Collective2 Collective2
Featured Strategy Gold and Silver +133.8% Cumul. Return since Jan 14, 2025 Hypothetical

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Fearless Value
(114146885)

Created by: Quantastic Quantastic
Started: 10/2017
Options
Last trade: 19 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 $39.00 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.
55.9%
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.

(63.1%)
Max Drawdown
612
Num Trades
73.7%
Win Trades
2.7 : 1
Profit Factor
60.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                               (1.6%)+10.6%+9.2%+18.8%
2018(3.2%)(3.9%)+1.3%+1.0%(9.2%)+6.9%(7.8%)(2.1%)(11.1%)+8.1%(0.8%)(7.9%)(26.9%)
2019(11.4%)(13.8%)+3.5%(14.9%)  -  (20.3%)(7.2%)+0.1%+39.1%+25.2%(7.4%)
2020+49.7%+9.9%(34.1%)+90.2%+6.8%+22.7%+40.7%+62.7%(6.4%)+0.6%+32.8%+13.9%+780.1%
2021+37.2%(15.5%)(16.1%)+11.8%(10.2%)+11.7%(0.1%)+5.0%+11.6%+44.7%+3.1%+5.3%+100.6%
2022(5.3%)+3.2%+3.3%+5.9%+3.4%(2.2%)+2.9%(4.9%)+3.0%(1.1%)+2.4%(0.4%)+9.9%
2023+19.8%(7.6%)+16.8%+9.4%(8.7%)(0.5%)+4.7%(7.6%)(14.5%)+17.9%(1.7%)+16.6%+43.7%
2024(18.5%)(15.5%)+30.0%+5.8%(1.8%)(2.2%)+8.0%+20.6%+0.9%+0.6%(10.2%)(7.1%)+0.4%
2025+0.8%+7.1%+5.4%+0.9%+1.0%+6.5%+4.8%+11.4%+4.4%                  +50.6%

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 100 hours.

