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Tasty Plays
(117412922)

Created by: Optionopedia Optionopedia
Started: 04/2018
Options
Last trade: 3 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 $49.00 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.
23.1%
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.

(9.7%)
Max Drawdown
230
Num Trades
83.0%
Win Trades
3.5 : 1
Profit Factor
76.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +1.2%+1.2%(0.2%)+2.1%+2.8%+1.6%(4.1%)+4.8%+0.4%+10.0%
2019+9.0%+1.0%+2.3%+1.5%(4.7%)+8.4%+2.8%(0.5%)                        +20.9%

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 74 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/19 10:13 SO1920U55 SO Sep20'19 55 put SHORT 10 0.69 8/21 9:45 0.27 0.55%
Trade id #124768023
Max drawdown($710)
Time8/6/19 0:00
Quant open10
Worst price1.40
Drawdown as % of equity-0.55%
$406
Includes Typical Broker Commissions trade costs of $14.00
7/29/19 11:09 BA1930H377.5 BA Aug30'19 377.5 call SHORT 10 0.84 8/6 12:54 0.40 0.46%
Trade id #124659045
Max drawdown($610)
Time7/29/19 11:09
Quant open10
Worst price1.45
Drawdown as % of equity-0.46%
$425
Includes Typical Broker Commissions trade costs of $14.00
7/9/19 11:10 PEP1923T122 PEP Aug23'19 122 put SHORT 9 0.48 7/29 10:12 0.21 0.02%
Trade id #124388934
Max drawdown($27)
Time7/9/19 11:10
Quant open9
Worst price0.51
Drawdown as % of equity-0.02%
$230
Includes Typical Broker Commissions trade costs of $12.60
7/1/19 10:37 GIS1916T50 GIS Aug16'19 50 put SHORT 8 0.45 7/25 10:24 0.15 0.04%
Trade id #124289581
Max drawdown($48)
Time7/1/19 10:37
Quant open8
Worst price0.51
Drawdown as % of equity-0.04%
$229
Includes Typical Broker Commissions trade costs of $11.20
5/28/19 10:57 FDX1919G185 FDX Jul19'19 185 call LONG 8 0.62 7/20 9:35 0.00 0.37%
Trade id #123844993
Max drawdown($497)
Time7/20/19 9:35
Quant open8
Worst price0.00
Drawdown as % of equity-0.37%
($503)
Includes Typical Broker Commissions trade costs of $5.60
5/28/19 10:58 FDX1919G175 FDX Jul19'19 175 call SHORT 8 1.73 7/20 9:35 0.00 1.33%
Trade id #123845005
Max drawdown($1,635)
Time5/28/19 10:58
Quant open8
Worst price3.77
Drawdown as % of equity-1.33%
$1,375
Includes Typical Broker Commissions trade costs of $5.60
6/24/19 10:13 FDX1919S150 FDX Jul19'19 150 put SHORT 8 2.11 7/20 9:35 0.00 1.73%
Trade id #124203318
Max drawdown($2,217)
Time6/24/19 10:13
Quant open8
Worst price4.88
Drawdown as % of equity-1.73%
$1,680
Includes Typical Broker Commissions trade costs of $5.60
6/10/19 13:30 VXX2017M28 VXX Jan17'20 28 put LONG 8 6.10 7/12 12:16 8.00 0.1%
Trade id #124014289
Max drawdown($120)
Time6/10/19 13:30
Quant open8
Worst price5.95
Drawdown as % of equity-0.10%
$1,509
Includes Typical Broker Commissions trade costs of $11.20
6/10/19 13:31 VXX2017A28 VXX Jan17'20 28 call SHORT 8 5.80 7/12 12:16 3.15 0.06%
