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

PvOptionSelling
(131888707)

Created by: PvTrading PvTrading
Started: 10/2020
Options
Last trade: 1,036 days ago
Trading style: Options Covered Calls Premium Collecting

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Options
Covered Calls
Category: Equity

Covered Calls

Strategy buys a stock, and sells call options for the same amount (or less) of stock, and then waits for the options contract to be exercised or to expire.
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
-8.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(58.5%)
Max Drawdown
170
Num Trades
87.1%
Win Trades
0.8 : 1
Profit Factor
40.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (3.2%)+20.1%+0.9%+17.3%
2021+21.9%+0.9%(4.1%)(0.7%)(3.7%)+16.1%(16.6%)(2.9%)(8.5%)+3.2%(1.7%)(9%)(10.5%)
2022(14.5%)(2.6%)+6.9%(17.9%)(1.5%)(1.8%)+4.6%(5.9%)  -  (9.4%)+0.1%(3.8%)(39.3%)
2023+14.2%(9%)+1.9%(2%)+6.8%+2.2%+5.0%(6.3%)(2%)(7.7%)+7.6%+8.2%+17.6%
2024(2.2%)+3.9%(4.6%)                                                      (3.1%)

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 57 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1072 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/11/21 9:30 SPCE2104R18 SPCE Jun4'21 18 put SHORT 5 1.68 5/27 11:50 0.03 0.65%
Trade id #135555411
Max drawdown($770)
Time5/13/21 0:00
Quant open5
Worst price3.22
Drawdown as % of equity-0.65%
$818
Includes Typical Broker Commissions trade costs of $7.00
2/27/21 9:35 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 100 100.00 5/26 15:57 38.16 4.82%
Trade id #134321413
Max drawdown($6,213)
Time5/26/21 15:21
Quant open100
Worst price37.87
Drawdown as % of equity-4.82%
($6,186)
Includes Typical Broker Commissions trade costs of $2.00
4/17/21 9:35 FUBO FUBOTV LONG 400 22.50 5/26 15:56 23.72 2.62%
Trade id #135196498
Max drawdown($3,144)
Time5/11/21 0:00
Quant open400
Worst price14.64
Drawdown as % of equity-2.62%
$480
Includes Typical Broker Commissions trade costs of $8.00
4/14/21 10:34 CPSH2121Q10 CPSH May21'21 10 put SHORT 10 1.47 5/22 9:37 0.00 2.9%
Trade id #135144894
Max drawdown($3,430)
Time5/13/21 0:00
Quant open10
Worst price4.90
Drawdown as % of equity-2.90%
$1,463
Includes Typical Broker Commissions trade costs of $7.00
5/3/21 10:27 OCGN2121Q15 OCGN May21'21 15 put SHORT 7 2.83 5/22 9:35 0.00 2.73%
Trade id #135421271
Max drawdown($3,297)
Time5/7/21 0:00
Quant open7
Worst price7.54
Drawdown as % of equity-2.73%
$1,976
Includes Typical Broker Commissions trade costs of $4.90
5/10/21 9:33 CPSH2121Q7.5 CPSH May21'21 7.5 put SHORT 10 1.25 5/22 9:35 0.00 0.97%
Trade id #135534319
Max drawdown($1,150)
Time5/13/21 0:00
Quant open10
Worst price2.40
Drawdown as % of equity-0.97%
$1,243
Includes Typical Broker Commissions trade costs of $7.00
4/17/21 9:36 NKLA NIKOLA CORP LONG 1,400 12.86 5/17 15:01 13.03 2.69%
Trade id #135196713
Max drawdown($3,230)
Time5/11/21 0:00
Quant open1,400
