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

Capitalize on Volatility
(111356106)

Created by: MonthlyReturns MonthlyReturns
Started: 05/2017
Options
Last trade: 2,143 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 $200.00 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.

39.6%
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.

(83.0%)
Max Drawdown
159
Num Trades
88.1%
Win Trades
5.5 : 1
Profit Factor
13.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +60.7%+91.8%+97.2%+48.0%+3.2%(4.4%)+0.5%+5.0%+837.2%
2018+5.3%(16.2%)+3.4%+9.5%+7.4%  -    -    -    -    -    -    -  +7.3%
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 186 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2170 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/24/18 13:50 VIX1816E35 VIX May16'18 35 call SHORT 300 0.12 5/16 8:05 0.00 1.21%
Trade id #117643789
Max drawdown($1,000)
Time4/24/18 13:56
Quant open-100
Worst price0.35
Drawdown as % of equity-1.21%
$3,290
Includes Typical Broker Commissions trade costs of $210.00
4/24/18 13:41 VIX1816E37.5 VIX May16'18 37.5 call SHORT 100 0.25 5/16 8:05 0.00 1.21%
Trade id #117643640
Max drawdown($1,000)
Time4/24/18 14:08
Quant open-100
Worst price0.35
Drawdown as % of equity-1.21%
$2,430
Includes Typical Broker Commissions trade costs of $70.00
4/25/18 9:57 VIX1816E47.5 VIX May16'18 47.5 call SHORT 100 0.15 5/16 8:05 0.00 0.12%
Trade id #117656687
Max drawdown($100)
Time4/25/18 10:21
Quant open-100
Worst price0.16
Drawdown as % of equity-0.12%
$1,430
Includes Typical Broker Commissions trade costs of $70.00
1/19/18 15:33 VIX1816Q9 VIX May16'18 9 put SHORT 200 0.05 5/16 8:05 0.00 0%
Trade id #115990285
Max drawdown$0
Time4/18/18 10:20
Quant open-200
Worst price0.05
Drawdown as % of equity0.00%
$860
Includes Typical Broker Commissions trade costs of $140.00
5/1/18 15:20 VIX1816E50 VIX May16'18 50 call SHORT 100 0.05 5/16 8:05 0.00 0%
Trade id #117743969
Max drawdown$0
Time5/1/18 16:02
Quant open-100
Worst price0.05
Drawdown as % of equity0.00%
$430
Includes Typical Broker Commissions trade costs of $70.00
4/19/18 13:39 VIX1825D30 VIX Apr25'18 30 call SHORT 50 0.05 4/25 8:05 0.00 0.06%
Trade id #117584347
Max drawdown($50)
Time4/20/18 15:12
Quant open-50
Worst price0.06
Drawdown as % of equity-0.06%
$215
Includes Typical Broker Commissions trade costs of $35.00
4/19/18 10:03 VIX1825D25 VIX Apr25'18 25 call SHORT 50 0.05 4/25 8:05 0.00 0.3%
Trade id #117578954
Max drawdown($250)
Time4/19/18 10:11
Quant open-50
Worst price0.10
Drawdown as % of equity-0.30%
$215
Includes Typical Broker Commissions trade costs of $35.00
4/4/18 9:40 VIX1818D45 VIX Apr18'18 45 call SHORT 100 0.15 4/18 8:05 0.00 0%
Trade id #117364048
Max drawdown$0
Time4/4/18 9:56
Quant open-100
Worst price0.15
Drawdown as % of equity0.00%
$1,430
Includes Typical Broker Commissions trade costs of $70.00
4/16/18 10:44 VIX1818D22 VIX Apr18'18 22 call SHORT 50 0.05 4/18 8:05 0.00 0.3%
Trade id #117526413
Max drawdown($250)
Time4/16/18 16:07
Quant open-50
Worst price0.10
Drawdown as % of equity-0.30%
$215
Includes Typical Broker Commissions trade costs of $35.00
4/2/18 11:26 VIX1818D50 VIX Apr18'18 50 call SHORT 50 0.15 4/18 8:05 0.00 0.31%
Trade id #117327996
Max drawdown($250)
Time4/2/18 11:47
Quant open-50
Worst price0.20
Drawdown as % of equity-0.31%
$715
Includes Typical Broker Commissions trade costs of $35.00
4/2/18 10:45 VIX1811D45 VIX Apr11'18 45 call SHORT 50 0.12 4/11 8:05 0.00 1.02%
Trade id #117326394
Max drawdown($825)
Time4/2/18 14:25
Quant open-50
Worst price0.29
Drawdown as % of equity-1.02%
$590
Includes Typical Broker Commissions trade costs of $35.00
3/29/18 11:28 VIX1804P14 VIX Apr4'18 14 put SHORT 10 0.02 4/4 8:05 0.00 n/a $13
Includes Typical Broker Commissions trade costs of $7.00
3/29/18 10:54 VIX1804D42.5 VIX Apr4'18 42.5 call SHORT 10 0.05 4/4 8:05 0.00 0.56%
Trade id #117299094
Max drawdown($450)
Time4/2/18 9:31
Quant open-10
Worst price0.50
Drawdown as % of equity-0.56%
$43
Includes Typical Broker Commissions trade costs of $7.00
