Collective2 Collective2
Featured Strategy TechSignal Followed by live capital $831.8 thousand Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 02/26/2025
Most recent certification approved 5/20/25 11:24 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 270
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 240
Percent signals followed since 02/26/2025 88.9%
This information was last updated 6/25/25 15:49 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 02/26/2025, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

SPX One Day Options
(147720929)

Created by: LeslieGray LeslieGray
Started: 03/2024
Options
Last trade: Yesterday
Trading style: Options 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 $150.00 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.
28.7%
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.

(11.9%)
Max Drawdown
483
Num Trades
40.2%
Win Trades
1.1 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024              +10.4%(2.4%)+4.8%+3.3%+1.8%(0.6%)+8.2%+3.9%+2.0%+3.3%+39.8%
2025(3.4%)(2.7%)(0.1%)(0.1%)(1.9%)+5.7%                                    (2.6%)

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.

Trading Record

This strategy has placed 889 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
6/12/25 15:23 SPXW2513R5980 SPX Jun13'25 5980 put LONG 3 4.33 6/14 9:35 3.03 0.16%
Trade id #152034581
Max drawdown($415)
Time6/12/25 15:59
Quant open3
Worst price2.95
Drawdown as % of equity-0.16%
 ($396)
Includes Typical Broker Commissions trade costs of $5.10
6/12/25 15:23 SPXW2513F6105 SPX Jun13'25 6105 call LONG 1 1.15 6/14 9:35 0.00 0.04%
Trade id #152034586
Max drawdown($113)
Time6/13/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.04%
 ($116)
Includes Typical Broker Commissions trade costs of $1.00
6/12/25 15:33 SPXW2513F6100 SPX Jun13'25 6100 call LONG 2 1.18 6/14 9:35 0.00 0.09%
Trade id #152037243
Max drawdown($231)
Time6/13/25 0:00
Quant open2
Worst price0.02
Drawdown as % of equity-0.09%
 ($237)
Includes Typical Broker Commissions trade costs of $2.00
6/12/25 15:33 SPXW2513R6040 SPX Jun13'25 6040 put SHORT 3 18.98 6/14 9:35 63.03 9.55%
Trade id #152037235
Max drawdown($24,710)
Time6/13/25 0:00
Quant open3
Worst price101.35
Drawdown as % of equity-9.55%
 ($13,219)
Includes Typical Broker Commissions trade costs of $5.10
6/12/25 15:33 SPXW2513F6040 SPX Jun13'25 6040 call SHORT 3 17.13 6/14 9:35 0.00 0.44%
Trade id #152037238
Max drawdown($1,160)
Time6/12/25 16:00
Quant open3
Worst price21.00
Drawdown as % of equity-0.44%
 $5,137
Includes Typical Broker Commissions trade costs of $3.00
6/11/25 15:41 SPXW2512F6010 SPX Jun12'25 6010 call SHORT 2 24.88 6/13 8:05 35.26 0.32%
Trade id #151995464
Max drawdown($825)
Time6/11/25 15:59
Quant open2
Worst price29.00
Drawdown as % of equity-0.32%
 ($2,080)
Includes Typical Broker Commissions trade costs of $3.40
6/11/25 15:35 SPXW2512F6015 SPX Jun12'25 6015 call SHORT 1 19.10 6/13 8:05 30.26 0.24%
Trade id #151995413
Max drawdown($625)
Time6/11/25 15:59
Quant open1
Worst price25.35
Drawdown as % of equity-0.24%
 ($1,118)
Includes Typical Broker Commissions trade costs of $2.00
6/11/25 15:24 SPXW2512F6080 SPX Jun12'25 6080 call LONG 1 2.20 6/13 8:05 0.00 0.08%
Trade id #151995341
Max drawdown($218)
Time6/12/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.08%
 ($221)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:46 SPXW2512R5950 SPX Jun12'25 5950 put LONG 1 4.70 6/13 8:05 0.00 0.18%
Trade id #151995532
Max drawdown($467)
Time6/12/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.18%
 ($471)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:41 SPXW2512R6010 SPX Jun12'25 6010 put SHORT 2 18.90 6/13 8:05 0.00 0.67%
Trade id #151995462
Max drawdown($1,720)
Time6/12/25 0:00
Quant open2
Worst price27.50
Drawdown as % of equity-0.67%
 $3,778
Includes Typical Broker Commissions trade costs of $2.00
6/11/25 15:35 SPXW2512R6015 SPX Jun12'25 6015 put SHORT 1 26.70 6/13 8:05 0.00 0.31%
Trade id #151995410
Max drawdown($804)
Time6/12/25 0:00
Quant open1
Worst price34.74
Drawdown as % of equity-0.31%
 $2,669