Worst price10.55
Drawdown as % of equity-2.69%
$235
Includes Typical Broker Commissions trade costs of $7.50
5/6/21 10:59 JMIA2114Q25 JMIA May14'21 25 put SHORT 4 2.35 5/15 9:35 0.00 1.41%
Trade id #135486029
Max drawdown($1,688)
Time5/11/21 0:00
Quant open4
Worst price6.57
Drawdown as % of equity-1.41%
$937
Includes Typical Broker Commissions trade costs of $2.80
5/6/21 10:44 MRNA2114Q152.5 MRNA May14'21 152.5 put SHORT 1 9.00 5/15 9:35 0.00 0.1%
Trade id #135485508
Max drawdown($123)
Time5/6/21 11:06
Quant open1
Worst price10.23
Drawdown as % of equity-0.10%
$899
Includes Typical Broker Commissions trade costs of $1.00
4/22/21 10:24 FUBO2107E22.5 FUBO May7'21 22.5 call SHORT 5 1.04 5/8 9:35 0.00 0.19%
Trade id #135268614
Max drawdown($250)
Time4/27/21 0:00
Quant open5
Worst price1.54
Drawdown as % of equity-0.19%
$517
Includes Typical Broker Commissions trade costs of $3.50
4/29/21 10:06 INTC2107Q59.5 INTC May7'21 59.5 put SHORT 2 2.29 5/8 9:35 0.00 0.27%
Trade id #135372979
Max drawdown($362)
Time5/4/21 0:00
Quant open2
Worst price4.10
Drawdown as % of equity-0.27%
$457
Includes Typical Broker Commissions trade costs of $1.40
4/29/21 9:45 NKLA2107Q12 NKLA May7'21 12 put SHORT 8 0.70 5/8 9:35 0.00 0.87%
Trade id #135371838
Max drawdown($1,104)
Time5/6/21 0:00
Quant open8
Worst price2.08
Drawdown as % of equity-0.87%
$554
Includes Typical Broker Commissions trade costs of $5.60
4/15/21 9:30 OSTK2130P78 OSTK Apr30'21 78 put SHORT 1 7.50 4/30 13:14 0.37 0.53%
Trade id #135163029
Max drawdown($635)
Time4/20/21 0:00
Quant open1
Worst price13.85
Drawdown as % of equity-0.53%
$711
Includes Typical Broker Commissions trade costs of $2.00
2/6/21 9:35 VXRT VAXART INC LONG 1,000 10.00 4/29 9:34 10.58 4.27%
Trade id #133890349
Max drawdown($5,138)
Time4/20/21 0:00
Quant open1,000
Worst price4.86
Drawdown as % of equity-4.27%
$575
Includes Typical Broker Commissions trade costs of $5.00
4/17/21 9:35 OSTK OVERSTOCK.COM LONG 200 79.00 4/29 9:31 80.73 1.8%
Trade id #135196491
Max drawdown($2,378)
Time4/27/21 0:00
Quant open200
Worst price67.11
Drawdown as % of equity-1.80%
$342
Includes Typical Broker Commissions trade costs of $4.00
3/20/21 9:35 MAC MACERICH LONG 700 14.00 4/28 11:30 14.30 1.51%
Trade id #134744716
Max drawdown($2,072)
Time3/29/21 0:00
Quant open700
Worst price11.04
Drawdown as % of equity-1.51%
$205
Includes Typical Broker Commissions trade costs of $5.00
4/13/21 13:03 OSTK2123P79 OSTK Apr23'21 79 put SHORT 1 4.40 4/24 9:35 0.00 0.58%
Trade id #135128245
Max drawdown($710)
Time4/19/21 0:00
Quant open1
Worst price11.50
Drawdown as % of equity-0.58%
$439
Includes Typical Broker Commissions trade costs of $1.00
1/16/21 9:36 PFE PFIZER LONG 300 39.00 4/20 11:36 39.10 1.17%
Trade id #133418480
Max drawdown($1,692)
Time2/26/21 0:00
Quant open300
Worst price33.36
Drawdown as % of equity-1.17%
$26
Includes Typical Broker Commissions trade costs of $6.00
3/24/21 11:14 SGLB2116D5 SGLB Apr16'21 5 call SHORT 20 0.55 4/17 9:37 0.00 0.07%