Trading Record

This strategy has placed 137 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/25 10:06 NVDA2515T167.5 NVDA Aug15'25 167.5 put SHORT 0.392000000 1.01 8/16 9:35 0.00 0.02%
Trade id #152523079
Max drawdown($11)
Time8/5/25 10:49
Quant open1
Worst price1.74
Drawdown as % of equity-0.02%
 $39
Includes Typical Broker Commissions trade costs of $1.00
8/5/25 10:06 NVDA2515T165 NVDA Aug15'25 165 put SHORT 0.392000000 0.78 8/16 9:35 0.00 0.02%
Trade id #152523076
Max drawdown($8)
Time8/5/25 10:49
Quant open1
Worst price1.32
Drawdown as % of equity-0.02%
 $30
Includes Typical Broker Commissions trade costs of $1.00
8/4/25 10:01 NVDA2508T170 NVDA Aug8'25 170 put SHORT 0.392000000 0.87 8/9 9:35 0.00 0.01%
Trade id #152509575
Max drawdown($2)
Time8/5/25 0:00
Quant open1
Worst price1.03
Drawdown as % of equity-0.01%
 $33
Includes Typical Broker Commissions trade costs of $1.00
7/25/25 9:42 GME2501H24 GME Aug1'25 24 call SHORT 1.568000000 0.40 8/2 9:35 0.00 0.01%
Trade id #152418398
Max drawdown($3)
Time7/25/25 10:55
Quant open1
Worst price0.45
Drawdown as % of equity-0.01%
 $62
Includes Typical Broker Commissions trade costs of $1.10
7/31/25 10:00 QQQ2501T567 QQQ Aug1'25 567 put SHORT 0.392000000 0.90 8/1 10:32 10.49 0.49%
Trade id #152481817
Max drawdown($218)
Time8/1/25 10:03
Quant open1
Worst price15.09
Drawdown as % of equity-0.49%
 ($378)
Includes Typical Broker Commissions trade costs of $2.00
7/30/25 10:42 QQQ2531S564 QQQ Jul31'25 564 put SHORT 0.392000000 1.29 8/1 8:05 0.00 0.05%
Trade id #152471244
Max drawdown($21)
Time7/30/25 15:06
Quant open1
Worst price2.69
Drawdown as % of equity-0.05%
 $50
Includes Typical Broker Commissions trade costs of $1.00
7/25/25 11:19 TQQQ2501T86 TQQQ Aug1'25 86 put SHORT 0.392000000 1.16 7/30 15:29 0.91 0%
Trade id #152419533
Max drawdown($0)
Time7/25/25 11:22
Quant open1
Worst price1.21
Drawdown as % of equity-0.00%
 $8
Includes Typical Broker Commissions trade costs of $2.00
7/30/25 10:09 NVDA2501T172.5 NVDA Aug1'25 172.5 put SHORT 0.392000000 0.59 7/30 15:19 0.51 0.01%
Trade id #152470954
Max drawdown($3)
Time7/30/25 15:00
Quant open1
Worst price0.79
Drawdown as % of equity-0.01%
 $1
Includes Typical Broker Commissions trade costs of $2.00
7/29/25 12:46 QQQ2530S567 QQQ Jul30'25 567 put SHORT 0.392000000 1.83 7/30 15:07 1.79 0.03%
Trade id #152457654
Max drawdown($12)
Time7/30/25 15:00
Quant open1
Worst price2.63
Drawdown as % of equity-0.03%
 $0
Includes Typical Broker Commissions trade costs of $2.00
7/28/25 9:34 GME2501T22.5 GME Aug1'25 22.5 put SHORT 1.568000000 0.17 7/30 12:17 0.19 0.03%
Trade id #152440436
Max drawdown($14)
Time7/30/25 9:33
Quant open1
Worst price0.40
Drawdown as % of equity-0.03%
 ($5)
Includes Typical Broker Commissions trade costs of $2.20
7/29/25 10:16 NVDA2501T172.5 NVDA Aug1'25 172.5 put SHORT 0.392000000 0.64 7/29 15:58 1.43 0.03%
Trade id #152454727
Max drawdown($13)
Time7/29/25 11:43
Quant open1
Worst price1.52
Drawdown as % of equity-0.03%
 ($33)
Includes Typical Broker Commissions trade costs of $2.00
7/29/25 13:09 GOOG2501T192.5 GOOG Aug1'25 192.5 put SHORT 0.392000000 0.85 7/29 15:46 0.81 0%
Trade id #152457979
Max drawdown($1)
Time7/29/25 13:49
Quant open1
Worst price0.96
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $2.00
7/25/25 11:31 NVDA2501T167.5 NVDA Aug1'25 167.5 put SHORT 0.392000000 0.80 7/29 15:46 0.49 0.01%
Trade id #152420029
Max drawdown($3)
Time7/25/25 15:55
Quant open1
Worst price1.01
Drawdown as % of equity-0.01%
 $10
Includes Typical Broker Commissions trade costs of $2.00
7/25/25 15:06 GOOG2501T187.5 GOOG Aug1'25 187.5 put SHORT 0.784000000 0.56 7/29 13:09 0.20 0.01%
Trade id #152422503
Max drawdown($3)
Time7/28/25 0:00
Quant open1
Worst price0.88
Drawdown as % of equity-0.01%
 $25
Includes Typical Broker Commissions trade costs of $3.00
7/29/25 9:55 QQQ2529S569 QQQ Jul29'25 569 put SHORT 0.392000000 0.50 7/29 12:46 1.58 0.06%
Trade id #152454403
Max drawdown($27)
Time7/29/25 11:43
Quant open1
Worst price2.32
Drawdown as % of equity-0.06%
 ($44)
Includes Typical Broker Commissions trade costs of $2.00
7/28/25 15:18 QQQ2529S564 QQQ Jul29'25 564 put SHORT 0.392000000 0.42 7/29 11:41 0.16 n/a $8
Includes Typical Broker Commissions trade costs of $2.00
7/28/25 9:34 QQQ2528S566 QQQ Jul28'25 566 put SHORT 0.392000000 0.45 7/29 8:05 0.00 0%
Trade id #152440440
Max drawdown($2)
Time7/28/25 11:21
Quant open1
Worst price0.59
