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This is an archived track record. This track record was archived on 3/5/21 14:21 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Simple Oracle Portfolio
(129951566)

Created by: Stay_Sophisticated Stay_Sophisticated
Started: 07/2020
Options
Last trade: 1,120 days ago
Trading style: Options Premium Collecting Directional Bets

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 $40.00 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
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.
Directional Bets
Category: Equity

Directional Bets

Uses primarily options to make bets about the direction or magnitude of price movements in assets.
-2.2%
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.

(31.5%)
Max Drawdown
263
Num Trades
48.7%
Win Trades
1.1 : 1
Profit Factor
11.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +9.3%+8.5%(10%)(19.7%)+29.9%+5.9%+17.9%
2021+7.4%(10.9%)(8%)  -    -    -    -    -    -    -    -    -  (12%)
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 72 hours.

Trading Record

This strategy has placed 249 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1260 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/25/21 15:16 QQQ2117U316 QQQ Sep17'21 316 put LONG 1 29.61 3/5 14:21 34.15 3.79%
Trade id #134290280
Max drawdown($424)
Time2/26/21 0:00
Quant open1
Worst price25.37
Drawdown as % of equity-3.79%
$452
Includes Typical Broker Commissions trade costs of $2.00
2/25/21 15:15 QQQ2117I310 QQQ Sep17'21 310 call LONG 1 29.34 3/5 14:21 22.96 7.66%
Trade id #134290277
Max drawdown($854)
Time3/4/21 0:00
Quant open1
Worst price20.80
Drawdown as % of equity-7.66%
($640)
Includes Typical Broker Commissions trade costs of $2.00
2/19/21 15:52 QQQ2119O308 QQQ Mar19'21 308 put SHORT 4 2.98 3/5 14:21 8.95 35.39%
Trade id #134169235
Max drawdown($3,944)
Time3/4/21 0:00
Quant open4
Worst price12.84
Drawdown as % of equity-35.39%
($2,394)
Includes Typical Broker Commissions trade costs of $5.60
2/19/21 15:52 QQQ2119O295 QQQ Mar19'21 295 put LONG 4 1.71 3/5 14:21 4.44 1.24%
Trade id #134169233
Max drawdown($148)
Time3/2/21 0:00
Quant open4
Worst price1.34
Drawdown as % of equity-1.24%
$1,086
Includes Typical Broker Commissions trade costs of $5.60
2/19/21 15:50 SPY2119O369 SPY Mar19'21 369 put SHORT 3 2.97 3/5 14:21 3.67 13.76%
Trade id #134169176
Max drawdown($1,533)
Time3/4/21 0:00
Quant open3
Worst price8.08
Drawdown as % of equity-13.76%
($214)
Includes Typical Broker Commissions trade costs of $4.20
2/19/21 15:50 SPY2119O356 SPY Mar19'21 356 put LONG 3 1.76 3/5 14:21 1.89 1.76%
Trade id #134169160
Max drawdown($210)
Time3/2/21 0:00
Quant open3
Worst price1.06
Drawdown as % of equity-1.76%
$35
Includes Typical Broker Commissions trade costs of $4.20
2/2/21 15:58 SPY2116G377 SPY Jul16'21 377 call LONG 1 25.25 3/5 14:21 21.34 6.05%
Trade id #133803723
Max drawdown($674)
Time3/4/21 0:00
Quant open1
Worst price18.51
Drawdown as % of equity-6.05%
($393)
Includes Typical Broker Commissions trade costs of $2.00
2/2/21 15:57 SPY2116S385 SPY Jul16'21 385 put LONG 1 25.15 3/5 14:21 22.52 6.17%
Trade id #133803711
Max drawdown($696)
Time3/1/21 0:00
Quant open1
Worst price18.19
Drawdown as % of equity-6.17%
($265)
Includes Typical Broker Commissions trade costs of $2.00
1/29/21 15:57 SPY2130F367 SPY Jun30'21 367 call LONG 1 26.26 2/1 11:31 27.29 n/a $101
Includes Typical Broker Commissions trade costs of $2.00
1/29/21 15:57 SPY2130R375 SPY Jun30'21 375 put LONG 1 26.18 2/1 11:31 24.03 1.01%
Trade id #133724625
Max drawdown($128)
Time2/1/21 11:15
Quant open1
Worst price24.90
Drawdown as % of equity-1.01%
($217)
Includes Typical Broker Commissions trade costs of $2.00
1/29/21 15:58 SPY2119N337 SPY Feb19'21 337 put LONG 4 2.47 2/1 11:31 1.43 3.25%
Trade id #133724677
Max drawdown($412)
Time2/1/21 11:30
Quant open4
Worst price1.44
Drawdown as % of equity-3.25%
($422)
Includes Typical Broker Commissions trade costs of $5.60
1/29/21 15:58 SPY2119N349 SPY Feb19'21 349 put SHORT 4 3.89 2/1 11:31 2.45 n/a $570
Includes Typical Broker Commissions trade costs of $5.60
1/29/21 16:09 QQQ2119N280 QQQ Feb19'21 280 put LONG 3 2.51 2/1 11:27 1.17 3.18%
