Collective2 Collective2
Featured Strategy IC Algotrading +86.4% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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This is an archived track record. This track record was archived on 11/17/23 10:19 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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The Recliner
(141384677)

Created by: SVJoshi SVJoshi
Started: 08/2022
Stocks, Options
Last trade: 154 days ago
Trading style: Equity Hedged Equity Sector Rotation

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 $50.00 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: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
3.4%
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.

(16.4%)
Max Drawdown
293
Num Trades
54.3%
Win Trades
1.1 : 1
Profit Factor
38.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                 +0.4%+1.1%+1.6%+3.3%(1.7%)+4.8%
2023+0.9%(0.5%)+0.4%(0.3%)(0.7%)+8.7%(3.4%)+1.0%(0.3%)(4.6%)(1.1%)  -  (0.4%)
2024  -    -    -    -                                                  0.0

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/23 10:04 RYLD2415O16 RYLD Mar15'24 16 put LONG 6 0.60 11/17 10:19 0.46 n/a ($92)
Includes Typical Broker Commissions trade costs of $8.40
11/13/23 12:14 SDS2315L37 SDS Dec15'23 37 call SHORT 1 0.55 11/17 10:19 0.21 n/a $32
Includes Typical Broker Commissions trade costs of $2.00
11/9/23 9:55 GDX2315L30 GDX Dec15'23 30 call SHORT 2 0.42 11/17 10:19 0.48 0.08%
Trade id #146385040
Max drawdown($42)
Time11/16/23 0:00
Quant open2
Worst price0.63
Drawdown as % of equity-0.08%
 ($15)
Includes Typical Broker Commissions trade costs of $2.80
11/8/23 13:28 TBT2315L41 TBT Dec15'23 41 call SHORT 1 0.72 11/17 10:19 0.46 0.16%
Trade id #146369162
Max drawdown($78)
Time11/9/23 0:00
Quant open1
Worst price1.50
Drawdown as % of equity-0.16%
 $24
Includes Typical Broker Commissions trade costs of $2.00
11/8/23 10:59 GOOGL2416N120 GOOGL Feb16'24 120 put SHORT 3 2.79 11/17 10:19 1.70 0.19%
Trade id #146366406
Max drawdown($93)
Time11/10/23 0:00
Quant open3
Worst price3.10
Drawdown as % of equity-0.19%
 $323
Includes Typical Broker Commissions trade costs of $4.20
11/8/23 10:59 GOOGL2416N130 GOOGL Feb16'24 130 put LONG 3 5.90 11/17 10:19 4.20 1.25%
Trade id #146366404
Max drawdown($651)
Time11/16/23 0:00
Quant open3
Worst price3.73
Drawdown as % of equity-1.25%
 ($514)
Includes Typical Broker Commissions trade costs of $4.20
11/8/23 10:54 GOOY YIELDMAX GOOGL OPTION INCOME STRATEGY ETF LONG 300 18.82 11/17 10:19 19.09 0.05%
Trade id #146366305
Max drawdown($27)
Time11/9/23 0:00
Quant open300
Worst price18.73
Drawdown as % of equity-0.05%
 $75
Includes Typical Broker Commissions trade costs of $6.00
11/8/23 9:55 TQQQ2308X35 TQQQ Dec8'23 35 put SHORT 2 0.79 11/17 10:19 0.19 0.1%
Trade id #146365464
Max drawdown($52)
Time11/9/23 0:00
Quant open2
Worst price1.05
Drawdown as % of equity-0.10%
 $117
Includes Typical Broker Commissions trade costs of $2.80
