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

SPX Naked Options
(139147076)

Started: 01/2022
Options
Last trade: 22 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 $150.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Options
Premium Collecting
Category: Equity

Premium Collecting

A trading strategy that, while typically profitable on a trade-by-trade basis, has some possibility of infrequent, but extremely large, losses.
6.2%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(4.2%)
Max Drawdown
118
Num Trades
64.4%
Win Trades
1.5 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022+1.4%+2.3%+4.6%(0.2%)+0.2%(2.2%)  -                                +6.2%

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 169 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
6/8/22 15:41 VIXW2222F25 VIX Jun22'22 25 call LONG 1 1.90 6/10 15:30 3.34 0.01%
Trade id #140713921
Max drawdown($25)
Time6/9/22 0:00
Quant open1
Worst price1.65
Drawdown as % of equity-0.01%
$142
Includes Typical Broker Commissions trade costs of $2.00
6/8/22 12:39 VIX2215F25 VIX Jun15'22 25 call LONG 4 1.10 6/10 15:29 2.92 0.05%
Trade id #140711569
Max drawdown($100)
Time6/9/22 0:00
Quant open4
Worst price0.85
Drawdown as % of equity-0.05%
$722
Includes Typical Broker Commissions trade costs of $5.60
6/8/22 15:36 SPY2217F418 SPY Jun17'22 418 call SHORT 1 3.20 6/10 15:29 0.20 n/a $298
Includes Typical Broker Commissions trade costs of $2.00
6/10/22 9:36 SPY2215R412 SPY Jun15'22 412 put LONG 1 19.30 6/10 15:29 18.71 0.09%
Trade id #140731554
Max drawdown($197)
Time6/10/22 9:45
Quant open1
Worst price17.32
Drawdown as % of equity-0.09%
($60)
Includes Typical Broker Commissions trade costs of $2.00
6/8/22 15:27 SPY2215F416 SPY Jun15'22 416 call SHORT 1 3.30 6/10 10:44 0.19 0.01%
Trade id #140713823
Max drawdown($20)
Time6/8/22 15:35
Quant open1
Worst price3.50
Drawdown as % of equity-0.01%
$309
Includes Typical Broker Commissions trade costs of $2.00
6/8/22 15:27 SPY2213F414 SPY Jun13'22 414 call SHORT 1 2.96 6/10 10:42 0.04 0.01%
Trade id #140713826
Max drawdown($24)
Time6/8/22 15:37
Quant open1
Worst price3.20
Drawdown as % of equity-0.01%
$290
Includes Typical Broker Commissions trade costs of $2.00
6/7/22 14:58 SPY2213F417 SPY Jun13'22 417 call SHORT 1 3.15 6/10 10:42 0.02 0.04%
Trade id #140702065
Max drawdown($80)
Time6/7/22 15:54
Quant open1
Worst price3.95
Drawdown as % of equity-0.04%
$311
Includes Typical Broker Commissions trade costs of $2.00
6/6/22 15:33 SPY2213F415 SPY Jun13'22 415 call SHORT 1 3.38 6/10 10:42 0.03 0.08%
Trade id #140691780
Max drawdown($168)
Time6/7/22 0:00
Quant open1
Worst price5.06
Drawdown as % of equity-0.08%
$333
Includes Typical Broker Commissions trade costs of $2.00
6/6/22 15:30 SPY2210F414 SPY Jun10'22 414 call SHORT 1 3.16 6/10 10:42 0.01 0.09%
Trade id #140691758
Max drawdown($186)
Time6/7/22 0:00
Quant open1
Worst price5.02
Drawdown as % of equity-0.09%
$313
Includes Typical Broker Commissions trade costs of $2.00
6/3/22 15:05 SPY2210F416 SPY Jun10'22 416 call SHORT 2 3.00 6/10 10:41 0.01 0.09%
Trade id #140675299
Max drawdown($194)
Time6/6/22 0:00
Quant open1
Worst price4.95
Drawdown as % of equity-0.09%
$595
Includes Typical Broker Commissions trade costs of $3.40
6/8/22 15:35 SPY2217R412 SPY Jun17'22 412 put SHORT 1 6.62 6/10 9:37 20.81 0.66%
Trade id #140713888
Max drawdown($1,444)
Time6/10/22 9:36
Quant open1
Worst price21.06
Drawdown as % of equity-0.66%
($1,421)
Includes Typical Broker Commissions trade costs of $2.00
6/7/22 14:57 SPY2210R414 SPY Jun10'22 414 put SHORT 1 3.98 6/10 9:36 20.93 0.78%
Trade id #140702057
Max drawdown($1,703)
Time6/10/22 9:36
Quant open1
Worst price21.01
Drawdown as % of equity-0.78%
($1,697)
Includes Typical Broker Commissions trade costs of $2.00
6/6/22 15:33 SPY2213R411 SPY Jun13'22 411 put SHORT 1 4.97 6/10 9:36 17.86 0.6%
Trade id #140691783
Max drawdown($1,303)
Time6/10/22 9:34
Quant open1
Worst price18.00
Drawdown as % of equity-0.60%
($1,291)
Includes Typical Broker Commissions trade costs of $2.00
6/8/22 15:26 SPY2215R412 SPY Jun15'22 412 put SHORT 1 5.04 6/10 9:36 19.21 0.66%
Trade id #140713815
Max drawdown($1,443)
Time6/10/22 9:36
Quant open1
Worst price19.47
Drawdown as % of equity-0.66%
($1,419)
Includes Typical Broker Commissions trade costs of $2.00
6/8/22 15:26 SPY2213R412 SPY Jun13'22 412 put SHORT 1 3.79 6/10 9:36 18.84 0.69%
Trade id #140713809
Max drawdown($1,505)
Time6/10/22 9:36
Quant open1
Worst price18.84
Drawdown as % of equity-0.69%
($1,507)
Includes Typical Broker Commissions trade costs of $2.00
6/7/22 14:57 SPY2213R414 SPY Jun13'22 414 put SHORT 1 4.60 6/10 9:36 20.78 0.74%
Trade id #140702061
Max drawdown($1,618)
Time6/10/22 9:36
Quant open1
Worst price20.78