Trade id #133724963
Max drawdown($402)
Time2/1/21 11:27
Quant open3
Worst price1.17
Drawdown as % of equity-3.18%
($406)
Includes Typical Broker Commissions trade costs of $4.20
1/29/21 16:09 QQQ2119N292 QQQ Feb19'21 292 put SHORT 3 4.05 2/1 11:27 2.08 n/a $587
Includes Typical Broker Commissions trade costs of $4.20
1/29/21 15:59 QQQ2119N278 QQQ Feb19'21 278 put LONG 4 2.14 1/29 16:00 2.06 0.25%
Trade id #133724732
Max drawdown($32)
Time1/29/21 16:00
Quant open4
Worst price2.06
Drawdown as % of equity-0.25%
($38)
Includes Typical Broker Commissions trade costs of $5.60
1/27/21 15:56 SPY2130R378 SPY Jun30'21 378 put LONG 1 26.95 1/28 12:14 22.54 2.9%
Trade id #133644165
Max drawdown($358)
Time1/28/21 0:00
Quant open1
Worst price23.37
Drawdown as % of equity-2.90%
($443)
Includes Typical Broker Commissions trade costs of $2.00
1/27/21 15:56 SPY2130F370 SPY Jun30'21 370 call LONG 1 26.63 1/28 12:14 29.31 n/a $266
Includes Typical Broker Commissions trade costs of $2.00
1/27/21 15:53 QQQ2119N282 QQQ Feb19'21 282 put LONG 3 2.50 1/28 12:14 1.28 2.94%
Trade id #133643960
Max drawdown($363)
Time1/28/21 12:05
Quant open3
Worst price1.29
Drawdown as % of equity-2.94%
($370)
Includes Typical Broker Commissions trade costs of $4.20
1/27/21 15:53 QQQ2119N294 QQQ Feb19'21 294 put SHORT 3 3.94 1/28 12:14 2.17 n/a $527
Includes Typical Broker Commissions trade costs of $4.20
1/27/21 15:55 DIA2119N274 DIA Feb19'21 274 put LONG 2 1.40 1/28 10:48 0.64 1.14%
Trade id #133644112
Max drawdown($140)
Time1/28/21 0:00
Quant open2
Worst price0.70
Drawdown as % of equity-1.14%
($155)
Includes Typical Broker Commissions trade costs of $2.80
1/27/21 15:55 DIA2119N286 DIA Feb19'21 286 put SHORT 2 2.71 1/28 10:48 1.56 n/a $227
Includes Typical Broker Commissions trade costs of $2.80
1/27/21 15:50 SPY2119N335 SPY Feb19'21 335 put LONG 3 2.42 1/28 10:45 1.46 2.77%
Trade id #133643833
Max drawdown($342)
Time1/28/21 0:00
Quant open3
Worst price1.28
Drawdown as % of equity-2.77%
($292)
Includes Typical Broker Commissions trade costs of $4.20
1/27/21 15:50 SPY2119N347 SPY Feb19'21 347 put SHORT 3 3.76 1/28 10:45 2.35 n/a $419
Includes Typical Broker Commissions trade costs of $4.20
1/25/21 15:56 QQQ2130F325 QQQ Jun30'21 325 call LONG 1 24.88 1/27 11:33 23.00 1.68%
Trade id #133582638
Max drawdown($208)
Time1/27/21 9:43
Quant open1
Worst price22.80
Drawdown as % of equity-1.68%
($190)
Includes Typical Broker Commissions trade costs of $2.00
1/25/21 15:56 QQQ2130R331 QQQ Jun30'21 331 put LONG 1 24.74 1/27 11:33 28.29 0.11%
Trade id #133582642
Max drawdown($14)
Time1/26/21 0:00
Quant open1
Worst price24.60
Drawdown as % of equity-0.11%
$353
Includes Typical Broker Commissions trade costs of $2.00
1/21/21 15:51 QQQ2130R330 QQQ Jun30'21 330 put LONG 1 24.51 1/25 14:10 24.62 1.03%
Trade id #133521740
Max drawdown($126)
Time1/25/21 10:06
Quant open1
Worst price23.25
Drawdown as % of equity-1.03%
$9
Includes Typical Broker Commissions trade costs of $2.00
1/21/21 15:51 QQQ2130F324 QQQ Jun30'21 324 call LONG 1 24.29 1/25 14:10 24.73 0.73%
Trade id #133521736
Max drawdown($90)
Time1/22/21 0:00
Quant open1
Worst price23.39
Drawdown as % of equity-0.73%
$42
Includes Typical Broker Commissions trade costs of $2.00
1/15/21 15:51 DIA2119N277 DIA Feb19'21 277 put LONG 2 1.27 1/20 9:58 0.87 0.53%
Trade id #133413146
Max drawdown($64)
Time1/19/21 0:00
Quant open2
Worst price0.95
Drawdown as % of equity-0.53%
($83)
Includes Typical Broker Commissions trade costs of $2.80
1/15/21 15:51 DIA2119N290 DIA Feb19'21 290 put SHORT 2 2.49 1/20 9:57 1.83 0.19%
Trade id #133413155
Max drawdown($22)
Time1/15/21 16:00
Quant open2
Worst price2.60
Drawdown as % of equity-0.19%
$129
Includes Typical Broker Commissions trade costs of $2.80
1/15/21 15:55 SPY2130R379 SPY Jun30'21 379 put LONG 1 23.77 1/20 9:57 20.85 1.88%
Trade id #133413345
Max drawdown($227)
Time1/20/21 9:30
Quant open1
Worst price21.50
Drawdown as % of equity-1.88%
($294)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    7/7/2020
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1353.65
  • Age
    45 months ago
  • What it trades
    Options
  • # Trades