11/8/23 9:49 UDOW PROSHARES ULTRAPRO DOW30 LONG 44 56.45 11/17 10:19 60.00 0.16%
Trade id #146365302
Max drawdown($82)
Time11/9/23 0:00
Quant open44
Worst price54.58
Drawdown as % of equity-0.16%
 $155
Includes Typical Broker Commissions trade costs of $0.88
11/7/23 15:30 SQQQ2315L20 SQQQ Dec15'23 20 call SHORT 4 0.67 11/17 10:19 0.20 0.14%
Trade id #146360421
Max drawdown($68)
Time11/9/23 0:00
Quant open4
Worst price0.84
Drawdown as % of equity-0.14%
 $182
Includes Typical Broker Commissions trade costs of $5.60
10/30/23 10:57 ERX2301L64 ERX Dec1'23 64 call SHORT 1 1.25 11/17 10:19 0.13 0.04%
Trade id #146276592
Max drawdown($20)
Time10/30/23 15:51
Quant open1
Worst price1.45
Drawdown as % of equity-0.04%
 $110
Includes Typical Broker Commissions trade costs of $2.00
10/23/23 10:24 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 400 20.99 11/17 10:19 16.39 3.82%
Trade id #146205459
Max drawdown($1,988)
Time11/15/23 0:00
Quant open400
Worst price16.02
Drawdown as % of equity-3.82%
 ($1,848)
Includes Typical Broker Commissions trade costs of $8.00
10/19/23 9:58 TSLY2315X12 TSLY Dec15'23 12 put LONG 2 1.10 11/17 10:19 1.32 0.14%
Trade id #146172632
Max drawdown($70)
Time11/6/23 0:00
Quant open2
Worst price0.75
Drawdown as % of equity-0.14%
 $41
Includes Typical Broker Commissions trade costs of $2.80
10/18/23 9:46 GDX VANECK GOLD MINERS ETF LONG 200 29.95 11/17 10:19 28.57 1.18%
Trade id #146160462
Max drawdown($587)
Time11/10/23 0:00
Quant open200
Worst price27.02
Drawdown as % of equity-1.18%
 ($281)
Includes Typical Broker Commissions trade costs of $4.00
10/16/23 15:28 DIS2315X80 DIS Dec15'23 80 put LONG 3 1.71 11/17 10:19 0.08 0.94%
Trade id #146144264
Max drawdown($489)
Time11/16/23 0:00
Quant open3
Worst price0.08
Drawdown as % of equity-0.94%
 ($493)
Includes Typical Broker Commissions trade costs of $4.20
10/16/23 15:25 DISO YIELDMAX DIS OPTION INCOME STRATEGY ETF LONG 300 20.69 11/17 10:19 21.29 0.69%
Trade id #146144215
Max drawdown($364)
Time10/27/23 0:00
Quant open300
Worst price19.47
Drawdown as % of equity-0.69%
 $174
Includes Typical Broker Commissions trade costs of $6.00
10/12/23 14:31 QYLD2419M17 QYLD Jan19'24 17 put LONG 3 0.50 11/17 10:19 0.35 0.12%
Trade id #146114551
Max drawdown($60)
Time11/14/23 0:00
Quant open3
Worst price0.30
Drawdown as % of equity-0.12%
 ($49)
Includes Typical Broker Commissions trade costs of $4.20
10/12/23 14:30 QYLD GLOBAL X NASDAQ 100 COVERED CALL ETF LONG 300 17.23 11/17 10:19 17.04 0.56%
Trade id #146114545
Max drawdown($294)
Time10/26/23 0:00
Quant open300
Worst price16.25
Drawdown as % of equity-0.56%
 ($63)
Includes Typical Broker Commissions trade costs of $6.00
10/9/23 15:27 JEPQ2416N47 JEPQ Feb16'24 47 put LONG 1 2.50 11/17 10:19 0.80 0.34%
Trade id #146080700
Max drawdown($175)
Time11/14/23 0:00
Quant open1
Worst price0.75
Drawdown as % of equity-0.34%
 ($172)
Includes Typical Broker Commissions trade costs of $2.00