Trade id #134836102
Max drawdown($100)
Time3/24/21 11:21
Quant open20
Worst price0.60
Drawdown as % of equity-0.07%
$1,086
Includes Typical Broker Commissions trade costs of $14.00
4/12/21 10:45 RIOT2116P54.5 RIOT Apr16'21 54.5 put SHORT 2 3.00 4/17 9:36 0.00 1.26%
Trade id #135104024
Max drawdown($1,560)
Time4/16/21 0:00
Quant open2
Worst price10.80
Drawdown as % of equity-1.26%
$599
Includes Typical Broker Commissions trade costs of $1.40
3/30/21 11:50 DISCA2116P45 DISCA Apr16'21 45 put SHORT 2 3.23 4/17 9:36 0.00 0.74%
Trade id #134931432
Max drawdown($917)
Time4/16/21 0:00
Quant open2
Worst price7.82
Drawdown as % of equity-0.74%
$646
Includes Typical Broker Commissions trade costs of $1.40
4/7/21 10:33 NKLA2116P14 NKLA Apr16'21 14 put SHORT 6 0.93 4/17 9:36 0.00 1.22%
Trade id #135043544
Max drawdown($1,512)
Time4/16/21 0:00
Quant open6
Worst price3.45
Drawdown as % of equity-1.22%
$554
Includes Typical Broker Commissions trade costs of $4.20
4/7/21 10:28 KMPH2116D12.5 KMPH Apr16'21 12.5 call SHORT 8 0.50 4/17 9:35 0.00 n/a $394
Includes Typical Broker Commissions trade costs of $5.60
4/13/21 13:04 OSTK2116P79 OSTK Apr16'21 79 put SHORT 1 3.10 4/17 9:35 0.00 0.24%
Trade id #135128273
Max drawdown($310)
Time4/15/21 0:00
Quant open1
Worst price6.20
Drawdown as % of equity-0.24%
$309
Includes Typical Broker Commissions trade costs of $1.00
4/9/21 9:49 FUBO2116P22.5 FUBO Apr16'21 22.5 put SHORT 4 1.99 4/17 9:35 0.00 0.91%
Trade id #135078364
Max drawdown($1,124)
Time4/16/21 0:00
Quant open4
Worst price4.80
Drawdown as % of equity-0.91%
$793
Includes Typical Broker Commissions trade costs of $2.80
3/30/21 11:59 SVRA2116D2.5 SVRA Apr16'21 2.5 call SHORT 40 0.06 4/17 9:35 0.00 0.99%
Trade id #134932654
Max drawdown($1,373)
Time4/1/21 0:00
Quant open40
Worst price0.40
Drawdown as % of equity-0.99%
$199
Includes Typical Broker Commissions trade costs of $28.00
4/1/21 9:54 CHPT2109P30 CHPT Apr9'21 30 put SHORT 3 2.20 4/10 9:35 0.00 0.79%
Trade id #134966474
Max drawdown($1,077)
Time4/9/21 0:00
Quant open3
Worst price5.79
Drawdown as % of equity-0.79%
$658
Includes Typical Broker Commissions trade costs of $2.10
3/30/21 11:47 VIAC2109P48 VIAC Apr9'21 48 put SHORT 2 3.31 4/10 9:35 0.00 0.47%
Trade id #134931384
Max drawdown($644)
Time4/9/21 0:00
Quant open2
Worst price6.53
Drawdown as % of equity-0.47%
$661
Includes Typical Broker Commissions trade costs of $1.40
3/30/21 11:20 IQ2109P18.5 IQ Apr9'21 18.5 put SHORT 5 1.44 4/10 9:35 0.00 0.2%
Trade id #134930269
Max drawdown($275)
Time3/31/21 0:00
Quant open5
Worst price1.99
Drawdown as % of equity-0.20%
$717
Includes Typical Broker Commissions trade costs of $3.50
3/11/21 14:16 NIO2126C47 NIO Mar26'21 47 call SHORT 2 2.35 3/27 9:36 0.00 0.06%
Trade id #134568758
Max drawdown($84)
Time3/11/21 15:59
Quant open2
Worst price2.77
Drawdown as % of equity-0.06%
$469
Includes Typical Broker Commissions trade costs of $1.40

