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

Tasty Plays
(117412922)

Created by: Optionopedia Optionopedia
Started: 04/2018
Options
Last trade: 1,223 days ago
Trading style: Options Premium Collecting
Subscriptions not currently available.

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 $5.00 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.
9.2%
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.

(46.8%)
Max Drawdown
296
Num Trades
81.8%
Win Trades
2.1 : 1
Profit Factor
63.9%
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%+0.5%+10.1%
2019+9.0%+1.0%+2.3%+1.5%(4.6%)+8.4%+2.8%+2.0%+0.2%  -  (1.2%)+3.3%+26.8%
2020+0.2%(9.2%)(28.7%)(8.5%)+17.0%+2.8%+8.8%+3.0%(3.3%)(6.6%)+29.7%+1.8%(4.6%)
2021+1.0%+7.5%+8.9%+3.6%+3.9%(4.1%)(5%)(1.5%)+1.0%+2.3%+4.7%+3.9%+28.2%
2022+5.7%(0.3%)(0.9%)(6.2%)(10.9%)(6.4%)+3.9%(4.8%)(12.1%)+8.5%+10.9%(4.8%)(18.6%)
2023+6.7%+3.9%(7%)+5.2%(7.3%)+6.2%+3.8%(11%)(7.4%)+2.3%+6.2%+9.0%+8.2%
2024(3.6%)+6.6%+9.6%                                                      +12.7%

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 161 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1479 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/10/20 11:44 BP2020W38 BP Nov20'20 38 put SHORT 5 14.35 11/21 9:35 0.00 3.56%
Trade id #127947757
Max drawdown($3,975)
Time10/15/20 0:00
Quant open5
Worst price22.30
Drawdown as % of equity-3.56%
$7,172
Includes Typical Broker Commissions trade costs of $3.50
3/10/20 11:47 BWA2020W30 BWA Nov20'20 30 put SHORT 10 6.24 11/21 9:35 0.00 5.13%
Trade id #127948317
Max drawdown($4,330)
Time3/17/20 0:00
Quant open10
Worst price10.57
Drawdown as % of equity-5.13%
$6,233
Includes Typical Broker Commissions trade costs of $7.00
3/10/20 12:01 WFC2016V47.5 WFC Oct16'20 47.5 put SHORT 5 16.15 10/17 9:35 0.00 3.81%
Trade id #127948873
Max drawdown($4,255)
Time10/15/20 0:00
Quant open5
Worst price24.66
Drawdown as % of equity-3.81%
$8,072
Includes Typical Broker Commissions trade costs of $3.50
3/10/20 11:57 SPR2016V47.5 SPR Oct16'20 47.5 put SHORT 10 10.00 10/17 9:35 0.00 17.29%
Trade id #127948718
Max drawdown($18,550)
Time10/1/20 0:00
Quant open10
Worst price28.55
Drawdown as % of equity-17.29%
$9,993
Includes Typical Broker Commissions trade costs of $7.00
3/10/20 11:59 WBA2016V45 WBA Oct16'20 45 put SHORT 5 4.50 10/17 9:35 0.00 2.98%
Trade id #127948770
Max drawdown($3,150)
Time9/11/20 0:00
Quant open5
Worst price10.80
Drawdown as % of equity-2.98%
$2,247
Includes Typical Broker Commissions trade costs of $3.50
3/10/20 11:51 HOG2021T32.5 HOG Aug21'20 32.5 put SHORT 5 10.40 8/22 9:35 0.00 4.18%
Trade id #127948495
Max drawdown($3,608)
Time4/3/20 0:00
Quant open5
Worst price17.62
Drawdown as % of equity-4.18%
$5,199
Includes Typical Broker Commissions trade costs of $3.50
2/14/20 12:37 CHD2020C70 CHD Mar20'20 70 call SHORT 7 6.45 3/21 9:35 0.00 n/a $4,510
Includes Typical Broker Commissions trade costs of $4.90
2/11/20 13:07 WFC2020O47.5 WFC Mar20'20 47.5 put SHORT 5 0.85 3/10 12:00 15.08 6.65%
Trade id #127461203
Max drawdown($7,975)
Time3/9/20 0:00
Quant open5
Worst price16.80
Drawdown as % of equity-6.65%
($7,121)
Includes Typical Broker Commissions trade costs of $7.00
2/20/20 10:56 WBA2020O50 WBA Mar20'20 50 put SHORT 5 0.58 3/10 11:58 4.50 1.91%
Trade id #127619027
Max drawdown($2,548)
Time2/28/20 0:00
Quant open5
Worst price5.68
Drawdown as % of equity-1.91%
($1,966)
Includes Typical Broker Commissions trade costs of $7.00
2/20/20 10:58 SPR2020O60 SPR Mar20'20 60 put SHORT 5 1.55 3/10 11:53 19.80 7.4%
Trade id #127619047
Max drawdown($8,875)
