Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, C2 training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

IRA UPRO Wheel NLT
(136412810)

Created by: NextLevelTrader NextLevelTrader
Started: 07/2021
Options
Last trade: 83 days ago
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. Subscriptions to this system cost $99.00 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.

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.
-23.9%
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.

(44.5%)
Max Drawdown
26
Num Trades
88.5%
Win Trades
0.6 : 1
Profit Factor
41.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          +0.3%+2.6%  -  +4.1%(0.3%)+14.4%+22.2%
2022(1.6%)(7.3%)+7.7%(21.1%)(13.9%)(6.5%)                                    

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.

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

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 144 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/4/22 12:44 UPRO2214D71 UPRO Apr14'22 71 call SHORT 8 0.15 4/12 11:50 0.05 0.03%
Trade id #140021037
Max drawdown($16)
Time4/4/22 14:57
Quant open8
Worst price0.17
Drawdown as % of equity-0.03%
$69
Includes Typical Broker Commissions trade costs of $11.20
3/9/22 14:41 UPRO2214D69 UPRO Apr14'22 69 call SHORT 8 0.40 4/1 12:21 0.35 1.65%
Trade id #139721258
Max drawdown($1,040)
Time3/30/22 0:00
Quant open8
Worst price1.70
Drawdown as % of equity-1.65%
$29
Includes Typical Broker Commissions trade costs of $11.20
2/15/22 11:18 UPRO2218C75 UPRO Mar18'22 75 call SHORT 8 0.30 3/2 12:01 0.01 0.14%
Trade id #139399760
Max drawdown($80)
Time2/15/22 12:00
Quant open8
Worst price0.40
Drawdown as % of equity-0.14%
$221
Includes Typical Broker Commissions trade costs of $11.20
2/9/22 13:02 UPRO2211B69 UPRO Feb11'22 69 call SHORT 8 0.35 2/12 9:35 0.00 0.19%
Trade id #139323639
Max drawdown($120)
Time2/9/22 15:50
Quant open8
Worst price0.50
Drawdown as % of equity-0.19%
$274
Includes Typical Broker Commissions trade costs of $5.60
1/31/22 11:53 UPRO2204B68 UPRO Feb4'22 68 call SHORT 8 0.26 2/5 9:35 0.00 1.03%
Trade id #139175311
Max drawdown($632)
Time2/2/22 0:00
Quant open8
Worst price1.05
Drawdown as % of equity-1.03%
$202
Includes Typical Broker Commissions trade costs of $5.60
1/26/22 13:21 UPRO2228A68 UPRO Jan28'22 68 call SHORT 8 0.11 1/29 9:35 0.00 n/a $82
Includes Typical Broker Commissions trade costs of $5.60
1/18/22 9:35 UPRO2221M67 UPRO Jan21'22 67 put SHORT 8 1.29 1/22 9:36 0.00 7.84%
Trade id #138987887
Max drawdown($4,648)
Time1/21/22 0:00
Quant open8
Worst price7.10
Drawdown as % of equity-7.84%
$1,026
Includes Typical Broker Commissions trade costs of $5.60
1/3/22 9:55 UPRO2214M70 UPRO Jan14'22 70 put SHORT 8 0.57 1/15 9:35 0.00 7.17%
Trade id #138788931
Max drawdown($4,344)
Time1/10/22 0:00
Quant open8
Worst price6.00
Drawdown as % of equity-7.17%
$450
Includes Typical Broker Commissions trade costs of $5.60
12/27/21 9:41 UPRO2131X140 UPRO Dec31'21 140 put SHORT 3 0.40 1/1/22 9:35 0.00 0.19%
Trade id #138711423
Max drawdown($117)
Time12/31/21 0:00
Quant open3
Worst price0.79
Drawdown as % of equity-0.19%
$118
Includes Typical Broker Commissions trade costs of $2.10
12/4/21 9:35 UPRO PROSHARES ULTRAPRO S&P 500 LONG 375 132.83 12/23 15:54 149.92 1.01%
Trade id #138458705
Max drawdown($575)
Time12/20/21 0:00
Quant open300
Worst price131.08
Drawdown as % of equity-1.01%
$6,403
Includes Typical Broker Commissions trade costs of $7.50
12/21/21 14:29 UPRO2131L150 UPRO Dec31'21 150 call SHORT 3 0.85 12/23 15:54 2.95 0.97%