Statistics

  • Strategy began
    10/26/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1247.63
  • Age
    42 months ago
  • What it trades
    Stocks, Options
  • # Trades
    170
  • # Profitable
    148
  • % Profitable
    87.10%
  • Avg trade duration
    119.9 days
  • Max peak-to-valley drawdown
    58.52%
  • drawdown period
    July 01, 2021 - Oct 20, 2022
  • Annual Return (Compounded)
    -8.9%
  • Avg win
    $744.36
  • Avg loss
    $6,194
  • Model Account Values (Raw)
  • Cash
    $98,687
  • Margin Used
    $0
  • Buying Power
    ($10,377)
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -0.25
  • Sortino Ratio
    -0.33
  • Calmar Ratio
    -0.355
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -80.34%
  • Correlation to SP500
    0.49260
  • Return Percent SP500 (cumu) during strategy life
    54.32%
  • Return Statistics
  • Ann Return (w trading costs)
    -8.9%
  • Slump
  • Current Slump as Pcnt Equity
    111.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    19.35%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.089%
  • Instruments
  • Percent Trades Options
    0.76%
  • Percent Trades Stocks
    0.24%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -8.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    1.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,194
  • Avg Win
    $744
  • Sum Trade PL (losers)
    $136,279.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $110,165.000
  • # Winners
    148
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    1239
  • Win / Loss
  • # Losers
    22
  • % Winners
    87.1%
  • Frequency
  • Avg Position Time (mins)
    172607.00
  • Avg Position Time (hrs)
    2876.78
  • Avg Trade Length
    119.9 days
  • Last Trade Ago
    1034
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.01
  • Regression
  • Alpha
    -0.05
  • Beta
    0.78
  • Treynor Index
    -0.03
  • 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)
    1.90
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -9.653
  • 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
    0.19
  • Avg(MAE) / Avg(PL) - Winning trades
    1.393
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    -0.132
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13999
  • SD
    0.47590
  • Sharpe ratio (Glass type estimate)
    -0.29415
  • Sharpe ratio (Hedges UMVUE)
    -0.27806
  • df
    14.00000
  • t
    -0.32887
  • p
    0.54378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47801
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38028
  • Upside Potential Ratio
    1.65162
  • Upside part of mean
    0.60799
  • Downside part of mean
    -0.74798
  • Upside SD
    0.27839
  • Downside SD
    0.36812
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.35967
  • Mean of criterion
    -0.13999
  • SD of predictor
    0.32020
  • SD of criterion
    0.47590
  • Covariance
    0.08055
  • r
    0.52858
  • b (slope, estimate of beta)
    0.78562
  • a (intercept, estimate of alpha)
    -0.42255
  • Mean Square Error
    0.17575
  • DF error
    13.00000
  • t(b)
    2.24511
  • p(b)
    0.17990
  • t(a)
    -1.06831
  • p(a)
    0.67839
  • Lowerbound of 95% confidence interval for beta
    0.02965
  • Upperbound of 95% confidence interval for beta
    1.54159
  • Lowerbound of 95% confidence interval for alpha
    -1.27704
  • Upperbound of 95% confidence interval for alpha
    0.43194
  • Treynor index (mean / b)
    -0.17819
  • Jensen alpha (a)
    -0.42255
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25471
  • SD
    0.50270
  • Sharpe ratio (Glass type estimate)
    -0.50668
  • Sharpe ratio (Hedges UMVUE)
    -0.47896
  • df
    14.00000
  • t
    -0.56649
  • p
    0.57485
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26073
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26505
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24096
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28304
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61113
  • Upside Potential Ratio
    1.37067
  • Upside part of mean
    0.57128
  • Downside part of mean
    -0.82599
  • Upside SD
    0.25991
  • Downside SD
    0.41679
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.31232
  • Mean of criterion
    -0.25471
  • SD of predictor
    0.29155
  • SD of criterion