10/9/23 15:25 JEPQ JPMORGAN NASDAQ EQUITY PREMIUM INCOME ETF LONG 100 47.30 11/17 10:19 48.95 0.45%
Trade id #146080688
Max drawdown($235)
Time10/26/23 0:00
Quant open100
Worst price44.95
Drawdown as % of equity-0.45%
 $163
Includes Typical Broker Commissions trade costs of $2.00
10/9/23 15:19 JEPI2419M53 JEPI Jan19'24 53 put LONG 1 1.20 11/17 10:19 0.35 0.17%
Trade id #146080624
Max drawdown($85)
Time11/14/23 0:00
Quant open1
Worst price0.35
Drawdown as % of equity-0.17%
 ($87)
Includes Typical Broker Commissions trade costs of $2.00
10/9/23 15:14 JEPI JP MORGAN EQUITY PREMIUM INCOME ETF LONG 100 53.27 11/17 10:19 54.27 0.36%
Trade id #146080596
Max drawdown($189)
Time10/27/23 0:00
Quant open100
Worst price51.38
Drawdown as % of equity-0.36%
 $98
Includes Typical Broker Commissions trade costs of $2.00
10/9/23 9:41 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 100 42.40 11/17 10:19 37.65 1.01%
Trade id #146073998
Max drawdown($513)
Time11/14/23 0:00
Quant open100
Worst price37.27
Drawdown as % of equity-1.01%
 ($477)
Includes Typical Broker Commissions trade costs of $2.00
9/25/23 10:34 FAS2317K63 FAS Nov17'23 63 call SHORT 1 3.70 11/17 10:19 3.90 0.02%
Trade id #145923869
Max drawdown($12)
Time9/25/23 11:10
Quant open1
Worst price3.82
Drawdown as % of equity-0.02%
 ($22)
Includes Typical Broker Commissions trade costs of $2.00
9/18/23 13:37 FAS DIREXION DAILY FINANCIAL BULL LONG 100 68.52 11/17 10:19 66.88 3.75%
Trade id #145858736
Max drawdown($1,979)
Time10/27/23 0:00
Quant open100
Worst price48.73
Drawdown as % of equity-3.75%
 ($166)
Includes Typical Broker Commissions trade costs of $2.00
9/15/23 9:38 TSLY YIELDMAX TSLA OPTION INCOME STRATEGY ETF LONG 200 14.80 11/17 10:19 11.19 1.54%
Trade id #145835520
Max drawdown($812)
Time10/31/23 0:00
Quant open200
Worst price10.74
Drawdown as % of equity-1.54%
 ($727)
Includes Typical Broker Commissions trade costs of $4.00
9/11/23 10:36 ERX DIREXION DAILY ENERGY BULL 2X LONG 100 69.24 11/17 10:19 56.70 2.88%
Trade id #145787121
Max drawdown($1,499)
Time11/16/23 0:00
Quant open100
Worst price54.25
Drawdown as % of equity-2.88%
 ($1,256)
Includes Typical Broker Commissions trade costs of $2.00
8/11/23 15:33 SDS PROSHARES ULTRASHORT S&P500 LONG 200 35.19 11/17 10:19 34.41 0.33%
Trade id #145508260
Max drawdown($181)
Time9/1/23 0:00
Quant open100
Worst price33.37
Drawdown as % of equity-0.33%
 ($160)
Includes Typical Broker Commissions trade costs of $4.00
7/31/23 12:02 RYLD GLOBAL X RUSSELL 2000 COVERED CALL ETF LONG 550 18.22 11/17 10:19 16.64 2.47%
Trade id #145377414
Max drawdown($1,303)
Time10/27/23 0:00
Quant open550
Worst price15.85
Drawdown as % of equity-2.47%
 ($874)
Includes Typical Broker Commissions trade costs of $5.00
8/3/23 15:55 RYLD2315X18 RYLD Dec15'23 18 put LONG 6 0.95 11/17 10:04 1.40 0.31%
Trade id #145423384
Max drawdown($168)
Time9/15/23 0:00
Quant open6
Worst price0.67
Drawdown as % of equity-0.31%
 $262
Includes Typical Broker Commissions trade costs of $8.40
Next