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:46 SPXW2512F6070 SPX Jun12'25 6070 call LONG 1 3.20 6/13 8:05 0.00 0.12%
Trade id #151995534
Max drawdown($318)
Time6/12/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.12%
 ($321)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:35 SPXW2512F6075 SPX Jun12'25 6075 call LONG 1 2.20 6/13 8:05 0.00 0.08%
Trade id #151995417
Max drawdown($218)
Time6/12/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.08%
 ($221)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:35 SPXW2512R5955 SPX Jun12'25 5955 put LONG 1 7.90 6/13 8:05 0.00 0.3%
Trade id #151995415
Max drawdown($787)
Time6/12/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.30%
 ($791)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:24 SPXW2512R5960 SPX Jun12'25 5960 put LONG 1 5.90 6/13 8:05 0.00 0.23%
Trade id #151995338
Max drawdown($587)
Time6/12/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.23%
 ($591)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:32 SPXW2511F6095 SPX Jun11'25 6095 call LONG 1 3.00 6/12 8:05 0.00 0.12%
Trade id #151983606
Max drawdown($298)
Time6/11/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.12%
 ($301)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:42 SPXW2511F6030 SPX Jun11'25 6030 call SHORT 2 21.20 6/12 8:05 0.00 1.71%
Trade id #151983703
Max drawdown($4,260)
Time6/11/25 0:00
Quant open2
Worst price42.50
Drawdown as % of equity-1.71%
 $4,238
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:32 SPXW2511R6035 SPX Jun11'25 6035 put SHORT 1 24.50 6/12 8:05 12.76 0.42%
Trade id #151983599
Max drawdown($1,050)
Time6/11/25 0:00
Quant open1
Worst price35.00
Drawdown as % of equity-0.42%
 $1,172
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:42 SPXW2511F6090 SPX Jun11'25 6090 call LONG 1 2.95 6/12 8:05 0.00 0.12%
Trade id #151983706
Max drawdown($293)
Time6/11/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.12%
 ($296)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:42 SPXW2511R6030 SPX Jun11'25 6030 put SHORT 2 22.98 6/12 8:05 7.76 0.65%
Trade id #151983701
Max drawdown($1,617)
Time6/11/25 0:00
Quant open2
Worst price31.06
Drawdown as % of equity-0.65%
 $3,040
Includes Typical Broker Commissions trade costs of $3.40
6/10/25 15:32 SPXW2511R5970 SPX Jun11'25 5970 put LONG 2 5.85 6/12 8:05 0.00 0.47%
Trade id #151983604
Max drawdown($1,166)
Time6/11/25 0:00
Quant open2
Worst price0.02
Drawdown as % of equity-0.47%
 ($1,172)
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:22 SPXW2511F6100 SPX Jun11'25 6100 call LONG 1 3.10 6/12 8:05 0.00 0.12%
Trade id #151983512
Max drawdown($307)
Time6/11/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.12%
 ($311)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:22 SPXW2511R5980 SPX Jun11'25 5980 put LONG 1 6.20 6/12 8:05 0.00 0.25%
Trade id #151983510
Max drawdown($617)
Time6/11/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.25%
 ($621)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:32 SPXW2511F6035 SPX Jun11'25 6035 call SHORT 1 20.80 6/12 8:05 0.00 0.72%
Trade id #151983602
Max drawdown($1,802)
Time6/11/25 0:00
Quant open1
Worst price38.82
Drawdown as % of equity-0.72%
 $2,079
Includes Typical Broker Commissions trade costs of $1.00
6/9/25 15:25 SPXW2510R5955 SPX Jun10'25 5955 put LONG 3 3.05 6/11 8:05 0.00 0.19%
Trade id #151963134
Max drawdown($465)
Time6/10/25 0:00
Quant open3
Worst price1.50
Drawdown as % of equity-0.19%
 ($918)
Includes Typical Broker Commissions trade costs of $3.00
6/9/25 15:30 SPXW2510R6015 SPX Jun10'25 6015 put SHORT 3 18.83 6/11 8:05 0.00 1.95%
Trade id #151963231
Max drawdown($4,820)
Time6/10/25 0:00
Quant open3
Worst price34.90
Drawdown as % of equity-1.95%
 $5,647
Includes Typical Broker Commissions trade costs of $3.00
6/9/25 15:30 SPXW2510F6015 SPX Jun10'25 6015 call SHORT 3 17.28 6/11 8:05 23.81 1.44%
Trade id #151963233
Max drawdown($3,575)
Time6/10/25 0:00
Quant open3
Worst price29.20
Drawdown as % of equity-1.44%
 ($1,963)
Includes Typical Broker Commissions trade costs of $5.10
6/9/25 15:25 SPXW2510F6075 SPX Jun10'25 6075 call LONG 3 1.59 6/11 8:05 0.00 0.19%
Trade id #151963136
Max drawdown($468)
Time6/10/25 0:00
Quant open3