Trade id #138656532
Max drawdown($588)
Time12/23/21 15:54
Quant open3
Worst price2.81
Drawdown as % of equity-0.97%
($634)
Includes Typical Broker Commissions trade costs of $4.20
12/9/21 9:46 UPRO2117L150 UPRO Dec17'21 150 call SHORT 3 1.90 12/14 14:04 0.25 0.1%
Trade id #138523409
Max drawdown($60)
Time12/10/21 0:00
Quant open3
Worst price2.10
Drawdown as % of equity-0.10%
$491
Includes Typical Broker Commissions trade costs of $4.20
11/26/21 14:33 VIX2219M29 VIX Jan19'22 29 put LONG 5 6.71 12/9 9:52 8.10 1.12%
Trade id #138358743
Max drawdown($605)
Time12/3/21 0:00
Quant open5
Worst price5.50
Drawdown as % of equity-1.12%
$688
Includes Typical Broker Commissions trade costs of $7.00
11/17/21 10:07 UPRO2103X133 UPRO Dec3'21 133 put SHORT 3 1.25 12/4 9:35 0.00 1.36%
Trade id #138226553
Max drawdown($729)
Time11/26/21 0:00
Quant open3
Worst price3.68
Drawdown as % of equity-1.36%
$373
Includes Typical Broker Commissions trade costs of $2.10
11/8/21 9:43 UPRO2119W135 UPRO Nov19'21 135 put SHORT 3 0.93 11/16 9:33 0.25 0.6%
Trade id #138113438
Max drawdown($321)
Time11/10/21 0:00
Quant open3
Worst price2.00
Drawdown as % of equity-0.60%
$200
Includes Typical Broker Commissions trade costs of $4.20
10/28/21 10:46 UPRO2105W125 UPRO Nov5'21 125 put SHORT 4 0.63 11/6 9:35 0.00 0.05%
Trade id #137991283
Max drawdown($28)
Time10/29/21 0:00
Quant open4
Worst price0.70
Drawdown as % of equity-0.05%
$249
Includes Typical Broker Commissions trade costs of $2.80
10/22/21 9:45 UPRO2129V128 UPRO Oct29'21 128 put SHORT 4 0.60 10/28 10:18 0.09 0.49%
Trade id #137917874
Max drawdown($260)
Time10/22/21 11:43
Quant open4
Worst price1.25
Drawdown as % of equity-0.49%
$197
Includes Typical Broker Commissions trade costs of $5.60
10/18/21 9:42 UPRO2122V118 UPRO Oct22'21 118 put SHORT 4 0.50 10/19 15:06 0.09 n/a $159
Includes Typical Broker Commissions trade costs of $5.60
10/8/21 13:08 UPRO2115V115 UPRO Oct15'21 115 put SHORT 4 1.30 10/14 11:35 0.12 0.61%
Trade id #137731862
Max drawdown($320)
Time10/13/21 0:00
Quant open4
Worst price2.10
Drawdown as % of equity-0.61%
$466
Includes Typical Broker Commissions trade costs of $5.60
10/4/21 9:33 UPRO2108V115 UPRO Oct8'21 115 put SHORT 4 2.20 10/7 9:59 0.20 2.07%
Trade id #137643284
Max drawdown($1,080)
Time10/4/21 12:39
Quant open4
Worst price4.90
Drawdown as % of equity-2.07%
$794
Includes Typical Broker Commissions trade costs of $5.60
9/16/21 14:20 UPRO2101V115 UPRO Oct1'21 115 put SHORT 4 1.30 10/1 13:56 0.10 4.07%
Trade id #137403356
Max drawdown($2,092)
Time9/20/21 0:00
Quant open4
Worst price6.53
Drawdown as % of equity-4.07%
$474
Includes Typical Broker Commissions trade costs of $5.60
9/16/21 14:19 UPRO2101J115 UPRO Oct1'21 115 call LONG 4 14.20 9/16 14:20 13.90 n/a ($126)
Includes Typical Broker Commissions trade costs of $5.60
8/26/21 10:49 UPRO2117U115 UPRO Sep17'21 115 put SHORT 4 1.75 9/15 14:44 0.15 0.27%
Trade id #137134769
Max drawdown($140)
Time8/26/21 11:02
Quant open4
Worst price2.10
Drawdown as % of equity-0.27%
$634
Includes Typical Broker Commissions trade costs of $5.60
8/2/21 14:07 UPRO2127T110 UPRO Aug27'21 110 put SHORT 4 2.45 8/23 10:22 0.05 n/a $954
Includes Typical Broker Commissions trade costs of $5.60
7/12/21 10:15 UPRO2106T103 UPRO Aug6'21 103 put SHORT 4 1.15 8/2 13:11 0.10 0.2%
Trade id #136429753
Max drawdown($100)
Time7/14/21 0:00
Quant open4
Worst price1.40
Drawdown as % of equity-0.20%
$414
Includes Typical Broker Commissions trade costs of $5.60