Trade id #124014327
Max drawdown($80)
Time6/10/19 13:31
Quant open8
Worst price5.90
Drawdown as % of equity-0.06%
$2,109
Includes Typical Broker Commissions trade costs of $11.20
6/24/19 10:24 BA1916T285 BA Aug16'19 285 put SHORT 10 0.49 7/12 11:35 0.18 0.28%
Trade id #124203509
Max drawdown($360)
Time6/24/19 10:24
Quant open10
Worst price0.85
Drawdown as % of equity-0.28%
$296
Includes Typical Broker Commissions trade costs of $14.00
5/17/19 9:58 KHC1928R29.5 KHC Jun28'19 29.5 put SHORT 9 0.41 6/29 9:35 0.00 1.57%
Trade id #123710075
Max drawdown($1,971)
Time5/17/19 9:58
Quant open9
Worst price2.60
Drawdown as % of equity-1.57%
$363
Includes Typical Broker Commissions trade costs of $6.30
5/22/19 11:05 FDX1928R155 FDX Jun28'19 155 put SHORT 8 3.51 6/24 10:12 2.04 3.05%
Trade id #123780398
Max drawdown($3,776)
Time5/22/19 11:05
Quant open8
Worst price8.23
Drawdown as % of equity-3.05%
$1,165
Includes Typical Broker Commissions trade costs of $11.20
5/18/19 9:35 O REALTY INCOME LONG 800 70.00 6/22 9:35 70.00 1.21%
Trade id #123723287
Max drawdown($1,520)
Time5/18/19 9:35
Quant open800
Worst price68.10
Drawdown as % of equity-1.21%
($5)
Includes Typical Broker Commissions trade costs of $5.00
5/9/19 11:56 O1921F70 O Jun21'19 70 call SHORT 8 0.56 6/22 9:35 0.00 2.26%
Trade id #123592941
Max drawdown($2,744)
Time5/9/19 11:56
Quant open8
Worst price3.99
Drawdown as % of equity-2.26%
$442
Includes Typical Broker Commissions trade costs of $5.60
5/28/19 11:00 KHC1928F33.5 KHC Jun28'19 33.5 call LONG 9 0.12 6/10 10:16 0.10 0.08%
Trade id #123845073
Max drawdown($99)
Time5/30/19 9:38
Quant open9
Worst price0.01
Drawdown as % of equity-0.08%
($31)
Includes Typical Broker Commissions trade costs of $12.60
5/28/19 11:01 KHC1928F30.5 KHC Jun28'19 30.5 call SHORT 9 0.65 6/10 10:16 0.83 0.47%
Trade id #123845133
Max drawdown($588)
Time6/10/19 9:45
Quant open-9
Worst price1.30
Drawdown as % of equity-0.47%
($175)
Includes Typical Broker Commissions trade costs of $12.60
5/21/19 13:30 BA1928R305 BA Jun28'19 305 put SHORT 9 0.91 6/10 9:57 0.25 1.63%
Trade id #123756846
Max drawdown($1,971)
Time6/3/19 10:04
Quant open-9
Worst price3.10
Drawdown as % of equity-1.63%
$581
Includes Typical Broker Commissions trade costs of $12.60
5/9/19 11:53 FDX1931E195 FDX May31'19 195 call SHORT 8 0.55 6/1 9:35 0.21 0%
Trade id #123592873
Max drawdown($4)
Time5/9/19 15:31
Quant open-8
Worst price0.55
Drawdown as % of equity-0.00%
$257
Includes Typical Broker Commissions trade costs of $9.10
5/22/19 11:07 FDX1928F190 FDX Jun28'19 190 call LONG 8 0.36 5/28 10:55 0.10 0.17%
Trade id #123780440
Max drawdown($208)
Time5/28/19 10:55
Quant open0
Worst price0.10
Drawdown as % of equity-0.17%
($219)
Includes Typical Broker Commissions trade costs of $11.20
