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Featured Strategy Income Trades +19.3% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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HIPP Income Strategy
(141377539)

Created by: HIPP_Strategist HIPP_Strategist
Started: 09/2022
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 $99.00 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.
-4.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(35.0%)
Max Drawdown
295
Num Trades
86.8%
Win Trades
1.0 : 1
Profit Factor
37.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (2.1%)+3.8%(0.4%)(2%)(0.8%)
2023(2.6%)(0.7%)(0.2%)+1.0%(2%)+0.2%(1.6%)(2.7%)+0.5%(0.8%)(3.2%)(0.6%)(12.2%)
2024(2.3%)+2.0%+3.3%(3.1%)+2.2%(0.7%)(2.3%)(3.4%)+0.8%+2.8%+4.1%      +3.1%

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 531 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/24 9:50 QQQ2420L495 QQQ Dec20'24 495 call SHORT 2 13.95 11/15 12:06 13.45 5.95%
Trade id #149985773
Max drawdown($2,700)
Time11/7/24 0:00
Quant open2
Worst price27.45
Drawdown as % of equity-5.95%
 $97
Includes Typical Broker Commissions trade costs of $2.80
10/30/24 15:36 QQQ2420X500 QQQ Dec20'24 500 put SHORT 2 17.22 11/6 9:32 10.95 2.16%
Trade id #149908891
Max drawdown($936)
Time11/4/24 0:00
Quant open2
Worst price21.90
Drawdown as % of equity-2.16%
 $1,251
Includes Typical Broker Commissions trade costs of $3.40
10/23/24 13:51 QQQ2420L495 QQQ Dec20'24 495 call SHORT 3 14.01 11/4 16:04 12.05 3.48%
Trade id #149809879
Max drawdown($1,506)
Time10/29/24 0:00
Quant open2
Worst price21.60
Drawdown as % of equity-3.48%
 $584
Includes Typical Broker Commissions trade costs of $5.40
10/31/24 10:30 QQQ2420X480 QQQ Dec20'24 480 put SHORT 1 12.50 11/1 10:15 11.05 0.28%
Trade id #149916623
Max drawdown($122)
Time10/31/24 15:59
Quant open1
Worst price13.72
Drawdown as % of equity-0.28%
 $143
Includes Typical Broker Commissions trade costs of $2.00
10/30/24 9:42 QQQ2420X500 QQQ Dec20'24 500 put SHORT 1 15.42 10/30 10:04 14.01 0.03%
Trade id #149893115
Max drawdown($15)
Time10/30/24 9:45
Quant open1
Worst price15.57
Drawdown as % of equity-0.03%
 $139
Includes Typical Broker Commissions trade costs of $2.00
10/25/24 10:59 QQQ2420X500 QQQ Dec20'24 500 put SHORT 2 15.44 10/29 16:03 13.78 0.72%
Trade id #149831827
Max drawdown($312)
Time10/29/24 9:34
Quant open2
Worst price17.00
Drawdown as % of equity-0.72%
 $327
Includes Typical Broker Commissions trade costs of $4.00
10/21/24 12:53 QQQ2420X490 QQQ Dec20'24 490 put SHORT 2 13.70 10/25 10:06 10.89 0.97%
Trade id #149741645
Max drawdown($419)
Time10/23/24 0:00
Quant open1
Worst price16.70
Drawdown as % of equity-0.97%
 $556
Includes Typical Broker Commissions trade costs of $4.00
10/16/24 11:25 QQQ2420L495 QQQ Dec20'24 495 call SHORT 3 18.24 10/23 11:36 16.17 0.86%
Trade id #149674334
Max drawdown($361)
Time10/17/24 0:00
Quant open1
Worst price20.05
Drawdown as % of equity-0.86%
 $615
Includes Typical Broker Commissions trade costs of $6.00
10/17/24 9:35 QQQ2420X490 QQQ Dec20'24 490 put SHORT 1 13.63 10/21 10:06 12.03 0.21%
Trade id #149683995
Max drawdown($86)
Time10/17/24 10:02
Quant open1
Worst price14.50
Drawdown as % of equity-0.21%
 $158
Includes Typical Broker Commissions trade costs of $2.00
10/15/24 10:36 QQQ2420X495 QQQ Dec20'24 495 put SHORT 2 17.19 10/17 9:35 14.94 0.67%
Trade id #149663225
Max drawdown($282)
Time10/16/24 0:00
Quant open2
Worst price18.60
Drawdown as % of equity-0.67%
 $446
Includes Typical Broker Commissions trade costs of $4.00
10/16/24 11:19 QQQ2420L495 QQQ Dec20'24 495 call SHORT 1 16.49 10/16 11:20 16.59 0.02%