Statistics

  • Strategy began
    7/10/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    352.95
  • Age
    12 months ago
  • What it trades
    Options
  • # Trades
    26
  • # Profitable
    23
  • % Profitable
    88.50%
  • Avg trade duration
    15.4 days
  • Max peak-to-valley drawdown
    44.47%
  • drawdown period
    Feb 02, 2022 - June 20, 2022
  • Cumul. Return
    -23.9%
  • Avg win
    $656.83
  • Avg loss
    $8,540
  • Model Account Values (Raw)
  • Cash
    $24,208
  • Margin Used
    $0
  • Buying Power
    ($663)
  • Ratios
  • W:L ratio
    0.59:1
  • Sharpe Ratio
    -0.55
  • Sortino Ratio
    -0.74
  • Calmar Ratio
    -0.557
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -11.32%
  • Correlation to SP500
    0.71690
  • Return Percent SP500 (cumu) during strategy life
    -12.45%
  • Return Statistics
  • Ann Return (w trading costs)
    -24.4%
  • Slump
  • Current Slump as Pcnt Equity
    65.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.41%
  • Instruments
  • Short Options - Percent Covered
    36.36%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.239%
  • Instruments
  • Percent Trades Options
    0.92%
  • Percent Trades Stocks
    0.08%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -21.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.50%
  • Chance of 20% account loss
    27.00%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    638
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    271
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,541
  • Avg Win
    $657
  • Sum Trade PL (losers)
    $25,622.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $15,107.000
  • # Winners
    23
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    51
  • Win / Loss
  • # Losers
    3
  • % Winners
    88.5%
  • Frequency
  • Avg Position Time (mins)
    22221.30
  • Avg Position Time (hrs)
    370.35
  • Avg Trade Length
    15.4 days
  • Last Trade Ago
    77
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    3.81
  • Regression
  • Alpha
    -0.01
  • Beta
    1.30
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.53
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.36
  • Avg(MAE) / Avg(PL) - All trades
    -4.957
  • 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
    0.71
  • Avg(MAE) / Avg(PL) - Winning trades
    1.246
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.258
  • Hold-and-Hope Ratio
    -0.352
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16178
  • SD
    0.33553
  • Sharpe ratio (Glass type estimate)
    -0.48216
  • Sharpe ratio (Hedges UMVUE)
    -0.44063
  • df
    9.00000
  • t
    -0.44015
  • p
    0.66489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71603
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54703
  • Upside Potential Ratio
    0.99554
  • Upside part of mean
    0.29441
  • Downside part of mean
    -0.45619
  • Upside SD
    0.12666
  • Downside SD
    0.29573
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.15406
  • Mean of criterion
    -0.16178
  • SD of predictor
    0.16941
  • SD of criterion
    0.33553
  • Covariance
    0.04515
  • r
    0.79429
  • b (slope, estimate of beta)
    1.57309
  • a (intercept, estimate of alpha)
    0.08057
  • Mean Square Error
    0.04675
  • DF error
    8.00000
  • t(b)
    3.69781
  • p(b)
    0.00303
  • t(a)
    0.32787
  • p(a)
    0.37571
  • Lowerbound of 95% confidence interval for beta
    0.59209
  • Upperbound of 95% confidence interval for beta
    2.55409
  • Lowerbound of 95% confidence interval for alpha
    -0.48612
  • Upperbound of 95% confidence interval for alpha
    0.64727
  • Treynor index (mean / b)
    -0.10284
  • Jensen alpha (a)
    0.08057
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22087
  • SD
    0.37135
  • Sharpe ratio (Glass type estimate)
    -0.59479
  • Sharpe ratio (Hedges UMVUE)
    -0.54356
  • df
    9.00000
  • t
    -0.54297
  • p
    0.69983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.70523
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61810
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65619
  • Upside Potential Ratio
    0.85002
  • Upside part of mean
    0.28612
  • Downside part of mean
    -0.50699
  • Upside SD
    0.12196
  • Downside SD
    0.33660
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.16822
  • Mean of criterion
    -0.22087
  • SD of predictor
    0.17449
  • SD of criterion
    0.37135
  • Covariance
    0.05272
  • r
    0.81361
  • b (slope, estimate of beta)
    1.73148
  • a (intercept, estimate of alpha)
    0.07039
  • Mean Square Error
    0.05244
  • DF error
    8.00000
  • t(b)
    3.95797
  • p(b)
    0.00209
  • t(a)
    0.26926
  • p(a)
    0.39727
  • Lowerbound of 95% confidence interval for beta
    0.72268
  • Upperbound of 95% confidence interval for beta
    2.74028
  • Lowerbound of 95% confidence interval for alpha
    -0.53247
  • Upperbound of 95% confidence interval for alpha
    0.67326
  • Treynor index (mean / b)
    -0.12756
  • Jensen alpha (a)
    0.07039
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17694
  • Expected Shortfall on VaR
    0.21239
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06065
  • Expected Shortfall on VaR
    0.13526
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.74795
  • Quartile 1
    0.96727
  • Median
