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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 01/11/2023
Most recent certification approved 1/11/23 10:32 ET
Trades at broker Interactive Brokers (Europe, server 3)
Scaling percentage used 100%
# trading signals issued by system since certification 128
# trading signals executed in manager's Interactive Brokers (Europe, server 3) account 82
Percent signals followed since 01/11/2023 64.1%
This information was last updated 11/3/24 5:24 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 01/11/2023, 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.

The American Dream
(143146019)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Menko Menko
Started: 01/2023
Options
Last trade: 10 days ago
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 $30.00 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.
3.9%
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.

(19.1%)
Max Drawdown
65
Num Trades
92.3%
Win Trades
5.5 : 1
Profit Factor
69.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023(0.5%)+1.3%+1.1%+1.2%+1.4%(1.3%)(0.9%)(1.8%)(0.3%)+1.2%+0.1%+0.3%+1.8%
2024  -  +0.8%+1.1%+1.7%+0.9%+0.2%(1%)+0.2%+0.3%+0.4%+0.6%      +5.3%

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 82 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/23/24 10:00 SPY2418V520 SPY Oct18'24 520 put SHORT 1 0.80 10/19 9:35 0.00 0.36%
Trade id #149482601
Max drawdown($38)
Time10/1/24 0:00
Quant open1
Worst price1.18
Drawdown as % of equity-0.36%
$79
Includes Typical Broker Commissions trade costs of $1.00
9/25/24 10:00 SPY2418J600 SPY Oct18'24 600 call SHORT 1 0.28 10/19 9:35 0.00 0.13%
Trade id #149502385
Max drawdown($14)
Time9/26/24 0:00
Quant open1
Worst price0.42
Drawdown as % of equity-0.13%
$27
Includes Typical Broker Commissions trade costs of $1.00
8/28/24 10:23 SPY2420I590 SPY Sep20'24 590 call SHORT 1 0.27 9/21 9:35 0.00 0.02%
Trade id #149081356
Max drawdown($2)
Time8/28/24 10:33
Quant open1
Worst price0.29
Drawdown as % of equity-0.02%
$26
Includes Typical Broker Commissions trade costs of $1.00
8/26/24 9:58 SPY2420U513 SPY Sep20'24 513 put SHORT 1 0.81 9/21 9:35 0.00 1.46%
Trade id #149050528
Max drawdown($154)
Time9/6/24 0:00
Quant open1
Worst price2.35
Drawdown as % of equity-1.46%
$80
Includes Typical Broker Commissions trade costs of $1.00
7/24/24 9:43 SPY2416H577 SPY Aug16'24 577 call SHORT 1 0.39 8/17 9:35 0.00 0.02%
Trade id #148727336
Max drawdown($2)
Time7/25/24 0:00
Quant open1
Worst price0.41
Drawdown as % of equity-0.02%
$38
Includes Typical Broker Commissions trade costs of $1.00
7/23/24 11:43 SPY2416T524 SPY Aug16'24 524 put SHORT 1 0.86 8/17 9:35 0.00 24.3%
Trade id #148719667
Max drawdown($2,437)
Time8/5/24 0:00
Quant open1
Worst price25.23
Drawdown as % of equity-24.30%
$85
Includes Typical Broker Commissions trade costs of $1.00
6/26/24 9:54 SPY2419S520 SPY Jul19'24 520 put SHORT 1 0.85 7/20 9:35 0.00 0.07%
Trade id #148503787
Max drawdown($7)
Time6/26/24 11:12
Quant open1
Worst price0.92
Drawdown as % of equity-0.07%
$84
Includes Typical Broker Commissions trade costs of $1.00
7/2/24 12:48 SPY2419G568 SPY Jul19'24 568 call SHORT 1 0.10 7/15 10:51 1.11 1.16%
Trade id #148557540
Max drawdown($123)
Time7/10/24 0:00
Quant open1
Worst price1.33
Drawdown as % of equity-1.16%
($103)
Includes Typical Broker Commissions trade costs of $2.00
5/28/24 13:50 SPY2421F552 SPY Jun21'24 552 call SHORT 1 0.21 6/22 9:35 0.00 0.53%
Trade id #148272938
Max drawdown($56)
Time6/12/24 0:00
Quant open1
Worst price0.77
Drawdown as % of equity-0.53%
$20
Includes Typical Broker Commissions trade costs of $1.00
5/31/24 9:59 SPY2421R496 SPY Jun21'24 496 put SHORT 1 0.83 6/22 9:35 0.00 0.45%
Trade id #148299159
Max drawdown($48)
Time5/31/24 12:30
Quant open1
Worst price1.31
Drawdown as % of equity-0.45%
$82
Includes Typical Broker Commissions trade costs of $1.00
4/22/24 9:56 SPY2417Q455 SPY May17'24 455 put SHORT 1 0.79 5/18 9:35 0.00 0.1%
Trade id #147974355
Max drawdown($10)
Time4/22/24 11:15
Quant open1