3/29/18 10:49 VIX1804D40 VIX Apr4'18 40 call SHORT 30 0.05 4/4 8:05 0.00 3.73%
Trade id #117298992
Max drawdown($3,000)
Time4/2/18 9:31
Quant open-30
Worst price1.05
Drawdown as % of equity-3.73%
$129
Includes Typical Broker Commissions trade costs of $21.00
3/28/18 10:09 UVXY1829C22 UVXY Mar29'18 22 call SHORT 20 0.25 3/30 8:05 0.00 1.51%
Trade id #117276360
Max drawdown($1,200)
Time3/28/18 11:33
Quant open-20
Worst price0.85
Drawdown as % of equity-1.51%
$486
Includes Typical Broker Commissions trade costs of $14.00
1/10/18 15:07 VIX1821O9 VIX Mar21'18 9 put SHORT 500 0.05 3/21 8:05 0.00 0.07%
Trade id #115812216
Max drawdown($60)
Time1/11/18 12:30
Quant open-20
Worst price0.08
Drawdown as % of equity-0.07%
$2,150
Includes Typical Broker Commissions trade costs of $350.00
1/23/18 10:49 VIX1821B40 VIX Feb21'18 40 call SHORT 10 0.05 2/21 8:05 0.00 7.46%
Trade id #116049035
Max drawdown($2,600)
Time2/9/18 13:26
Quant open-10
Worst price2.65
Drawdown as % of equity-7.46%
$43
Includes Typical Broker Commissions trade costs of $7.00
1/29/18 11:18 UVXY1816B35 UVXY Feb16'18 35 call SHORT 10 0.13 2/17 9:35 0.00 10.17%
Trade id #116152746
Max drawdown($6,865)
Time2/6/18 10:39
Quant open-10
Worst price7.00
Drawdown as % of equity-10.17%
$128
Includes Typical Broker Commissions trade costs of $7.00
2/5/18 12:12 VIX1814B40 VIX Feb14'18 40 call SHORT 10 0.10 2/14 8:05 0.00 6.54%
Trade id #116301363
Max drawdown($3,600)
Time2/6/18 6:17
Quant open-10
Worst price3.70
Drawdown as % of equity-6.54%
$93
Includes Typical Broker Commissions trade costs of $7.00
2/2/18 10:31 VIX1814B28 VIX Feb14'18 28 call SHORT 20 0.20 2/14 8:05 0.00 38.43%
Trade id #116249420
Max drawdown($13,400)
Time2/9/18 13:42
Quant open-20
Worst price6.90
Drawdown as % of equity-38.43%
$386
Includes Typical Broker Commissions trade costs of $14.00
2/1/18 13:33 VIX1814B35 VIX Feb14'18 35 call SHORT 10 0.05 2/14 8:05 0.00 11.24%
Trade id #116229759
Max drawdown($6,190)
Time2/5/18 16:11
Quant open-10
Worst price6.24
Drawdown as % of equity-11.24%
$43
Includes Typical Broker Commissions trade costs of $7.00
1/29/18 11:05 VIX1814B32.5 VIX Feb14'18 32.5 call SHORT 30 0.10 2/14 8:05 0.00 37.6%
Trade id #116152270
Max drawdown($20,700)
Time2/5/18 16:11
Quant open-30
Worst price7.00
Drawdown as % of equity-37.60%
$279
Includes Typical Broker Commissions trade costs of $21.00
1/25/18 10:44 VIX1814B42.5 VIX Feb14'18 42.5 call SHORT 10 0.05 2/14 8:05 0.00 4.63%
Trade id #116096197
Max drawdown($2,550)
Time2/6/18 6:18
Quant open-10
Worst price2.60
Drawdown as % of equity-4.63%
$43
Includes Typical Broker Commissions trade costs of $7.00
1/29/18 10:00 VIX1814B30 VIX Feb14'18 30 call SHORT 20 0.10 2/14 8:05 0.00 36.33%
Trade id #116150202
Max drawdown($20,000)
Time2/5/18 16:12
Quant open-20
Worst price10.10
Drawdown as % of equity-36.33%
$186
Includes Typical Broker Commissions trade costs of $14.00
1/29/18 11:20 VIX1807B23 VIX Feb7'18 23 call SHORT 20 0.10 2/7 8:05 6.63 72.29%
Trade id #116152784
Max drawdown($39,800)
Time2/6/18 7:24
Quant open-20
Worst price20.00
Drawdown as % of equity-72.29%
($13,074)
Includes Typical Broker Commissions trade costs of $14.00
1/17/18 11:37 VIX1831A32.5 VIX Jan31'18 32.5 call SHORT 20 0.05 1/31 8:05 0.00 0%
Trade id #115931007
Max drawdown$0
Time1/17/18 11:45
Quant open-20
Worst price0.05
Drawdown as % of equity0.00%
$86
Includes Typical Broker Commissions trade costs of $14.00
1/10/18 14:52 VIX1831A30 VIX Jan31'18 30 call SHORT 71 0.05 1/31 8:05 0.00 0.11%
Trade id #115811543
Max drawdown($100)
Time1/16/18 14:27
Quant open-10
Worst price0.15
Drawdown as % of equity-0.11%
$305
Includes Typical Broker Commissions trade costs of $49.70
1/18/18 10:51 UVXY1826A25 UVXY Jan26'18 25 call SHORT 50 0.08 1/27 9:35 0.00 n/a $382
Includes Typical Broker Commissions trade costs of $35.00
12/27/17 14:59 UVXY1819A51 UVXY Jan19'18 51 call SHORT 10 0.11 1/20/18 9:36 0.00 0.04%
Trade id #115548655
Max drawdown($30)
Time12/29/17 15:50
Quant open-10
Worst price0.14
Drawdown as % of equity-0.04%
$103