Time3/9/20 0:00
Quant open5
Worst price19.30
Drawdown as % of equity-7.40%
($9,132)
Includes Typical Broker Commissions trade costs of $7.00
2/4/20 14:16 HOG2020O32.5 HOG Mar20'20 32.5 put SHORT 5 0.73 3/10 11:50 10.00 4.27%
Trade id #127361312
Max drawdown($5,120)
Time3/9/20 0:00
Quant open5
Worst price10.97
Drawdown as % of equity-4.27%
($4,642)
Includes Typical Broker Commissions trade costs of $7.00
2/19/20 11:59 BWA2020O32.5 BWA Mar20'20 32.5 put SHORT 10 0.53 3/10 11:47 6.13 4.73%
Trade id #127600248
Max drawdown($5,682)
Time3/9/20 0:00
Quant open10
Worst price6.21
Drawdown as % of equity-4.73%
($5,620)
Includes Typical Broker Commissions trade costs of $14.00
2/19/20 11:55 BP2013O38 BP Mar13'20 38 put SHORT 5 1.94 3/10 11:42 14.00 5.11%
Trade id #127600147
Max drawdown($6,135)
Time3/9/20 0:00
Quant open5
Worst price14.21
Drawdown as % of equity-5.11%
($6,037)
Includes Typical Broker Commissions trade costs of $7.00
1/14/20 11:39 DLTR2021N85 DLTR Feb21'20 85 put SHORT 3 0.92 2/22 9:35 0.00 0.17%
Trade id #126986266
Max drawdown($234)
Time1/30/20 0:00
Quant open3
Worst price1.70
Drawdown as % of equity-0.17%
$274
Includes Typical Broker Commissions trade costs of $2.10
1/10/20 10:15 O2021N70 O Feb21'20 70 put SHORT 5 0.66 2/22 9:35 0.00 0.01%
Trade id #126945392
Max drawdown($20)
Time1/10/20 10:45
Quant open5
Worst price0.70
Drawdown as % of equity-0.01%
$327
Includes Typical Broker Commissions trade costs of $3.50
2/6/20 11:22 MPLX2021N23 MPLX Feb21'20 23 put SHORT 5 0.30 2/22 9:35 0.00 0.19%
Trade id #127395385
Max drawdown($275)
Time2/11/20 0:00
Quant open5
Worst price0.85
Drawdown as % of equity-0.19%
$147
Includes Typical Broker Commissions trade costs of $3.50
1/30/20 13:40 WBA2020O47.5 WBA Mar20'20 47.5 put SHORT 5 0.63 2/20 10:55 0.23 0.07%
Trade id #127294451
Max drawdown($92)
Time1/31/20 0:00
Quant open5
Worst price0.81
Drawdown as % of equity-0.07%
$192
Includes Typical Broker Commissions trade costs of $7.00
1/14/20 11:32 SPR2021N67.5 SPR Feb21'20 67.5 put SHORT 5 2.97 2/20 9:34 1.75 0.87%
Trade id #126986196
Max drawdown($1,215)
Time1/30/20 0:00
Quant open5
Worst price5.40
Drawdown as % of equity-0.87%
$603
Includes Typical Broker Commissions trade costs of $7.00
1/21/20 9:40 BP2021N38 BP Feb21'20 38 put SHORT 5 0.80 2/19 11:54 1.89 0.97%
Trade id #127114246
Max drawdown($1,350)
Time2/3/20 0:00
Quant open5
Worst price3.50
Drawdown as % of equity-0.97%
($552)
Includes Typical Broker Commissions trade costs of $7.00
1/8/20 10:41 CHD2021B70 CHD Feb21'20 70 call SHORT 7 2.59 2/14 12:36 6.30 2.34%
Trade id #126913552
Max drawdown($3,261)
Time1/31/20 0:00
Quant open7
Worst price7.25
Drawdown as % of equity-2.34%
($2,607)
Includes Typical Broker Commissions trade costs of $9.80
1/2/20 11:01 KO2021N55 KO Feb21'20 55 put SHORT 5 1.11 2/5 11:50 0.05 0.16%
Trade id #126833299
Max drawdown($220)
Time1/7/20 0:00
Quant open5
Worst price1.55
Drawdown as % of equity-0.16%
$523
Includes Typical Broker Commissions trade costs of $7.00
12/20/19 10:26 QSR2017M62.5 QSR Jan17'20 62.5 put SHORT 5 0.32 1/18/20 9:35 0.00 0.24%
Trade id #126703672
Max drawdown($340)
Time1/8/20 0:00
Quant open5
Worst price1.00
Drawdown as % of equity-0.24%
$157
Includes Typical Broker Commissions trade costs of $3.50
12/9/19 13:49 NTGR2017M24 NTGR Jan17'20 24 put SHORT 3 0.80 1/18/20 9:35 0.00 0.04%
Trade id #126546984
Max drawdown($60)
Time12/10/19 0:00
Quant open3
Worst price1.00
Drawdown as % of equity-0.04%
$238
Includes Typical Broker Commissions trade costs of $2.10
12/11/19 11:19 BEN2017M25 BEN Jan17'20 25 put SHORT 5 0.58 1/18/20 9:35 0.00 0.01%