Drawdown as % of equity-0.74%
($1,620)
Includes Typical Broker Commissions trade costs of $2.00
6/6/22 15:29 SPY2210R411 SPY Jun10'22 411 put SHORT 1 4.52 6/10 9:35 17.18 0.61%
Trade id #140691745
Max drawdown($1,324)
Time6/10/22 9:34
Quant open1
Worst price17.76
Drawdown as % of equity-0.61%
($1,268)
Includes Typical Broker Commissions trade costs of $2.00
6/3/22 15:02 SPY2210R412 SPY Jun10'22 412 put SHORT 1 5.52 6/10 9:35 18.54 0.61%
Trade id #140675267
Max drawdown($1,324)
Time6/10/22 9:34
Quant open1
Worst price18.76
Drawdown as % of equity-0.61%
($1,304)
Includes Typical Broker Commissions trade costs of $2.00
5/25/22 13:39 VIXW2208R30 VIX Jun8'22 30 put LONG 1 2.96 6/9 8:05 30.00 n/a $2,702
Includes Typical Broker Commissions trade costs of $2.00
6/3/22 15:01 SPY2208F414 SPY Jun8'22 414 call SHORT 1 2.80 6/8 15:32 0.05 0.09%
Trade id #140675263
Max drawdown($204)
Time6/6/22 0:00
Quant open1
Worst price4.84
Drawdown as % of equity-0.09%
$273
Includes Typical Broker Commissions trade costs of $2.00
6/3/22 15:00 SPY2208R412 SPY Jun8'22 412 put SHORT 1 4.05 6/8 15:32 0.66 0.07%
Trade id #140675258
Max drawdown($150)
Time6/7/22 0:00
Quant open1
Worst price5.55
Drawdown as % of equity-0.07%
$337
Includes Typical Broker Commissions trade costs of $2.00
6/2/22 15:14 SPY2208R415 SPY Jun8'22 415 put SHORT 1 4.33 6/8 15:31 3.13 0.16%
Trade id #140665919
Max drawdown($342)
Time6/7/22 0:00
Quant open1
Worst price7.75
Drawdown as % of equity-0.16%
$118
Includes Typical Broker Commissions trade costs of $2.00
6/2/22 15:13 SPY2208F419 SPY Jun8'22 419 call SHORT 1 2.86 6/8 15:31 0.01 0.04%
Trade id #140665911
Max drawdown($81)
Time6/2/22 15:58
Quant open1
Worst price3.67
Drawdown as % of equity-0.04%
$283
Includes Typical Broker Commissions trade costs of $2.00
6/2/22 15:13 SPY2206F418 SPY Jun6'22 418 call SHORT 1 2.21 6/6 15:28 0.01 0.04%
Trade id #140665902
Max drawdown($77)
Time6/2/22 15:58
Quant open1
Worst price2.98
Drawdown as % of equity-0.04%
$218
Includes Typical Broker Commissions trade costs of $2.00
6/2/22 15:12 SPY2206R415 SPY Jun6'22 415 put SHORT 1 3.11 6/6 15:28 3.82 0.15%
Trade id #140665899
Max drawdown($332)
Time6/3/22 0:00
Quant open1
Worst price6.43
Drawdown as % of equity-0.15%
($73)
Includes Typical Broker Commissions trade costs of $2.00
5/27/22 15:41 SPY2203F418 SPY Jun3'22 418 call SHORT 1 2.91 6/3 10:10 0.34 0.03%
Trade id #140619691
Max drawdown($59)
Time5/31/22 0:00
Quant open1
Worst price3.50
Drawdown as % of equity-0.03%
$255
Includes Typical Broker Commissions trade costs of $2.00
5/25/22 11:16 VIXW2201R30 VIX Jun1'22 30 put LONG 2 1.75 6/2 8:05 1.69 0.03%
Trade id #140594561
Max drawdown($74)
Time5/25/22 14:07
Quant open2
Worst price1.38
Drawdown as % of equity-0.03%
($13)
Includes Typical Broker Commissions trade costs of $2.40
5/27/22 15:42 SPY2201F416 SPY Jun1'22 416 call SHORT 1 2.56 6/2 8:05 0.00 0.03%
Trade id #140619696
Max drawdown($63)
Time5/27/22 16:00
Quant open1
Worst price3.19
Drawdown as % of equity-0.03%
$255
Includes Typical Broker Commissions trade costs of $1.00
4/18/22 13:51 VIXW2227P22 VIX Apr27'22 22 put LONG 1 0.85 4/28 8:05 0.00 0.04%
Trade id #140172438
Max drawdown($84)
Time4/25/22 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.04%
($86)
Includes Typical Broker Commissions trade costs of $1.00
4/18/22 13:48 VIX2220P22 VIX Apr20'22 22 put LONG 1 0.35 4/20 8:05 1.70 0.01%
Trade id #140172393
Max drawdown($15)
Time4/18/22 15:39
Quant open1
Worst price0.20
Drawdown as % of equity-0.01%
$133
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    1/28/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    155.12
  • Age
    155 days ago
  • What it trades
    Options
  • # Trades
    118
  • # Profitable
    76
  • % Profitable
    64.40%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    4.24%
  • drawdown period
    June 09, 2022 - June 28, 2022
  • Cumul. Return
    6.2%
  • Avg win
    $509.01
  • Avg loss
    $596.43
  • Model Account Values (Raw)
  • Cash
    $213,600
  • Margin Used
    $0
  • Buying Power
    $213,193
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    1.66
  • Sortino Ratio
    2.06
  • Calmar Ratio
    4.839
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.84%
  • Correlation to SP500
    0.13920
  • Return Percent SP500 (cumu) during strategy life
    -13.69%
  • Return Statistics
  • Ann Return (w trading costs)
    14.7%
  • Slump
  • Current Slump as Pcnt Equity
    4.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.15%
  • Return Statistics
  • Return Pcnt Since TOS Status
    6.820%
  • Instruments
  • Short Options - Percent Covered
    43.52%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.061%
  • Instruments
  • Percent Trades Options
    0.98%