    263
  • # Profitable
    128
  • % Profitable
    48.70%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    31.46%
  • drawdown period
    March 05, 2021 - March 05, 2021
  • Cumul. Return
    -1.5%
  • Avg win
    $226.05
  • Avg loss
    $201.18
  • Model Account Values (Raw)
  • Cash
    $11,777
  • Margin Used
    $0
  • Buying Power
    $11,777
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.05
  • Calmar Ratio
    0.721
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.76%
  • Correlation to SP500
    0.24080
  • Return Percent SP500 (cumu) during strategy life
    67.05%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.2%
  • Slump
  • Current Slump as Pcnt Equity
    23.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.84%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    3.70%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.015%
  • Instruments
  • Percent Trades Options
    0.90%
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.5%
  • Automation
  • Percentage Signals Automated
    1.39%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    665
  • 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
    $201
  • Avg Win
    $226
  • Sum Trade PL (losers)
    $27,159.000
  • Age
  • Num Months filled monthly returns table
    45
  • Win / Loss
  • Sum Trade PL (winners)
    $28,934.000
  • # Winners
    128
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    135
  • % Winners
    48.7%
  • Frequency
  • Avg Position Time (mins)
    6281.05
  • Avg Position Time (hrs)
    104.68
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1113
  • Leverage
  • Daily leverage (average)
    18.00
  • Daily leverage (max)
    48.27
  • Regression
  • Alpha
    -0.01
  • Beta
    0.23
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.07
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -7.534
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.160
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.153
  • Hold-and-Hope Ratio
    -0.133
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57781
  • SD
    0.16780
  • Sharpe ratio (Glass type estimate)
    3.44349
  • Sharpe ratio (Hedges UMVUE)
    2.99111
  • df
    6.00000
  • t
    2.63001
  • p
    0.01953
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.06510
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.04430
  • Upside Potential Ratio
    17.35360
  • Upside part of mean
    0.62496
  • Downside part of mean
    -0.04715
  • Upside SD
    0.22507
  • Downside SD
    0.03601
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.35390
  • Mean of criterion
    0.57781
  • SD of predictor
    0.07541
  • SD of criterion
    0.16780
  • Covariance
    0.00863
  • r
    0.68171
  • b (slope, estimate of beta)
    1.51698
  • a (intercept, estimate of alpha)
    0.04094
  • Mean Square Error
    0.01809
  • DF error
    5.00000
  • t(b)
    2.08350
  • p(b)
    0.04583
  • t(a)
    0.13119
  • p(a)
    0.45037
  • Lowerbound of 95% confidence interval for beta
    -0.35472
  • Upperbound of 95% confidence interval for beta
    3.38868
  • Lowerbound of 95% confidence interval for alpha
    -0.76134
  • Upperbound of 95% confidence interval for alpha
    0.84323
  • Treynor index (mean / b)
    0.38089
  • Jensen alpha (a)
    0.04094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55208
  • SD
    0.16008
  • Sharpe ratio (Glass type estimate)
    3.44879
  • Sharpe ratio (Hedges UMVUE)
    2.99571
  • df
    6.00000
  • t
    2.63406
  • p
    0.01942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16473
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.07113
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.15390
  • Upside Potential Ratio
    16.46320
  • Upside part of mean
    0.59978
  • Downside part of mean
    -0.04770
  • Upside SD
    0.21456
  • Downside SD
    0.03643
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.34570
  • Mean of criterion
    0.55208
  • SD of predictor
    0.07307
  • SD of criterion
    0.16008
  • Covariance
    0.00801
  • r
    0.68502
  • b (slope, estimate of beta)
    1.50073
  • a (intercept, estimate of alpha)
