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Featured Strategy MT3 Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Income Trades
(147357636)

Created by: Foundational_Capital Foundational_Capital
Started: 02/2024
Options
Last trade: 5 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $20.00 per month.

C2Star

C2Star 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.

5.9%
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.

(16.7%)
Max Drawdown
92
Num Trades
88.0%
Win Trades
1.7 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024       +3.0%+1.5%+1.7%+3.4%+2.4%(6.3%)+3.0%(2.7%)                  +5.7%

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 59 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
8/19/24 10:11 ELF2430T140 ELF Aug30'24 140 put SHORT 1 0.50 8/31 9:35 0.00 0.26%
Trade id #148952356
Max drawdown($70)
Time8/20/24 0:00
Quant open1
Worst price1.20
Drawdown as % of equity-0.26%
 $49
Includes Typical Broker Commissions trade costs of $1.00
7/24/24 12:15 HCA2416T300 HCA Aug16'24 300 put SHORT 1 0.47 8/17 9:35 0.00 0.42%
Trade id #148730085
Max drawdown($103)
Time8/5/24 0:00
Quant open1
Worst price1.50
Drawdown as % of equity-0.42%
 $46
Includes Typical Broker Commissions trade costs of $1.00
7/31/24 12:39 ANET2416T280 ANET Aug16'24 280 put SHORT 1 0.40 8/17 9:35 0.00 3.18%
Trade id #148786425
Max drawdown($780)
Time8/5/24 0:00
Quant open1
Worst price8.20
Drawdown as % of equity-3.18%
 $39
Includes Typical Broker Commissions trade costs of $1.00
7/19/24 10:18 ELF2416T150 ELF Aug16'24 150 put SHORT 1 4.20 8/16 10:02 0.15 2.36%
Trade id #148693311
Max drawdown($580)
Time8/5/24 0:00
Quant open1
Worst price10.00
Drawdown as % of equity-2.36%
 $403
Includes Typical Broker Commissions trade costs of $2.00
7/26/24 13:43 GOOG2423T145 GOOG Aug23'24 145 put SHORT 1 0.35 8/16 9:48 0.05 0.82%
Trade id #148752760
Max drawdown($201)
Time8/5/24 0:00
Quant open1
Worst price2.36
Drawdown as % of equity-0.82%
 $28
Includes Typical Broker Commissions trade costs of $2.00
7/31/24 9:43 AMZN2416T170 AMZN Aug16'24 170 put SHORT 1 2.35 8/15 11:01 0.06 6.66%
Trade id #148783248
Max drawdown($1,635)
Time8/5/24 0:00
Quant open1
Worst price18.70
Drawdown as % of equity-6.66%
 $227
Includes Typical Broker Commissions trade costs of $2.00
7/15/24 12:22 INTU2416T540 INTU Aug16'24 540 put SHORT 1 0.60 8/15 10:19 0.05 1.79%
Trade id #148651892
Max drawdown($439)
Time8/5/24 0:00
Quant open1
Worst price5.00
Drawdown as % of equity-1.79%
 $54
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 9:33 LOW2416T210 LOW Aug16'24 210 put SHORT 1 0.40 8/15 9:30 0.03 0.61%
Trade id #148762321
Max drawdown($150)
Time8/5/24 0:00
Quant open1
Worst price1.90
Drawdown as % of equity-0.61%
 $35
Includes Typical Broker Commissions trade costs of $2.00
7/30/24 12:30 GE2416T150 GE Aug16'24 150 put SHORT 1 0.35 8/14 12:07 0.05 2.39%
Trade id #148775547
Max drawdown($586)
Time8/5/24 0:00
Quant open1
Worst price6.21
Drawdown as % of equity-2.39%
 $28
Includes Typical Broker Commissions trade costs of $2.00
7/19/24 13:23 CRWD2416T200 CRWD Aug16'24 200 put SHORT 1 0.60 8/13 10:25 0.05 4.24%
Trade id #148695932
Max drawdown($1,040)
Time8/5/24 0:00
Quant open1
Worst price11.00
Drawdown as % of equity-4.24%
 $53
Includes Typical Broker Commissions trade costs of $2.00
8/1/24 10:18 AMD2416T115 AMD Aug16'24 115 put SHORT 1 0.30 8/13 9:34 0.03 1.75%
Trade id #148795542
Max drawdown($430)
Time8/5/24 0:00
Quant open1
Worst price4.60
Drawdown as % of equity-1.75%
 $25
Includes Typical Broker Commissions trade costs of $2.00
7/24/24 13:24 AAP2416T47.5 AAP Aug16'24 47.5 put SHORT 1 0.30 8/2 10:14 0.14 0%
Trade id #148730767
Max drawdown($1)
Time7/24/24 13:52
Quant open1
Worst price0.31
Drawdown as % of equity-0.00%
 $14
Includes Typical Broker Commissions trade costs of $2.00
8/2/24 9:30 AMAT2409T207.5 AMAT Aug9'24 207.5 put SHORT 1 20.30 8/2 10:14 25.77 2.08%
Trade id #148806020
Max drawdown($547)
Time8/2/24 10:14
Quant open1
Worst price25.77
Drawdown as % of equity-2.08%
 ($549)
Includes Typical Broker Commissions trade costs of $2.00
