQ2231C364 QQQ Mar31'22 364 call SHORT 4 1.48 3/9 10:27 0.81 0.05%
Trade id #139659554
Max drawdown($25)
Time3/7/22 0:00
Quant open4
Worst price1.54
Drawdown as % of equity-0.05%
 $259
Includes Typical Broker Commissions trade costs of $5.60
2/14/22 12:54 QQQ2231O309 QQQ Mar31'22 309 put SHORT 4 4.18 3/9 10:27 4.45 3.68%
Trade id #139384108
Max drawdown($1,896)
Time2/24/22 0:00
Quant open4
Worst price8.92
Drawdown as % of equity-3.68%
 ($114)
Includes Typical Broker Commissions trade costs of $5.60
2/22/22 15:17 QQQ2231C376 QQQ Mar31'22 376 call SHORT 4 1.14 3/4 15:58 0.46 0.15%
Trade id #139496368
Max drawdown($77)
Time3/2/22 0:00
Quant open4
Worst price1.33
Drawdown as % of equity-0.15%
 $267
Includes Typical Broker Commissions trade costs of $5.60
2/22/22 15:23 QQQ2218C362 QQQ Mar18'22 362 call SHORT 4 2.15 2/24 9:33 0.54 0.13%
Trade id #139496510
Max drawdown($66)
Time2/22/22 15:28
Quant open4
Worst price2.32
Drawdown as % of equity-0.13%
 $640
Includes Typical Broker Commissions trade costs of $5.60
2/1/22 9:57 QQQ2218O331 QQQ Mar18'22 331 put SHORT 4 5.34 2/24 9:33 16.66 10.32%
Trade id #139191137
Max drawdown($5,316)
Time2/24/22 9:30
Quant open4
Worst price18.63
Drawdown as % of equity-10.32%
 ($4,532)
Includes Typical Broker Commissions trade costs of $5.60
2/18/22 10:13 QQQ2218C369 QQQ Mar18'22 369 call SHORT 4 1.81 2/22 15:23 1.08 n/a $285
Includes Typical Broker Commissions trade costs of $5.60
2/14/22 12:54 QQQ2231C382 QQQ Mar31'22 382 call SHORT 4 2.02 2/22 15:17 0.71 0.34%
Trade id #139384104
Max drawdown($178)
Time2/15/22 0:00
Quant open4
Worst price2.46
Drawdown as % of equity-0.34%
 $517
Includes Typical Broker Commissions trade costs of $5.60
2/1/22 9:57 QQQ2218C402 QQQ Mar18'22 402 call SHORT 4 0.83 2/18 10:14 0.10 0.53%
Trade id #139191162
Max drawdown($284)
Time2/3/22 0:00
Quant open4
Worst price1.54
Drawdown as % of equity-0.53%
 $287
Includes Typical Broker Commissions trade costs of $5.60
1/18/22 9:48 QQQ2204C412 QQQ Mar4'22 412 call SHORT 4 0.96 1/24 10:11 0.30 0.02%
Trade id #138988415
Max drawdown($10)
Time1/18/22 10:53
Quant open4
Worst price0.99
Drawdown as % of equity-0.02%
 $260
Includes Typical Broker Commissions trade costs of $5.60
1/18/22 9:48 QQQ2204O348 QQQ Mar4'22 348 put SHORT 4 6.22 1/24 10:11 19.94 9.76%
Trade id #138988404
Max drawdown($5,503)
Time1/24/22 10:11
Quant open4
Worst price19.98
Drawdown as % of equity-9.76%
 ($5,493)
Includes Typical Broker Commissions trade costs of $5.60
1/10/22 10:56 QQQ2218B398 QQQ Feb18'22 398 call SHORT 4 2.10 1/21 9:35 0.58 2.49%
Trade id #138888210
Max drawdown($1,568)
Time1/12/22 0:00
Quant open4
Worst price6.02
Drawdown as % of equity-2.49%
 $601
Includes Typical Broker Commissions trade costs of $5.60
1/4/22 9:38 QQQ2218N368 QQQ Feb18'22 368 put SHORT 4 3.16 1/21 9:35 14.82 8.93%
Trade id #138808955
Max drawdown($5,136)
Time1/21/22 9:30
Quant open4
Worst price16.00
Drawdown as % of equity-8.93%
 ($4,669)
Includes Typical Broker Commissions trade costs of $5.60
1/6/22 13:02 QQQ2218B418 QQQ Feb18'22 418 call SHORT 4 1.10 1/10 10:56 0.45 n/a $255
Includes Typical Broker Commissions trade costs of $5.60
1/4/22 9:38 QQQ2218B425 QQQ Feb18'22 425 call SHORT 4 1.79 1/6 13:02 0.63 0.04%
Trade id #138808995
Max drawdown($26)
Time1/4/22 9:45
Quant open4
Worst price1.85
Drawdown as % of equity-0.04%
 $456
Includes Typical Broker Commissions trade costs of $5.60
12/27/21 9:55 QQQ2228M378 QQQ Jan28'22 378 put SHORT 4 3.54 12/27 15:50 2.91 n/a $247
Includes Typical Broker Commissions trade costs of $5.60
12/21/21 12:06 QQQ2228A417 QQQ Jan28'22 417 call SHORT 4 0.92 12/27 15:50 2.83 1.23%
Trade id #138654805
Max drawdown($770)
Time12/27/21 15:50
Quant open4
Worst price2.84
Drawdown as % of equity-1.23%
 ($772)
Includes Typical Broker Commissions trade costs of $5.60
12/23/21 9:51 QQQ2228M370 QQQ Jan28'22 370 put SHORT 4 3.56 12/27 9:55 2.64 0.12%
Trade id #138678938
Max drawdown($73)
Time12/23/21 9:55
Quant open4
Worst price3.74
Drawdown as % of equity-0.12%
 $360
Includes Typical Broker Commissions trade costs of $5.60