Drawdown as % of equity-0.00%
 $17
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    10/10/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2892.48
  • Age
    96 months ago
  • What it trades
    Options
  • # Trades
    612
  • # Profitable
    451
  • % Profitable
    73.70%
  • Avg trade duration
    28.4 days
  • Max peak-to-valley drawdown
    63.09%
  • drawdown period
    June 18, 2018 - Oct 11, 2019
  • Annual Return (Compounded)
    55.9%
  • Avg win
    $182.48
  • Avg loss
    $205.13
  • Model Account Values (Raw)
  • Cash
    $37,773
  • Margin Used
    $4,244
  • Buying Power
    $33,866
  • Ratios
  • W:L ratio
    2.65:1
  • Sharpe Ratio
    0.9
  • Sortino Ratio
    1.71
  • Calmar Ratio
    2.406
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3132.21%
  • Correlation to SP500
    0.25630
  • Return Percent SP500 (cumu) during strategy life
    156.09%
  • Return Statistics
  • Ann Return (w trading costs)
    55.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    20.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.559%
  • Instruments
  • Percent Trades Options
    0.81%
  • Percent Trades Stocks
    0.18%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    56.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.00%
  • Chance of 20% account loss
    54.00%
  • Chance of 30% account loss
    42.00%
  • Chance of 40% account loss
    32.00%
  • Chance of 60% account loss (Monte Carlo)
    10.50%
  • Chance of 70% account loss (Monte Carlo)
    4.00%
  • Chance of 80% account loss (Monte Carlo)
    1.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.17%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    16.00%
  • Popularity
  • Popularity (Today)
    786
  • Popularity (Last 6 weeks)
    854
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    956
  • Popularity (7 days, Percentile 1000 scale)
    848
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $205
  • Avg Win
    $182
  • Sum Trade PL (losers)
    $33,019.000
  • Age
  • Num Months filled monthly returns table
    96
  • Win / Loss
  • Sum Trade PL (winners)
    $82,230.000
  • # Winners
    451
  • Num Months Winners
    56
  • Dividends
  • Dividends Received in Model Acct
    2634
  • AUM
  • AUM (AutoTrader live capital)
    52302
  • Win / Loss
  • # Losers
    161
  • % Winners
    73.7%
  • Frequency
  • Avg Position Time (mins)
    40829.80
  • Avg Position Time (hrs)
    680.50
  • Avg Trade Length
    28.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.70
  • Daily leverage (max)
    10.30
  • Regression
  • Alpha
    0.13
  • Beta
    0.70
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    79.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    7.00
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.698
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    3.677
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.515
  • Hold-and-Hope Ratio
    0.151
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.37320
  • SD
    1.46791
  • Sharpe ratio (Glass type estimate)
    0.93547
  • Sharpe ratio (Hedges UMVUE)
    0.92077
  • df
    48.00000
  • t
    1.89034
  • p
    0.03238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91851
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06649
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90803
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.92651
  • Upside Potential Ratio
    9.64750
  • Upside part of mean
    1.67134
  • Downside part of mean
    -0.29814
  • Upside SD
    1.49597
  • Downside SD
    0.17324
  • N nonnegative terms
    29.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.22461
  • Mean of criterion
    1.37320
  • SD of predictor
    0.22230
  • SD of criterion
    1.46791
  • Covariance
    0.11336
  • r
    0.34741
  • b (slope, estimate of beta)
    2.29409
  • a (intercept, estimate of alpha)
    0.85793
  • Mean Square Error
    1.93502
  • DF error
    47.00000
  • t(b)
    2.53993
  • p(b)
    0.00723
  • t(a)
    1.19545
  • p(a)
    0.11896
  • Lowerbound of 95% confidence interval for beta
    0.47707
  • Upperbound of 95% confidence interval for beta
    4.11112
  • Lowerbound of 95% confidence interval for alpha
    -0.58582
  • Upperbound of 95% confidence interval for alpha
    2.30167
  • Treynor index (mean / b)
    0.59858
  • Jensen alpha (a)
    0.85793