    0.03328
  • Mean Square Error
    0.01632
  • DF error
    5.00000
  • t(b)
    2.10253
  • p(b)
    0.04473
  • t(a)
    0.11165
  • p(a)
    0.45772
  • Lowerbound of 95% confidence interval for beta
    -0.33416
  • Upperbound of 95% confidence interval for beta
    3.33562
  • Lowerbound of 95% confidence interval for alpha
    -0.73304
  • Upperbound of 95% confidence interval for alpha
    0.79961
  • Treynor index (mean / b)
    0.36788
  • Jensen alpha (a)
    0.03328
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02956
  • Expected Shortfall on VaR
    0.04798
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00302
  • Expected Shortfall on VaR
    0.00910
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.97482
  • Quartile 1
    1.02745
  • Median
    1.04088
  • Quartile 3
    1.07993
  • Maximum
    1.12290
  • Mean of quarter 1
    0.99874
  • Mean of quarter 2
    1.03656
  • Mean of quarter 3
    1.07056
  • Mean of quarter 4
    1.10610
  • Inter Quartile Range
    0.05248
  • 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
    1.00000
  • Minimum
    0.02518
  • Quartile 1
    0.02518
  • Median
    0.02518
  • Quartile 3
    0.02518
  • Maximum
    0.02518
  • 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)
    0.69017
  • Compounded annual return (geometric extrapolation)
    0.78602
  • Calmar ratio (compounded annual return / max draw down)
    31.21940
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.38290
  • 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
    0.28401
  • SD
    0.35353
  • Sharpe ratio (Glass type estimate)
    0.80336
  • Sharpe ratio (Hedges UMVUE)
    0.79981
  • df
    170.00000
  • t
    0.64902
  • p
    0.47514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22736
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13202
  • Upside Potential Ratio
    7.02459
  • Upside part of mean
    1.76239
  • Downside part of mean
    -1.47838
  • Upside SD
    0.24822
  • Downside SD
    0.25089
  • N nonnegative terms
    83.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.28163
  • Mean of criterion
    0.28401
  • SD of predictor
    0.16722
  • SD of criterion
    0.35353
  • Covariance
    0.03464
  • r
    0.58603
  • b (slope, estimate of beta)
    1.23896
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.08255
  • DF error
    169.00000
  • t(b)
    9.40204
  • p(b)
    0.14954
  • t(a)
    -0.18154
  • p(a)
    0.50889
  • Lowerbound of 95% confidence interval for beta
    0.97882
  • Upperbound of 95% confidence interval for beta
    1.49909
  • Lowerbound of 95% confidence interval for alpha
    -0.77077
  • Upperbound of 95% confidence interval for alpha
    0.64095
  • Treynor index (mean / b)
    0.22923
  • Jensen alpha (a)
    -0.06491
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22145
  • SD
    0.35491
  • Sharpe ratio (Glass type estimate)
    0.62396
  • Sharpe ratio (Hedges UMVUE)
    0.62121
  • df
    170.00000
  • t
    0.50409
  • p
    0.48068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05009
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04816
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85557
  • Upside Potential Ratio
    6.69341
  • Upside part of mean
    1.73248
  • Downside part of mean
    -1.51103
  • Upside SD
    0.24169
  • Downside SD
    0.25883
  • N nonnegative terms
    83.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.26751
  • Mean of criterion
    0.22145
  • SD of predictor
    0.16768
  • SD of criterion
    0.35491
  • Covariance
    0.03490
  • r
    0.58641
  • b (slope, estimate of beta)
    1.24118
  • a (intercept, estimate of alpha)
    -0.11057
  • Mean Square Error
    0.08313
  • DF error
    169.00000
  • t(b)
    9.41138
  • p(b)
    0.14934
  • t(a)
    -0.30832
  • p(a)
    0.51509
  • Lowerbound of 95% confidence interval for beta
    0.98083
  • Upperbound of 95% confidence interval for beta
    1.50152
  • Lowerbound of 95% confidence interval for alpha
    -0.81855
  • Upperbound of 95% confidence interval for alpha
    0.59741
  • Treynor index (mean / b)
    0.17842