    1.02127
  • Quartile 3
    1.03195
  • Maximum
    1.09626
  • Mean of quarter 1
    0.87561
  • Mean of quarter 2
    1.01836
  • Mean of quarter 3
    1.02257
  • Mean of quarter 4
    1.05993
  • Inter Quartile Range
    0.06468
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.74795
  • 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)
    0.21144
  • VaR(95%) (moments method)
    0.12894
  • Expected Shortfall (moments method)
    0.21320
  • Extreme Value Index (regression method)
    1.97481
  • VaR(95%) (regression method)
    0.33558
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.31693
  • Quartile 1
    0.31693
  • Median
    0.31693
  • Quartile 3
    0.31693
  • Maximum
    0.31693
  • 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)
    -0.17825
  • Compounded annual return (geometric extrapolation)
    -0.17549
  • Calmar ratio (compounded annual return / max draw down)
    -0.55372
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.82628
  • 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
    -0.22410
  • SD
    0.38449
  • Sharpe ratio (Glass type estimate)
    -0.58284
  • Sharpe ratio (Hedges UMVUE)
    -0.58091
  • df
    226.00000
  • t
    -0.54252
  • p
    0.70600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52542
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77703
  • Upside Potential Ratio
    5.73071
  • Upside part of mean
    1.65276
  • Downside part of mean
    -1.87686
  • Upside SD
    0.25337
  • Downside SD
    0.28841
  • N nonnegative terms
    122.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    -0.16472
  • Mean of criterion
    -0.22410
  • SD of predictor
    0.20858
  • SD of criterion
    0.38449
  • Covariance
    0.05753
  • r
    0.71732
  • b (slope, estimate of beta)
    1.32228
  • a (intercept, estimate of alpha)
    -0.00600
  • Mean Square Error
    0.07208
  • DF error
    225.00000
  • t(b)
    15.44300
  • p(b)
    -0.00000
  • t(a)
    -0.02179
  • p(a)
    0.50868
  • Lowerbound of 95% confidence interval for beta
    1.15355
  • Upperbound of 95% confidence interval for beta
    1.49100
  • Lowerbound of 95% confidence interval for alpha
    -0.57537
  • Upperbound of 95% confidence interval for alpha
    0.56278
  • Treynor index (mean / b)
    -0.16948
  • Jensen alpha (a)
    -0.00629
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29865
  • SD
    0.38803
  • Sharpe ratio (Glass type estimate)
    -0.76964
  • Sharpe ratio (Hedges UMVUE)
    -0.76708
  • df
    226.00000
  • t
    -0.71639
  • p
    0.76275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87565
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33975
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99424
  • Upside Potential Ratio
    5.39959
  • Upside part of mean
    1.62191
  • Downside part of mean
    -1.92055
  • Upside SD
    0.24499
  • Downside SD
    0.30038
  • N nonnegative terms
    122.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    227.00000
  • Mean of predictor
    -0.18654
  • Mean of criterion
    -0.29865
  • SD of predictor
    0.20948
  • SD of criterion
    0.38803
  • Covariance
    0.05824
  • r
    0.71651
  • b (slope, estimate of beta)
    1.32725
  • a (intercept, estimate of alpha)
    -0.05106
  • Mean Square Error
    0.07359
  • DF error
    225.00000
  • t(b)
    15.40720
  • p(b)
    -0.00000
  • t(a)
    -0.17492
  • p(a)
    0.56935
  • Lowerbound of 95% confidence interval for beta
    1.15750
  • Upperbound of 95% confidence interval for beta
    1.49700
  • Lowerbound of 95% confidence interval for alpha
    -0.62625
  • Upperbound of 95% confidence interval for alpha
    0.52413
  • Treynor index (mean / b)
    -0.22501
  • Jensen alpha (a)
    -0.05106
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03976
  • Expected Shortfall on VaR
    0.04929
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01540
  • Expected Shortfall on VaR
    0.03298
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    227.00000
  • Minimum
    0.85143
  • Quartile 1
    0.99447
  • Median
    1.00041
  • Quartile 3
    1.00436
  • Maximum
    1.12974
  • Mean of quarter 1
    0.97260
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00196
  • Mean of quarter 4
    1.02339
  • Inter Quartile Range
    0.00989
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.14097
  • Mean of outliers low
    0.96070
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.12335
  • Mean of outliers high
    1.03621
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04085
  • VaR(95%) (moments method)
    0.01854
  • Expected Shortfall (moments method)
    0.02584
  • Extreme Value Index (regression method)
    0.14534
  • VaR(95%) (regression method)
    0.02631
  • Expected Shortfall (regression method)
    0.04285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00137
  • Median
    0.00346
  • Quartile 3
    0.02316
  • Maximum
    0.42599
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00214
  • Mean of quarter 3
    0.01113
  • Mean of quarter 4
    0.12544
  • Inter Quartile Range
    0.02178
  • 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
    0.14815
  • Mean of outliers high
    0.19447
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64985
  • VaR(95%) (moments method)
    0.10539
  • Expected Shortfall (moments method)