Statistics

  • Strategy began
    8/11/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    614.88
  • Age
    21 months ago
  • What it trades
    Stocks, Options
  • # Trades
    293
  • # Profitable
    159
  • % Profitable
    54.30%
  • Avg trade duration
    19.9 days
  • Max peak-to-valley drawdown
    16.43%
  • drawdown period
    July 19, 2023 - Nov 09, 2023
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $187.13
  • Avg loss
    $210.95
  • Model Account Values (Raw)
  • Cash
    $54,144
  • Margin Used
    $0
  • Buying Power
    $54,144
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.15
  • Calmar Ratio
    0.502
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.79%
  • Correlation to SP500
    0.02900
  • Return Percent SP500 (cumu) during strategy life
    19.11%
  • Return Statistics
  • Ann Return (w trading costs)
    3.4%
  • Slump
  • Current Slump as Pcnt Equity
    14.00%
  • Instruments
  • Percent Trades Futures
    0.10%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.44%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    94.38%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.034%
  • Instruments
  • Percent Trades Options
    0.33%
  • Percent Trades Stocks
    0.57%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    87.50%
  • Chance of 20% account loss
    51.50%
  • Chance of 30% account loss
    26.00%
  • Chance of 40% account loss
    5.00%
  • 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
    5.34%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    416
  • 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
    $211
  • Avg Win
    $187
  • Sum Trade PL (losers)
    $28,267.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $29,754.000
  • # Winners
    159
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    2650
  • Win / Loss
  • # Losers
    134
  • % Winners
    54.3%
  • Frequency
  • Avg Position Time (mins)
    28694.80
  • Avg Position Time (hrs)
    478.25
  • Avg Trade Length
    19.9 days
  • Last Trade Ago
    152
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    6.91
  • Regression
  • Alpha
    0.00
  • Beta
    0.03
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.29
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    74.05
  • MAE:Equity, average, winning trades
    0.35
  • MAE:Equity, average, losing trades
    0.23
  • Avg(MAE) / Avg(PL) - All trades
    -8082.900
  • 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
    98.251
  • Avg(MAE) / Avg(PL) - Losing trades
    -58.530
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03694
  • SD
    0.08191
  • Sharpe ratio (Glass type estimate)
    0.45103
  • Sharpe ratio (Hedges UMVUE)
    0.42441
  • df
    13.00000
  • t
    0.48717
  • p
    0.41501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39748
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24630
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80314
  • Upside Potential Ratio
    2.35234
  • Upside part of mean
    0.10821
  • Downside part of mean
    -0.07126
  • Upside SD
    0.06502
  • Downside SD
    0.04600
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.01259
  • Mean of criterion
    0.03694
  • SD of predictor
    0.20386
  • SD of criterion
    0.08191
  • Covariance
    0.00931
  • r
    0.55753
  • b (slope, estimate of beta)
    0.22402
  • a (intercept, estimate of alpha)
    0.03977
  • Mean Square Error
    0.00501
  • DF error
    12.00000
  • t(b)
    2.32650
  • p(b)
    0.22123
  • t(a)
    0.60677
  • p(a)
    0.41373
  • Lowerbound of 95% confidence interval for beta
    0.01422
  • Upperbound of 95% confidence interval for beta
    0.43382
  • Lowerbound of 95% confidence interval for alpha
    -0.10303
  • Upperbound of 95% confidence interval for alpha
    0.18256
  • Treynor index (mean / b)
    0.16492
  • Jensen alpha (a)
    0.03977
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03374
  • SD
    0.08111
  • Sharpe ratio (Glass type estimate)
    0.41598
  • Sharpe ratio (Hedges UMVUE)
    0.39143
  • df
    13.00000
  • t
    0.44931
  • p
    0.42148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21223
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72047
  • Upside Potential Ratio
    2.26178