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83552
  • SD
    0.84087
  • Sharpe ratio (Glass type estimate)
    0.99364
  • Sharpe ratio (Hedges UMVUE)
    0.97802
  • df
    48.00000
  • t
    2.00787
  • p
    0.02515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96748
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.54397
  • Upside Potential Ratio
    6.24987
  • Upside part of mean
    1.14919
  • Downside part of mean
    -0.31367
  • Upside SD
    0.84676
  • Downside SD
    0.18387
  • N nonnegative terms
    29.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.19889
  • Mean of criterion
    0.83552
  • SD of predictor
    0.21724
  • SD of criterion
    0.84087
  • Covariance
    0.06201
  • r
    0.33947
  • b (slope, estimate of beta)
    1.31401
  • a (intercept, estimate of alpha)
    0.57418
  • Mean Square Error
    0.63889
  • DF error
    47.00000
  • t(b)
    2.47424
  • p(b)
    0.00851
  • t(a)
    1.40244
  • p(a)
    0.08368
  • Lowerbound of 95% confidence interval for beta
    0.24562
  • Upperbound of 95% confidence interval for beta
    2.38240
  • Lowerbound of 95% confidence interval for alpha
    -0.24946
  • Upperbound of 95% confidence interval for alpha
    1.39781
  • Treynor index (mean / b)
    0.63585
  • Jensen alpha (a)
    0.57418
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28082
  • Expected Shortfall on VaR
    0.34765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05032
  • Expected Shortfall on VaR
    0.10064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.84710
  • Quartile 1
    0.97282
  • Median
    1.02300
  • Quartile 3
    1.09137
  • Maximum
    3.35594
  • Mean of quarter 1
    0.91427
  • Mean of quarter 2
    1.00109
  • Mean of quarter 3
    1.05502
  • Mean of quarter 4
    1.51353
  • Inter Quartile Range
    0.11855
  • 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
    0.06122
  • Mean of outliers high
    2.56300
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.09900
  • VaR(95%) (moments method)
    0.07444
  • Expected Shortfall (moments method)
    0.07967
  • Extreme Value Index (regression method)
    -0.87525
  • VaR(95%) (regression method)
    0.09957
  • Expected Shortfall (regression method)
    0.11002
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.02102
  • Quartile 1
    0.04777
  • Median
    0.11444
  • Quartile 3
    0.13544
  • Maximum
    0.42650
  • Mean of quarter 1
    0.03054
  • Mean of quarter 2
    0.08496
  • Mean of quarter 3
    0.11572
  • Mean of quarter 4
    0.29083
  • Inter Quartile Range
    0.08767
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.42650
  • 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)
    8.07577
  • Compounded annual return (geometric extrapolation)
    1.37127
  • Calmar ratio (compounded annual return / max draw down)
    3.21519
  • Compounded annual return / average of 25% largest draw downs
    4.71501
  • Compounded annual return / Expected Shortfall lognormal
    3.94438
  • 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
    1.06430
  • SD
    0.68542
  • Sharpe ratio (Glass type estimate)
    1.55277
  • Sharpe ratio (Hedges UMVUE)
    1.55169
  • df
    1074.00000
  • t
    3.14530
  • p
    0.45223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52151
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.98999
  • Upside Potential Ratio
    9.61287
  • Upside part of mean
    3.42175
  • Downside part of mean
    -2.35745
  • Upside SD
    0.58905
  • Downside SD
    0.35596
  • N nonnegative terms
    556.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1075.00000
  • Mean of predictor
    0.23815
  • Mean of criterion
    1.06430
  • SD of predictor
    0.27370
  • SD of criterion
    0.68542
  • Covariance
    0.06083
  • r
    0.32424
  • b (slope, estimate of beta)
    0.81198
  • a (intercept, estimate of alpha)
    0.87100
  • Mean Square Error
    0.42080
  • DF error
    1073.00000
  • t(b)
    11.22760
  • p(b)
    0.29726
  • t(a)
    2.71562
  • p(a)
    0.44746
  • Lowerbound of 95% confidence interval for beta
    0.67008
  • Upperbound of 95% confidence interval for beta
    0.95389
  • Lowerbound of 95% confidence interval for alpha
    0.24164
  • Upperbound of 95% confidence interval for alpha
    1.50021
  • Treynor index (mean / b)
    1.31074
  • Jensen alpha (a)