Worst price0.89
Drawdown as % of equity-0.10%
$78
Includes Typical Broker Commissions trade costs of $1.00
4/15/24 9:53 SPY2417Q480 SPY May17'24 480 put SHORT 1 1.41 5/18 9:35 0.00 2.71%
Trade id #147904681
Max drawdown($278)
Time4/19/24 0:00
Quant open1
Worst price4.19
Drawdown as % of equity-2.71%
$140
Includes Typical Broker Commissions trade costs of $1.00
4/15/24 13:44 SPY2417E535 SPY May17'24 535 call SHORT 2 0.55 5/18 9:35 0.00 0.02%
Trade id #147912064
Max drawdown($2)
Time4/15/24 13:48
Quant open1
Worst price0.90
Drawdown as % of equity-0.02%
$108
Includes Typical Broker Commissions trade costs of $2.00
3/18/24 10:22 SPY2419P474 SPY Apr19'24 474 put SHORT 1 0.73 4/20 9:35 0.00 0.1%
Trade id #147662988
Max drawdown($10)
Time3/19/24 0:00
Quant open1
Worst price0.83
Drawdown as % of equity-0.10%
$72
Includes Typical Broker Commissions trade costs of $1.00
3/22/24 9:42 SPY2419D550 SPY Apr19'24 550 call SHORT 1 0.27 4/20 9:35 0.00 0.01%
Trade id #147711744
Max drawdown($1)
Time3/22/24 10:00
Quant open1
Worst price0.28
Drawdown as % of equity-0.01%
$26
Includes Typical Broker Commissions trade costs of $1.00
2/20/24 11:04 SPY2415O460 SPY Mar15'24 460 put SHORT 1 0.68 3/16 9:35 0.00 0.16%
Trade id #147379469
Max drawdown($16)
Time2/21/24 0:00
Quant open1
Worst price0.84
Drawdown as % of equity-0.16%
$67
Includes Typical Broker Commissions trade costs of $1.00
2/22/24 9:55 SPY2415O479 SPY Mar15'24 479 put SHORT 1 0.82 3/16 9:35 0.00 n/a $81
Includes Typical Broker Commissions trade costs of $1.00
2/20/24 9:59 SPY2415C524 SPY Mar15'24 524 call SHORT 1 0.28 3/16 9:35 0.00 1.13%
Trade id #147378243
Max drawdown($114)
Time3/8/24 0:00
Quant open1
Worst price1.42
Drawdown as % of equity-1.13%
$27
Includes Typical Broker Commissions trade costs of $1.00
2/20/24 9:37 SPY2415C525 SPY Mar15'24 525 call SHORT 1 0.26 3/16 9:35 0.00 0.94%
Trade id #147377666
Max drawdown($96)
Time2/23/24 0:00
Quant open1
Worst price1.22
Drawdown as % of equity-0.94%
$25
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 9:48 SPY2416B508 SPY Feb16'24 508 call SHORT 1 0.44 2/17 9:35 0.00 0.7%
Trade id #147111482
Max drawdown($71)
Time2/12/24 0:00
Quant open1
Worst price1.15
Drawdown as % of equity-0.70%
$43
Includes Typical Broker Commissions trade costs of $1.00
1/24/24 9:33 SPY2416N460 SPY Feb16'24 460 put SHORT 1 0.49 2/17 9:35 0.00 0.21%
Trade id #147110974
Max drawdown($21)
Time1/25/24 0:00
Quant open1
Worst price0.70
Drawdown as % of equity-0.21%
$48
Includes Typical Broker Commissions trade costs of $1.00
12/18/23 10:13 SPY2419M444 SPY Jan19'24 444 put SHORT 1 0.75 1/20/24 9:35 0.00 0.38%
Trade id #146729513
Max drawdown($38)
Time12/21/23 0:00
Quant open1
Worst price1.13
Drawdown as % of equity-0.38%
$74
Includes Typical Broker Commissions trade costs of $1.00
12/20/23 15:29 SPY2419A500 SPY Jan19'24 500 call SHORT 1 0.21 1/20/24 9:35 0.00 0.27%
Trade id #146763420
Max drawdown($27)
Time12/22/23 0:00
Quant open1
Worst price0.48
Drawdown as % of equity-0.27%
$20
Includes Typical Broker Commissions trade costs of $1.00
11/21/23 12:31 SPY2315X429 SPY Dec15'23 429 put SHORT 1 0.70 12/16 9:35 0.00 0.04%
Trade id #146501747
Max drawdown($4)
Time11/21/23 13:25
Quant open1
Worst price0.74
Drawdown as % of equity-0.04%
$69
Includes Typical Broker Commissions trade costs of $1.00
11/20/23 11:04 SPY2315L477 SPY Dec15'23 477 call SHORT 1 0.19 12/16 9:35 0.00 0.21%
Trade id #146489557
Max drawdown($21)
Time12/14/23 0:00
Quant open1
Worst price0.40
Drawdown as % of equity-0.21%
$18
Includes Typical Broker Commissions trade costs of $1.00
10/24/23 10:24 SPY2317K455 SPY Nov17'23 455 call SHORT 1 0.18 11/18 9:35 0.00 2.18%
Trade id #146218959
Max drawdown($220)
Time10/25/23 0:00
Quant open1
Worst price2.38
Drawdown as % of equity-2.18%
$17
Includes Typical Broker Commissions trade costs of $1.00
10/23/23 10:26 SPY2317W375 SPY Nov17'23 375 put SHORT 1 0.76 11/18 9:35 0.00 0.29%
Trade id #146205518
Max drawdown($29)
Time10/27/23 0:00
Quant open1
Worst price1.05
Drawdown as % of equity-0.29%
$75