5/22/19 11:08 FDX1928F182.5 FDX Jun28'19 182.5 call SHORT 8 0.82 5/28 10:54 0.35 0.03%
Trade id #123780449
Max drawdown($32)
Time5/22/19 11:27
Quant open-8
Worst price0.86
Drawdown as % of equity-0.03%
$362
Includes Typical Broker Commissions trade costs of $11.20
4/15/19 13:36 FDX1931Q165 FDX May31'19 165 put SHORT 8 0.38 5/22 11:03 3.75 2.15%
Trade id #123318371
Max drawdown($2,696)
Time5/22/19 11:03
Quant open0
Worst price3.75
Drawdown as % of equity-2.15%
($2,707)
Includes Typical Broker Commissions trade costs of $11.20
4/22/19 10:59 BA1921R300 BA Jun21'19 300 put SHORT 9 0.96 5/21 13:21 0.48 1.79%
Trade id #123386723
Max drawdown($2,196)
Time5/13/19 15:55
Quant open-9
Worst price3.40
Drawdown as % of equity-1.79%
$419
Includes Typical Broker Commissions trade costs of $12.60
4/8/19 11:34 ROST1917Q90 ROST May17'19 90 put SHORT 8 0.33 5/18 9:35 0.00 0.04%
Trade id #123240959
Max drawdown($56)
Time4/22/19 16:00
Quant open-8
Worst price0.40
Drawdown as % of equity-0.04%
$258
Includes Typical Broker Commissions trade costs of $5.60
3/27/19 11:04 O1917Q70 O May17'19 70 put SHORT 8 0.61 5/18 9:35 0.00 1.81%
Trade id #123098257
Max drawdown($2,232)
Time5/9/19 10:33
Quant open-8
Worst price3.40
Drawdown as % of equity-1.81%
$482
Includes Typical Broker Commissions trade costs of $5.60
4/17/19 13:35 CVX1931Q110 CVX May31'19 110 put SHORT 8 0.50 5/16 14:29 0.15 0.38%
Trade id #123347118
Max drawdown($480)
Time4/26/19 12:10
Quant open-8
Worst price1.10
Drawdown as % of equity-0.38%
$269
Includes Typical Broker Commissions trade costs of $11.20
5/9/19 11:50 BA1921F400 BA Jun21'19 400 call SHORT 9 1.25 5/10 13:24 0.74 0.48%
Trade id #123592820
Max drawdown($589)
Time5/9/19 13:10
Quant open-9
Worst price1.90
Drawdown as % of equity-0.48%
$437
Includes Typical Broker Commissions trade costs of $12.60
5/3/19 14:04 MO1921R47.5 MO Jun21'19 47.5 put SHORT 8 0.33 5/10 11:10 0.74 0.27%
Trade id #123524342
Max drawdown($338)
Time5/9/19 9:50
Quant open-8
Worst price0.75
Drawdown as % of equity-0.27%
($342)
Includes Typical Broker Commissions trade costs of $11.20
6/6/18 13:59 ZIV VELOCITYSHARES DAILY INVERSE V LONG 7 77.56 5/10/19 11:10 70.29 0.05%
Trade id #118294495
Max drawdown($56)
Time5/7/19 17:10
Quant open7
Worst price69.50
Drawdown as % of equity-0.05%
($51)
Includes Typical Broker Commissions trade costs of $0.14
4/9/19 13:04 XLU1924Q55.5 XLU May24'19 55.5 put SHORT 8 0.31 4/30 12:35 0.10 0.01%
Trade id #123257141
Max drawdown($16)
Time4/9/19 14:05
Quant open-8
Worst price0.33
Drawdown as % of equity-0.01%
$157
Includes Typical Broker Commissions trade costs of $11.20
4/1/19 10:37 BA1917Q305 BA May17'19 305 put SHORT 8 0.88 4/18 9:42 0.38 0.6%
Trade id #123152208
Max drawdown($744)
Time4/10/19 10:08
Quant open-8
Worst price1.81
Drawdown as % of equity-0.60%
$389
Includes Typical Broker Commissions trade costs of $11.20