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • 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)
    917
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    910
  • Popularity (7 days, Percentile 1000 scale)
    708
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $596
  • Avg Win
    $509
  • Sum Trade PL (losers)
    $25,050.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $38,685.000
  • # Winners
    76
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    1
  • AUM
  • AUM (AutoTrader live capital)
    640051
  • Win / Loss
  • # Losers
    42
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    7445.25
  • Avg Position Time (hrs)
    124.09
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    22
  • Leverage
  • Daily leverage (average)
    0.82
  • Daily leverage (max)
    4.10
  • Regression
  • Alpha
    0.04
  • Beta
    0.03
  • Treynor Index
    1.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.367
  • 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
    0.583
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.311
  • Hold-and-Hope Ratio
    0.151
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23056
  • SD
    0.08178
  • Sharpe ratio (Glass type estimate)
    2.81930
  • Sharpe ratio (Hedges UMVUE)
    2.04005
  • df
    3.00000
  • t
    1.62772
  • p
    0.10103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.68784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80687
  • Statistics related to Sortino ratio
  • Sortino ratio
    55.38380
  • Upside Potential Ratio
    57.11590
  • Upside part of mean
    0.23777
  • Downside part of mean
    -0.00721
  • Upside SD
    0.09710
  • Downside SD
    0.00416
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.19312
  • Mean of criterion
    0.23056
  • SD of predictor
    0.17093
  • SD of criterion
    0.08178
  • Covariance
    0.01012
  • r
    0.72405
  • b (slope, estimate of beta)
    0.34641
  • a (intercept, estimate of alpha)
    0.29746
  • Mean Square Error
    0.00477
  • DF error
    2.00000
  • t(b)
    1.48453
  • p(b)
    0.13798
  • t(a)
    2.32639
  • p(a)
    0.07275
  • Lowerbound of 95% confidence interval for beta
    -0.65760
  • Upperbound of 95% confidence interval for beta
    1.35042
  • Lowerbound of 95% confidence interval for alpha
    -0.25269
  • Upperbound of 95% confidence interval for alpha
    0.84761
  • Treynor index (mean / b)
    0.66557
  • Jensen alpha (a)
    0.29746
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22545
  • SD
    0.07999
  • Sharpe ratio (Glass type estimate)
    2.81837
  • Sharpe ratio (Hedges UMVUE)
    2.03938
  • df
    3.00000
  • t
    1.62719
  • p
    0.10109
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.68652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80596
  • Statistics related to Sortino ratio
  • Sortino ratio
    54.21650
  • Upside Potential Ratio
    55.94860
  • Upside part of mean
    0.23265
  • Downside part of mean
    -0.00720
  • Upside SD
    0.09496
  • Downside SD
    0.00416
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.20571
  • Mean of criterion
    0.22545
  • SD of predictor
    0.17576
  • SD of criterion
    0.07999
  • Covariance
    0.01013
  • r
    0.72035
  • b (slope, estimate of beta)
    0.32784
  • a (intercept, estimate of alpha)
    0.29289
  • Mean Square Error
    0.00462
  • DF error
    2.00000
  • t(b)
    1.46871
  • p(b)
    0.13983
  • t(a)
    2.31826
  • p(a)
    0.07315
  • Lowerbound of 95% confidence interval for beta
    -0.63258
  • Upperbound of 95% confidence interval for beta
    1.28825
  • Lowerbound of 95% confidence interval for alpha
    -0.25071
  • Upperbound of 95% confidence interval for alpha
    0.83648
  • Treynor index (mean / b)
    0.68768
  • Jensen alpha (a)
    0.29289
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01901
  • Expected Shortfall on VaR
    0.02840
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00085
  • Expected Shortfall on VaR
    0.00188
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.99992
  • Quartile 1
    1.00227
  • Median
    1.01962
  • Quartile 3
    1.03889
  • Maximum
    1.04700
  • Mean of quarter 1
    0.99992
  • Mean of quarter 2
    1.00305
  • Mean of quarter 3
    1.03619
  • Mean of quarter 4
    1.04700
  • Inter Quartile Range
    0.03662
  • 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
    0.00008
  • Quartile 1
    0.00008
  • Median
    0.00008
  • Quartile 3
    0.00008
  • Maximum
    0.00008
  • 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)
    0.26436
  • Compounded annual return (geometric extrapolation)
    0.28834
  • Calmar ratio (compounded annual return / max draw down)
