Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

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 12/31/2020
Most recent certification approved 12/31/20 11:04 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 742
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 731
Percent signals followed since 12/31/2020 98.5%
This information was last updated 4/11/21 14:49 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 12/31/2020, 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 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.

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

Options Optimizer
(133114919)

Created by: OptionsChampion OptionsChampion
Started: 12/2020
Options
Last trade: 2 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $199.00 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.

100.9%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(56.6%)
Max Drawdown
289
Num Trades
51.2%
Win Trades
1.3 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             (2.4%)(2.4%)
2021+177.0%(24.5%)(21.5%)+23.0%                                                +102.0%

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 36 hours.

Trading Record

This strategy has placed 734 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/9/21 9:30 JPM2116D160 JPM Apr16'21 160 call LONG 6 1.56 4/9 13:20 1.09 0.73%
Trade id #135077451
Max drawdown($285)
Time4/9/21 13:20
Quant open6
Worst price1.08
Drawdown as % of equity-0.73%
($288)
Includes Typical Broker Commissions trade costs of $8.40
3/5/21 15:00 AAPL2116D125 AAPL Apr16'21 125 call LONG 5 3.78 4/8 9:31 4.20 4.51%
Trade id #134457406
Max drawdown($1,418)
Time3/30/21 0:00
Quant open5
Worst price0.94
Drawdown as % of equity-4.51%
$203
Includes Typical Broker Commissions trade costs of $7.90
3/18/21 13:21 AAPL2130D130 AAPL Apr30'21 130 call LONG 4 3.02 4/8 9:31 3.22 2.24%
Trade id #134705063
Max drawdown($703)
Time3/30/21 0:00
Quant open4
Worst price1.26
Drawdown as % of equity-2.24%
$73
Includes Typical Broker Commissions trade costs of $5.90
4/7/21 15:57 TSLA2109D700 TSLA Apr9'21 700 call LONG 1 2.82 4/8 9:30 3.04 0.3%
Trade id #135050724
Max drawdown($105)
Time4/8/21 0:00
Quant open1
Worst price1.76
Drawdown as % of equity-0.30%
$20
Includes Typical Broker Commissions trade costs of $2.00
4/6/21 15:24 NIO2109D41 NIO Apr9'21 41 call LONG 2 0.70 4/7 13:27 0.20 0.3%
Trade id #135031150
Max drawdown($104)
Time4/7/21 11:55
Quant open2
Worst price0.18
Drawdown as % of equity-0.30%
($103)
Includes Typical Broker Commissions trade costs of $2.80
4/6/21 10:01 MU2109D96 MU Apr9'21 96 call LONG 6 1.73 4/6 10:07 1.32 0.79%
Trade id #135023682
Max drawdown($267)
Time4/6/21 10:07
Quant open6
Worst price1.28
Drawdown as % of equity-0.79%
($253)
Includes Typical Broker Commissions trade costs of $8.40
3/31/21 12:29 DIS2130D195 DIS Apr30'21 195 call LONG 4 2.76 4/5 10:10 3.85 0.27%
Trade id #134951599
Max drawdown($85)
Time3/31/21 14:21
Quant open4