Includes Typical Broker Commissions trade costs of $7.00
12/27/17 15:10 UVXY1819A38 UVXY Jan19'18 38 call SHORT 10 0.16 1/20/18 9:36 0.00 0%
Trade id #115549055
Max drawdown$0
Time12/28/17 11:02
Quant open-10
Worst price0.16
Drawdown as % of equity0.00%
$153
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    5/2/2017
  • Suggested Minimum Cap
    $7,956
  • Strategy Age (days)
    2519
  • Age
    84 months ago
  • What it trades
    Options
  • # Trades
    159
  • # Profitable
    140
  • % Profitable
    88.10%
  • Avg trade duration
    11.3 days
  • Max peak-to-valley drawdown
    83.03%
  • drawdown period
    Jan 31, 2018 - Feb 06, 2018
  • Annual Return (Compounded)
    39.6%
  • Avg win
    $745.95
  • Avg loss
    $1,003
  • Model Account Values (Raw)
  • Cash
    $93,317
  • Margin Used
    $0
  • Buying Power
    $93,317
  • Ratios
  • W:L ratio
    5.48:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    1.38
  • Calmar Ratio
    4.546
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    786.80%
  • Correlation to SP500
    0.01070
  • Return Percent SP500 (cumu) during strategy life
    119.60%
  • Return Statistics
  • Ann Return (w trading costs)
    39.6%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.397%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.50%
  • Chance of 20% account loss
    46.00%
  • Chance of 30% account loss
    34.50%
  • Chance of 40% account loss
    22.50%
  • Chance of 60% account loss (Monte Carlo)
    10.00%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • 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
    20.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,004
  • Avg Win
    $746
  • Sum Trade PL (losers)
    $19,071.000
  • Age
  • Num Months filled monthly returns table
    83
  • Win / Loss
  • Sum Trade PL (winners)
    $104,433.000
  • # Winners
    140
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    88.0%
  • Frequency
  • Avg Position Time (mins)
    16217.70
  • Avg Position Time (hrs)
    270.30
  • Avg Trade Length
    11.3 days
  • Last Trade Ago
    2140
  • Regression
  • Alpha
    0.13
  • Beta
    0.03
  • Treynor Index
    3.86
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    90.33
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    71.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.49
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    4.665
  • 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
    1.992
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.224
  • Hold-and-Hope Ratio
    0.214
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.71754
  • SD
    1.10223
  • Sharpe ratio (Glass type estimate)
    1.55824
  • Sharpe ratio (Hedges UMVUE)
    1.50440
  • df
    22.00000
  • t
    2.15728
  • p
    0.02109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05442
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98826
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.19720
  • Upside Potential Ratio
    16.18300
  • Upside part of mean
    1.82895
  • Downside part of mean
    -0.11142
  • Upside SD
    1.18117
  • Downside SD
    0.11302
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.31736
  • Mean of criterion
    1.71754
  • SD of predictor
    0.31896
  • SD of criterion
    1.10223
  • Covariance
    -0.02808
  • r
    -0.07988
  • b (slope, estimate of beta)
    -0.27605
  • a (intercept, estimate of alpha)
    1.80514
  • Mean Square Error
    1.26465
  • DF error
    21.00000
  • t(b)
    -0.36724
  • p(b)
    0.55080
  • t(a)
    2.13224
  • p(a)
    0.23963
  • Lowerbound of 95% confidence interval for beta
    -1.83925
  • Upperbound of 95% confidence interval for beta
    1.28716
  • Lowerbound of 95% confidence interval for alpha
    0.04455
  • Upperbound of 95% confidence interval for alpha
    3.56574
  • Treynor index (mean / b)
    -6.22191
  • Jensen alpha (a)
    1.80514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.25666
  • SD
    0.79759
  • Sharpe ratio (Glass type estimate)