    0.87093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84183
  • SD
    0.65591
  • Sharpe ratio (Glass type estimate)
    1.28344
  • Sharpe ratio (Hedges UMVUE)
    1.28254
  • df
    1074.00000
  • t
    2.59974
  • p
    0.46046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25166
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24596
  • Upside Potential Ratio
    8.71587
  • Upside part of mean
    3.26686
  • Downside part of mean
    -2.42503
  • Upside SD
    0.54041
  • Downside SD
    0.37482
  • N nonnegative terms
    556.00000
  • N negative terms
    519.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1075.00000
  • Mean of predictor
    0.20128
  • Mean of criterion
    0.84183
  • SD of predictor
    0.27033
  • SD of criterion
    0.65591
  • Covariance
    0.05918
  • r
    0.33376
  • b (slope, estimate of beta)
    0.80982
  • a (intercept, estimate of alpha)
    0.67882
  • Mean Square Error
    0.38266
  • DF error
    1073.00000
  • t(b)
    11.59780
  • p(b)
    0.29154
  • t(a)
    2.22048
  • p(a)
    0.45698
  • Lowerbound of 95% confidence interval for beta
    0.67281
  • Upperbound of 95% confidence interval for beta
    0.94683
  • Lowerbound of 95% confidence interval for alpha
    0.07897
  • Upperbound of 95% confidence interval for alpha
    1.27868
  • Treynor index (mean / b)
    1.03952
  • Jensen alpha (a)
    0.67882
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06147
  • Expected Shortfall on VaR
    0.07712
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01994
  • Expected Shortfall on VaR
    0.04220
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1075.00000
  • Minimum
    0.81419
  • Quartile 1
    0.99086
  • Median
    1.00064
  • Quartile 3
    1.01217
  • Maximum
    1.33315
  • Mean of quarter 1
    0.96799
  • Mean of quarter 2
    0.99628
  • Mean of quarter 3
    1.00591
  • Mean of quarter 4
    1.04650
  • Inter Quartile Range
    0.02132
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.05116
  • Mean of outliers low
    0.92135
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.06512
  • Mean of outliers high
    1.11414
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48633
  • VaR(95%) (moments method)
    0.03092
  • Expected Shortfall (moments method)
    0.06893
  • Extreme Value Index (regression method)
    0.20374
  • VaR(95%) (regression method)
    0.02811
  • Expected Shortfall (regression method)
    0.04545
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00015
  • Quartile 1
    0.00844
  • Median
    0.02651
  • Quartile 3
    0.07303
  • Maximum
    0.57625
  • Mean of quarter 1
    0.00559
  • Mean of quarter 2
    0.01658
  • Mean of quarter 3
    0.04962
  • Mean of quarter 4
    0.24266
  • Inter Quartile Range
    0.06459
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.16326
  • Mean of outliers high
    0.30236
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.49110
  • VaR(95%) (moments method)
    0.19980
  • Expected Shortfall (moments method)
    0.23513
  • Extreme Value Index (regression method)
    0.47098
  • VaR(95%) (regression method)
    0.20322
  • Expected Shortfall (regression method)
    0.41788
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    8.39995
  • Compounded annual return (geometric extrapolation)
    1.38627
  • Calmar ratio (compounded annual return / max draw down)
    2.40570
  • Compounded annual return / average of 25% largest draw downs
    5.71285
  • Compounded annual return / Expected Shortfall lognormal
    17.97450
  • 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
    0.47193
  • SD
    0.35186
  • Sharpe ratio (Glass type estimate)
    1.34126
  • Sharpe ratio (Hedges UMVUE)
    1.33351
  • df
    130.00000
  • t
    0.94841
  • p
    0.45855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11005
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82343
  • Upside Potential Ratio
    7.50836
  • Upside part of mean
    1.94327
  • Downside part of mean
    -1.47134
  • Upside SD
    0.23817
  • Downside SD
    0.25882
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26898
  • Mean of criterion
    0.47193
  • SD of predictor
    0.25464
  • SD of criterion
    0.35186
  • Covariance
    0.01181
  • r
    0.13183
  • b (slope, estimate of beta)
    0.18217
  • a (intercept, estimate of alpha)
    0.42293
  • Mean Square Error