    0.35065
  • Extreme Value Index (regression method)
    0.94773
  • VaR(95%) (regression method)
    0.18969
  • Expected Shortfall (regression method)
    4.04424
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.24133
  • Compounded annual return (geometric extrapolation)
    -0.23718
  • Calmar ratio (compounded annual return / max draw down)
    -0.55678
  • Compounded annual return / average of 25% largest draw downs
    -1.89077
  • Compounded annual return / Expected Shortfall lognormal
    -4.81173
  • 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
    -0.54561
  • SD
    0.50112
  • Sharpe ratio (Glass type estimate)
    -1.08878
  • Sharpe ratio (Hedges UMVUE)
    -1.08249
  • df
    130.00000
  • t
    -0.76989
  • p
    0.53368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.86169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68824
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44891
  • Upside Potential Ratio
    6.70511
  • Upside part of mean
    2.52492
  • Downside part of mean
    -3.07053
  • Upside SD
    0.32945
  • Downside SD
    0.37657
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40417
  • Mean of criterion
    -0.54561
  • SD of predictor
    0.25824
  • SD of criterion
    0.50112
  • Covariance
    0.09563
  • r
    0.73896
  • b (slope, estimate of beta)
    1.43397
  • a (intercept, estimate of alpha)
    0.03395
  • Mean Square Error
    0.11488
  • DF error
    129.00000
  • t(b)
    12.45730
  • p(b)
    0.07684
  • t(a)
    0.07050
  • p(a)
    0.49605
  • Lowerbound of 95% confidence interval for beta
    1.20622
  • Upperbound of 95% confidence interval for beta
    1.66172
  • Lowerbound of 95% confidence interval for alpha
    -0.91886
  • Upperbound of 95% confidence interval for alpha
    0.98676
  • Treynor index (mean / b)
    -0.38049
  • Jensen alpha (a)
    0.03395
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.67225
  • SD
    0.50550
  • Sharpe ratio (Glass type estimate)
    -1.32987
  • Sharpe ratio (Hedges UMVUE)
    -1.32219
  • df
    130.00000
  • t
    -0.94036
  • p
    0.54110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.09865
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45427
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.71324
  • Upside Potential Ratio
    6.30203
  • Upside part of mean
    2.47282
  • Downside part of mean
    -3.14507
  • Upside SD
    0.31834
  • Downside SD
    0.39238
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.43775
  • Mean of criterion
    -0.67225
  • SD of predictor
    0.25937
  • SD of criterion
    0.50550
  • Covariance
    0.09670
  • r
    0.73756
  • b (slope, estimate of beta)
    1.43748
  • a (intercept, estimate of alpha)
    -0.04300
  • Mean Square Error
    0.11743
  • DF error
    129.00000
  • t(b)
    12.40540
  • p(b)
    0.07744
  • t(a)
    -0.08824
  • p(a)
    0.50495
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    1.20822
  • Upperbound of 95% confidence interval for beta
    1.66675
  • Lowerbound of 95% confidence interval for alpha
    -1.00705
  • Upperbound of 95% confidence interval for alpha
    0.92106
  • Treynor index (mean / b)
    -0.46766
  • Jensen alpha (a)
    -0.04300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05251
  • Expected Shortfall on VaR
    0.06473
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02771
  • Expected Shortfall on VaR
    0.05308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85143
  • Quartile 1
    0.98096
  • Median
    0.99933
  • Quartile 3
    1.01681
  • Maximum
    1.12974
  • Mean of quarter 1
    0.96153
  • Mean of quarter 2
    0.99219
  • Mean of quarter 3
    1.00521
  • Mean of quarter 4
    1.03338
  • Inter Quartile Range
    0.03585
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.85143
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.09505
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10337
  • VaR(95%) (moments method)
    0.03905
  • Expected Shortfall (moments method)
    0.05418
  • Extreme Value Index (regression method)
    0.37615
  • VaR(95%) (regression method)
    0.03784
  • Expected Shortfall (regression method)
    0.06259
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00875
  • Median
    0.02336
  • Quartile 3
    0.07894
  • Maximum
    0.42599
  • Mean of quarter 1
    0.00374
  • Mean of quarter 2
    0.01857
  • Mean of quarter 3
    0.05004
  • Mean of quarter 4
    0.24002
  • Inter Quartile Range
    0.07019
  • 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
    0.18182
  • Mean of outliers high
    0.31000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.04648
  • VaR(95%) (moments method)
    0.24606
  • Expected Shortfall (moments method)
    0.25359
  • Extreme Value Index (regression method)
    0.30386
  • VaR(95%) (regression method)
    0.44493
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.83412
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -320361000
  • Max Equity Drawdown (num days)
    138
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55085
  • Compounded annual return (geometric extrapolation)
    -0.47499
  • Calmar ratio (compounded annual return / max draw down)
    -1.11502
  • Compounded annual return / average of 25% largest draw downs
    -1.97897
  • Compounded annual return / Expected Shortfall lognormal
    -7.33837