7/15/24 14:13 AMAT2402T210 AMAT Aug2'24 210 put SHORT 1 0.40 8/1 13:46 16.71 6.26%
Trade id #148653169
Max drawdown($1,660)
Time8/1/24 13:43
Quant open1
Worst price17.00
Drawdown as % of equity-6.26%
 ($1,633)
Includes Typical Broker Commissions trade costs of $2.00
7/12/24 13:43 ELF2426S180 ELF Jul26'24 180 put SHORT 1 0.65 7/26 13:13 0.50 5.81%
Trade id #148637340
Max drawdown($1,550)
Time7/22/24 0:00
Quant open1
Worst price16.15
Drawdown as % of equity-5.81%
 $13
Includes Typical Broker Commissions trade costs of $2.00
7/11/24 12:59 FSLR2426S195 FSLR Jul26'24 195 put SHORT 1 0.84 7/26 9:42 0.02 0.59%
Trade id #148625437
Max drawdown($169)
Time7/15/24 0:00
Quant open1
Worst price2.53
Drawdown as % of equity-0.59%
 $80
Includes Typical Broker Commissions trade costs of $2.00
7/12/24 9:33 META2426S440 META Jul26'24 440 put SHORT 1 0.91 7/26 9:30 0.10 1.62%
Trade id #148633068
Max drawdown($439)
Time7/25/24 0:00
Quant open1
Worst price5.30
Drawdown as % of equity-1.62%
 $79
Includes Typical Broker Commissions trade costs of $2.00
7/16/24 12:34 GOOG2426S170 GOOG Jul26'24 170 put SHORT 1 0.90 7/23 12:12 0.80 0.56%
Trade id #148662816
Max drawdown($148)
Time7/18/24 0:00
Quant open1
Worst price2.38
Drawdown as % of equity-0.56%
 $8
Includes Typical Broker Commissions trade costs of $2.00
6/26/24 10:05 ETN2419S280 ETN Jul19'24 280 put SHORT 1 0.55 7/20 9:35 0.00 0.11%
Trade id #148504243
Max drawdown($30)
Time6/27/24 0:00
Quant open1
Worst price0.85
Drawdown as % of equity-0.11%
 $54
Includes Typical Broker Commissions trade costs of $1.00
7/1/24 9:30 FSLR2419S180 FSLR Jul19'24 180 put SHORT 1 0.50 7/19 11:51 0.02 0.27%
Trade id #148543119
Max drawdown($78)
Time7/15/24 0:00
Quant open1
Worst price1.28
Drawdown as % of equity-0.27%
 $46
Includes Typical Broker Commissions trade costs of $2.00
7/9/24 12:36 ANF2416T130 ANF Aug16'24 130 put SHORT 1 0.40 7/18 12:01 1.81 0.55%
Trade id #148602760
Max drawdown($141)
Time7/18/24 12:01
Quant open1
Worst price1.81
Drawdown as % of equity-0.55%
 ($143)
Includes Typical Broker Commissions trade costs of $2.00
6/28/24 13:05 VST2419S70 VST Jul19'24 70 put SHORT 1 0.38 7/18 12:01 0.29 0.06%
Trade id #148532832
Max drawdown($16)
Time7/1/24 0:00
Quant open1
Worst price0.54
Drawdown as % of equity-0.06%
 $7
Includes Typical Broker Commissions trade costs of $2.00
6/12/24 12:11 WING2419S300 WING Jul19'24 300 put SHORT 1 0.54 7/15 10:06 0.10 0.04%
Trade id #148391483
Max drawdown($11)
Time6/14/24 0:00
Quant open1
Worst price0.65
Drawdown as % of equity-0.04%
 $42
Includes Typical Broker Commissions trade costs of $2.00
6/26/24 14:43 AMD2419S135 AMD Jul19'24 135 put SHORT 1 0.50 7/15 9:53 0.01 0.01%
Trade id #148507639
Max drawdown($4)
Time6/26/24 15:09
Quant open1
Worst price0.54
Drawdown as % of equity-0.01%
 $47
Includes Typical Broker Commissions trade costs of $2.00
6/20/24 10:12 ELF2412S175 ELF Jul12'24 175 put SHORT 1 0.75 7/13 9:35 0.00 0.28%
Trade id #148454948
Max drawdown($79)
Time6/24/24 0:00
Quant open1
Worst price1.54
Drawdown as % of equity-0.28%
 $74
Includes Typical Broker Commissions trade costs of $1.00
6/13/24 15:51 EBAY2405S50 EBAY Jul5'24 50 put SHORT 1 0.21 7/1 9:30 0.03 0.06%
Trade id #148405728
Max drawdown($16)
Time6/14/24 0:00
Quant open1
Worst price0.37
Drawdown as % of equity-0.06%
 $16
Includes Typical Broker Commissions trade costs of $2.00
6/7/24 13:08 ELF2428R145 ELF Jun28'24 145 put SHORT 1 0.40 6/29 9:35 0.00 n/a $39
Includes Typical Broker Commissions trade costs of $1.00
6/14/24 15:51 META2405S425 META Jul5'24 425 put SHORT 1 0.38 6/28 9:36 0.05 0%
Trade id #148413319
Max drawdown($1)
Time6/17/24 0:00
Quant open1
Worst price0.39
Drawdown as % of equity-0.00%
 $31
Includes Typical Broker Commissions trade costs of $2.00
6/5/24 12:58 GE2428R145 GE Jun28'24 145 put SHORT 1 0.40 6/27 12:51 0.03 0.11%
Trade id #148337879
Max drawdown($30)
Time6/13/24 0:00
Quant open1
Worst price0.70
Drawdown as % of equity-0.11%
 $35
Includes Typical Broker Commissions trade costs of $2.00
6/10/24 10:04 TSLA2428R145 TSLA Jun28'24 145 put SHORT 1 0.63 6/27 12:38 0.01 0.31%
Trade id #148370405