    1.57557
  • Sharpe ratio (Hedges UMVUE)
    1.52113
  • df
    22.00000
  • t
    2.18127
  • p
    0.02007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00648
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.31890
  • Upside Potential Ratio
    11.28950
  • Upside part of mean
    1.37486
  • Downside part of mean
    -0.11820
  • Upside SD
    0.85162
  • Downside SD
    0.12178
  • N nonnegative terms
    11.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.27067
  • Mean of criterion
    1.25666
  • SD of predictor
    0.28970
  • SD of criterion
    0.79759
  • Covariance
    -0.01458
  • r
    -0.06308
  • b (slope, estimate of beta)
    -0.17367
  • a (intercept, estimate of alpha)
    1.30367
  • Mean Square Error
    0.66380
  • DF error
    21.00000
  • t(b)
    -0.28965
  • p(b)
    0.54013
  • t(a)
    2.13554
  • p(a)
    0.23932
  • Lowerbound of 95% confidence interval for beta
    -1.42058
  • Upperbound of 95% confidence interval for beta
    1.07324
  • Lowerbound of 95% confidence interval for alpha
    0.03414
  • Upperbound of 95% confidence interval for alpha
    2.57320
  • Treynor index (mean / b)
    -7.23600
  • Jensen alpha (a)
    1.30367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23967
  • Expected Shortfall on VaR
    0.30698
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02120
  • Expected Shortfall on VaR
    0.04824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.85095
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.07399
  • Maximum
    1.93867
  • Mean of quarter 1
    0.96907
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.04331
  • Mean of quarter 4
    1.55242
  • Inter Quartile Range
    0.07399
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.85095
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.17391
  • Mean of outliers high
    1.78662
  • 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)
    0.62160
  • VaR(95%) (regression method)
    0.07016
  • Expected Shortfall (regression method)
    0.33559
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03656
  • Quartile 1
    0.06468
  • Median
    0.09280
  • Quartile 3
    0.12093
  • Maximum
    0.14905
  • Mean of quarter 1
    0.03656
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14905
  • Inter Quartile Range
    0.05625
  • 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)
    5.59788
  • Compounded annual return (geometric extrapolation)
    2.61310
  • Calmar ratio (compounded annual return / max draw down)
    17.53190
  • Compounded annual return / average of 25% largest draw downs
    17.53190
  • Compounded annual return / Expected Shortfall lognormal
    8.51231
  • 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
    1.62928
  • SD
    0.94241
  • Sharpe ratio (Glass type estimate)
    1.72885
  • Sharpe ratio (Hedges UMVUE)
    1.72631
  • df
    512.00000
  • t
    2.41916
  • p
    0.00795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13098
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.53171
  • Upside Potential Ratio
    5.36674
  • Upside part of mean
    2.47582
  • Downside part of mean
    -0.84655
  • Upside SD
    0.82686
  • Downside SD
    0.46133
  • N nonnegative terms
    174.00000
  • N negative terms
    339.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.43116
  • Mean of criterion
    1.62928
  • SD of predictor
    0.37694
  • SD of criterion
    0.94241
  • Covariance
    0.00378
  • r
    0.01064
  • b (slope, estimate of beta)
    0.02661
  • a (intercept, estimate of alpha)
    1.61800
  • Mean Square Error
    0.88976
  • DF error
    511.00000
  • t(b)
    0.24061
  • p(b)
    0.40498
  • t(a)
    2.39393
  • p(a)
    0.00851
  • Lowerbound of 95% confidence interval for beta
    -0.19067
  • Upperbound of 95% confidence interval for beta
    0.24388
  • Lowerbound of 95% confidence interval for alpha
    0.29013
  • Upperbound of 95% confidence interval for alpha
    2.94548
  • Treynor index (mean / b)