Trade id #149674301
Max drawdown($10)
Time10/16/24 11:20
Quant open1
Worst price16.59
Drawdown as % of equity-0.02%
 ($12)
Includes Typical Broker Commissions trade costs of $2.00
10/16/24 11:17 QQQ2420X485 QQQ Dec20'24 485 put SHORT 1 13.44 10/16 11:20 13.40 n/a $2
Includes Typical Broker Commissions trade costs of $2.00
10/10/24 13:14 QQQ2420L480 QQQ Dec20'24 480 call SHORT 2 29.86 10/15 11:54 27.11 1%
Trade id #149630890
Max drawdown($418)
Time10/15/24 9:35
Quant open2
Worst price31.95
Drawdown as % of equity-1.00%
 $547
Includes Typical Broker Commissions trade costs of $4.00
10/11/24 15:44 QQQ2420X495 QQQ Dec20'24 495 put SHORT 1 16.26 10/14 9:33 15.05 0.04%
Trade id #149642096
Max drawdown($15)
Time10/11/24 15:56
Quant open1
Worst price16.41
Drawdown as % of equity-0.04%
 $119
Includes Typical Broker Commissions trade costs of $2.00
10/10/24 15:42 QQQ2420X490 QQQ Dec20'24 490 put SHORT 1 15.35 10/11 15:09 14.21 0.14%
Trade id #149632244
Max drawdown($59)
Time10/11/24 9:30
Quant open1
Worst price15.94
Drawdown as % of equity-0.14%
 $112
Includes Typical Broker Commissions trade costs of $2.00
9/11/24 11:32 QQQ2418J465 QQQ Oct18'24 465 call SHORT 2 9.69 10/10 13:51 28.32 10.08%
Trade id #149357660
Max drawdown($4,211)
Time9/26/24 0:00
Quant open2
Worst price30.74
Drawdown as % of equity-10.08%
 ($3,732)
Includes Typical Broker Commissions trade costs of $4.00
9/25/24 16:05 QQQ2420X490 QQQ Dec20'24 490 put SHORT 5 17.88 10/9 10:27 17.78 2.56%
Trade id #149507805
Max drawdown($1,073)
Time10/1/24 0:00
Quant open2
Worst price23.13
Drawdown as % of equity-2.56%
 $36
Includes Typical Broker Commissions trade costs of $10.00
9/24/24 9:57 QQQ2420X485 QQQ Dec20'24 485 put SHORT 2 17.37 9/25 16:04 15.45 0.39%
Trade id #149492214
Max drawdown($161)
Time9/24/24 10:38
Quant open2
Worst price18.18
Drawdown as % of equity-0.39%
 $380
Includes Typical Broker Commissions trade costs of $4.00
9/20/24 10:07 QQQ2420X480 QQQ Dec20'24 480 put SHORT 2 17.41 9/24 9:30 15.27 0.38%
Trade id #149466666
Max drawdown($158)
Time9/20/24 11:16
Quant open2
Worst price18.20
Drawdown as % of equity-0.38%
 $425
Includes Typical Broker Commissions trade costs of $4.00
9/17/24 10:20 QQQ2420X475 QQQ Dec20'24 475 put SHORT 2 18.44 9/20 10:06 16.55 0.78%
Trade id #149418834
Max drawdown($322)
Time9/17/24 13:46
Quant open2
Worst price20.05
Drawdown as % of equity-0.78%
 $374
Includes Typical Broker Commissions trade costs of $4.00
9/17/24 9:49 QQQ2420X475 QQQ Dec20'24 475 put SHORT 1 18.26 9/17 9:53 18.81 0.13%
Trade id #149418250
Max drawdown($55)
Time9/17/24 9:53
Quant open1
Worst price18.81
Drawdown as % of equity-0.13%
 ($57)
Includes Typical Broker Commissions trade costs of $2.00
9/16/24 10:55 QQQ2420X470 QQQ Dec20'24 470 put SHORT 1 18.14 9/17 9:30 16.05 0.09%
Trade id #149407383
Max drawdown($36)
Time9/16/24 12:21
Quant open1
Worst price18.50
Drawdown as % of equity-0.09%
 $207
Includes Typical Broker Commissions trade costs of $2.00
9/12/24 13:07 QQQ2420X475 QQQ Dec20'24 475 put SHORT 1 20.20 9/13 12:01 18.15 n/a $203
Includes Typical Broker Commissions trade costs of $2.00
9/11/24 10:15 QQQ2420X470 QQQ Dec20'24 470 put SHORT 2 27.29 9/11 16:00 19.65 0.91%
Trade id #149356214
Max drawdown($372)
Time9/11/24 10:55
Quant open2
Worst price29.15
Drawdown as % of equity-0.91%
 $1,524
Includes Typical Broker Commissions trade costs of $2.80
9/6/24 11:16 QQQ2418J465 QQQ Oct18'24 465 call SHORT 2 8.35 9/11 11:05 8.40 1.21%
Trade id #149302789
Max drawdown($490)
Time9/11/24 9:32
Quant open2
Worst price10.80
Drawdown as % of equity-1.21%
 ($13)