    0.12259
  • DF error
    129.00000
  • t(b)
    1.51053
  • p(b)
    0.41631
  • t(a)
    0.85230
  • p(a)
    0.45241
  • Lowerbound of 95% confidence interval for beta
    -0.05644
  • Upperbound of 95% confidence interval for beta
    0.42078
  • Lowerbound of 95% confidence interval for alpha
    -0.55887
  • Upperbound of 95% confidence interval for alpha
    1.40473
  • Treynor index (mean / b)
    2.59063
  • Jensen alpha (a)
    0.42293
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40919
  • SD
    0.35593
  • Sharpe ratio (Glass type estimate)
    1.14963
  • Sharpe ratio (Hedges UMVUE)
    1.14298
  • df
    130.00000
  • t
    0.81291
  • p
    0.46444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91827
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51731
  • Upside Potential Ratio
    7.10375
  • Upside part of mean
    1.91575
  • Downside part of mean
    -1.50656
  • Upside SD
    0.23159
  • Downside SD
    0.26968
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23680
  • Mean of criterion
    0.40919
  • SD of predictor
    0.25386
  • SD of criterion
    0.35593
  • Covariance
    0.01186
  • r
    0.13126
  • b (slope, estimate of beta)
    0.18403
  • a (intercept, estimate of alpha)
    0.36561
  • Mean Square Error
    0.12547
  • DF error
    129.00000
  • t(b)
    1.50382
  • p(b)
    0.41668
  • t(a)
    0.72863
  • p(a)
    0.45927
  • VAR (95 Confidence Intrvl)
    0.06100
  • Lowerbound of 95% confidence interval for beta
    -0.05809
  • Upperbound of 95% confidence interval for beta
    0.42616
  • Lowerbound of 95% confidence interval for alpha
    -0.62717
  • Upperbound of 95% confidence interval for alpha
    1.35839
  • Treynor index (mean / b)
    2.22345
  • Jensen alpha (a)
    0.36561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03402
  • Expected Shortfall on VaR
    0.04282
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01055
  • Expected Shortfall on VaR
    0.02411
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88703
  • Quartile 1
    0.99546
  • Median
    1.00330
  • Quartile 3
    1.01134
  • Maximum
    1.09612
  • Mean of quarter 1
    0.97886
  • Mean of quarter 2
    0.99968
  • Mean of quarter 3
    1.00712
  • Mean of quarter 4
    1.02212
  • Inter Quartile Range
    0.01588
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.93131
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07051
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46250
  • VaR(95%) (moments method)
    0.01779
  • Expected Shortfall (moments method)
    0.03931
  • Extreme Value Index (regression method)
    0.57976
  • VaR(95%) (regression method)
    0.01694
  • Expected Shortfall (regression method)
    0.04456
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00308
  • Quartile 1
    0.00622
  • Median
    0.01412
  • Quartile 3
    0.03450
  • Maximum
    0.20287
  • Mean of quarter 1
    0.00428
  • Mean of quarter 2
    0.00844
  • Mean of quarter 3
    0.01980
  • Mean of quarter 4
    0.12113
  • Inter Quartile Range
    0.02827
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.20287
  • 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?
    -337889000
  • Max Equity Drawdown (num days)
    480
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48854
  • Compounded annual return (geometric extrapolation)
    0.54821
  • Calmar ratio (compounded annual return / max draw down)
    2.70225
  • Compounded annual return / average of 25% largest draw downs
    4.52566
  • Compounded annual return / Expected Shortfall lognormal
    12.80280

Strategy Description

This is a value-oriented trading strategy that combines fundamental conviction with market-driven flexibility. Often contrarian in nature.
It adapts to changing market environments and uses conservative option tactics to enhance entry and exit points.
The goal is to generate long-term returns by staying disciplined, opportunistic, and grounded in fundamentals – even when the market isn’t.

Trade this strategy at Tradier

Summary Statistics

Strategy began
2017-10-10
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 4.4%
Rank # 
#26
# Trades
612
# Profitable
451
% Profitable
73.7%
Net Dividends
$2,634
Correlation S&P500
0.256
Sharpe Ratio
0.90
Sortino Ratio
1.71
Beta
0.70
Alpha
0.13
Leverage
1.70 Average
10.30 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.