Statistics

  • Strategy began
    4/7/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    504.13
  • Age
    17 months ago
  • What it trades
    Options
  • # Trades
    230
  • # Profitable
    191
  • % Profitable
    83.00%
  • Avg trade duration
    35.3 days
  • Max peak-to-valley drawdown
    9.72%
  • drawdown period
    Oct 17, 2018 - Oct 29, 2018
  • Annual Return (Compounded)
    23.1%
  • Avg win
    $256.74
  • Avg loss
    $365.05
  • Model Account Values (Raw)
  • Cash
    $138,988
  • Margin Used
    $74,095
  • Buying Power
    $64,892
  • Ratios
  • W:L ratio
    3.52:1
  • Sharpe Ratio
    1.46
  • Sortino Ratio
    2.21
  • Calmar Ratio
    2.792
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.51180
  • Return Statistics
  • Ann Return (w trading costs)
    23.1%
  • Ann Return (Compnd, No Fees)
    24.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    739
  • Popularity (Last 6 weeks)
    960
  • C2 Score
    146
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $365
  • Avg Win
    $257
  • # Winners
    191
  • # Losers
    39
  • % Winners
    83.0%
  • Frequency
  • Avg Position Time (mins)
    50834.80
  • Avg Position Time (hrs)
    847.25
  • Avg Trade Length
    35.3 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.69
  • Daily leverage (max)
    5.02
  • Regression
  • Alpha
    0.05
  • Beta
    0.42
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    4.277
  • Avg(MAE) / Avg(PL) - Winning trades
    1.983
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.105
  • Hold-and-Hope Ratio
    0.273
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20376
  • SD
    0.09095
  • Sharpe ratio (Glass type estimate)
    2.24038
  • Sharpe ratio (Hedges UMVUE)
    2.12614
  • df
    15.00000
  • t
    2.58697
  • p
    0.16553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98623
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.93240
  • Upside Potential Ratio
    9.22564
  • Upside part of mean
    0.23698
  • Downside part of mean
    -0.03322
  • Upside SD
    0.10274
  • Downside SD
    0.02569
  • N nonnegative terms
    13.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.04242
  • Mean of criterion
    0.20376
  • SD of predictor
    0.11023
  • SD of criterion
    0.09095
  • Covariance
    0.00422
  • r
    0.42076
  • b (slope, estimate of beta)
    0.34716
  • a (intercept, estimate of alpha)
    0.18903
  • Mean Square Error
    0.00729
  • DF error
    14.00000
  • t(b)
    1.73546
  • p(b)
    0.28962
  • t(a)
    2.53922
  • p(a)
    0.21923
  • Lowerbound of 95% confidence interval for beta
    -0.08188
  • Upperbound of 95% confidence interval for beta
    0.77621
  • Lowerbound of 95% confidence interval for alpha
    0.02936
  • Upperbound of 95% confidence interval for alpha
    0.34870
  • Treynor index (mean / b)
    0.58693
  • Jensen alpha (a)
    0.18903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19789
  • SD
    0.08865
  • Sharpe ratio (Glass type estimate)
    2.23228
  • Sharpe ratio (Hedges UMVUE)
    2.11845
  • df
    15.00000
  • t
    2.57761
  • p
    0.16627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.97742
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.62994
  • Upside Potential Ratio
    8.92070
  • Upside part of mean
    0.23136
  • Downside part of mean
    -0.03348
  • Upside SD
    0.09979
  • Downside SD
    0.02594
  • N nonnegative terms
    13.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.03653
  • Mean of criterion
    0.19789
  • SD of predictor
    0.11086
  • SD of criterion
    0.08865
  • Covariance
    0.00420
  • r
    0.42692
  • b (slope, estimate of beta)
    0.34137
  • a (intercept, estimate of alpha)
    0.18541
  • Mean Square Error
    0.00689
  • DF error
    14.00000
  • t(b)
    1.76648
  • p(b)
    0.28654
  • t(a)
    2.56789
  • p(a)
    0.21707
  • Lowerbound of 95% confidence interval for beta
    -0.07311
  • Upperbound of 95% confidence interval for beta
    0.75585
  • Lowerbound of 95% confidence interval for alpha
    0.03055
  • Upperbound of 95% confidence interval for alpha
    0.34028
  • Treynor index (mean / b)
    0.57968
  • Jensen alpha (a)
    0.18541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02528
  • Expected Shortfall on VaR
    0.03560
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00284
  • Expected Shortfall on VaR
    0.00766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.97552
  • Quartile 1
    1.00497
  • Median
    1.01238
  • Quartile 3
    1.03178
  • Maximum
    1.07369
  • Mean of quarter 1
    0.99155
  • Mean of quarter 2
    1.00869
  • Mean of quarter 3
    1.02029
  • Mean of quarter 4
    1.05671
  • Inter Quartile Range
    0.02681
  • 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
    0.06250
  • Mean of outliers high
    1.07369
  • 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)
    -0.21145
  • VaR(95%) (regression method)
    0.01924
  • Expected Shortfall (regression method)
    0.02948
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00437