    0.50270
  • Covariance
    0.08201
  • r
    0.55954
  • b (slope, estimate of beta)
    0.96477
  • a (intercept, estimate of alpha)
    -0.55603
  • Mean Square Error
    0.18694
  • DF error
    13.00000
  • t(b)
    2.43418
  • p(b)
    0.16336
  • t(a)
    -1.36936
  • p(a)
    0.72119
  • Lowerbound of 95% confidence interval for beta
    0.10852
  • Upperbound of 95% confidence interval for beta
    1.82101
  • Lowerbound of 95% confidence interval for alpha
    -1.43325
  • Upperbound of 95% confidence interval for alpha
    0.32119
  • Treynor index (mean / b)
    -0.26401
  • Jensen alpha (a)
    -0.55603
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22889
  • Expected Shortfall on VaR
    0.27323
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.14003
  • Expected Shortfall on VaR
    0.24603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.70688
  • Quartile 1
    0.89199
  • Median
    1.01535
  • Quartile 3
    1.10840
  • Maximum
    1.18885
  • Mean of quarter 1
    0.81779
  • Mean of quarter 2
    0.95638
  • Mean of quarter 3
    1.06679
  • Mean of quarter 4
    1.14073
  • Inter Quartile Range
    0.21641
  • 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)
    -0.59262
  • VaR(95%) (moments method)
    0.20700
  • Expected Shortfall (moments method)
    0.23378
  • Extreme Value Index (regression method)
    0.31102
  • VaR(95%) (regression method)
    0.25209
  • Expected Shortfall (regression method)
    0.40887
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07319
  • Quartile 1
    0.19479
  • Median
    0.31640
  • Quartile 3
    0.43801
  • Maximum
    0.55961
  • Mean of quarter 1
    0.07319
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.55961
  • Inter Quartile Range
    0.24321
  • 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)
    -0.19749
  • Compounded annual return (geometric extrapolation)
    -0.20292
  • Calmar ratio (compounded annual return / max draw down)
    -0.36261
  • Compounded annual return / average of 25% largest draw downs
    -0.36261
  • Compounded annual return / Expected Shortfall lognormal
    -0.74268
  • 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
    -0.17170
  • SD
    0.40553
  • Sharpe ratio (Glass type estimate)
    -0.42340
  • Sharpe ratio (Hedges UMVUE)
    -0.42242
  • df
    327.00000
  • t
    -0.47373
  • p
    0.68200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32958
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56396
  • Upside Potential Ratio
    7.34215
  • Upside part of mean
    2.23530
  • Downside part of mean
    -2.40700
  • Upside SD
    0.26716
  • Downside SD
    0.30445
  • N nonnegative terms
    170.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.34478
  • Mean of criterion
    -0.17170
  • SD of predictor
    0.25582
  • SD of criterion
    0.40553
  • Covariance
    0.04881
  • r
    0.47048
  • b (slope, estimate of beta)
    0.74582
  • a (intercept, estimate of alpha)
    -0.42900
  • Mean Square Error
    0.12844
  • DF error
    326.00000
  • t(b)
    9.62681
  • p(b)
    0.00000
  • t(a)
    -1.33420
  • p(a)
    0.90846
  • Lowerbound of 95% confidence interval for beta
    0.59340
  • Upperbound of 95% confidence interval for beta
    0.89822
  • Lowerbound of 95% confidence interval for alpha
    -1.06116
  • Upperbound of 95% confidence interval for alpha
    0.20348
  • Treynor index (mean / b)
    -0.23022
  • Jensen alpha (a)
    -0.42884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25437
  • SD
    0.40793
  • Sharpe ratio (Glass type estimate)
    -0.62355
  • Sharpe ratio (Hedges UMVUE)
    -0.62212
  • df
    327.00000
  • t
    -0.69768
  • p
    0.75706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13023
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81188
  • Upside Potential Ratio
    7.02361
  • Upside part of mean
    2.20052
  • Downside part of mean
    -2.45489
  • Upside SD
    0.26074
  • Downside SD
    0.31330
  • N nonnegative terms
    170.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.31180
  • Mean of criterion
    -0.25437
  • SD of predictor
    0.25657
  • SD of criterion
    0.40793
  • Covariance
    0.04977
  • r
    0.47551
  • b (slope, estimate of beta)
    0.75602
  • a (intercept, estimate of alpha)
    -0.49009
  • Mean Square Error