Includes Typical Broker Commissions trade costs of $1.00
9/18/23 10:28 SPY2320V405 SPY Oct20'23 405 put SHORT 1 0.64 10/21 9:35 0.00 1.71%
Trade id #145855939
Max drawdown($170)
Time9/27/23 0:00
Quant open1
Worst price2.34
Drawdown as % of equity-1.71%
$63
Includes Typical Broker Commissions trade costs of $1.00
9/25/23 13:37 SPY2320J455 SPY Oct20'23 455 call SHORT 1 0.31 10/21 9:35 0.00 0.05%
Trade id #145926477
Max drawdown($5)
Time9/25/23 15:57
Quant open1
Worst price0.36
Drawdown as % of equity-0.05%
$30
Includes Typical Broker Commissions trade costs of $1.00
9/19/23 10:18 SPY2320J470 SPY Oct20'23 470 call SHORT 1 0.15 9/25 13:36 0.04 0.04%
Trade id #145866902
Max drawdown($4)
Time9/20/23 0:00
Quant open1
Worst price0.19
Drawdown as % of equity-0.04%
$9
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/9/2023
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    663.69
  • Age
    22 months ago
  • What it trades
    Options
  • # Trades
    65
  • # Profitable
    60
  • % Profitable
    92.30%
  • Avg trade duration
    25.1 days
  • Max peak-to-valley drawdown
    19.1%
  • drawdown period
    July 01, 2024 - Aug 05, 2024
  • Annual Return (Compounded)
    3.9%
  • Avg win
    $45.82
  • Avg loss
    $100.00
  • Model Account Values (Raw)
  • Cash
    $12,425
  • Margin Used
    $7,405
  • Buying Power
    $5,019
  • Ratios
  • W:L ratio
    5.50:1
  • Sharpe Ratio
    0.22
  • Sortino Ratio
    0.3
  • Calmar Ratio
    1.1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -40.01%
  • Correlation to SP500
    0.30790
  • Return Percent SP500 (cumu) during strategy life
    47.19%
  • Return Statistics
  • Ann Return (w trading costs)
    3.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.039%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • Chance of 20% account loss
    2.00%
  • 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)
    684
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    8
  • Popularity (7 days, Percentile 1000 scale)
    290
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $100
  • Avg Win
    $46
  • Sum Trade PL (losers)
    $500.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $2,749.000
  • # Winners
    60
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    12167
  • Win / Loss
  • # Losers
    5
  • % Winners
    92.3%
  • Frequency
  • Avg Position Time (mins)
    36168.10
  • Avg Position Time (hrs)
    602.80
  • Avg Trade Length
    25.1 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    5.20
  • Daily leverage (max)
    9.98
  • Regression
  • Alpha
    -0.01
  • Beta
    0.27
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    1.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    587.56
  • MAE:Equity, average, winning trades
    1.89
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    515.065
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    412.457
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.109
  • 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
    0.09343
  • SD
    0.03102
  • Sharpe ratio (Glass type estimate)
    3.01215
  • Sharpe ratio (Hedges UMVUE)
    2.89139
  • df
    19.00000
  • t
    3.88867
  • p
    0.11001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66622
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.12219
  • Upside Potential Ratio
    9.17881
  • Upside part of mean
    0.10558
  • Downside part of mean
    -0.01215
  • Upside SD
    0.03885
  • Downside SD
    0.01150
  • N nonnegative terms
    17.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.22197
  • Mean of criterion
    0.09343
  • SD of predictor
    0.12422
  • SD of criterion
    0.03102
  • Covariance
    -0.00079
  • r
    -0.20632
  • b (slope, estimate of beta)
    -0.05152
  • a (intercept, estimate of alpha)
    0.10486
  • Mean Square Error
    0.00097
  • DF error
    18.00000
  • t(b)
    -0.89460
  • p(b)
    0.60316
  • t(a)
    3.83735
  • p(a)
    0.16460
  • Lowerbound of 95% confidence interval for beta
    -0.17251
  • Upperbound of 95% confidence interval for beta