Trade id #126578777
Max drawdown($10)
Time12/11/19 11:20
Quant open5
Worst price0.60
Drawdown as % of equity-0.01%
$287
Includes Typical Broker Commissions trade costs of $3.50
12/9/19 13:46 TAP2017M50 TAP Jan17'20 50 put SHORT 3 0.80 1/18/20 9:35 0.00 0.04%
Trade id #126546971
Max drawdown($60)
Time12/10/19 0:00
Quant open3
Worst price1.00
Drawdown as % of equity-0.04%
$238
Includes Typical Broker Commissions trade costs of $2.10
12/20/19 10:04 ORCL2017M52.5 ORCL Jan17'20 52.5 put SHORT 5 0.51 1/18/20 9:35 0.00 0.14%
Trade id #126703096
Max drawdown($190)
Time12/31/19 0:00
Quant open5
Worst price0.89
Drawdown as % of equity-0.14%
$252
Includes Typical Broker Commissions trade costs of $3.50
12/17/19 11:29 T2017M38 T Jan17'20 38 put SHORT 5 0.64 1/18/20 9:35 0.00 0.01%
Trade id #126655693
Max drawdown($15)
Time12/17/19 14:13
Quant open5
Worst price0.67
Drawdown as % of equity-0.01%
$317
Includes Typical Broker Commissions trade costs of $3.50
12/20/19 9:46 CHD2017A70 CHD Jan17'20 70 call SHORT 5 1.50 1/17/20 12:26 2.05 0.26%
Trade id #126702569
Max drawdown($370)
Time1/16/20 0:00
Quant open5
Worst price2.24
Drawdown as % of equity-0.26%
($282)
Includes Typical Broker Commissions trade costs of $7.00
1/9/20 10:32 SPR2017M70 SPR Jan17'20 70 put SHORT 5 0.50 1/14 11:32 2.35 1.34%
Trade id #126930553
Max drawdown($1,875)
Time1/14/20 9:57
Quant open5
Worst price4.25
Drawdown as % of equity-1.34%
($932)
Includes Typical Broker Commissions trade costs of $7.00
12/20/19 10:03 O2017M70 O Jan17'20 70 put SHORT 5 0.57 1/10/20 10:14 0.14 0.02%
Trade id #126703043
Max drawdown($21)
Time12/20/19 10:22
Quant open5
Worst price0.61
Drawdown as % of equity-0.02%
$208
Includes Typical Broker Commissions trade costs of $7.00

Statistics

  • Strategy began
    4/7/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2178.98
  • Age
    73 months ago
  • What it trades
    Options
  • # Trades
    296
  • # Profitable
    242
  • % Profitable
    81.80%
  • Avg trade duration
    63.8 days
  • Max peak-to-valley drawdown
    46.75%
  • drawdown period
    Feb 12, 2020 - March 24, 2020
  • Annual Return (Compounded)
    9.2%
  • Avg win
    $567.11
  • Avg loss
    $1,412
  • Model Account Values (Raw)
  • Cash
    $72,207
  • Margin Used
    $0
  • Buying Power
    $79,326
  • Ratios
  • W:L ratio
    2.13:1
  • Sharpe Ratio
    0.33
  • Sortino Ratio
    0.48
  • Calmar Ratio
    0.531
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -31.53%
  • Correlation to SP500
    0.53640
  • Return Percent SP500 (cumu) during strategy life
    101.74%
  • Return Statistics
  • Ann Return (w trading costs)
    9.2%
  • Slump
  • Current Slump as Pcnt Equity
    10.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.35%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    10.04%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.092%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,436
  • Avg Win
    $567
  • Sum Trade PL (losers)
    $77,522.000
  • Age
  • Num Months filled monthly returns table
    72
  • Win / Loss
  • Sum Trade PL (winners)
    $137,226.000
  • # Winners
    242
  • Num Months Winners
    46
  • Dividends
  • Dividends Received in Model Acct
    12213
  • Win / Loss
  • # Losers
    54
  • % Winners
    81.8%
  • Frequency
  • Avg Position Time (mins)
    91852.50
  • Avg Position Time (hrs)
    1530.88
  • Avg Trade Length
    63.8 days
  • Last Trade Ago
    1220
  • Leverage
  • Daily leverage (average)
    2.32
  • Daily leverage (max)
    5.65
  • Regression
  • Alpha
    0.01
  • Beta