    61.22860
  • Jensen alpha (a)
    1.61780
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.22953
  • SD
    0.88883
  • Sharpe ratio (Glass type estimate)
    1.38332
  • Sharpe ratio (Hedges UMVUE)
    1.38129
  • df
    512.00000
  • t
    1.93567
  • p
    0.02673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02054
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78453
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99268
  • Upside Potential Ratio
    3.61753
  • Upside part of mean
    2.23210
  • Downside part of mean
    -1.00257
  • Upside SD
    0.64306
  • Downside SD
    0.61703
  • N nonnegative terms
    174.00000
  • N negative terms
    339.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    513.00000
  • Mean of predictor
    0.36131
  • Mean of criterion
    1.22953
  • SD of predictor
    0.37188
  • SD of criterion
    0.88883
  • Covariance
    0.00349
  • r
    0.01055
  • b (slope, estimate of beta)
    0.02521
  • a (intercept, estimate of alpha)
    1.22043
  • Mean Square Error
    0.79147
  • DF error
    511.00000
  • t(b)
    0.23840
  • p(b)
    0.40583
  • t(a)
    1.91611
  • p(a)
    0.02795
  • Lowerbound of 95% confidence interval for beta
    -0.18251
  • Upperbound of 95% confidence interval for beta
    0.23292
  • Lowerbound of 95% confidence interval for alpha
    -0.03090
  • Upperbound of 95% confidence interval for alpha
    2.47175
  • Treynor index (mean / b)
    48.78120
  • Jensen alpha (a)
    1.22043
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08207
  • Expected Shortfall on VaR
    0.10270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00854
  • Expected Shortfall on VaR
    0.02009
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    513.00000
  • Minimum
    0.47433
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00356
  • Maximum
    1.82262
  • Mean of quarter 1
    0.98743
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.03737
  • Inter Quartile Range
    0.00356
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.06043
  • Mean of outliers low
    0.95021
  • Number of outliers high
    89.00000
  • Percentage of outliers high
    0.17349
  • Mean of outliers high
    1.05103
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.38418
  • VaR(95%) (moments method)
    0.00370
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.04936
  • VaR(95%) (regression method)
    0.00474
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00204
  • Median
    0.00598
  • Quartile 3
    0.02471
  • Maximum
    0.55358
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00336
  • Mean of quarter 3
    0.01162
  • Mean of quarter 4
    0.18456
  • Inter Quartile Range
    0.02267
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.33241
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83609
  • VaR(95%) (moments method)
    0.15350
  • Expected Shortfall (moments method)
    1.07287
  • Extreme Value Index (regression method)
    1.80855
  • VaR(95%) (regression method)
    0.42041
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    5.47966
  • Compounded annual return (geometric extrapolation)
    2.51641
  • Calmar ratio (compounded annual return / max draw down)
    4.54569
  • Compounded annual return / average of 25% largest draw downs
    13.63460
  • Compounded annual return / Expected Shortfall lognormal
    24.50180
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.98831
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46215
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88140
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45976
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6818590000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.08200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -247026000000000000401101358628864.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • 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?
    -345255000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description