    3834.02000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    10.15400
  • 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
    0.12756
  • SD
    0.05976
  • Sharpe ratio (Glass type estimate)
    2.13447
  • Sharpe ratio (Hedges UMVUE)
    2.11947
  • df
    107.00000
  • t
    1.37041
  • p
    0.41663
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.18537
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68231
  • Upside Potential Ratio
    6.16350
  • Upside part of mean
    0.29311
  • Downside part of mean
    -0.16555
  • Upside SD
    0.03659
  • Downside SD
    0.04755
  • N nonnegative terms
    40.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    108.00000
  • Mean of predictor
    -0.34982
  • Mean of criterion
    0.12756
  • SD of predictor
    0.26472
  • SD of criterion
    0.05976
  • Covariance
    0.00279
  • r
    0.17649
  • b (slope, estimate of beta)
    0.03984
  • a (intercept, estimate of alpha)
    0.14100
  • Mean Square Error
    0.00349
  • DF error
    106.00000
  • t(b)
    1.84605
  • p(b)
    0.41175
  • t(a)
    1.53202
  • p(a)
    0.42641
  • Lowerbound of 95% confidence interval for beta
    -0.00295
  • Upperbound of 95% confidence interval for beta
    0.08263
  • Lowerbound of 95% confidence interval for alpha
    -0.04161
  • Upperbound of 95% confidence interval for alpha
    0.32460
  • Treynor index (mean / b)
    3.20147
  • Jensen alpha (a)
    0.14150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12573
  • SD
    0.06018
  • Sharpe ratio (Glass type estimate)
    2.08911
  • Sharpe ratio (Hedges UMVUE)
    2.07443
  • df
    107.00000
  • t
    1.34129
  • p
    0.41836
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.13978
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61162
  • Upside Potential Ratio
    6.07390
  • Upside part of mean
    0.29241
  • Downside part of mean
    -0.16668
  • Upside SD
    0.03648
  • Downside SD
    0.04814
  • N nonnegative terms
    40.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    108.00000
  • Mean of predictor
    -0.38494
  • Mean of criterion
    0.12573
  • SD of predictor
    0.26575
  • SD of criterion
    0.06018
  • Covariance
    0.00286
  • r
    0.17873
  • b (slope, estimate of beta)
    0.04047
  • a (intercept, estimate of alpha)
    0.14131
  • Mean Square Error
    0.00354
  • DF error
    106.00000
  • t(b)
    1.87021
  • p(b)
    0.41064
  • t(a)
    1.51887
  • p(a)
    0.42703
  • Lowerbound of 95% confidence interval for beta
    -0.00243
  • Upperbound of 95% confidence interval for beta
    0.08338
  • Lowerbound of 95% confidence interval for alpha
    -0.04314
  • Upperbound of 95% confidence interval for alpha
    0.32576
  • Treynor index (mean / b)
    3.10632
  • Jensen alpha (a)
    0.14131
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00562
  • Expected Shortfall on VaR
    0.00716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00163
  • Expected Shortfall on VaR
    0.00374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    108.00000
  • Minimum
    0.97212
  • Quartile 1
    0.99997
  • Median
    1.00001
  • Quartile 3
    1.00155
  • Maximum
    1.00915
  • Mean of quarter 1
    0.99773
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.00421
  • Inter Quartile Range
    0.00158
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04630
  • Mean of outliers low
    0.99016
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    1.00546
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60259
  • VaR(95%) (moments method)
    0.00145
  • Expected Shortfall (moments method)
    0.00535
  • Extreme Value Index (regression method)
    0.29727
  • VaR(95%) (regression method)
    0.00185
  • Expected Shortfall (regression method)
    0.00453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00094
  • Median
    0.00346
  • Quartile 3
    0.00611
  • Maximum
    0.03431
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00206
  • Mean of quarter 3
    0.00485
  • Mean of quarter 4
    0.02071
  • Inter Quartile Range
    0.00517
  • 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
    0.12500
  • Mean of outliers high
    0.03431
  • 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)
    0.15860
  • Compounded annual return (geometric extrapolation)
    0.16606
  • Calmar ratio (compounded annual return / max draw down)
    4.83944
  • Compounded annual return / average of 25% largest draw downs
    8.01949
  • Compounded annual return / Expected Shortfall lognormal
    23.18460
  • 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)
    0.00600
  • 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?
    -89818000
  • Max Equity Drawdown (num days)
    19