Worst price0.03
Drawdown as % of equity-0.19%
 ($481)
Includes Typical Broker Commissions trade costs of $3.00
6/6/25 15:23 SPXW2509F6065 SPX Jun9'25 6065 call LONG 2 2.49 6/10 8:05 0.00 0.15%
Trade id #151947486
Max drawdown($367)
Time6/9/25 0:00
Quant open2
Worst price0.65
Drawdown as % of equity-0.15%
 ($500)
Includes Typical Broker Commissions trade costs of $2.00
6/6/25 15:45 SPXW2509F6060 SPX Jun9'25 6060 call LONG 1 2.90 6/10 8:05 0.00 0.08%
Trade id #151947769
Max drawdown($205)
Time6/9/25 0:00
Quant open1
Worst price0.85
Drawdown as % of equity-0.08%
 ($291)
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    3/24/2024
  • Suggested Minimum Cap
    $260,000
  • Strategy Age (days)
    458.5
  • Age
    15 months ago
  • What it trades
    Options
  • # Trades
    483
  • # Profitable
    194
  • % Profitable
    40.20%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    11.92%
  • drawdown period
    Nov 14, 2024 - May 07, 2025
  • Annual Return (Compounded)
    28.7%
  • Avg win
    $3,079
  • Avg loss
    $1,806
  • Model Account Values (Raw)
  • Cash
    $271,019
  • Margin Used
    $49,240
  • Buying Power
    $221,794
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    1.09
  • Sortino Ratio
    1.96
  • Calmar Ratio
    3.051
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    21.14%
  • Correlation to SP500
    0.07890
  • Return Percent SP500 (cumu) during strategy life
    16.39%
  • Return Statistics
  • Ann Return (w trading costs)
    28.7%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    4.840%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.287%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    84.55%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    715
  • Popularity (Last 6 weeks)
    886
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    503
  • Popularity (7 days, Percentile 1000 scale)
    701
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,797
  • Avg Win
    $3,093
  • Sum Trade PL (losers)
    $521,134.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $597,022.000
  • # Winners
    193
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    519403
  • Win / Loss
  • # Losers
    290
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    2422.37
  • Avg Position Time (hrs)
    40.37
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    18.93
  • Daily leverage (max)
    225.53
  • Regression
  • Alpha
    0.06
  • Beta
    0.08
  • Treynor Index
    0.85
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.26
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -74.340
  • 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
    0.562
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.416
  • Hold-and-Hope Ratio
    -0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21536
  • SD
    0.11846
  • Sharpe ratio (Glass type estimate)
    1.81797
  • Sharpe ratio (Hedges UMVUE)
    1.71068
  • df
    13.00000
  • t
    1.96363
  • p
    0.20756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64072
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.75418
  • Upside Potential Ratio
    6.39693
  • Upside part of mean
    0.28978
  • Downside part of mean
    -0.07442
  • Upside SD
    0.12184
  • Downside SD
    0.04530
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.08523
  • Mean of criterion
    0.21536
  • SD of predictor
    0.11156
  • SD of criterion
    0.11846
  • Covariance
    0.00070
  • r
    0.05328
  • b (slope, estimate of beta)
    0.05658
  • a (intercept, estimate of alpha)
    0.21054
  • Mean Square Error
    0.01516
  • DF error
    12.00000
  • t(b)
    0.18483
  • p(b)
    0.47336
  • t(a)
    1.80042
  • p(a)
    0.26942
  • Lowerbound of 95% confidence interval for beta
    -0.61037
  • Upperbound of 95% confidence interval for beta
    0.72352
  • Lowerbound of 95% confidence interval for alpha
    -0.04425
  • Upperbound of 95% confidence interval for alpha
    0.46533
  • Treynor index (mean / b)
    3.80645
  • Jensen alpha (a)
    0.21054
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20670
  • SD
    0.11612
  • Sharpe ratio (Glass type estimate)