Max drawdown($86)
Time6/11/24 0:00
Quant open1
Worst price1.49
Drawdown as % of equity-0.31%
 $60
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    2/16/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    204.41
  • Age
    7 months ago
  • What it trades
    Options
  • # Trades
    92
  • # Profitable
    81
  • % Profitable
    88.00%
  • Avg trade duration
    17.0 days
  • Max peak-to-valley drawdown
    16.66%
  • drawdown period
    July 14, 2024 - Aug 05, 2024
  • Cumul. Return
    5.9%
  • Avg win
    $61.04
  • Avg loss
    $267.64
  • Model Account Values (Raw)
  • Cash
    $28,196
  • Margin Used
    $26,918
  • Buying Power
    $1,278
  • Ratios
  • W:L ratio
    1.68:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.6
  • Calmar Ratio
    1.04
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.15%
  • Correlation to SP500
    0.46600
  • Return Percent SP500 (cumu) during strategy life
    8.05%
  • Return Statistics
  • Ann Return (w trading costs)
    10.6%
  • Slump
  • Current Slump as Pcnt Equity
    7.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -3.400%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.059%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    780
  • Popularity (Last 6 weeks)
    971
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    948
  • Popularity (7 days, Percentile 1000 scale)
    923
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $268
  • Avg Win
    $61
  • Sum Trade PL (losers)
    $2,944.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $4,944.000
  • # Winners
    81
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    80538
  • Win / Loss
  • # Losers
    11
  • % Winners
    88.0%
  • Frequency
  • Avg Position Time (mins)
    24543.30
  • Avg Position Time (hrs)
    409.06
  • Avg Trade Length
    17.0 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    3.68
  • Daily leverage (max)
    5.25
  • Regression
  • Alpha
    0.00
  • Beta
    0.77
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.592
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    2.638
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.019
  • Hold-and-Hope Ratio
    0.108
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18449
  • SD
    0.11530
  • Sharpe ratio (Glass type estimate)
    1.60017
  • Sharpe ratio (Hedges UMVUE)
    1.34534
  • df
    5.00000
  • t
    1.13149
  • p
    0.15459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23985
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62127
  • Upside Potential Ratio
    4.03548
  • Upside part of mean
    0.28403
  • Downside part of mean
    -0.09954
  • Upside SD
    0.09466
  • Downside SD
    0.07038
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.22373
  • Mean of criterion
    0.18449
  • SD of predictor
    0.13513
  • SD of criterion
    0.11530
  • Covariance
    0.00914
  • r
    0.58657
  • b (slope, estimate of beta)
    0.50047
  • a (intercept, estimate of alpha)
    0.07252
  • Mean Square Error
    0.01090
  • DF error
    4.00000
  • t(b)
    1.44851
  • p(b)
    0.11053
  • t(a)
    0.43517
  • p(a)
    0.34295
  • Lowerbound of 95% confidence interval for beta
    -0.45900
  • Upperbound of 95% confidence interval for beta
    1.45994
  • Lowerbound of 95% confidence interval for alpha
    -0.39028
  • Upperbound of 95% confidence interval for alpha
    0.53533
  • Treynor index (mean / b)
    0.36864
  • Jensen alpha (a)
    0.07252
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17716
  • SD
    0.11591
  • Sharpe ratio (Glass type estimate)
    1.52839
  • Sharpe ratio (Hedges UMVUE)
    1.28499
  • df
    5.00000
  • t
    1.08074
  • p
    0.16458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16895
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45969
  • Upside Potential Ratio
    3.87390
  • Upside part of mean
    0.27901
  • Downside part of mean
    -0.10186
  • Upside SD
    0.09286
  • Downside SD
    0.07202
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.21374
  • Mean of criterion
    0.17716
  • SD of predictor