  • Quartile 1
    0.00642
  • Median
    0.00846
  • Quartile 3
    0.01647
  • Maximum
    0.02448
  • Mean of quarter 1
    0.00437
  • Mean of quarter 2
    0.00846
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02448
  • Inter Quartile Range
    0.01005
  • 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)
    0.26347
  • Compounded annual return (geometric extrapolation)
    0.25332
  • Calmar ratio (compounded annual return / max draw down)
    10.34940
  • Compounded annual return / average of 25% largest draw downs
    10.34940
  • Compounded annual return / Expected Shortfall lognormal
    7.11546
  • 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
    0.19938
  • SD
    0.12117
  • Sharpe ratio (Glass type estimate)
    1.64540
  • Sharpe ratio (Hedges UMVUE)
    1.64192
  • df
    354.00000
  • t
    1.91530
  • p
    0.02813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33242
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33003
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46495
  • Upside Potential Ratio
    9.32322
  • Upside part of mean
    0.75412
  • Downside part of mean
    -0.55474
  • Upside SD
    0.09083
  • Downside SD
    0.08089
  • N nonnegative terms
    199.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.04667
  • Mean of criterion
    0.19938
  • SD of predictor
    0.15040
  • SD of criterion
    0.12117
  • Covariance
    0.00928
  • r
    0.50938
  • b (slope, estimate of beta)
    0.41040
  • a (intercept, estimate of alpha)
    0.18000
  • Mean Square Error
    0.01090
  • DF error
    353.00000
  • t(b)
    11.12120
  • p(b)
    -0.00000
  • t(a)
    2.00864
  • p(a)
    0.02267
  • Lowerbound of 95% confidence interval for beta
    0.33783
  • Upperbound of 95% confidence interval for beta
    0.48298
  • Lowerbound of 95% confidence interval for alpha
    0.00376
  • Upperbound of 95% confidence interval for alpha
    0.35669
  • Treynor index (mean / b)
    0.48582
  • Jensen alpha (a)
    0.18022
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19197
  • SD
    0.12117
  • Sharpe ratio (Glass type estimate)
    1.58423
  • Sharpe ratio (Hedges UMVUE)
    1.58087
  • df
    354.00000
  • t
    1.84409
  • p
    0.03300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27097
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10693
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26867
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35318
  • Upside Potential Ratio
    9.19313
  • Upside part of mean
    0.74996
  • Downside part of mean
    -0.55799
  • Upside SD
    0.09015
  • Downside SD
    0.08158
  • N nonnegative terms
    199.00000
  • N negative terms
    156.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.03537
  • Mean of criterion
    0.19197
  • SD of predictor
    0.15055
  • SD of criterion
    0.12117
  • Covariance
    0.00932
  • r
    0.51070
  • b (slope, estimate of beta)
    0.41104
  • a (intercept, estimate of alpha)
    0.17743
  • Mean Square Error
    0.01088
  • DF error
    353.00000
  • t(b)
    11.16040
  • p(b)
    -0.00000
  • t(a)
    1.97942
  • p(a)
    0.02427
  • Lowerbound of 95% confidence interval for beta
    0.33860
  • Upperbound of 95% confidence interval for beta
    0.48347
  • Lowerbound of 95% confidence interval for alpha
    0.00114
  • Upperbound of 95% confidence interval for alpha
    0.35371
  • Treynor index (mean / b)
    0.46703
  • Jensen alpha (a)
    0.17743
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01151
  • Expected Shortfall on VaR
    0.01460
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00442
  • Expected Shortfall on VaR
    0.00937
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    355.00000
  • Minimum
    0.96896
  • Quartile 1
    0.99808
  • Median
    1.00050
  • Quartile 3
    1.00376
  • Maximum
    1.02826
  • Mean of quarter 1
    0.99220
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00186
  • Mean of quarter 4
    1.00980
  • Inter Quartile Range
    0.00569
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.05915
  • Mean of outliers low
    0.98274
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.07887
  • Mean of outliers high
    1.01626
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26288
  • VaR(95%) (moments method)
    0.00641
  • Expected Shortfall (moments method)
    0.01103
  • Extreme Value Index (regression method)
    0.01980
  • VaR(95%) (regression method)
    0.00698
  • Expected Shortfall (regression method)
    0.01022
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00095
  • Median
    0.00200
  • Quartile 3
    0.00989
  • Maximum
    0.08807
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00641
  • Mean of quarter 4
    0.02865
  • Inter Quartile Range
    0.00895
  • 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
    0.10204
  • Mean of outliers high
    0.04624
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33308
  • VaR(95%) (moments method)
    0.02774
  • Expected Shortfall (moments method)