    0.06947
  • Lowerbound of 95% confidence interval for alpha
    0.04745
  • Upperbound of 95% confidence interval for alpha
    0.16228
  • Treynor index (mean / b)
    -1.81348
  • Jensen alpha (a)
    0.10486
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09240
  • SD
    0.03074
  • Sharpe ratio (Glass type estimate)
    3.00621
  • Sharpe ratio (Hedges UMVUE)
    2.88569
  • df
    19.00000
  • t
    3.88100
  • p
    0.11035
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18726
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65958
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.00035
  • Upside Potential Ratio
    9.05597
  • Upside part of mean
    0.10459
  • Downside part of mean
    -0.01219
  • Upside SD
    0.03841
  • Downside SD
    0.01155
  • N nonnegative terms
    17.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.21228
  • Mean of criterion
    0.09240
  • SD of predictor
    0.12325
  • SD of criterion
    0.03074
  • Covariance
    -0.00079
  • r
    -0.20913
  • b (slope, estimate of beta)
    -0.05215
  • a (intercept, estimate of alpha)
    0.10347
  • Mean Square Error
    0.00095
  • DF error
    18.00000
  • t(b)
    -0.90733
  • p(b)
    0.60457
  • t(a)
    3.85335
  • p(a)
    0.16384
  • Lowerbound of 95% confidence interval for beta
    -0.17292
  • Upperbound of 95% confidence interval for beta
    0.06861
  • Lowerbound of 95% confidence interval for alpha
    0.04706
  • Upperbound of 95% confidence interval for alpha
    0.15989
  • Treynor index (mean / b)
    -1.77171
  • Jensen alpha (a)
    0.10347
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00687
  • Expected Shortfall on VaR
    0.01054
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00079
  • Expected Shortfall on VaR
    0.00245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.98844
  • Quartile 1
    1.00645
  • Median
    1.00925
  • Quartile 3
    1.01481
  • Maximum
    1.02933
  • Mean of quarter 1
    0.99954
  • Mean of quarter 2
    1.00821
  • Mean of quarter 3
    1.01171
  • Mean of quarter 4
    1.02099
  • Inter Quartile Range
    0.00836
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.98844
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05000
  • Mean of outliers high
    1.02933
  • 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)
    0.19314
  • VaR(95%) (regression method)
    0.00720
  • Expected Shortfall (regression method)
    0.01799
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01430
  • Quartile 1
    0.01430
  • Median
    0.01430
  • Quartile 3
    0.01430
  • Maximum
    0.01430
  • 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)
    0.13322
  • Compounded annual return (geometric extrapolation)
    0.12785
  • Calmar ratio (compounded annual return / max draw down)
    8.93775
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.12840
  • 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
    0.09714
  • SD
    0.10010
  • Sharpe ratio (Glass type estimate)
    0.97044
  • Sharpe ratio (Hedges UMVUE)
    0.96879
  • df
    441.00000
  • t
    1.26046
  • p
    0.10408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54041
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48029
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47914
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39421
  • Upside Potential Ratio
    4.60704
  • Upside part of mean
    0.32101
  • Downside part of mean
    -0.22386
  • Upside SD
    0.07197
  • Downside SD
    0.06968
  • N nonnegative terms
    278.00000
  • N negative terms
    164.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    442.00000
  • Mean of predictor
    0.20999
  • Mean of criterion
    0.09714
  • SD of predictor
    0.13173
  • SD of criterion
    0.10010
  • Covariance
    0.00393
  • r
    0.29799
  • b (slope, estimate of beta)
    0.22644
  • a (intercept, estimate of alpha)
    0.05000
  • Mean Square Error
    0.00915
  • DF error
    440.00000
  • t(b)
    6.54829