Strategy Description

This is an S&P 500 exposure portfolio. The performance goal is to consistently outperform the S&P 500 year in year out. First part of the trade starts with cash secured puts on UPRO at a bargain price for taking assignment. Second part of the trade is selling covered calls at a price at or above what we paid for them and to collect small amounts of premium along the way. We intend to use less than 100% of our capital to make this IRA friendly. We may mix in a small amount of long SPXS puts at opportune times. At times we will close to new subscribers when there is too much downside risk for them to open all our current positions. This does not need to be auto traded and can be easily done manually. The trade alerts should be easily executed on your broker's smartphone app.

This strategy should be paired with 3-4 others that are uncorrelated and equal weight for diversification. This strategy is based on technical analysis. This strategy works best in choppy, flat, and or bull markets. In prolonged bear markets we may have to hold on to shares until the price moves back in our direction to sell covered calls. Covering puts for realized losses because you are concerned about holding shares for any period of time or in a bear market defies the premise of this strategy. The Wheel works on solid stocks and ETFs. It will not work on bearish ETFs like SQQQ, SPXS, and or SPXU. Those products frequently go through reverse splits and lose value every year.

Summary Statistics

Strategy began
2021-07-10
Suggested Minimum Capital
$35,000
# Trades
26
# Profitable
23
% Profitable
88.5%
Net Dividends
Correlation S&P500
0.717
Sharpe Ratio
-0.55
Sortino Ratio
-0.74
Beta
1.30
Alpha
-0.01
Leverage
1.37 Average
3.81 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.