12/13/21 13:50 QQQ2228M366 QQQ Jan28'22 366 put SHORT 4 5.24 12/23 9:51 3.12 2.45%
Trade id #138562890
Max drawdown($1,603)
Time12/20/21 0:00
Quant open4
Worst price9.25
Drawdown as % of equity-2.45%
 $845
Includes Typical Broker Commissions trade costs of $5.60
12/21/21 12:03 QQQ2221A414 QQQ Jan21'22 414 call SHORT 4 0.77 12/23 9:49 1.33 0.39%
Trade id #138654730
Max drawdown($242)
Time12/22/21 0:00
Quant open4
Worst price1.37
Drawdown as % of equity-0.39%
 ($233)
Includes Typical Broker Commissions trade costs of $5.60
12/7/21 11:49 QQQ2221M366 QQQ Jan21'22 366 put SHORT 4 4.79 12/23 9:48 2.23 1.98%
Trade id #138494021
Max drawdown($1,297)
Time12/20/21 0:00
Quant open4
Worst price8.03
Drawdown as % of equity-1.98%
 $1,017
Includes Typical Broker Commissions trade costs of $5.90
12/13/21 13:51 QQQ2228A428 QQQ Jan28'22 428 call SHORT 4 1.02 12/21 12:06 0.39 0.01%
Trade id #138562894
Max drawdown($7)
Time12/15/21 0:00
Quant open4
Worst price1.04
Drawdown as % of equity-0.01%
 $249
Includes Typical Broker Commissions trade costs of $5.60
12/7/21 11:48 QQQ2221A428 QQQ Jan21'22 428 call SHORT 4 1.23 12/21 12:04 0.23 0.13%
Trade id #138493982
Max drawdown($77)
Time12/9/21 0:00
Quant open4
Worst price1.42
Drawdown as % of equity-0.13%
 $393
Includes Typical Broker Commissions trade costs of $5.90
11/26/21 15:21 VIX2219M29 VIX Jan19'22 29 put LONG 6 7.00 12/9 9:51 8.10 1.5%
Trade id #138359060
Max drawdown($900)
Time12/3/21 0:00
Quant open6
Worst price5.50
Drawdown as % of equity-1.50%
 $652
Includes Typical Broker Commissions trade costs of $8.40
12/2/21 10:08 QQQ2131L404 QQQ Dec31'21 404 call SHORT 4 3.89 12/6 11:54 1.98 0.27%
Trade id #138428914
Max drawdown($160)
Time12/3/21 0:00
Quant open4
Worst price4.29
Drawdown as % of equity-0.27%
 $758
Includes Typical Broker Commissions trade costs of $6.80
11/22/21 9:58 QQQ2131X383 QQQ Dec31'21 383 put SHORT 4 3.62 12/6 11:54 11.18 7.46%
Trade id #138292584
Max drawdown($4,475)
Time12/3/21 0:00
Quant open4
Worst price14.81
Drawdown as % of equity-7.46%
 ($3,030)
Includes Typical Broker Commissions trade costs of $6.80
11/16/21 10:11 QQQ2131L420 QQQ Dec31'21 420 call SHORT 4 1.81 12/2 10:10 0.89 1.5%
Trade id #138211338
Max drawdown($928)
Time11/22/21 0:00
Quant open4
Worst price4.13
Drawdown as % of equity-1.50%
 $362
Includes Typical Broker Commissions trade costs of $6.80
11/22/21 10:09 QQQ2117X396 QQQ Dec17'21 396 put SHORT 2 3.91 11/26 9:39 8.70 2.14%
Trade id #138293053
Max drawdown($1,307)
Time11/24/21 0:00
Quant open2
Worst price10.45
Drawdown as % of equity-2.14%
 ($960)
Includes Typical Broker Commissions trade costs of $2.80
Next

Statistics

  • Strategy began
    12/5/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1220.37
  • Age
    41 months ago
  • What it trades
    Options
  • # Trades
    100
  • # Profitable
    80
  • % Profitable
    80.00%
  • Avg trade duration
    12.9 days
  • Max peak-to-valley drawdown
    26.87%
  • drawdown period
    Oct 15, 2021 - March 08, 2022
  • Annual Return (Compounded)
    3.7%
  • Avg win
    $465.85
  • Avg loss
    $1,680
  • Model Account Values (Raw)
  • Cash
    $53,662
  • Margin Used
    $0
  • Buying Power
    $53,662
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.02
  • Sortino Ratio
    0.03
  • Calmar Ratio
    0.191
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -14.24%
  • Correlation to SP500
    0.18250
  • Return Percent SP500 (cumu) during strategy life
    36.84%
  • Return Statistics
  • Ann Return (w trading costs)
    3.7%
  • Slump
  • Current Slump as Pcnt Equity
    28.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.037%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.00%
  • Chance of 20% account loss
    76.00%
  • Chance of 30% account loss
    56.50%
  • Chance of 40% account loss
    41.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • 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
    18.50%
  • Popularity
  • Popularity (Today)
    767
  • Popularity (Last 6 weeks)
    776
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    487
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,680