    0.13409
  • SD of criterion
    0.11591
  • Covariance
    0.00894
  • r
    0.57509
  • b (slope, estimate of beta)
    0.49713
  • a (intercept, estimate of alpha)
    0.07090
  • Mean Square Error
    0.01124
  • DF error
    4.00000
  • t(b)
    1.40592
  • p(b)
    0.11623
  • t(a)
    0.42227
  • p(a)
    0.34727
  • Lowerbound of 95% confidence interval for beta
    -0.48481
  • Upperbound of 95% confidence interval for beta
    1.47907
  • Lowerbound of 95% confidence interval for alpha
    -0.39536
  • Upperbound of 95% confidence interval for alpha
    0.53716
  • Treynor index (mean / b)
    0.35635
  • Jensen alpha (a)
    0.07090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03947
  • Expected Shortfall on VaR
    0.05274
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.02112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.95256
  • Quartile 1
    1.02043
  • Median
    1.02558
  • Quartile 3
    1.03710
  • Maximum
    1.04285
  • Mean of quarter 1
    0.98566
  • Mean of quarter 2
    1.02543
  • Mean of quarter 3
    1.02572
  • Mean of quarter 4
    1.04187
  • Inter Quartile Range
    0.01667
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.95256
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.04744
  • Quartile 1
    0.04744
  • Median
    0.04744
  • Quartile 3
    0.04744
  • Maximum
    0.04744
  • 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)
    0.21594
  • Compounded annual return (geometric extrapolation)
    0.22760
  • Calmar ratio (compounded annual return / max draw down)
    4.79762
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.31574
  • 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
    0.15007
  • SD
    0.21885
  • Sharpe ratio (Glass type estimate)
    0.68572
  • Sharpe ratio (Hedges UMVUE)
    0.68190
  • df
    135.00000
  • t
    0.49404
  • p
    0.47296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40349
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94012
  • Upside Potential Ratio
    5.54039
  • Upside part of mean
    0.88442
  • Downside part of mean
    -0.73434
  • Upside SD
    0.14883
  • Downside SD
    0.15963
  • N nonnegative terms
    88.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    136.00000
  • Mean of predictor
    0.13025
  • Mean of criterion
    0.15007
  • SD of predictor
    0.13445
  • SD of criterion
    0.21885
  • Covariance
    0.01415
  • r
    0.48096
  • b (slope, estimate of beta)
    0.78286
  • a (intercept, estimate of alpha)
    0.04800
  • Mean Square Error
    0.03709
  • DF error
    134.00000
  • t(b)
    6.35017
  • p(b)
    0.25952
  • t(a)
    0.17963
  • p(a)
    0.49224
  • Lowerbound of 95% confidence interval for beta
    0.53903
  • Upperbound of 95% confidence interval for beta
    1.02669
  • Lowerbound of 95% confidence interval for alpha
    -0.48155
  • Upperbound of 95% confidence interval for alpha
    0.57776
  • Treynor index (mean / b)
    0.19170
  • Jensen alpha (a)
    0.04810
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12602
  • SD
    0.22052
  • Sharpe ratio (Glass type estimate)
    0.57144
  • Sharpe ratio (Hedges UMVUE)
    0.56826
  • df
    135.00000
  • t
    0.41171
  • p
    0.47746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28948
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76602
  • Upside Potential Ratio
    5.31004
  • Upside part of mean
    0.87354
  • Downside part of mean
    -0.74753
  • Upside SD
    0.14585
  • Downside SD
    0.16451
  • N nonnegative terms
    88.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    136.00000
  • Mean of predictor
    0.12121
  • Mean of criterion
    0.12602
  • SD of predictor
    0.13471
  • SD of criterion
    0.22052
  • Covariance
    0.01433
  • r
    0.48250
  • b (slope, estimate of beta)
    0.78986
  • a (intercept, estimate of alpha)
    0.03028
  • Mean Square Error
    0.03759
  • DF error
    134.00000
  • t(b)
    6.37669
  • p(b)
    0.25875
  • t(a)
    0.11233
  • p(a)
    0.49515
  • Lowerbound of 95% confidence interval for beta
    0.54487