The strategy attempts to (1) buy and sell options (both short and long term) to generate consistent income and (2) buy and sell shares of XIV and TVIX to take advantage of the volatility term structure, roll-yield and risk premium.

The strategy relies on an algorithm and historical data although final trading decisions are subjective and trades are entered manually. There is no backtest data available.

NEW SUBSCRIBERS: It is each individual subscriber's decision whether to enter open trades or wait for the next new trade. For open options trades with short maturities, you could be entering at an extremely unfavorable price.

RISK MANAGEMENT: For (1) options traded by the strategy, there are typically no stop losses and no hedges used due to (a) for short term maturity options, the options being so far out of the money, and (b) for long term maturity options, the time to expiry being so far out when purchased or sold. For (2) share purchases, there are typically no stop losses and no hedges used. Any risk management that you require is up to individual subscribers.

MARGIN REQUIREMENTS AT BROKER: I intend to trade the full C2 "Portfolio Value" and I have adequate margin in my Interactive Brokers account to cover my trades. So, for example, if the C2 Portfolio Value is $100,000 and Interactive Brokers requires 5 x Portfolio Value as its margin requirement, then I will have $500,000 in my Interactive Brokers account to avoid margin calls. It might take you some time to figure out your personal scaling so begin by scaling far below what you anticipate the appropriate scaling level should be and then adjust as you see fit. All scaling questions should be addressed to your broker and/or C2.

Summary Statistics

Strategy began
2017-05-02
Suggested Minimum Capital
$80,000
# Trades
159
# Profitable
140
% Profitable
88.1%
Correlation S&P500
0.011
Sharpe Ratio
0.66
Sortino Ratio
1.38
Beta
0.03
Alpha
0.13

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.

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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.