    0.66
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    36.69
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    13.51
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.22
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.994
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    1.486
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.457
  • Hold-and-Hope Ratio
    0.279
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19959
  • SD
    0.39797
  • Sharpe ratio (Glass type estimate)
    0.50152
  • Sharpe ratio (Hedges UMVUE)
    0.48886
  • df
    30.00000
  • t
    0.80608
  • p
    0.21327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73683
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71455
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73038
  • Upside Potential Ratio
    1.64137
  • Upside part of mean
    0.44853
  • Downside part of mean
    -0.24894
  • Upside SD
    0.28621
  • Downside SD
    0.27327
  • N nonnegative terms
    23.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.23430
  • Mean of criterion
    0.19959
  • SD of predictor
    0.32272
  • SD of criterion
    0.39797
  • Covariance
    0.09905
  • r
    0.77118
  • b (slope, estimate of beta)
    0.95099
  • a (intercept, estimate of alpha)
    -0.02323
  • Mean Square Error
    0.06640
  • DF error
    29.00000
  • t(b)
    6.52352
  • p(b)
    0.00000
  • t(a)
    -0.14169
  • p(a)
    0.55585
  • Lowerbound of 95% confidence interval for beta
    0.65284
  • Upperbound of 95% confidence interval for beta
    1.24914
  • Lowerbound of 95% confidence interval for alpha
    -0.35848
  • Upperbound of 95% confidence interval for alpha
    0.31203
  • Treynor index (mean / b)
    0.20988
  • Jensen alpha (a)
    -0.02323
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11429
  • SD
    0.43102
  • Sharpe ratio (Glass type estimate)
    0.26515
  • Sharpe ratio (Hedges UMVUE)
    0.25846
  • df
    30.00000
  • t
    0.42617
  • p
    0.33651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47964
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33411
  • Upside Potential Ratio
    1.20701
  • Upside part of mean
    0.41287
  • Downside part of mean
    -0.29858
  • Upside SD
    0.25273
  • Downside SD
    0.34206
  • N nonnegative terms
    23.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.17970
  • Mean of criterion
    0.11429
  • SD of predictor
    0.33404
  • SD of criterion
    0.43102
  • Covariance
    0.11801
  • r
    0.81965
  • b (slope, estimate of beta)
    1.05762
  • a (intercept, estimate of alpha)
    -0.07577
  • Mean Square Error
    0.06307
  • DF error
    29.00000
  • t(b)
    7.70508
  • p(b)
    0.00000
  • t(a)
    -0.47897
  • p(a)
    0.68222
  • Lowerbound of 95% confidence interval for beta
    0.77689
  • Upperbound of 95% confidence interval for beta
    1.33835
  • Lowerbound of 95% confidence interval for alpha
    -0.39930
  • Upperbound of 95% confidence interval for alpha
    0.24776
  • Treynor index (mean / b)
    0.10806
  • Jensen alpha (a)
    -0.07577
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17728
  • Expected Shortfall on VaR
    0.21815
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02739
  • Expected Shortfall on VaR
    0.07173
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.59703
  • Quartile 1
    1.00191
  • Median
    1.01266
  • Quartile 3
    1.03223
  • Maximum
    1.33790
  • Mean of quarter 1
    0.92194
  • Mean of quarter 2
    1.00822
  • Mean of quarter 3
    1.02522
  • Mean of quarter 4