  • Avg Win
    $466
  • Sum Trade PL (losers)
    $33,603.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $37,268.000
  • # Winners
    80
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    20
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    18578.10
  • Avg Position Time (hrs)
    309.63
  • Avg Trade Length
    12.9 days
  • Last Trade Ago
    755
  • Leverage
  • Daily leverage (average)
    3.48
  • Daily leverage (max)
    5.60
  • Regression
  • Alpha
    -0.00
  • Beta
    0.14
  • Treynor Index
    0.01
  • 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)
    1.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    59.382
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.935
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.409
  • Hold-and-Hope Ratio
    0.017
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04212
  • SD
    0.16681
  • Sharpe ratio (Glass type estimate)
    0.25253
  • Sharpe ratio (Hedges UMVUE)
    0.23871
  • df
    14.00000
  • t
    0.28233
  • p
    0.46238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00360
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99398
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33919
  • Upside Potential Ratio
    1.90013
  • Upside part of mean
    0.23598
  • Downside part of mean
    -0.19386
  • Upside SD
    0.10342
  • Downside SD
    0.12419
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.12869
  • Mean of criterion
    0.04212
  • SD of predictor
    0.09210
  • SD of criterion
    0.16681
  • Covariance
    0.00363
  • r
    0.23602
  • b (slope, estimate of beta)
    0.42746
  • a (intercept, estimate of alpha)
    -0.01288
  • Mean Square Error
    0.02830
  • DF error
    13.00000
  • t(b)
    0.87573
  • p(b)
    0.35115
  • t(a)
    -0.07902
  • p(a)
    0.51395
  • Lowerbound of 95% confidence interval for beta
    -0.62706
  • Upperbound of 95% confidence interval for beta
    1.48199
  • Lowerbound of 95% confidence interval for alpha
    -0.36512
  • Upperbound of 95% confidence interval for alpha
    0.33935
  • Treynor index (mean / b)
    0.09854
  • Jensen alpha (a)
    -0.01288
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02864
  • SD
    0.17051
  • Sharpe ratio (Glass type estimate)
    0.16796
  • Sharpe ratio (Hedges UMVUE)
    0.15877
  • df
    14.00000
  • t
    0.18779
  • p
    0.47494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91280
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21907
  • Upside Potential Ratio
    1.76156
  • Upside part of mean
    0.23029
  • Downside part of mean
    -0.20165
  • Upside SD
    0.10056
  • Downside SD
    0.13073
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.12385
  • Mean of criterion
    0.02864
  • SD of predictor
    0.09096
  • SD of criterion
    0.17051
  • Covariance
    0.00405
  • r
    0.26100
  • b (slope, estimate of beta)
    0.48924
  • a (intercept, estimate of alpha)
    -0.03195
  • Mean Square Error
    0.02918
  • DF error
    13.00000
  • t(b)
    0.97483
  • p(b)
    0.33575
  • t(a)
    -0.19372
  • p(a)
    0.53414
  • Lowerbound of 95% confidence interval for beta
    -0.59500
  • Upperbound of 95% confidence interval for beta
    1.57349
  • Lowerbound of 95% confidence interval for alpha
    -0.38828
  • Upperbound of 95% confidence interval for alpha
    0.32438
  • Treynor index (mean / b)
    0.05854
  • Jensen alpha (a)
    -0.03195
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07557
  • Expected Shortfall on VaR
    0.09424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03183
  • Expected Shortfall on VaR
    0.06689
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.88217
  • Quartile 1
    0.98762
  • Median
    1.01374
  • Quartile 3
    1.03859
  • Maximum
    1.06874
  • Mean of quarter 1
    0.94527
  • Mean of quarter 2
    1.00341
  • Mean of quarter 3
    1.02438
  • Mean of quarter 4
    1.05492
  • Inter Quartile Range
    0.05097
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.88217