    0.12918
  • DF error
    326.00000
  • t(b)
    9.75952
  • p(b)
    0.00000
  • t(a)
    -1.52143
  • p(a)
    0.93544
  • Lowerbound of 95% confidence interval for beta
    0.60362
  • Upperbound of 95% confidence interval for beta
    0.90841
  • Lowerbound of 95% confidence interval for alpha
    -1.12380
  • Upperbound of 95% confidence interval for alpha
    0.14362
  • Treynor index (mean / b)
    -0.33645
  • Jensen alpha (a)
    -0.49009
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04154
  • Expected Shortfall on VaR
    0.05154
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02067
  • Expected Shortfall on VaR
    0.04067
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    328.00000
  • Minimum
    0.88899
  • Quartile 1
    0.98885
  • Median
    1.00162
  • Quartile 3
    1.01206
  • Maximum
    1.10182
  • Mean of quarter 1
    0.96809
  • Mean of quarter 2
    0.99543
  • Mean of quarter 3
    1.00666
  • Mean of quarter 4
    1.02762
  • Inter Quartile Range
    0.02322
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.04573
  • Mean of outliers low
    0.93557
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02744
  • Mean of outliers high
    1.06657
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00479
  • VaR(95%) (moments method)
    0.02785
  • Expected Shortfall (moments method)
    0.03792
  • Extreme Value Index (regression method)
    0.08541
  • VaR(95%) (regression method)
    0.02863
  • Expected Shortfall (regression method)
    0.04102
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00143
  • Quartile 1
    0.00365
  • Median
    0.00860
  • Quartile 3
    0.04145
  • Maximum
    0.57093
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.00605
  • Mean of quarter 3
    0.02414
  • Mean of quarter 4
    0.24163
  • Inter Quartile Range
    0.03781
  • 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
    0.13333
  • Mean of outliers high
    0.40902
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.07667
  • VaR(95%) (moments method)
    0.16647
  • Expected Shortfall (moments method)
    0.23818
  • Extreme Value Index (regression method)
    0.78745
  • VaR(95%) (regression method)
    0.45476
  • Expected Shortfall (regression method)
    2.52382
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19719
  • Compounded annual return (geometric extrapolation)
    -0.20265
  • Calmar ratio (compounded annual return / max draw down)
    -0.35494
  • Compounded annual return / average of 25% largest draw downs
    -0.83866
  • Compounded annual return / Expected Shortfall lognormal
    -3.93214
  • 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
    -1.00214
  • SD
    0.53322
  • Sharpe ratio (Glass type estimate)
    -1.87940
  • Sharpe ratio (Hedges UMVUE)
    -1.86853
  • df
    130.00000
  • t
    -1.32894
  • p
    0.55789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.65709
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.64963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91256
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.40797
  • Upside Potential Ratio
    6.28877
  • Upside part of mean
    2.61723
  • Downside part of mean
    -3.61937
  • Upside SD
    0.33584
  • Downside SD
    0.41618
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37724
  • Mean of criterion
    -1.00214
  • SD of predictor
    0.36740
  • SD of criterion
    0.53322
  • Covariance
    0.11444
  • r
    0.58418
  • b (slope, estimate of beta)
    0.84785
  • a (intercept, estimate of alpha)
    -1.32198
  • Mean Square Error
    0.18875
  • DF error
    129.00000
  • t(b)
    8.17503
  • p(b)
    0.15049
  • t(a)
    -2.14730
  • p(a)
    0.61758
  • Lowerbound of 95% confidence interval for beta
    0.64265
  • Upperbound of 95% confidence interval for beta
    1.05305
  • Lowerbound of 95% confidence interval for alpha
    -2.54006
  • Upperbound of 95% confidence interval for alpha
    -0.10390
  • Treynor index (mean / b)
    -1.18197
  • Jensen alpha (a)
    -1.32198
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.14667
  • SD
    0.53700
  • Sharpe ratio (Glass type estimate)
    -2.13531
  • Sharpe ratio (Hedges UMVUE)
    -2.12297
  • df
    130.00000
  • t
    -1.50989
  • p