    1.12125
  • Inter Quartile Range
    0.03032
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.71701
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.23646
  • 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)
    2.12137
  • VaR(95%) (regression method)
    0.06581
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00846
  • Quartile 1
    0.01078
  • Median
    0.02086
  • Quartile 3
    0.12838
  • Maximum
    0.40297
  • Mean of quarter 1
    0.00854
  • Mean of quarter 2
    0.01724
  • Mean of quarter 3
    0.02448
  • Mean of quarter 4
    0.28299
  • Inter Quartile Range
    0.11760
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.40297
  • 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)
    0.17182
  • Compounded annual return (geometric extrapolation)
    0.15280
  • Calmar ratio (compounded annual return / max draw down)
    0.37919
  • Compounded annual return / average of 25% largest draw downs
    0.53995
  • Compounded annual return / Expected Shortfall lognormal
    0.70045
  • 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
    0.25519
  • SD
    0.39581
  • Sharpe ratio (Glass type estimate)
    0.64472
  • Sharpe ratio (Hedges UMVUE)
    0.64402
  • df
    695.00000
  • t
    1.05081
  • p
    0.14686
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55851
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84702
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92543
  • Upside Potential Ratio
    6.36662
  • Upside part of mean
    1.75560
  • Downside part of mean
    -1.50041
  • Upside SD
    0.28399
  • Downside SD
    0.27575
  • N nonnegative terms
    387.00000
  • N negative terms
    309.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    696.00000
  • Mean of predictor
    0.27466
  • Mean of criterion
    0.25519
  • SD of predictor
    0.31253
  • SD of criterion
    0.39581
  • Covariance
    0.07000
  • r
    0.56588
  • b (slope, estimate of beta)
    0.71666
  • a (intercept, estimate of alpha)
    0.05800
  • Mean Square Error
    0.10665
  • DF error
    694.00000
  • t(b)
    18.08080
  • p(b)
    0.00000
  • t(a)
    0.29078
  • p(a)
    0.38566
  • Lowerbound of 95% confidence interval for beta
    0.63884
  • Upperbound of 95% confidence interval for beta
    0.79449
  • Lowerbound of 95% confidence interval for alpha
    -0.33564
  • Upperbound of 95% confidence interval for alpha
    0.45233
  • Treynor index (mean / b)
    0.35608
  • Jensen alpha (a)
    0.05835
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17619
  • SD
    0.39879
  • Sharpe ratio (Glass type estimate)
    0.44182
  • Sharpe ratio (Hedges UMVUE)
    0.44134
  • df
    695.00000
  • t
    0.72011
  • p
    0.23585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64409
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60578
  • Upside Potential Ratio
    5.90424
  • Upside part of mean
    1.71723
  • Downside part of mean
    -1.54104
  • Upside SD
    0.27263
  • Downside SD
    0.29085
  • N nonnegative terms
    387.00000
  • N negative terms
    309.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    696.00000
  • Mean of predictor
    0.22555
  • Mean of criterion
    0.17619
  • SD of predictor
    0.31362
  • SD of criterion
    0.39879
  • Covariance
    0.07189
  • r
    0.57480
  • b (slope, estimate of beta)
    0.73090
  • a (intercept, estimate of alpha)
    0.01133
  • Mean Square Error
    0.10664
  • DF error
    694.00000
  • t(b)
    18.50510
  • p(b)
    0.00000
  • t(a)
    0.05651
  • p(a)
    0.47748