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.72355
  • VaR(95%) (moments method)
    0.04356
  • Expected Shortfall (moments method)
    0.04542
  • Extreme Value Index (regression method)
    0.17966
  • VaR(95%) (regression method)
    0.10029
  • Expected Shortfall (regression method)
    0.17526
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01043
  • Quartile 1
    0.05872
  • Median
    0.10700
  • Quartile 3
    0.15529
  • Maximum
    0.20358
  • Mean of quarter 1
    0.01043
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20358
  • Inter Quartile Range
    0.09658
  • 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)
    0.05859
  • Compounded annual return (geometric extrapolation)
    0.05817
  • Calmar ratio (compounded annual return / max draw down)
    0.28576
  • Compounded annual return / average of 25% largest draw downs
    0.28576
  • Compounded annual return / Expected Shortfall lognormal
    0.61733
  • 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
    0.03716
  • SD
    0.15060
  • Sharpe ratio (Glass type estimate)
    0.24674
  • Sharpe ratio (Hedges UMVUE)
    0.24621
  • df
    344.00000
  • t
    0.28314
  • p
    0.38862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95471
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95431
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32466
  • Upside Potential Ratio
    6.76471
  • Upside part of mean
    0.77430
  • Downside part of mean
    -0.73714
  • Upside SD
    0.09757
  • Downside SD
    0.11446
  • N nonnegative terms
    187.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.11875
  • Mean of criterion
    0.03716
  • SD of predictor
    0.14997
  • SD of criterion
    0.15060
  • Covariance
    0.00904
  • r
    0.40039
  • b (slope, estimate of beta)
    0.40208
  • a (intercept, estimate of alpha)
    -0.01000
  • Mean Square Error
    0.01910
  • DF error
    343.00000
  • t(b)
    8.09229
  • p(b)
    -0.00000
  • t(a)
    -0.08778
  • p(a)
    0.53495
  • Lowerbound of 95% confidence interval for beta
    0.30435
  • Upperbound of 95% confidence interval for beta
    0.49981
  • Lowerbound of 95% confidence interval for alpha
    -0.24776
  • Upperbound of 95% confidence interval for alpha
    0.22659
  • Treynor index (mean / b)
    0.09242
  • Jensen alpha (a)
    -0.01059
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02577
  • SD
    0.15139
  • Sharpe ratio (Glass type estimate)
    0.17022
  • Sharpe ratio (Hedges UMVUE)
    0.16985
  • df
    344.00000
  • t
    0.19534
  • p
    0.42262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87790
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22165
  • Upside Potential Ratio
    6.61844
  • Upside part of mean
    0.76952
  • Downside part of mean
    -0.74375
  • Upside SD
    0.09663
  • Downside SD
    0.11627
  • N nonnegative terms
    187.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.10749
  • Mean of criterion
    0.02577
  • SD of predictor
    0.15006
  • SD of criterion
    0.15139
  • Covariance
    0.00904
  • r
    0.39800
  • b (slope, estimate of beta)
    0.40152
  • a (intercept, estimate of alpha)
    -0.01739
  • Mean Square Error
    0.01934
  • DF error
    343.00000
  • t(b)
    8.03490
  • p(b)
    -0.00000
  • t(a)
    -0.14333
  • p(a)
    0.55694
  • Lowerbound of 95% confidence interval for beta
    0.30323
  • Upperbound of 95% confidence interval for beta
    0.49981
  • Lowerbound of 95% confidence interval for alpha
    -0.25602
  • Upperbound of 95% confidence interval for alpha
    0.22124
  • Treynor index (mean / b)
    0.06418
  • Jensen alpha (a)
    -0.01739
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01517
  • Expected Shortfall on VaR
    0.01901
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00600
  • Expected Shortfall on VaR
    0.01291
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    345.00000
  • Minimum
    0.94175
  • Quartile 1
    0.99763
  • Median
    1.00082
  • Quartile 3
    1.00369
  • Maximum
    1.03321
  • Mean of quarter 1
    0.98952