Strategy Description

This is an option strategy on SPX. The strategy sells naked call and put options on the SPY and $SPX, using a timing model. There are a variety of option timings, from 1-day to 1-month. Occasionally an option on SPY, $SPX or $VIX will be purchased long to cover short term risk. Normally, positions in SPY options are closed prior to the SPY being assigned to the account, but if the assignment does happen, the SPY position is closed on the following open. The net effect of assignment is ~ 0%, so this is not a problem in general. Options on the $SPX and $VIX close to cash, so this is not an issue for that subset.

The average (Annual return/average Drawdown) Ratio is over 10 (back-test average over the previous 14 years). I am managing the trades for an expected average Annual Drawdown of ~10%. (Max DD about 20%). The strategy is "in the market" about 60% of the days, and out 40%.

To follow this strategy, you must have level 5 permissions at your broker, allowing trading of naked options. FYI, this permission is not easy to get. Do not follow this strategy if you do not have this trading authority.

I recommend you have the full $ amount in your account and follow at 100%. If you don't have this amount, you will need to have a minimum of 50% of current account value in your account to trade this effectively, and should elect for 100% following, or you will miss most trades. FYI as of 04/01 22 this minimum amount is $108K. Also note that if you follow with only 50% of the account balance, your Drawdowns will be ~2x the above notes, and during a worst case DD, you may miss some trades.

CAVEAT EMPTOR

Summary Statistics

Includes fees & commissions
Strategy began
2022-01-28
Suggested Minimum Capital
$35,000
# Trades
118
# Profitable
76
% Profitable
64.4%
Net Dividends
Correlation S&P500
0.139
Sharpe Ratio
1.66
Sortino Ratio
2.06
Beta
0.03
Alpha
0.04
Leverage
0.82 Average
4.10 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 Automated Trading Systems 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.

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.

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