Worst price2.55
Drawdown as % of equity-0.27%
$431
Includes Typical Broker Commissions trade costs of $5.60
4/1/21 14:15 UAL2116D58 UAL Apr16'21 58 call LONG 3 1.92 4/5 9:32 2.63 0.05%
Trade id #134973938
Max drawdown($15)
Time4/1/21 15:47
Quant open3
Worst price1.87
Drawdown as % of equity-0.05%
$208
Includes Typical Broker Commissions trade costs of $4.80
3/19/21 10:19 DIS2123D200 DIS Apr23'21 200 call LONG 1 4.87 4/5 9:31 1.94 1.2%
Trade id #134732326
Max drawdown($379)
Time4/5/21 9:31
Quant open1
Worst price1.08
Drawdown as % of equity-1.20%
($295)
Includes Typical Broker Commissions trade costs of $2.00
3/1/21 9:55 AAPL2101D128 AAPL Apr1'21 128 call LONG 13 2.81 4/2 8:05 0.00 11.58%
Trade id #134338081
Max drawdown($3,639)
Time3/30/21 0:00
Quant open13
Worst price0.01
Drawdown as % of equity-11.58%
($3,662)
Includes Typical Broker Commissions trade costs of $9.10
3/18/21 10:58 AAPL2101D123 AAPL Apr1'21 123 call LONG 3 3.08 4/1 11:20 0.52 2.84%
Trade id #134700145
Max drawdown($893)
Time3/30/21 0:00
Quant open3
Worst price0.10
Drawdown as % of equity-2.84%
($771)
Includes Typical Broker Commissions trade costs of $4.20
3/26/21 10:07 MSFT2109D235 MSFT Apr9'21 235 call LONG 1 3.48 3/31 12:49 3.81 0.49%
Trade id #134882430
Max drawdown($152)
Time3/30/21 0:00
Quant open1
Worst price1.95
Drawdown as % of equity-0.49%
$32
Includes Typical Broker Commissions trade costs of $2.00
3/31/21 9:39 AAPL2101D122 AAPL Apr1'21 122 call LONG 11 0.92 3/31 10:11 1.29 n/a $394
Includes Typical Broker Commissions trade costs of $15.40
3/3/21 10:35 WMT2116D135 WMT Apr16'21 135 call LONG 8 1.73 3/31 9:32 2.89 1.14%
Trade id #134389786
Max drawdown($406)
Time3/23/21 0:00
Quant open8
Worst price1.22
Drawdown as % of equity-1.14%
$918
Includes Typical Broker Commissions trade costs of $11.50
3/1/21 9:48 WMT2101D135 WMT Apr1'21 135 call LONG 8 1.92 3/29 9:42 1.97 3.15%
Trade id #134337732
Max drawdown($1,162)
Time3/22/21 0:00
Quant open8
Worst price0.47
Drawdown as % of equity-3.15%
$25
Includes Typical Broker Commissions trade costs of $11.20
3/25/21 9:45 CIDM CINEDIGM CORP. CLASS A COMMON LONG 479 2.07 3/25 14:03 1.82 0.42%
Trade id #134857978
Max drawdown($129)
Time3/25/21 13:58
Quant open479
Worst price1.80
Drawdown as % of equity-0.42%
($130)
Includes Typical Broker Commissions trade costs of $9.58
3/24/21 13:13 CSCW COLOR STAR TECHNOLOGY CO LTD LONG 246 2.14 3/24 14:34 1.54 0.47%
Trade id #134839856
Max drawdown($147)
Time3/24/21 14:34
Quant open246
Worst price1.54
Drawdown as % of equity-0.47%
($153)
Includes Typical Broker Commissions trade costs of $4.92
3/24/21 11:01 AAPL2126C122 AAPL Mar26'21 122 call LONG 10 1.06 3/24 11:35 1.08 0.09%
Trade id #134835667
Max drawdown($30)
Time3/24/21 11:05
Quant open10
Worst price1.03
Drawdown as % of equity-0.09%
$9
Includes Typical Broker Commissions trade costs of $14.00
3/23/21 11:30 NKE2126C141 NKE Mar26'21 141 call LONG 8 1.14 3/23 11:43 0.82 0.72%
Trade id #134811379
Max drawdown($262)
Time3/23/21 11:43