  • p(b)
    0.00000
  • t(a)
    0.67010
  • p(a)
    0.25157
  • Lowerbound of 95% confidence interval for beta
    0.15848
  • Upperbound of 95% confidence interval for beta
    0.29440
  • Lowerbound of 95% confidence interval for alpha
    -0.09586
  • Upperbound of 95% confidence interval for alpha
    0.19505
  • Treynor index (mean / b)
    0.42900
  • Jensen alpha (a)
    0.04959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09211
  • SD
    0.10021
  • Sharpe ratio (Glass type estimate)
    0.91924
  • Sharpe ratio (Hedges UMVUE)
    0.91768
  • df
    441.00000
  • t
    1.19396
  • p
    0.11657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59147
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42789
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28463
  • Upside Potential Ratio
    4.44144
  • Upside part of mean
    0.31847
  • Downside part of mean
    -0.22636
  • Upside SD
    0.07007
  • Downside SD
    0.07170
  • N nonnegative terms
    278.00000
  • N negative terms
    164.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    442.00000
  • Mean of predictor
    0.20123
  • Mean of criterion
    0.09211
  • SD of predictor
    0.13177
  • SD of criterion
    0.10021
  • Covariance
    0.00396
  • r
    0.30014
  • b (slope, estimate of beta)
    0.22825
  • a (intercept, estimate of alpha)
    0.04618
  • Mean Square Error
    0.00916
  • DF error
    440.00000
  • t(b)
    6.60015
  • p(b)
    0.00000
  • t(a)
    0.62407
  • p(a)
    0.26645
  • Lowerbound of 95% confidence interval for beta
    0.16028
  • Upperbound of 95% confidence interval for beta
    0.29621
  • Lowerbound of 95% confidence interval for alpha
    -0.09926
  • Upperbound of 95% confidence interval for alpha
    0.19163
  • Treynor index (mean / b)
    0.40357
  • Jensen alpha (a)
    0.04618
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00978
  • Expected Shortfall on VaR
    0.01234
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00150
  • Expected Shortfall on VaR
    0.00373
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    442.00000
  • Minimum
    0.92751
  • Quartile 1
    0.99978
  • Median
    1.00041
  • Quartile 3
    1.00134
  • Maximum
    1.07482
  • Mean of quarter 1
    0.99677
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.00421
  • Inter Quartile Range
    0.00155
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.08145
  • Mean of outliers low
    0.99206
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.06335
  • Mean of outliers high
    1.01004
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63381
  • VaR(95%) (moments method)
    0.00266
  • Expected Shortfall (moments method)
    0.00869
  • Extreme Value Index (regression method)
    0.60014
  • VaR(95%) (regression method)
    0.00253
  • Expected Shortfall (regression method)
    0.00751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00025
  • Median
    0.00123
  • Quartile 3
    0.00364
  • Maximum
    0.11589
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00074
  • Mean of quarter 3
    0.00258
  • Mean of quarter 4
    0.01721
  • Inter Quartile Range
    0.00339
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.03622
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.93339
  • VaR(95%) (moments method)
    0.01652
  • Expected Shortfall (moments method)
    0.25090
  • Extreme Value Index (regression method)
    1.48386
  • VaR(95%) (regression method)
    0.01510
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13303
  • Compounded annual return (geometric extrapolation)
    0.12752
  • Calmar ratio (compounded annual return / max draw down)
    1.10039
  • Compounded annual return / average of 25% largest draw downs
    7.41116
  • Compounded annual return / Expected Shortfall lognormal
    10.33490
  • 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
    0.13311
  • SD
    0.17632
  • Sharpe ratio (Glass type estimate)
    0.75493
  • Sharpe ratio (Hedges UMVUE)
    0.75057
  • df
    130.00000