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.00981
  • Inter Quartile Range
    0.00606
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.07246
  • Mean of outliers low
    0.97923
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04928
  • Mean of outliers high
    1.02204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12218
  • VaR(95%) (moments method)
    0.00758
  • Expected Shortfall (moments method)
    0.01165
  • Extreme Value Index (regression method)
    0.26010
  • VaR(95%) (regression method)
    0.00917
  • Expected Shortfall (regression method)
    0.01614
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00107
  • Median
    0.00477
  • Quartile 3
    0.01859
  • Maximum
    0.24376
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00229
  • Mean of quarter 3
    0.01206
  • Mean of quarter 4
    0.05599
  • Inter Quartile Range
    0.01752
  • 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
    0.10000
  • Mean of outliers high
    0.11146
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.80803
  • VaR(95%) (moments method)
    0.06178
  • Expected Shortfall (moments method)
    0.31523
  • Extreme Value Index (regression method)
    1.40732
  • VaR(95%) (regression method)
    0.03772
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05562
  • Compounded annual return (geometric extrapolation)
    0.05514
  • Calmar ratio (compounded annual return / max draw down)
    0.22623
  • Compounded annual return / average of 25% largest draw downs
    0.98488
  • Compounded annual return / Expected Shortfall lognormal
    2.90154
  • 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
    -0.42661
  • SD
    0.18987
  • Sharpe ratio (Glass type estimate)
    -2.24684
  • Sharpe ratio (Hedges UMVUE)
    -2.23386
  • df
    130.00000
  • t
    -1.58876
  • p
    0.56900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.02783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.01893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55122
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.63288
  • Upside Potential Ratio
    4.47798
  • Upside part of mean
    0.72557
  • Downside part of mean
    -1.15218
  • Upside SD
    0.10107
  • Downside SD
    0.16203
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01904
  • Mean of criterion
    -0.42661
  • SD of predictor
    0.18193
  • SD of criterion
    0.18987
  • Covariance
    0.01335
  • r
    0.38656
  • b (slope, estimate of beta)
    0.40343
  • a (intercept, estimate of alpha)
    -0.43429
  • Mean Square Error
    0.03090
  • DF error
    129.00000
  • t(b)
    4.76051
  • p(b)
    0.26018
  • t(a)
    -1.74689
  • p(a)
    0.59640
  • Lowerbound of 95% confidence interval for beta
    0.23576
  • Upperbound of 95% confidence interval for beta
    0.57110
  • Lowerbound of 95% confidence interval for alpha
    -0.92617
  • Upperbound of 95% confidence interval for alpha
    0.05759
  • Treynor index (mean / b)
    -1.05745
  • Jensen alpha (a)
    -0.43429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.44506
  • SD
    0.19177
  • Sharpe ratio (Glass type estimate)
    -2.32073
  • Sharpe ratio (Hedges UMVUE)
    -2.30731
  • df
    130.00000
  • t
    -1.64100
  • p
    0.57123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.10249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.09327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47864
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.69660
  • Upside Potential Ratio
    4.36526
  • Upside part of mean
    0.72046
  • Downside part of mean
    -1.16551
  • Upside SD
    0.10007
  • Downside SD
    0.16504
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00261
  • Mean of criterion
    -0.44506
  • SD of predictor
    0.18200
  • SD of criterion
    0.19177
  • Covariance
    0.01334
  • r
    0.38218
  • b (slope, estimate of beta)
    0.40270
  • a (intercept, estimate of alpha)
    -0.44611
  • Mean Square Error
    0.03165
  • DF error
    129.00000
  • t(b)
    4.69731
  • p(b)
    0.26276
  • t(a)
    -1.77314
  • p(a)