    1.78013
  • Sharpe ratio (Hedges UMVUE)
    1.67507
  • df
    13.00000
  • t
    1.92276
  • p
    0.21189
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60049
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.50412
  • Upside Potential Ratio
    6.14462
  • Upside part of mean
    0.28199
  • Downside part of mean
    -0.07529
  • Upside SD
    0.11821
  • Downside SD
    0.04589
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.07905
  • Mean of criterion
    0.20670
  • SD of predictor
    0.11078
  • SD of criterion
    0.11612
  • Covariance
    0.00075
  • r
    0.05865
  • b (slope, estimate of beta)
    0.06147
  • a (intercept, estimate of alpha)
    0.20184
  • Mean Square Error
    0.01456
  • DF error
    12.00000
  • t(b)
    0.20351
  • p(b)
    0.47068
  • t(a)
    1.76709
  • p(a)
    0.27280
  • Lowerbound of 95% confidence interval for beta
    -0.59667
  • Upperbound of 95% confidence interval for beta
    0.71961
  • Lowerbound of 95% confidence interval for alpha
    -0.04703
  • Upperbound of 95% confidence interval for alpha
    0.45072
  • Treynor index (mean / b)
    3.36244
  • Jensen alpha (a)
    0.20184
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03720
  • Expected Shortfall on VaR
    0.05052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01138
  • Expected Shortfall on VaR
    0.02384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.96707
  • Quartile 1
    1.00000
  • Median
    1.01974
  • Quartile 3
    1.04475
  • Maximum
    1.07248
  • Mean of quarter 1
    0.98121
  • Mean of quarter 2
    1.00714
  • Mean of quarter 3
    1.02935
  • Mean of quarter 4
    1.06239
  • Inter Quartile Range
    0.04475
  • 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)
    -1.69836
  • VaR(95%) (regression method)
    0.03963
  • Expected Shortfall (regression method)
    0.04117
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07337
  • Quartile 1
    0.07337
  • Median
    0.07337
  • Quartile 3
    0.07337
  • Maximum
    0.07337
  • 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)
    0.26986
  • Compounded annual return (geometric extrapolation)
    0.26442
  • Calmar ratio (compounded annual return / max draw down)
    3.60365
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.23397
  • 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
    0.24963
  • SD
    0.18410
  • Sharpe ratio (Glass type estimate)
    1.35593
  • Sharpe ratio (Hedges UMVUE)
    1.35278
  • df
    323.00000
  • t
    1.50785
  • p
    0.06628
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12049
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11835
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50196
  • Upside Potential Ratio
    7.55558
  • Upside part of mean
    0.75384
  • Downside part of mean
    -0.50421
  • Upside SD
    0.15515
  • Downside SD
    0.09977
  • N nonnegative terms
    82.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.11418
  • Mean of criterion
    0.24963
  • SD of predictor
    0.18437
  • SD of criterion
    0.18410
  • Covariance
    0.00224
  • r
    0.06588
  • b (slope, estimate of beta)
    0.06578
  • a (intercept, estimate of alpha)
    0.24200
  • Mean Square Error
    0.03385
  • DF error
    322.00000
  • t(b)
    1.18469
  • p(b)
    0.11851
  • t(a)
    1.46232
  • p(a)
    0.07231
  • Lowerbound of 95% confidence interval for beta
    -0.04346
  • Upperbound of 95% confidence interval for beta
    0.17502
  • Lowerbound of 95% confidence interval for alpha
    -0.08362
  • Upperbound of 95% confidence interval for alpha
    0.56785
  • Treynor index (mean / b)
    3.79476
  • Jensen alpha (a)
    0.24211
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23312
  • SD
    0.17989
  • Sharpe ratio (Glass type estimate)
    1.29591
  • Sharpe ratio (Hedges UMVUE)
    1.29290
  • df
    323.00000
  • t
    1.44111
  • p
    0.07526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47038
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06025
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05821
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.30598