Includes Typical Broker Commissions trade costs of $2.80
9/9/24 9:45 QQQ2420X470 QQQ Dec20'24 470 put SHORT 2 27.31 9/10 14:02 25.55 1.09%
Trade id #149321951
Max drawdown($439)
Time9/9/24 11:13
Quant open2
Worst price29.51
Drawdown as % of equity-1.09%
 $349
Includes Typical Broker Commissions trade costs of $3.40
8/22/24 9:40 QQQ2420U480 QQQ Sep20'24 480 put SHORT 2 7.60 9/9 9:44 26.36 11.6%
Trade id #148998341
Max drawdown($4,828)
Time9/6/24 0:00
Quant open2
Worst price31.74
Drawdown as % of equity-11.60%
 ($3,755)
Includes Typical Broker Commissions trade costs of $2.80
9/5/24 11:35 QQQ2418J455 QQQ Oct18'24 455 call SHORT 2 18.59 9/6 9:40 16.51 0.49%
Trade id #149261897
Max drawdown($202)
Time9/5/24 14:00
Quant open2
Worst price19.60
Drawdown as % of equity-0.49%
 $412
Includes Typical Broker Commissions trade costs of $4.00
9/5/24 9:52 QQQ2418J460 QQQ Oct18'24 460 call SHORT 1 16.10 9/5 11:27 14.64 0.41%
Trade id #149259335
Max drawdown($170)
Time9/5/24 10:25
Quant open1
Worst price17.80
Drawdown as % of equity-0.41%
 $144
Includes Typical Broker Commissions trade costs of $2.00
8/7/24 15:30 QQQ2420I450 QQQ Sep20'24 450 call SHORT 2 12.30 9/5 11:00 16.99 13.04%
Trade id #148860524
Max drawdown($5,399)
Time8/22/24 0:00
Quant open2
Worst price39.30
Drawdown as % of equity-13.04%
 ($941)
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    9/9/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    803.6
  • Age
    27 months ago
  • What it trades
    Options
  • # Trades
    295
  • # Profitable
    256
  • % Profitable
    86.80%
  • Avg trade duration
    14.9 days
  • Max peak-to-valley drawdown
    35%
  • drawdown period
    July 28, 2023 - Aug 03, 2023
  • Annual Return (Compounded)
    -4.9%
  • Avg win
    $284.51
  • Avg loss
    $1,873
  • Model Account Values (Raw)
  • Cash
    $38,084
  • Margin Used
    $11,866
  • Buying Power
    $28,317
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    -0.21
  • Sortino Ratio
    -0.29
  • Calmar Ratio
    -0.047
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -56.04%
  • Correlation to SP500
    0.12410
  • Return Percent SP500 (cumu) during strategy life
    46.25%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.9%
  • Slump
  • Current Slump as Pcnt Equity
    17.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Instruments
  • Short Options - Percent Covered
    37.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.049%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.00%
  • Chance of 20% account loss
    95.50%
  • Chance of 30% account loss
    88.50%
  • Chance of 40% account loss
    76.50%
  • Chance of 60% account loss (Monte Carlo)
    47.50%
  • Chance of 70% account loss (Monte Carlo)
    30.50%
  • Chance of 80% account loss (Monte Carlo)
    10.00%
  • Chance of 90% account loss (Monte Carlo)
    1.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    65.00%
  • Popularity
  • Popularity (Today)
    424
  • Popularity (Last 6 weeks)
    853
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    46
  • Popularity (7 days, Percentile 1000 scale)
    604
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,876
  • Avg Win
    $282
  • Sum Trade PL (losers)
    $73,153.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $72,312.000
  • # Winners
    256
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    5
  • AUM
  • AUM (AutoTrader live capital)
    489919
  • Win / Loss
  • # Losers
    39
  • % Winners
    86.8%
  • Frequency
  • Avg Position Time (mins)
    21483.60
  • Avg Position Time (hrs)
    358.06
  • Avg Trade Length