  • Upside part of mean
    0.10592
  • Downside part of mean
    -0.07218
  • Upside SD
    0.06333
  • Downside SD
    0.04683
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    -0.03209
  • Mean of criterion
    0.03374
  • SD of predictor
    0.20591
  • SD of criterion
    0.08111
  • Covariance
    0.00886
  • r
    0.53040
  • b (slope, estimate of beta)
    0.20893
  • a (intercept, estimate of alpha)
    0.04044
  • Mean Square Error
    0.00512
  • DF error
    12.00000
  • t(b)
    2.16733
  • p(b)
    0.23480
  • t(a)
    0.60975
  • p(a)
    0.41332
  • Lowerbound of 95% confidence interval for beta
    -0.00111
  • Upperbound of 95% confidence interval for beta
    0.41896
  • Lowerbound of 95% confidence interval for alpha
    -0.10408
  • Upperbound of 95% confidence interval for alpha
    0.18496
  • Treynor index (mean / b)
    0.16149
  • Jensen alpha (a)
    0.04044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03507
  • Expected Shortfall on VaR
    0.04443
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01226
  • Expected Shortfall on VaR
    0.02555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.95702
  • Quartile 1
    0.99406
  • Median
    1.00424
  • Quartile 3
    1.00786
  • Maximum
    1.06126
  • Mean of quarter 1
    0.98231
  • Mean of quarter 2
    1.00194
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.03161
  • Inter Quartile Range
    0.01380
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.95702
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.04744
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70402
  • VaR(95%) (moments method)
    0.02214
  • Expected Shortfall (moments method)
    0.07493
  • Extreme Value Index (regression method)
    2.60636
  • VaR(95%) (regression method)
    0.03392
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00594
  • Median
    0.00821
  • Quartile 3
    0.01985
  • Maximum
    0.05386
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00792
  • Mean of quarter 3
    0.00851
  • Mean of quarter 4
    0.05386
  • Inter Quartile Range
    0.01391
  • 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
    0.25000
  • Mean of outliers high
    0.05386
  • 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)
    0.06392
  • Compounded annual return (geometric extrapolation)
    0.06359
  • Calmar ratio (compounded annual return / max draw down)
    1.18069
  • Compounded annual return / average of 25% largest draw downs
    1.18069
  • Compounded annual return / Expected Shortfall lognormal
    1.43118
  • 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
    0.04469
  • SD
    0.14572
  • Sharpe ratio (Glass type estimate)
    0.30670
  • Sharpe ratio (Hedges UMVUE)
    0.30598
  • df
    322.00000
  • t
    0.34054
  • p
    0.36684
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07188
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07136
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46704
  • Upside Potential Ratio
    8.01607
  • Upside part of mean
    0.76709
  • Downside part of mean
    -0.72240
  • Upside SD
    0.10963
  • Downside SD
    0.09569
  • N nonnegative terms
    169.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.04405
  • Mean of criterion
    0.04469
  • SD of predictor
    0.17883
  • SD of criterion
    0.14572
  • Covariance
    0.00087
  • r
    0.03335
  • b (slope, estimate of beta)
    0.02717
  • a (intercept, estimate of alpha)
    0.03900
  • Mean Square Error
    0.02128
  • DF error
    321.00000
  • t(b)
    0.59780
  • p(b)
    0.27520
  • t(a)
    0.33105
  • p(a)
    0.37041
  • Lowerbound of 95% confidence interval for beta
    -0.06226
  • Upperbound of 95% confidence interval for beta
    0.11661
  • Lowerbound of 95% confidence interval for alpha
    -0.21500
  • Upperbound of 95% confidence interval for alpha
    0.30199
  • Treynor index (mean / b)
    1.64466
  • Jensen alpha (a)
    0.04350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03418
  • SD
    0.14494
  • Sharpe ratio (Glass type estimate)
    0.23580
  • Sharpe ratio (Hedges UMVUE)
    0.23525
  • df
    322.00000
  • t
    0.26182
  • p
    0.39681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00056
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35382