  • Upside Potential Ratio
    7.34312
  • Upside part of mean
    0.74234
  • Downside part of mean
    -0.50922
  • Upside SD
    0.14916
  • Downside SD
    0.10109
  • N nonnegative terms
    82.00000
  • N negative terms
    242.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.09731
  • Mean of criterion
    0.23312
  • SD of predictor
    0.18357
  • SD of criterion
    0.17989
  • Covariance
    0.00231
  • r
    0.06992
  • b (slope, estimate of beta)
    0.06852
  • a (intercept, estimate of alpha)
    0.22645
  • Mean Square Error
    0.03230
  • DF error
    322.00000
  • t(b)
    1.25777
  • p(b)
    0.10469
  • t(a)
    1.40040
  • p(a)
    0.08118
  • Lowerbound of 95% confidence interval for beta
    -0.03866
  • Upperbound of 95% confidence interval for beta
    0.17569
  • Lowerbound of 95% confidence interval for alpha
    -0.09168
  • Upperbound of 95% confidence interval for alpha
    0.54458
  • Treynor index (mean / b)
    3.40227
  • Jensen alpha (a)
    0.22645
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01724
  • Expected Shortfall on VaR
    0.02178
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00559
  • Expected Shortfall on VaR
    0.01202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    324.00000
  • Minimum
    0.96261
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00014
  • Maximum
    1.13134
  • Mean of quarter 1
    0.99262
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01162
  • Inter Quartile Range
    0.00014
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.18210
  • Mean of outliers low
    0.98987
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.23457
  • Mean of outliers high
    1.01237
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64441
  • VaR(95%) (moments method)
    0.00417
  • Expected Shortfall (moments method)
    0.01525
  • Extreme Value Index (regression method)
    -0.24884
  • VaR(95%) (regression method)
    0.00749
  • Expected Shortfall (regression method)
    0.01127
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00492
  • Median
    0.02034
  • Quartile 3
    0.04642
  • Maximum
    0.09777
  • Mean of quarter 1
    0.00256
  • Mean of quarter 2
    0.00939
  • Mean of quarter 3
    0.03541
  • Mean of quarter 4
    0.07723
  • Inter Quartile Range
    0.04150
  • 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)
    -40.53080
  • VaR(95%) (moments method)
    0.08006
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.53795
  • VaR(95%) (regression method)
    0.12752
  • Expected Shortfall (regression method)
    0.12871
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30808
  • Compounded annual return (geometric extrapolation)
    0.29826
  • Calmar ratio (compounded annual return / max draw down)
    3.05061
  • Compounded annual return / average of 25% largest draw downs
    3.86199
  • Compounded annual return / Expected Shortfall lognormal
    13.69120
  • 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
    -0.07313
  • SD
    0.13446
  • Sharpe ratio (Glass type estimate)
    -0.54390
  • Sharpe ratio (Hedges UMVUE)
    -0.54076
  • df
    130.00000
  • t
    -0.38460
  • p
    0.51686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.31553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.31334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23183
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71568
  • Upside Potential Ratio
    4.16126
  • Upside part of mean
    0.42522
  • Downside part of mean
    -0.49835
  • Upside SD
    0.08672
  • Downside SD
    0.10218
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05467
  • Mean of criterion
    -0.07313
  • SD of predictor
    0.24256
  • SD of criterion
    0.13446
  • Covariance
    0.00264
  • r
    0.08085
  • b (slope, estimate of beta)
    0.04482
  • a (intercept, estimate of alpha)
    -0.07558
  • Mean Square Error
    0.01810
  • DF error
    129.00000
  • t(b)
    0.92133
  • p(b)
    0.44858
  • t(a)
    -0.39721
  • p(a)
    0.52225
  • Lowerbound of 95% confidence interval for beta
    -0.05143
  • Upperbound of 95% confidence interval for beta