    14.9 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.23
  • Daily leverage (max)
    6.21
  • Regression
  • Alpha
    -0.02
  • Beta
    0.15
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    21.72
  • MAE:Equity, average, winning trades
    0.06
  • MAE:Equity, average, losing trades
    0.35
  • Avg(MAE) / Avg(PL) - All trades
    -145.564
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    9.495
  • Avg(MAE) / Avg(PL) - Losing trades
    -8.492
  • Hold-and-Hope Ratio
    -0.006
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02463
  • SD
    0.09138
  • Sharpe ratio (Glass type estimate)
    -0.26953
  • Sharpe ratio (Hedges UMVUE)
    -0.26101
  • df
    24.00000
  • t
    -0.38904
  • p
    0.64966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09890
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38992
  • Upside Potential Ratio
    1.65556
  • Upside part of mean
    0.10458
  • Downside part of mean
    -0.12921
  • Upside SD
    0.06385
  • Downside SD
    0.06317
  • N nonnegative terms
    12.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.16766
  • Mean of criterion
    -0.02463
  • SD of predictor
    0.15483
  • SD of criterion
    0.09138
  • Covariance
    0.00268
  • r
    0.18959
  • b (slope, estimate of beta)
    0.11190
  • a (intercept, estimate of alpha)
    -0.04339
  • Mean Square Error
    0.00840
  • DF error
    23.00000
  • t(b)
    0.92604
  • p(b)
    0.18202
  • t(a)
    -0.65101
  • p(a)
    0.73925
  • Lowerbound of 95% confidence interval for beta
    -0.13808
  • Upperbound of 95% confidence interval for beta
    0.36188
  • Lowerbound of 95% confidence interval for alpha
    -0.18128
  • Upperbound of 95% confidence interval for alpha
    0.09449
  • Treynor index (mean / b)
    -0.22011
  • Jensen alpha (a)
    -0.04339
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02857
  • SD
    0.09073
  • Sharpe ratio (Glass type estimate)
    -0.31488
  • Sharpe ratio (Hedges UMVUE)
    -0.30491
  • df
    24.00000
  • t
    -0.45448
  • p
    0.67322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05572
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44452
  • Upside Potential Ratio
    1.59308
  • Upside part of mean
    0.10238
  • Downside part of mean
    -0.13095
  • Upside SD
    0.06197
  • Downside SD
    0.06427
  • N nonnegative terms
    12.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.15462
  • Mean of criterion
    -0.02857
  • SD of predictor
    0.15607
  • SD of criterion
    0.09073
  • Covariance
    0.00271
  • r
    0.19113
  • b (slope, estimate of beta)
    0.11110
  • a (intercept, estimate of alpha)
    -0.04575
  • Mean Square Error
    0.00828
  • DF error
    23.00000
  • t(b)
    0.93383
  • p(b)
    0.18005
  • t(a)
    -0.69676
  • p(a)
    0.75353
  • Lowerbound of 95% confidence interval for beta
    -0.13502
  • Upperbound of 95% confidence interval for beta
    0.35723
  • Lowerbound of 95% confidence interval for alpha
    -0.18157
  • Upperbound of 95% confidence interval for alpha
    0.09007
  • Treynor index (mean / b)
    -0.25712
  • Jensen alpha (a)
    -0.04575
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04444
  • Expected Shortfall on VaR
    0.05480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02572
  • Expected Shortfall on VaR
    0.04428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.94947
  • Quartile 1
    0.98455
  • Median
    0.99839
  • Quartile 3
    1.01578
  • Maximum
    1.07715
  • Mean of quarter 1
    0.97149
  • Mean of quarter 2
    0.99344
  • Mean of quarter 3