  • Upside Potential Ratio
    7.87934
  • Upside part of mean
    0.76114
  • Downside part of mean
    -0.72696
  • Upside SD
    0.10778
  • Downside SD
    0.09660
  • N nonnegative terms
    169.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    323.00000
  • Mean of predictor
    0.02814
  • Mean of criterion
    0.03418
  • SD of predictor
    0.17857
  • SD of criterion
    0.14494
  • Covariance
    0.00084
  • r
    0.03238
  • b (slope, estimate of beta)
    0.02628
  • a (intercept, estimate of alpha)
    0.03344
  • Mean Square Error
    0.02105
  • DF error
    321.00000
  • t(b)
    0.58040
  • p(b)
    0.28103
  • t(a)
    0.25588
  • p(a)
    0.39910
  • Lowerbound of 95% confidence interval for beta
    -0.06280
  • Upperbound of 95% confidence interval for beta
    0.11536
  • Lowerbound of 95% confidence interval for alpha
    -0.22367
  • Upperbound of 95% confidence interval for alpha
    0.29054
  • Treynor index (mean / b)
    1.30050
  • Jensen alpha (a)
    0.03344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00614
  • Expected Shortfall on VaR
    0.01236
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    323.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99673
  • Median
    1.00034
  • Quartile 3
    1.00401
  • Maximum
    1.06900
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99888
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.00996
  • Inter Quartile Range
    0.00728
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04334
  • Mean of outliers low
    0.97903
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.04334
  • Mean of outliers high
    1.02393
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17955
  • VaR(95%) (moments method)
    0.00882
  • Expected Shortfall (moments method)
    0.01366
  • Extreme Value Index (regression method)
    -0.00315
  • VaR(95%) (regression method)
    0.00854
  • Expected Shortfall (regression method)
    0.01179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00026
  • Quartile 1
    0.01531
  • Median
    0.01960
  • Quartile 3
    0.03699
  • Maximum
    0.12533
  • Mean of quarter 1
    0.00721
  • Mean of quarter 2
    0.01820
  • Mean of quarter 3
    0.02807
  • Mean of quarter 4
    0.06778
  • Inter Quartile Range
    0.02168
  • 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
    0.06667
  • Mean of outliers high
    0.12533
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03729
  • VaR(95%) (moments method)
    0.07166
  • Expected Shortfall (moments method)
    0.09401
  • Extreme Value Index (regression method)
    0.82623
  • VaR(95%) (regression method)
    0.08557
  • Expected Shortfall (regression method)
    0.38873
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06452
  • Compounded annual return (geometric extrapolation)
    0.06405
  • Calmar ratio (compounded annual return / max draw down)
    0.51106
  • Compounded annual return / average of 25% largest draw downs
    0.94500
  • Compounded annual return / Expected Shortfall lognormal
    3.52561
  • 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
    0.01013
  • SD
    0.19633
  • Sharpe ratio (Glass type estimate)
    0.05158
  • Sharpe ratio (Hedges UMVUE)
    0.05128
  • df
    130.00000
  • t
    0.03647
  • p
    0.49840
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72053
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82310
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08045
  • Upside Potential Ratio
    8.11765
  • Upside part of mean
    1.02185
  • Downside part of mean
    -1.01172
  • Upside SD
    0.14969
  • Downside SD
    0.12588
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15789
  • Mean of criterion
    0.01013
  • SD of predictor
    0.12391
  • SD of criterion
    0.19633
  • Covariance
    -0.00064
  • r
    -0.02633
  • b (slope, estimate of beta)
    -0.04172
  • a (intercept, estimate of alpha)
    0.01671
  • Mean Square Error
    0.03882
  • DF error
    129.00000
  • t(b)
    -0.29916
  • p(b)
    0.51676
  • t(a)
    0.05980
  • p(a)
    0.49665
  • Lowerbound of 95% confidence interval for beta
    -0.31763
  • Upperbound of 95% confidence interval for beta
    0.23419
  • Lowerbound of 95% confidence interval for alpha
    -0.53628