    0.14107
  • Lowerbound of 95% confidence interval for alpha
    -0.45206
  • Upperbound of 95% confidence interval for alpha
    0.30089
  • Treynor index (mean / b)
    -1.63170
  • Jensen alpha (a)
    -0.07558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08215
  • SD
    0.13496
  • Sharpe ratio (Glass type estimate)
    -0.60869
  • Sharpe ratio (Hedges UMVUE)
    -0.60517
  • df
    130.00000
  • t
    -0.43041
  • p
    0.51886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16761
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79294
  • Upside Potential Ratio
    4.06810
  • Upside part of mean
    0.42146
  • Downside part of mean
    -0.50361
  • Upside SD
    0.08584
  • Downside SD
    0.10360
  • N nonnegative terms
    18.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02576
  • Mean of criterion
    -0.08215
  • SD of predictor
    0.24082
  • SD of criterion
    0.13496
  • Covariance
    0.00270
  • r
    0.08292
  • b (slope, estimate of beta)
    0.04647
  • a (intercept, estimate of alpha)
    -0.08335
  • Mean Square Error
    0.01823
  • DF error
    129.00000
  • t(b)
    0.94503
  • p(b)
    0.44727
  • t(a)
    -0.43649
  • p(a)
    0.52444
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.05082
  • Upperbound of 95% confidence interval for beta
    0.14376
  • Lowerbound of 95% confidence interval for alpha
    -0.46114
  • Upperbound of 95% confidence interval for alpha
    0.29445
  • Treynor index (mean / b)
    -1.76785
  • Jensen alpha (a)
    -0.08335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01393
  • Expected Shortfall on VaR
    0.01736
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00605
  • Expected Shortfall on VaR
    0.01290
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96261
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03020
  • Mean of quarter 1
    0.99281
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00650
  • Inter Quartile Range
    0.00000
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.98870
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01129
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.10220
  • VaR(95%) (moments method)
    0.00195
  • Expected Shortfall (moments method)
    0.00202
  • Extreme Value Index (regression method)
    -0.33967
  • VaR(95%) (regression method)
    0.00926
  • Expected Shortfall (regression method)
    0.01480
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.09777
  • Quartile 1
    0.09777
  • Median
    0.09777
  • Quartile 3
    0.09777
  • Maximum
    0.09777
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -401407000
  • Max Equity Drawdown (num days)
    174
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05351
  • Compounded annual return (geometric extrapolation)
    -0.05280
  • Calmar ratio (compounded annual return / max draw down)
    -0.54002
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.04221

Strategy Description

Algo driven Strategy, auto-traded. Trades short 1-day SPX options, iron condors using a timing model. In the market only 20% of days, on the average. Backtest (Return/Drawdown ratio) >4.0. (Backtest results are hypothetical and have not been verified by C2.)

(Note. 4/10/24: because of the way C2 executes short options - each leg sequentially - I had to increase account size and size of trade to avoid rejection of orders.)

(Note. 5/14/24: You must follow at 100%, or you will miss most trades. Also, be certain that you have turned on "allow short options" on the C2 auto-trade control panel.)

(Note 10/15/24): The system uses minimal margin, approximately $16K. This strategy can be added to an account trading other strategies, and harvest the additional alpha.

You may contact me at lesgray@morganllc.com. 617-592-8379






Trade this strategy at Tradier

Summary Statistics

Strategy began
2024-03-24
Suggested Minimum Capital
$260,000
# Trades
483
# Profitable
194
% Profitable
40.2%
Correlation S&P500
0.079
Sharpe Ratio
1.09
Sortino Ratio
1.96
Beta
0.08
Alpha
0.06
Leverage
18.93 Average
225.53 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.