    0.04942
  • Extreme Value Index (regression method)
    0.62299
  • VaR(95%) (regression method)
    0.02098
  • Expected Shortfall (regression method)
    0.04950
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25614
  • Compounded annual return (geometric extrapolation)
    0.24592
  • Calmar ratio (compounded annual return / max draw down)
    2.79228
  • Compounded annual return / average of 25% largest draw downs
    8.58291
  • Compounded annual return / Expected Shortfall lognormal
    16.84660
  • 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
    0.16358
  • SD
    0.11029
  • Sharpe ratio (Glass type estimate)
    1.48325
  • Sharpe ratio (Hedges UMVUE)
    1.47468
  • df
    130.00000
  • t
    1.04882
  • p
    0.45420
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25814
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25227
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28724
  • Upside Potential Ratio
    9.31569
  • Upside part of mean
    0.66625
  • Downside part of mean
    -0.50267
  • Upside SD
    0.08401
  • Downside SD
    0.07152
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02899
  • Mean of criterion
    0.16358
  • SD of predictor
    0.13444
  • SD of criterion
    0.11029
  • Covariance
    0.00923
  • r
    0.62281
  • b (slope, estimate of beta)
    0.51092
  • a (intercept, estimate of alpha)
    0.14877
  • Mean Square Error
    0.00750
  • DF error
    129.00000
  • t(b)
    9.04139
  • p(b)
    0.13089
  • t(a)
    1.21438
  • p(a)
    0.43245
  • Lowerbound of 95% confidence interval for beta
    0.39911
  • Upperbound of 95% confidence interval for beta
    0.62272
  • Lowerbound of 95% confidence interval for alpha
    -0.09361
  • Upperbound of 95% confidence interval for alpha
    0.39116
  • Treynor index (mean / b)
    0.32017
  • Jensen alpha (a)
    0.14877
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15749
  • SD
    0.11016
  • Sharpe ratio (Glass type estimate)
    1.42962
  • Sharpe ratio (Hedges UMVUE)
    1.42135
  • df
    130.00000
  • t
    1.01089
  • p
    0.45584
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19854
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18585
  • Upside Potential Ratio
    9.19764
  • Upside part of mean
    0.66269
  • Downside part of mean
    -0.50520
  • Upside SD
    0.08335
  • Downside SD
    0.07205
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01997
  • Mean of criterion
    0.15749
  • SD of predictor
    0.13494
  • SD of criterion
    0.11016
  • Covariance
    0.00926
  • r
    0.62314
  • b (slope, estimate of beta)
    0.50873
  • a (intercept, estimate of alpha)
    0.14733
  • Mean Square Error
    0.00748
  • DF error
    129.00000
  • t(b)
    9.04934
  • p(b)
    0.13072
  • t(a)
    1.20442
  • p(a)
    0.43299
  • Lowerbound of 95% confidence interval for beta
    0.39750
  • Upperbound of 95% confidence interval for beta
    0.61996
  • Lowerbound of 95% confidence interval for alpha
    -0.09469
  • Upperbound of 95% confidence interval for alpha
    0.38935
  • Treynor index (mean / b)
    0.30957
  • Jensen alpha (a)
    0.14733
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01054
  • Expected Shortfall on VaR
    0.01334
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97799
  • Quartile 1
    0.99796
  • Median
    1.00030
  • Quartile 3
    1.00300
  • Maximum
    1.02826
  • Mean of quarter 1
    0.99316
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00167
  • Mean of quarter 4
    1.00866
  • Inter Quartile Range
    0.00504
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98388
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01537
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37107
  • VaR(95%) (moments method)
    0.00653
  • Expected Shortfall (moments method)
    0.01237
  • Extreme Value Index (regression method)
    0.15675
  • VaR(95%) (regression method)
    0.00646
  • Expected Shortfall (regression method)
    0.01008
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00123
  • Median
    0.00655
  • Quartile 3
    0.00942
  • Maximum
    0.05311
  • Mean of quarter 1
    0.00073
  • Mean of quarter 2
    0.00283
  • Mean of quarter 3
    0.00795
  • Mean of quarter 4
    0.02559
  • Inter Quartile Range
    0.00819
  • 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
    0.10526
  • Mean of outliers high
    0.04276
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01903
  • VaR(95%) (moments method)
    0.02343
  • Expected Shortfall (moments method)
    0.03254
  • Extreme Value Index (regression method)
    0.46581
  • VaR(95%) (regression method)
    0.03920
  • Expected Shortfall (regression method)
    0.08764
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19426
  • Compounded annual return (geometric extrapolation)
    0.20370
  • Calmar ratio (compounded annual return / max draw down)
    3.83502
  • Compounded annual return / average of 25% largest draw downs
    7.95942
  • Compounded annual return / Expected Shortfall lognormal
    15.26460