  • Upperbound of 95% confidence interval for beta
    1.03485
  • Lowerbound of 95% confidence interval for alpha
    -0.50278
  • Upperbound of 95% confidence interval for alpha
    0.56333
  • Treynor index (mean / b)
    0.15954
  • Jensen alpha (a)
    0.03028
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.02723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.01164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    136.00000
  • Minimum
    0.91672
  • Quartile 1
    0.99965
  • Median
    1.00074
  • Quartile 3
    1.00265
  • Maximum
    1.05777
  • Mean of quarter 1
    0.98898
  • Mean of quarter 2
    1.00024
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.01188
  • Inter Quartile Range
    0.00300
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13235
  • Mean of outliers low
    0.98067
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.08824
  • Mean of outliers high
    1.02591
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50385
  • VaR(95%) (moments method)
    0.00498
  • Expected Shortfall (moments method)
    0.01325
  • Extreme Value Index (regression method)
    0.37740
  • VaR(95%) (regression method)
    0.01349
  • Expected Shortfall (regression method)
    0.03227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00023
  • Median
    0.00096
  • Quartile 3
    0.00371
  • Maximum
    0.15995
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00052
  • Mean of quarter 3
    0.00239
  • Mean of quarter 4
    0.05112
  • Inter Quartile Range
    0.00348
  • 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
    0.18750
  • Mean of outliers high
    0.06650
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43607
  • VaR(95%) (moments method)
    0.02342
  • Expected Shortfall (moments method)
    0.05595
  • Extreme Value Index (regression method)
    1.48243
  • VaR(95%) (regression method)
    0.07855
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16024
  • Compounded annual return (geometric extrapolation)
    0.16640
  • Calmar ratio (compounded annual return / max draw down)
    1.04031
  • Compounded annual return / average of 25% largest draw downs
    3.25491
  • Compounded annual return / Expected Shortfall lognormal
    6.11073
  • 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
    0.12004
  • SD
    0.22248
  • Sharpe ratio (Glass type estimate)
    0.53956
  • Sharpe ratio (Hedges UMVUE)
    0.53644
  • df
    130.00000
  • t
    0.38153
  • p
    0.48328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30902
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73806
  • Upside Potential Ratio
    5.42359
  • Upside part of mean
    0.88214
  • Downside part of mean
    -0.76209
  • Upside SD
    0.15074
  • Downside SD
    0.16265
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11040
  • Mean of criterion
    0.12004
  • SD of predictor
    0.13340
  • SD of criterion
    0.22248
  • Covariance
    0.01427
  • r
    0.48094
  • b (slope, estimate of beta)
    0.80212
  • a (intercept, estimate of alpha)
    0.03149
  • Mean Square Error
    0.03834
  • DF error
    129.00000
  • t(b)
    6.23032
  • p(b)
    0.20607
  • t(a)
    0.11356
  • p(a)
    0.49363
  • Lowerbound of 95% confidence interval for beta
    0.54739
  • Upperbound of 95% confidence interval for beta
    1.05684
  • Lowerbound of 95% confidence interval for alpha
    -0.51714
  • Upperbound of 95% confidence interval for alpha
    0.58012
  • Treynor index (mean / b)
    0.14966
  • Jensen alpha (a)
    0.03149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09521
  • SD
    0.22418
  • Sharpe ratio (Glass type estimate)
    0.42469
  • Sharpe ratio (Hedges UMVUE)
    0.42224
  • df
    130.00000
  • t
    0.30030
  • p
    0.48684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35004
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19452
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56802
  • Upside Potential Ratio
    5.19629
  • Upside part of mean
    0.87099
  • Downside part of mean
    -0.77578
  • Upside SD
    0.14769
  • Downside SD