  • Lowerbound of 95% confidence interval for beta
    0.65335
  • Upperbound of 95% confidence interval for beta
    0.80845
  • Lowerbound of 95% confidence interval for alpha
    -0.38244
  • Upperbound of 95% confidence interval for alpha
    0.40510
  • Treynor index (mean / b)
    0.24106
  • Jensen alpha (a)
    0.01133
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03907
  • Expected Shortfall on VaR
    0.04887
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01179
  • Expected Shortfall on VaR
    0.02663
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    696.00000
  • Minimum
    0.79243
  • Quartile 1
    0.99650
  • Median
    1.00070
  • Quartile 3
    1.00558
  • Maximum
    1.17025
  • Mean of quarter 1
    0.97819
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00263
  • Mean of quarter 4
    1.02432
  • Inter Quartile Range
    0.00908
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.10057
  • Mean of outliers low
    0.95771
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.10201
  • Mean of outliers high
    1.04405
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76437
  • VaR(95%) (moments method)
    0.01875
  • Expected Shortfall (moments method)
    0.08852
  • Extreme Value Index (regression method)
    0.51228
  • VaR(95%) (regression method)
    0.01694
  • Expected Shortfall (regression method)
    0.04199
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00111
  • Median
    0.00354
  • Quartile 3
    0.01621
  • Maximum
    0.42669
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00216
  • Mean of quarter 3
    0.00893
  • Mean of quarter 4
    0.08411
  • Inter Quartile Range
    0.01510
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    0.16629
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.88477
  • VaR(95%) (moments method)
    0.08028
  • Expected Shortfall (moments method)
    0.72968
  • Extreme Value Index (regression method)
    1.39560
  • VaR(95%) (regression method)
    0.05005
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27094
  • Compounded annual return (geometric extrapolation)
    0.22642
  • Calmar ratio (compounded annual return / max draw down)
    0.53063
  • Compounded annual return / average of 25% largest draw downs
    2.69195
  • Compounded annual return / Expected Shortfall lognormal
    4.63303
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26508
  • SD
    0.70226
  • Sharpe ratio (Glass type estimate)
    1.80142
  • Sharpe ratio (Hedges UMVUE)
    1.79101
  • df
    130.00000
  • t
    1.27380
  • p
    0.44449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57848
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57135
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62120
  • Upside Potential Ratio
    9.32833
  • Upside part of mean
    4.50216
  • Downside part of mean
    -3.23709
  • Upside SD
    0.51243
  • Downside SD
    0.48263
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.95899
  • Mean of criterion
    1.26508
  • SD of predictor
    0.47276
  • SD of criterion
    0.70226
  • Covariance
    0.23953
  • r
    0.72146
  • b (slope, estimate of beta)
    1.07169
  • a (intercept, estimate of alpha)
    0.23734
  • Mean Square Error
    0.23831
  • DF error
    129.00000
  • t(b)
    11.83350
  • p(b)
    0.08445
  • t(a)
    0.34109
  • p(a)
    0.48089
  • Lowerbound of 95% confidence interval for beta
    0.89251
  • Upperbound of 95% confidence interval for beta
    1.25087
  • Lowerbound of 95% confidence interval for alpha
    -1.13936