Strategy Description

The strategy trades according to the Tastytrade philosophy: We benefit from the return of the implied volatilities to their means and from time decay. The underlying are either resilient when the markets fall, or highly volatile (meaning high premiums and safety cushions), or with a mathematical construction which allows a predictability in the price behavior.

Margin Use: Many strategies are using position sizes which are consuming all the allowable margin. When it works in the beginning, they manage to get a very high performance. As soon as the market goes against them, a margin call follows and the account gets obliterated. We invest a maximum 60% of the available margin to absorb price actions going against us and to withhold high volatility in the market.

Adjustments when the markets go against us: Our positions are easy to adjust. Should the strikes of the options be breached, I either roll the position or accept the assignment of the options. This is then followed by covered calls.

Management of winners: We usually close a position at 50%-75% of the maximum gain. Tastytrade studies show that managing winners early improves the performance.

Scaling: The strategy can be traded with accounts from 15k-20k upwards or less if you do not trade all the positions.

Easy to trade: You can trade easily my strategy via emails. Usually the limit prices are reachable several hours (sometimes several days) after the trade alerts are sent. Europeans can also trade options on US ETFs without any problem.

Stop-Losses: Several Tastytrade studies show that placing a kind of stop-loss of 100% or 200% loss of premium is not helpful in the long-term. Such temporary losses can occur and very often the position ends nevertheless with a win. Having cut the loss upfront would have been detrimental. I prefer to protect the portfolio through investing only 60% of the available margin in total.

Summary Statistics

Strategy began
2018-04-07
Suggested Minimum Capital
$35,000
# Trades
230
# Profitable
191
% Profitable
83.0%
Net Dividends
Correlation S&P500
0.512
Sharpe Ratio
1.46
Sortino Ratio
2.21
Beta
0.42
Alpha
0.05
Leverage
2.69 Average
5.02 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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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.