    0.16762
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10151
  • Mean of criterion
    0.09521
  • SD of predictor
    0.13373
  • SD of criterion
    0.22418
  • Covariance
    0.01447
  • r
    0.48252
  • b (slope, estimate of beta)
    0.80891
  • a (intercept, estimate of alpha)
    0.01310
  • Mean Square Error
    0.03886
  • DF error
    129.00000
  • t(b)
    6.25702
  • p(b)
    0.20519
  • t(a)
    0.04693
  • p(a)
    0.49737
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.55313
  • Upperbound of 95% confidence interval for beta
    1.06470
  • Lowerbound of 95% confidence interval for alpha
    -0.53906
  • Upperbound of 95% confidence interval for alpha
    0.56526
  • Treynor index (mean / b)
    0.11770
  • Jensen alpha (a)
    0.01310
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02217
  • Expected Shortfall on VaR
    0.02780
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01218
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91672
  • Quartile 1
    0.99960
  • Median
    1.00066
  • Quartile 3
    1.00263
  • Maximum
    1.05777
  • Mean of quarter 1
    0.98865
  • Mean of quarter 2
    1.00022
  • Mean of quarter 3
    1.00156
  • Mean of quarter 4
    1.01186
  • Inter Quartile Range
    0.00303
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.98067
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.02728
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50385
  • VaR(95%) (moments method)
    0.00514
  • Expected Shortfall (moments method)
    0.01356
  • Extreme Value Index (regression method)
    0.37740
  • VaR(95%) (regression method)
    0.01393
  • Expected Shortfall (regression method)
    0.03297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00035
  • Median
    0.00115
  • Quartile 3
    0.00414
  • Maximum
    0.15995
  • Mean of quarter 1
    0.00014
  • Mean of quarter 2
    0.00074
  • Mean of quarter 3
    0.00280
  • Mean of quarter 4
    0.05112
  • Inter Quartile Range
    0.00379
  • 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
    0.20000
  • Mean of outliers high
    0.06650
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43607
  • VaR(95%) (moments method)
    0.02462
  • Expected Shortfall (moments method)
    0.05808
  • Extreme Value Index (regression method)
    1.48243
  • VaR(95%) (regression method)
    0.08624
  • 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?
    -388044000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12698
  • Compounded annual return (geometric extrapolation)
    0.13102
  • Calmar ratio (compounded annual return / max draw down)
    0.81909
  • Compounded annual return / average of 25% largest draw downs
    2.56275
  • Compounded annual return / Expected Shortfall lognormal
    4.71307

Strategy Description

This strategy is focused on trading for income. We will sell puts to generate income when opening a position. Sometimes we will want to purchase the underlying stock of the puts we sell so we can then own the stock to write covered calls. Therefore a trade may show as a loss on the put sell even though it is not closed and also with the intention of purchase the stock at a discount. Even when purchasing the stock at a discount you will still keep the original premium received when selling an option to open a position.

The focus is low risk, recurring, reliable and consistent income.

In the model portfolio we will always trade one position. The cash and margin requirements will be based on the underlying stock price. Scale accordingly knowing the trades issued will always be for 1 contract, no matter what the stock price is.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-02-16
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 5.2%
Rank # 
#254
# Trades
92
# Profitable
81
% Profitable
88.0%
Correlation S&P500
0.466
Sharpe Ratio
0.45
Sortino Ratio
0.60
Beta
0.77
Alpha
0.00
Leverage
3.68 Average
5.25 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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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.