Quant open8
Worst price0.81
Drawdown as % of equity-0.72%
($264)
Includes Typical Broker Commissions trade costs of $11.20
3/2/21 10:00 TLRY2101D30 TLRY Apr1'21 30 call LONG 1 5.16 3/23 10:06 0.48 1.28%
Trade id #134363074
Max drawdown($468)
Time3/23/21 10:06
Quant open1
Worst price0.48
Drawdown as % of equity-1.28%
($470)
Includes Typical Broker Commissions trade costs of $2.00
3/22/21 13:26 NIO2126C45 NIO Mar26'21 45 call LONG 7 0.84 3/23 9:39 0.41 0.84%
Trade id #134770437
Max drawdown($309)
Time3/23/21 9:39
Quant open7
Worst price0.40
Drawdown as % of equity-0.84%
($314)
Includes Typical Broker Commissions trade costs of $9.80
3/22/21 10:31 AAPL2126C123 AAPL Mar26'21 123 call LONG 7 1.38 3/22 11:18 1.45 0.15%
Trade id #134764848
Max drawdown($56)
Time3/22/21 10:42
Quant open7
Worst price1.30
Drawdown as % of equity-0.15%
$42
Includes Typical Broker Commissions trade costs of $9.80
3/2/21 9:58 CGC2101D37 CGC Apr1'21 37 call LONG 2 3.21 3/22 11:09 0.48 1.5%
Trade id #134362972
Max drawdown($545)
Time3/22/21 11:07
Quant open2
Worst price0.48
Drawdown as % of equity-1.50%
($548)
Includes Typical Broker Commissions trade costs of $2.80
3/3/21 14:45 UAL2116D60 UAL Apr16'21 60 call LONG 8 2.49 3/22 9:40 3.73 2.37%
Trade id #134398404
Max drawdown($761)
Time3/5/21 0:00
Quant open4
Worst price0.67
Drawdown as % of equity-2.37%
$981
Includes Typical Broker Commissions trade costs of $11.20
1/26/21 12:59 CLOV2119C15 CLOV Mar19'21 15 call LONG 3 3.34 3/20 9:36 0.00 3.1%
Trade id #133604121
Max drawdown($997)
Time3/8/21 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-3.10%
($1,003)
Includes Typical Broker Commissions trade costs of $2.10
2/17/21 10:03 GSAT2119C3.5 GSAT Mar19'21 3.5 call LONG 33 0.50 3/20 9:35 0.00 3.89%
Trade id #134108344
Max drawdown($1,617)
Time2/23/21 0:00
Quant open33
Worst price0.01
Drawdown as % of equity-3.89%
($1,673)
Includes Typical Broker Commissions trade costs of $23.10
2/18/21 14:16 TDC2119C55 TDC Mar19'21 55 call LONG 2 2.58 3/20 9:35 0.00 1.49%
Trade id #134141835
Max drawdown($512)
Time3/9/21 0:00
Quant open2
Worst price0.02
Drawdown as % of equity-1.49%
($518)
Includes Typical Broker Commissions trade costs of $1.40
2/19/21 10:26 PLTR2119C30 PLTR Mar19'21 30 call LONG 3 3.40 3/20 9:35 0.00 2.27%
Trade id #134160274
Max drawdown($1,018)
Time3/18/21 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-2.27%
($1,023)
Includes Typical Broker Commissions trade costs of $2.40
2/17/21 15:36 DNN2119C2.5 DNN Mar19'21 2.5 call LONG 15 0.30 3/20 9:35 0.00 1.05%
Trade id #134117894
Max drawdown($435)
Time2/23/21 0:00
Quant open15
Worst price0.01
Drawdown as % of equity-1.05%
($461)
Includes Typical Broker Commissions trade costs of $10.50
3/19/21 13:04 FB2119O287.5 FB Mar19'21 287.5 put LONG 20 0.52 3/19 13:21 0.33 1.09%
Trade id #134737607
Max drawdown($405)
Time3/19/21 13:21
Quant open20
Worst price0.32
Drawdown as % of equity-1.09%
($415)
Includes Typical Broker Commissions trade costs of $28.00