  • t
    0.53382
  • p
    0.47662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52387
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08585
  • Upside Potential Ratio
    4.45287
  • Upside part of mean
    0.54586
  • Downside part of mean
    -0.41275
  • Upside SD
    0.12607
  • Downside SD
    0.12259
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17392
  • Mean of criterion
    0.13311
  • SD of predictor
    0.13984
  • SD of criterion
    0.17632
  • Covariance
    0.01384
  • r
    0.56129
  • b (slope, estimate of beta)
    0.70773
  • a (intercept, estimate of alpha)
    0.01002
  • Mean Square Error
    0.02146
  • DF error
    129.00000
  • t(b)
    7.70278
  • p(b)
    0.16244
  • t(a)
    0.04823
  • p(a)
    0.49730
  • Lowerbound of 95% confidence interval for beta
    0.52594
  • Upperbound of 95% confidence interval for beta
    0.88951
  • Lowerbound of 95% confidence interval for alpha
    -0.40109
  • Upperbound of 95% confidence interval for alpha
    0.42113
  • Treynor index (mean / b)
    0.18808
  • Jensen alpha (a)
    0.01002
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11763
  • SD
    0.17653
  • Sharpe ratio (Glass type estimate)
    0.66634
  • Sharpe ratio (Hedges UMVUE)
    0.66248
  • df
    130.00000
  • t
    0.47117
  • p
    0.47935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93029
  • Upside Potential Ratio
    4.25626
  • Upside part of mean
    0.53816
  • Downside part of mean
    -0.42054
  • Upside SD
    0.12243
  • Downside SD
    0.12644
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16412
  • Mean of criterion
    0.11763
  • SD of predictor
    0.14015
  • SD of criterion
    0.17653
  • Covariance
    0.01395
  • r
    0.56368
  • b (slope, estimate of beta)
    0.70999
  • a (intercept, estimate of alpha)
    0.00110
  • Mean Square Error
    0.02143
  • DF error
    129.00000
  • t(b)
    7.75084
  • p(b)
    0.16118
  • t(a)
    0.00531
  • p(a)
    0.49970
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.52875
  • Upperbound of 95% confidence interval for beta
    0.89123
  • Lowerbound of 95% confidence interval for alpha
    -0.40954
  • Upperbound of 95% confidence interval for alpha
    0.41175
  • Treynor index (mean / b)
    0.16567
  • Jensen alpha (a)
    0.00110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01734
  • Expected Shortfall on VaR
    0.02180
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00312
  • Expected Shortfall on VaR
    0.00755
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92751
  • Quartile 1
    0.99969
  • Median
    1.00034
  • Quartile 3
    1.00157
  • Maximum
    1.07482
  • Mean of quarter 1
    0.99397
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00754
  • Inter Quartile Range
    0.00188
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98619
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.12582
  • VaR(95%) (moments method)
    0.00416
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.16729
  • VaR(95%) (regression method)
    0.00391
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00028
  • Median
    0.00136
  • Quartile 3
    0.00345
  • Maximum
    0.11589
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00068
  • Mean of quarter 3
    0.00213
  • Mean of quarter 4
    0.02956
  • Inter Quartile Range
    0.00317
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.04674
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.26519
  • VaR(95%) (moments method)
    0.02433
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.73939
  • VaR(95%) (regression method)
    0.02902
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -398633000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15096
  • Compounded annual return (geometric extrapolation)
    0.15666
  • Calmar ratio (compounded annual return / max draw down)
    1.35180
  • Compounded annual return / average of 25% largest draw downs
    5.29947
  • Compounded annual return / Expected Shortfall lognormal
    7.18689