  • Jensen alpha (a)
    -0.11057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03461
  • Expected Shortfall on VaR
    0.04338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01294
  • Expected Shortfall on VaR
    0.02809
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    171.00000
  • Minimum
    0.91990
  • Quartile 1
    0.99610
  • Median
    1.00000
  • Quartile 3
    1.00818
  • Maximum
    1.08436
  • Mean of quarter 1
    0.97856
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00331
  • Mean of quarter 4
    1.02372
  • Inter Quartile Range
    0.01207
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08187
  • Mean of outliers low
    0.95244
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.07018
  • Mean of outliers high
    1.04831
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77140
  • VaR(95%) (moments method)
    0.01999
  • Expected Shortfall (moments method)
    0.09596
  • Extreme Value Index (regression method)
    -0.09478
  • VaR(95%) (regression method)
    0.01953
  • Expected Shortfall (regression method)
    0.02766
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00093
  • Median
    0.00530
  • Quartile 3
    0.00988
  • Maximum
    0.23115
  • Mean of quarter 1
    0.00045
  • Mean of quarter 2
    0.00233
  • Mean of quarter 3
    0.00717
  • Mean of quarter 4
    0.09961
  • Inter Quartile Range
    0.00896
  • 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
    0.16667
  • Mean of outliers high
    0.15682
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.86557
  • VaR(95%) (moments method)
    0.07087
  • Expected Shortfall (moments method)
    0.61157
  • Extreme Value Index (regression method)
    -0.00900
  • VaR(95%) (regression method)
    0.11453
  • Expected Shortfall (regression method)
    0.17645
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27080
  • Compounded annual return (geometric extrapolation)
    0.28320
  • Calmar ratio (compounded annual return / max draw down)
    1.22515
  • Compounded annual return / average of 25% largest draw downs
    2.84296
  • Compounded annual return / Expected Shortfall lognormal
    6.52831
  • 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
    -0.04186
  • SD
    0.38973
  • Sharpe ratio (Glass type estimate)
    -0.10741
  • Sharpe ratio (Hedges UMVUE)
    -0.10678
  • df
    130.00000
  • t
    -0.07595
  • p
    0.50333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66505
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14745
  • Upside Potential Ratio
    6.29419
  • Upside part of mean
    1.78688
  • Downside part of mean
    -1.82874
  • Upside SD
    0.26484
  • Downside SD
    0.28389
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14529
  • Mean of criterion
    -0.04186
  • SD of predictor
    0.18143
  • SD of criterion
    0.38973
  • Covariance
    0.04242
  • r
    0.59997
  • b (slope, estimate of beta)
    1.28882
  • a (intercept, estimate of alpha)
    -0.22911
  • Mean Square Error
    0.09797
  • DF error
    129.00000
  • t(b)
    8.51765
  • p(b)
    0.14239
  • t(a)
    -0.51695
  • p(a)
    0.52894
  • Lowerbound of 95% confidence interval for beta
    0.98945
  • Upperbound of 95% confidence interval for beta
    1.58820
  • Lowerbound of 95% confidence interval for alpha
    -1.10599
  • Upperbound of 95% confidence interval for alpha
    0.64776
  • Treynor index (mean / b)
    -0.03248
  • Jensen alpha (a)
    -0.22911
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11764
  • SD
    0.39143
  • Sharpe ratio (Glass type estimate)
    -0.30053
  • Sharpe ratio (Hedges UMVUE)
    -0.29880
  • df
    130.00000
  • t
    -0.21251
  • p
    0.50932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.07210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47325
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40150
  • Upside Potential Ratio
    5.98278
  • Upside part of mean
    1.75293
  • Downside part of mean
    -1.87057
  • Upside SD
    0.25740
  • Downside SD
    0.29300
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12884
  • Mean of criterion
    -0.11764
  • SD of predictor
    0.18198