  • Upperbound of 95% confidence interval for alpha
    0.56971
  • Treynor index (mean / b)
    -0.24274
  • Jensen alpha (a)
    0.01671
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00881
  • SD
    0.19487
  • Sharpe ratio (Glass type estimate)
    -0.04519
  • Sharpe ratio (Hedges UMVUE)
    -0.04493
  • df
    130.00000
  • t
    -0.03196
  • p
    0.50140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81674
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72688
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06923
  • Upside Potential Ratio
    7.94568
  • Upside part of mean
    1.01084
  • Downside part of mean
    -1.01965
  • Upside SD
    0.14663
  • Downside SD
    0.12722
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15022
  • Mean of criterion
    -0.00881
  • SD of predictor
    0.12384
  • SD of criterion
    0.19487
  • Covariance
    -0.00070
  • r
    -0.02893
  • b (slope, estimate of beta)
    -0.04552
  • a (intercept, estimate of alpha)
    -0.00197
  • Mean Square Error
    0.03824
  • DF error
    129.00000
  • t(b)
    -0.32872
  • p(b)
    0.51841
  • t(a)
    -0.00710
  • p(a)
    0.50040
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.31953
  • Upperbound of 95% confidence interval for beta
    0.22848
  • Lowerbound of 95% confidence interval for alpha
    -0.55066
  • Upperbound of 95% confidence interval for alpha
    0.54672
  • Treynor index (mean / b)
    0.19345
  • Jensen alpha (a)
    -0.00197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01964
  • Expected Shortfall on VaR
    0.02455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00870
  • Expected Shortfall on VaR
    0.01696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96312
  • Quartile 1
    0.99562
  • Median
    1.00036
  • Quartile 3
    1.00446
  • Maximum
    1.06900
  • Mean of quarter 1
    0.98669
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.01343
  • Inter Quartile Range
    0.00883
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97621
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.03223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14201
  • VaR(95%) (moments method)
    0.01141
  • Expected Shortfall (moments method)
    0.01486
  • Extreme Value Index (regression method)
    -0.07053
  • VaR(95%) (regression method)
    0.01069
  • Expected Shortfall (regression method)
    0.01415
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00116
  • Quartile 1
    0.00482
  • Median
    0.02667
  • Quartile 3
    0.05114
  • Maximum
    0.12533
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.01466
  • Mean of quarter 3
    0.03868
  • Mean of quarter 4
    0.09031
  • Inter Quartile Range
    0.04632
  • 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
    0.12533
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -321076000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01919
  • Compounded annual return (geometric extrapolation)
    0.01928
  • Calmar ratio (compounded annual return / max draw down)
    0.15386
  • Compounded annual return / average of 25% largest draw downs
    0.21353
  • Compounded annual return / Expected Shortfall lognormal
    0.78546

Strategy Description

If you've been trading for a while, you know that no trading strategy always works. That is why I use a variety of trading strategies depending on the chart setup I see. The strategies are:

1. Long ETFs with manually monitored stops. When available, 2X and 3X ETFs are used.

2. Long stocks/ETF with covered calls. This strategy can be entered first with a cash-secured put.

3. Long/short micro futures on the Dow, S&P500, Russell200, and Nasdaq 100.

4. Long high-yield ETFs with protective puts

This strategy may be used in retirement accounts since it does NOT enter short stock/ETF positions.

All trades are open for a few days to a few weeks. So, this strategy is suitable for those who do not have the time to day trade.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-08-11
Suggested Minimum Capital
$35,000
# Trades
293
# Profitable
159
% Profitable
54.3%
Net Dividends
$2,650
Correlation S&P500
0.029
Sharpe Ratio
0.10
Sortino Ratio
0.15
Beta
0.03
Alpha
0.00
Leverage
1.45 Average
6.91 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.