    0.56564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.91525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.90676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.66082
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.66635
  • Upside Potential Ratio
    5.95919
  • Upside part of mean
    2.56277
  • Downside part of mean
    -3.70944
  • Upside SD
    0.32595
  • Downside SD
    0.43005
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30973
  • Mean of criterion
    -1.14667
  • SD of predictor
    0.36865
  • SD of criterion
    0.53700
  • Covariance
    0.11669
  • r
    0.58946
  • b (slope, estimate of beta)
    0.85864
  • a (intercept, estimate of alpha)
    -1.41262
  • Mean Square Error
    0.18963
  • DF error
    129.00000
  • t(b)
    8.28791
  • p(b)
    0.14777
  • t(a)
    -2.29068
  • p(a)
    0.62504
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.65366
  • Upperbound of 95% confidence interval for beta
    1.06362
  • Lowerbound of 95% confidence interval for alpha
    -2.63274
  • Upperbound of 95% confidence interval for alpha
    -0.19250
  • Treynor index (mean / b)
    -1.33544
  • Jensen alpha (a)
    -1.41262
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05724
  • Expected Shortfall on VaR
    0.07015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03310
  • Expected Shortfall on VaR
    0.06091
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88899
  • Quartile 1
    0.97805
  • Median
    0.99980
  • Quartile 3
    1.01194
  • Maximum
    1.10182
  • Mean of quarter 1
    0.95437
  • Mean of quarter 2
    0.99102
  • Mean of quarter 3
    1.00524
  • Mean of quarter 4
    1.03477
  • Inter Quartile Range
    0.03389
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.91258
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08214
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04314
  • VaR(95%) (moments method)
    0.04576
  • Expected Shortfall (moments method)
    0.05890
  • Extreme Value Index (regression method)
    0.20778
  • VaR(95%) (regression method)
    0.04373
  • Expected Shortfall (regression method)
    0.06261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01910
  • Quartile 1
    0.14120
  • Median
    0.26330
  • Quartile 3
    0.38540
  • Maximum
    0.50750
  • Mean of quarter 1
    0.01910
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.50750
  • Inter Quartile Range
    0.24420
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343375000
  • Max Equity Drawdown (num days)
    476
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.85688
  • Compounded annual return (geometric extrapolation)
    -0.67332
  • Calmar ratio (compounded annual return / max draw down)
    -1.32673
  • Compounded annual return / average of 25% largest draw downs
    -1.32673
  • Compounded annual return / Expected Shortfall lognormal
    -9.59798

Strategy Description

This strategy will sell Cash-Secured Puts, it writes put options which are backed-up by cash to cover for a possible assignment. When assigned, the stocks will either serve as a cover for Covered Call writing or sold at the first possible occasion.
The strategy targets the next or next but one expiration date of the options, combining monthly as well as (most often) weekly options.
It limits itself to stocks with a strike price of 100 USD or less, meaning this strategy can be followed with a starting capital of 10.000 USD

!! Important Note to new subscribers:
After joining, I would like to advice you to
1) synchronize your positions with existing long stock positions (surely useful if you use the Autotrade functionality)
OR
2) only follow the new Sell-to-Open put (only Put) trades and not the other trades you will see, like any Sell-to-Close of shares or options and also no Sell-to-Open trades of -covered- calls. Because these are only valid if you actually own these shares (for instance after an assignment when having sold a put before) and are not to be taken stand-alone !

Summary Statistics

Strategy began
2020-10-26
Suggested Minimum Capital
$25,000
# Trades
170
# Profitable
148
% Profitable
87.1%
Net Dividends
Correlation S&P500
0.493
Sharpe Ratio
-0.25
Sortino Ratio
-0.33
Beta
0.78
Alpha
-0.05
Leverage
0.91 Average
2.01 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.

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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.