  • SD of criterion
    0.39143
  • Covariance
    0.04273
  • r
    0.59987
  • b (slope, estimate of beta)
    1.29028
  • a (intercept, estimate of alpha)
    -0.28388
  • Mean Square Error
    0.09885
  • DF error
    129.00000
  • t(b)
    8.51539
  • p(b)
    0.14245
  • t(a)
    -0.63786
  • p(a)
    0.53568
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.99049
  • Upperbound of 95% confidence interval for beta
    1.59007
  • Lowerbound of 95% confidence interval for alpha
    -1.16443
  • Upperbound of 95% confidence interval for alpha
    0.59667
  • Treynor index (mean / b)
    -0.09117
  • Jensen alpha (a)
    -0.28388
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03943
  • Expected Shortfall on VaR
    0.04905
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01666
  • Expected Shortfall on VaR
    0.03503
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91990
  • Quartile 1
    0.99436
  • Median
    1.00000
  • Quartile 3
    1.00744
  • Maximum
    1.08436
  • Mean of quarter 1
    0.97429
  • Mean of quarter 2
    0.99823
  • Mean of quarter 3
    1.00235
  • Mean of quarter 4
    1.02499
  • Inter Quartile Range
    0.01308
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.94602
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05279
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71171
  • VaR(95%) (moments method)
    0.02535
  • Expected Shortfall (moments method)
    0.09672
  • Extreme Value Index (regression method)
    -0.22935
  • VaR(95%) (regression method)
    0.02316
  • Expected Shortfall (regression method)
    0.03042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00106
  • Median
    0.00674
  • Quartile 3
    0.01189
  • Maximum
    0.23115
  • Mean of quarter 1
    0.00057
  • Mean of quarter 2
    0.00313
  • Mean of quarter 3
    0.00891
  • Mean of quarter 4
    0.15069
  • Inter Quartile Range
    0.01083
  • 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
    0.16667
  • Mean of outliers high
    0.21722
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -760.91800
  • VaR(95%) (moments method)
    0.06188
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.73636
  • VaR(95%) (regression method)
    0.46828
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.46945
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282624000
  • Max Equity Drawdown (num days)
    59
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08775
  • Compounded annual return (geometric extrapolation)
    -0.08582
  • Calmar ratio (compounded annual return / max draw down)
    -0.37128
  • Compounded annual return / average of 25% largest draw downs
    -0.56955
  • Compounded annual return / Expected Shortfall lognormal
    -1.74981

Strategy Description

I utilize short-term technical signals to trade a handful of options via credit spreads. I will always hold a position overnight to avoid the PDT Day Trading rule. In most situations, I will hold a position for 1-5 days but can be longer at times.

The strategy will work best when there's some level of volatility in the stock market. The strategy will not do as well during the extreme times in the stock market in terms of volatility (i.e. the VIX index is above 50 or below 15).

Goals for this strategy include:

1. 2-5% monthly return
2. Sharpe ratio above 1.5
3. Sortino ratio above 3
3. Max drawdown capped at 20%

These are of course goals of the strategy and are not guaranteed.

To minimize losses on losing trades, I also trade with a broad market hedge. I will also utilize gamma scalping to attempt to make money during down days. Due to the hedge and the limited number of positions I trade, my position size will typically be larger than most traders (~10-20% per trade).

Summary Statistics

Strategy began
2020-07-07
Suggested Minimum Capital
$35,000
# Trades
263
# Profitable
128
% Profitable
48.7%
Correlation S&P500
0.241
Sharpe Ratio
0.03
Sortino Ratio
0.05
Beta
0.23
Alpha
-0.01
Leverage
18.00 Average
48.27 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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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.