    0.59781
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.23308
  • Upperbound of 95% confidence interval for beta
    0.57232
  • Lowerbound of 95% confidence interval for alpha
    -0.94389
  • Upperbound of 95% confidence interval for alpha
    0.05167
  • Treynor index (mean / b)
    -1.10518
  • Jensen alpha (a)
    -0.44611
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02096
  • Expected Shortfall on VaR
    0.02579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01148
  • Expected Shortfall on VaR
    0.02293
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94175
  • Quartile 1
    0.99527
  • Median
    1.00000
  • Quartile 3
    1.00302
  • Maximum
    1.02959
  • Mean of quarter 1
    0.98438
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.01010
  • Inter Quartile Range
    0.00776
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.96491
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02209
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07650
  • VaR(95%) (moments method)
    0.01306
  • Expected Shortfall (moments method)
    0.01895
  • Extreme Value Index (regression method)
    0.32673
  • VaR(95%) (regression method)
    0.01402
  • Expected Shortfall (regression method)
    0.02479
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00049
  • Quartile 1
    0.06131
  • Median
    0.12212
  • Quartile 3
    0.18294
  • Maximum
    0.24376
  • Mean of quarter 1
    0.00049
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24376
  • Inter Quartile Range
    0.12163
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -320439000
  • Max Equity Drawdown (num days)
    144
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37652
  • Compounded annual return (geometric extrapolation)
    -0.34108
  • Calmar ratio (compounded annual return / max draw down)
    -1.39925
  • Compounded annual return / average of 25% largest draw downs
    -1.39925
  • Compounded annual return / Expected Shortfall lognormal
    -13.22550

Strategy Description

This strategy will be discontinued by the end of March 2022. Thank you everyone who has simulated and or subscribed to my strategy. This will be my insights on the strategy since they have changed over the past couple of years. With a standard margin account it is not worth selling strangles since they tie up a large amount of capital with putting a cap on the profits. In a portfolio margin account the capital requirements would be significantly cheaper and can make the strategy viable long term. With the leftover capital one could have offsetting trades to act as hedges for when the market moves quickly in either direction. When implied volatility is high (30+) selling and managing strangles is much smoother than low volatility (under 20). The belief and goal of this strategy was that one could place these trades routinely and manage through it. the past 6 months has proven that to be incorrect. Research has been done on SPY short strangles by Tastytrade. However I personally feel the short term capital losses are too great for any potential long term gains. This strategy can only be done in a taxable non retirement account so one would have to pay taxes on all net gains. In my opinion one would have to beat a buy and hold strategy by double to make this worth it. I am now going to focus on managing my other strategies on C2 that I feel have a long term viability. I have cut back on all of my social platform engagements so don't take it personal if I do not reply here on C2. I have found it to be too distracting from my real personal life. Good luck trading!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-12-05
Suggested Minimum Capital
$35,000
# Trades
100
# Profitable
80
% Profitable
80.0%
Correlation S&P500
0.182
Sharpe Ratio
0.02
Sortino Ratio
0.03
Beta
0.14
Alpha
-0.00
Leverage
3.48 Average
5.60 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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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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