  • Upperbound of 95% confidence interval for alpha
    1.61403
  • Treynor index (mean / b)
    1.18045
  • Jensen alpha (a)
    0.23734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.01409
  • SD
    0.71153
  • Sharpe ratio (Glass type estimate)
    1.42523
  • Sharpe ratio (Hedges UMVUE)
    1.41699
  • df
    130.00000
  • t
    1.00779
  • p
    0.45598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35465
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19414
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96409
  • Upside Potential Ratio
    8.47962
  • Upside part of mean
    4.37816
  • Downside part of mean
    -3.36407
  • Upside SD
    0.48964
  • Downside SD
    0.51631
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.84588
  • Mean of criterion
    1.01409
  • SD of predictor
    0.47497
  • SD of criterion
    0.71153
  • Covariance
    0.24896
  • r
    0.73665
  • b (slope, estimate of beta)
    1.10354
  • a (intercept, estimate of alpha)
    0.08063
  • Mean Square Error
    0.23333
  • DF error
    129.00000
  • t(b)
    12.37200
  • p(b)
    0.07783
  • t(a)
    0.11731
  • p(a)
    0.49343
  • VAR (95 Confidence Intrvl)
    0.03900
  • Lowerbound of 95% confidence interval for beta
    0.92706
  • Upperbound of 95% confidence interval for beta
    1.28002
  • Lowerbound of 95% confidence interval for alpha
    -1.27918
  • Upperbound of 95% confidence interval for alpha
    1.44043
  • Treynor index (mean / b)
    0.91894
  • Jensen alpha (a)
    0.08063
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06615
  • Expected Shortfall on VaR
    0.08302
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02460
  • Expected Shortfall on VaR
    0.05311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79243
  • Quartile 1
    0.98764
  • Median
    1.00814
  • Quartile 3
    1.02564
  • Maximum
    1.17025
  • Mean of quarter 1
    0.95451
  • Mean of quarter 2
    0.99825
  • Mean of quarter 3
    1.01628
  • Mean of quarter 4
    1.05104
  • Inter Quartile Range
    0.03800
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.88596
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.14357
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00764
  • VaR(95%) (moments method)
    0.03442
  • Expected Shortfall (moments method)
    0.04800
  • Extreme Value Index (regression method)
    0.40048
  • VaR(95%) (regression method)
    0.04268
  • Expected Shortfall (regression method)
    0.08502
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00264
  • Quartile 1
    0.02959
  • Median
    0.04325
  • Quartile 3
    0.07263
  • Maximum
    0.36445
  • Mean of quarter 1
    0.00963
  • Mean of quarter 2
    0.03492
  • Mean of quarter 3
    0.05173
  • Mean of quarter 4
    0.24816
  • Inter Quartile Range
    0.04304
  • 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
    0.36445
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -402217000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.36742
  • Compounded annual return (geometric extrapolation)
    1.83487
  • Calmar ratio (compounded annual return / max draw down)
    5.03464
  • Compounded annual return / average of 25% largest draw downs
    7.39389
  • Compounded annual return / Expected Shortfall lognormal
    22.10130

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
$100,000
# Trades
296
# Profitable
242
% Profitable
81.8%
Net Dividends
Correlation S&P500
0.536
Sharpe Ratio
0.33
Sortino Ratio
0.48
Beta
0.66
Alpha
0.01
Leverage
2.32 Average
5.65 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.