Statistics

  • Strategy began
    12/31/2020
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    101.05
  • Age
    101 days ago
  • What it trades
    Options
  • # Trades
    289
  • # Profitable
    148
  • % Profitable
    51.20%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    56.61%
  • drawdown period
    Jan 27, 2021 - March 05, 2021
  • Cumul. Return
    100.9%
  • Avg win
    $740.07
  • Avg loss
    $617.69
  • Model Account Values (Raw)
  • Cash
    $31,422
  • Margin Used
    $0
  • Buying Power
    $34,671
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.54
  • Sortino Ratio
    5.74
  • Calmar Ratio
    43.159
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    91.01%
  • Correlation to SP500
    0.15530
  • Return Percent SP500 (cumu) during strategy life
    9.92%
  • Return Statistics
  • Ann Return (w trading costs)
    1040.0%
  • Slump
  • Current Slump as Pcnt Equity
    69.20%
  • Instruments
  • Percent Trades Futures
    0.01%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.73%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.009%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1867.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.50%
  • Chance of 20% account loss
    38.00%
  • Chance of 30% account loss
    13.50%
  • Chance of 40% account loss
    5.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    910
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    797
  • Popularity (7 days, Percentile 1000 scale)
    868
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $618
  • Avg Win
    $769
  • Sum Trade PL (losers)
    $87,094.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $113,863.000
  • # Winners
    148
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    205677
  • Win / Loss
  • # Losers
    141
  • % Winners
    51.2%
  • Frequency
  • Avg Position Time (mins)
    6517.57
  • Avg Position Time (hrs)
    108.63
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    6.48
  • Daily leverage (max)
    27.78
  • Regression
  • Alpha
    0.96
  • Beta
    2.36
  • Treynor Index
    0.50
  • 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)
    0.43
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -30.007
  • 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
    0.465
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.111
  • Hold-and-Hope Ratio
    -0.009
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.34000
  • SD
    4.06589
  • Sharpe ratio (Glass type estimate)
    1.55932
  • Sharpe ratio (Hedges UMVUE)
    0.87975
  • df
    2.00000
  • t
    0.77966
  • p
    0.25860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.57519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89336
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.69600
  • Upside Potential Ratio
    12.69600
  • Upside part of mean
    7.52549
  • Downside part of mean
    -1.18549
  • Upside SD
    3.74423
  • Downside SD
    0.59274
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.31485
  • Mean of criterion
    6.34000
  • SD of predictor
    0.17099
  • SD of criterion
    4.06589
  • Covariance
    -0.03015
  • r
    -0.04337
  • b (slope, estimate of beta)
    -1.03133
  • a (intercept, estimate of alpha)
    6.66471
  • Mean Square Error
    33.00070
  • DF error
    1.00000
  • t(b)
    -0.04341
  • p(b)
    0.51381
  • t(a)
    0.48614
  • p(a)
    0.35596
  • Lowerbound of 95% confidence interval for beta
    -302.88700
  • Upperbound of 95% confidence interval for beta
    300.82400
  • Lowerbound of 95% confidence interval for alpha
    -167.53000
  • Upperbound of 95% confidence interval for alpha
    180.86000
  • Treynor index (mean / b)
    -6.14739
  • Jensen alpha (a)
    6.66471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.84886
  • SD
    2.52640
  • Sharpe ratio (Glass type estimate)
    1.12763
  • Sharpe ratio (Hedges UMVUE)
    0.63620
  • df
    2.00000
  • t
    0.56382
  • p
    0.31483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.04218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.06093
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60540
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06366
  • Upside Potential Ratio
    6.06366
  • Upside part of mean
    4.25097
  • Downside part of mean
    -1.40211
  • Upside SD
    2.10713
  • Downside SD
    0.70106
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.30094
  • Mean of criterion
    2.84886
  • SD of predictor
    0.16523
  • SD of criterion
    2.52640
  • Covariance
    0.03641
  • r
    0.08723
  • b (slope, estimate of beta)
    1.33375
  • a (intercept, estimate of alpha)
    2.44748
  • Mean Square Error
    12.66830
  • DF error
    1.00000
  • t(b)
    0.08756
  • p(b)
    0.47220
  • t(a)
    0.28907
  • p(a)
    0.41043
  • Lowerbound of 95% confidence interval for beta
    -192.20900
  • Upperbound of 95% confidence interval for beta
    194.87700
  • Lowerbound of 95% confidence interval for alpha
    -105.13300
  • Upperbound of 95% confidence interval for alpha
    110.02800
  • Treynor index (mean / b)
    2.13597
  • Jensen alpha (a)
    2.44748
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.61795
  • Expected Shortfall on VaR
    0.70904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17986
  • Expected Shortfall on VaR
    0.33860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.70596
  • Quartile 1
    0.85878
  • Median
    1.01161
  • Quartile 3
    1.94301
  • Maximum
    2.87442
  • Mean of quarter 1
    0.70596
  • Mean of quarter 2
    1.01161
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    2.87442
  • Inter Quartile Range
    1.08423
  • 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
    0.29404
  • Quartile 1
    0.29404
  • Median
    0.29404
  • Quartile 3
    0.29404
  • Maximum
    0.29404
  • 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)
    4.21109
  • Compounded annual return (geometric extrapolation)
    16.75670
  • Calmar ratio (compounded annual return / max draw down)
    56.98710
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    23.63310
  • 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