Strategy Description

In my years of quest for return, I have come across many pitfalls which have always cost money (and sometimes a lot of money!).

The "holy grail" does not exist, but it is indeed possible to make a return in a structured way and thus earn money on the stock exchange!

I have been a supporter of writing call and put options on the Dutch AEX-index for many years now (2016)
as you can see on my Dutch website www.optiesbeleggen.nl

By writing call and put options on the AEX index (Short Strangle), a good return can be achieved on a structural basis
as you can see from my verified track record.

Now we copy these lessons to America and position a Short Strangle on the SPY

I support the motto:
put your money where your mouth is and that is why I trade this strategy myself in my own investment portfolio.
At C2 this is called TOS (Trade Own Strategy).

If you also want to follow this system, make sure you have the correct trading permission.
To follow this strategy, you must have the permissions at your broker,
allowing writing options on the S&P500 (SPY).

Liquid assets and profits are invested in monthly paying high dividend stocks.

Summary Statistics

Strategy began
2023-01-09
Suggested Minimum Capital
$35,000
# Trades
65
# Profitable
60
% Profitable
92.3%
Correlation S&P500
0.308
Sharpe Ratio
0.22
Sortino Ratio
0.30
Beta
0.27
Alpha
-0.01
Leverage
5.20 Average
9.98 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.