    4.84131
  • SD
    2.31694
  • Sharpe ratio (Glass type estimate)
    2.08952
  • Sharpe ratio (Hedges UMVUE)
    2.06673
  • df
    69.00000
  • t
    1.08005
  • p
    0.14194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.88987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.87421
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.75617
  • Upside Potential Ratio
    17.81820
  • Upside part of mean
    9.85172
  • Downside part of mean
    -5.01041
  • Upside SD
    2.25284
  • Downside SD
    0.55290
  • N nonnegative terms
    30.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.33835
  • Mean of criterion
    4.84131
  • SD of predictor
    0.15521
  • SD of criterion
    2.31694
  • Covariance
    0.05435
  • r
    0.15113
  • b (slope, estimate of beta)
    2.25613
  • a (intercept, estimate of alpha)
    4.07800
  • Mean Square Error
    5.32276
  • DF error
    68.00000
  • t(b)
    1.26075
  • p(b)
    0.10585
  • t(a)
    0.90534
  • p(a)
    0.18424
  • Lowerbound of 95% confidence interval for beta
    -1.31478
  • Upperbound of 95% confidence interval for beta
    5.82703
  • Lowerbound of 95% confidence interval for alpha
    -4.91027
  • Upperbound of 95% confidence interval for alpha
    13.06620
  • Treynor index (mean / b)
    2.14585
  • Jensen alpha (a)
    4.07796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.07688
  • SD
    1.70538
  • Sharpe ratio (Glass type estimate)
    1.80422
  • Sharpe ratio (Hedges UMVUE)
    1.78454
  • df
    69.00000
  • t
    0.93258
  • p
    0.17714
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.60153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.58805
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.30746
  • Upside Potential Ratio
    14.23000
  • Upside part of mean
    8.24951
  • Downside part of mean
    -5.17263
  • Upside SD
    1.60213
  • Downside SD
    0.57973
  • N nonnegative terms
    30.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    70.00000
  • Mean of predictor
    0.32622
  • Mean of criterion
    3.07688
  • SD of predictor
    0.15532
  • SD of criterion
    1.70538
  • Covariance
    0.03637
  • r
    0.13730
  • b (slope, estimate of beta)
    1.50754
  • a (intercept, estimate of alpha)
    2.58510
  • Mean Square Error
    2.89546
  • DF error
    68.00000
  • t(b)
    1.14305
  • p(b)
    0.12851
  • t(a)
    0.77864
  • p(a)
    0.21945
  • Lowerbound of 95% confidence interval for beta
    -1.12424
  • Upperbound of 95% confidence interval for beta
    4.13932
  • Lowerbound of 95% confidence interval for alpha
    -4.03986
  • Upperbound of 95% confidence interval for alpha
    9.21005
  • Treynor index (mean / b)
    2.04100
  • Jensen alpha (a)
    2.58510
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14918
  • Expected Shortfall on VaR
    0.18521
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04811
  • Expected Shortfall on VaR
    0.08518
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    70.00000
  • Minimum
    0.84260
  • Quartile 1
    0.96847
  • Median
    0.99335
  • Quartile 3
    1.02479
  • Maximum
    2.09366
  • Mean of quarter 1
    0.94157
  • Mean of quarter 2
    0.98410
  • Mean of quarter 3
    1.00926
  • Mean of quarter 4
    1.13698
  • Inter Quartile Range
    0.05633
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01429
  • Mean of outliers low
    0.84260
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.34748
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02872
  • VaR(95%) (moments method)
    0.05982
  • Expected Shortfall (moments method)
    0.07660
  • Extreme Value Index (regression method)
    0.15820
  • VaR(95%) (regression method)
    0.06532
  • Expected Shortfall (regression method)
    0.09303
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00640
  • Quartile 1
    0.01352
  • Median
    0.03919
  • Quartile 3
    0.04608
  • Maximum
    0.49363
  • Mean of quarter 1
    0.00665
  • Mean of quarter 2
    0.03339
  • Mean of quarter 3
    0.04499
  • Mean of quarter 4
    0.27004
  • Inter Quartile Range
    0.03257
  • 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
    0.49363
  • 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)
    4.83662
  • Compounded annual return (geometric extrapolation)
    21.30450
  • Calmar ratio (compounded annual return / max draw down)
    43.15900
  • Compounded annual return / average of 25% largest draw downs
    78.89480
  • Compounded annual return / Expected Shortfall lognormal
    115.02700
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.14900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297252000
  • Max Equity Drawdown (num days)
    37

Strategy Description

The trade record speaks for itself. I want to use this section to give just one very valuable tip.

- If auto trading, I strongly suggest you VERY ACCURATELY ratio your trading size relative to the simulation account. This is to avoid BOTH overtrading and undertrading. Essentially, you want your position sizing to be relative to the simulation account. Examples below:
If your account has 40k and the simulation account is 100k. You set your ratio to 40%.
If your account is 20k and the simulation account is 60k. You set your ratio to 30%.
If your account is 250k and the simulation account is 100k. You set your ratio to 150%.
If you are unclear about this in ANY way. Message either myself or contact support before auto trading.

- Have PAYtience. This isn't a get rich overnight game. There will be ups and downs but stick with the strategy long enough and you will see some phenomenal gains. Positions may be red for several days and then pop to target and become profitable. If you can't stomach having positions in red for a few days, don't bother. You'll quit after a few days and waste your money.

Summary Statistics

Strategy began
2020-12-31
Suggested Minimum Capital
$40,000
Rank at C2 
#155
# Trades
289
# Profitable
148
% Profitable
51.2%
Correlation S&P500
0.155
Sharpe Ratio
1.54
Sortino Ratio
5.74
Beta
2.36
Alpha
0.96
Leverage
6.48 Average
27.78 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.