    1.00756
  • Mean of quarter 4
    1.03341
  • Inter Quartile Range
    0.03123
  • 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
    0.04000
  • Mean of outliers high
    1.07715
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12931
  • VaR(95%) (moments method)
    0.03059
  • Expected Shortfall (moments method)
    0.03829
  • Extreme Value Index (regression method)
    -0.02245
  • VaR(95%) (regression method)
    0.03596
  • Expected Shortfall (regression method)
    0.04764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00984
  • Quartile 1
    0.03365
  • Median
    0.05745
  • Quartile 3
    0.08126
  • Maximum
    0.10507
  • Mean of quarter 1
    0.00984
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10507
  • Inter Quartile Range
    0.04761
  • 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)
    -0.00066
  • Compounded annual return (geometric extrapolation)
    -0.00066
  • Calmar ratio (compounded annual return / max draw down)
    -0.00629
  • Compounded annual return / average of 25% largest draw downs
    -0.00629
  • Compounded annual return / Expected Shortfall lognormal
    -0.01206
  • 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
    -0.02068
  • SD
    0.16366
  • Sharpe ratio (Glass type estimate)
    -0.12638
  • Sharpe ratio (Hedges UMVUE)
    -0.12621
  • df
    549.00000
  • t
    -0.18311
  • p
    0.57261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22639
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22656
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16944
  • Upside Potential Ratio
    6.10560
  • Upside part of mean
    0.74532
  • Downside part of mean
    -0.76600
  • Upside SD
    0.10879
  • Downside SD
    0.12207
  • N nonnegative terms
    286.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    550.00000
  • Mean of predictor
    0.16284
  • Mean of criterion
    -0.02068
  • SD of predictor
    0.15594
  • SD of criterion
    0.16366
  • Covariance
    0.00323
  • r
    0.12660
  • b (slope, estimate of beta)
    0.13286
  • a (intercept, estimate of alpha)
    -0.04200
  • Mean Square Error
    0.02640
  • DF error
    548.00000
  • t(b)
    2.98765
  • p(b)
    0.00147
  • t(a)
    -0.37656
  • p(a)
    0.64668
  • Lowerbound of 95% confidence interval for beta
    0.04551
  • Upperbound of 95% confidence interval for beta
    0.22021
  • Lowerbound of 95% confidence interval for alpha
    -0.26307
  • Upperbound of 95% confidence interval for alpha
    0.17843
  • Treynor index (mean / b)
    -0.15567
  • Jensen alpha (a)
    -0.04232
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03413
  • SD
    0.16438
  • Sharpe ratio (Glass type estimate)
    -0.20761
  • Sharpe ratio (Hedges UMVUE)
    -0.20732
  • df
    549.00000
  • t
    -0.30079
  • p
    0.61816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56035
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.56013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14548
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27457
  • Upside Potential Ratio
    5.94931
  • Upside part of mean
    0.73942
  • Downside part of mean
    -0.77355
  • Upside SD
    0.10737
  • Downside SD
    0.12429
  • N nonnegative terms
    286.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    550.00000
  • Mean of predictor
    0.15066
  • Mean of criterion
    -0.03413
  • SD of predictor
    0.15577
  • SD of criterion
    0.16438
  • Covariance
    0.00330
  • r
    0.12894
  • b (slope, estimate of beta)
    0.13606
  • a (intercept, estimate of alpha)
    -0.05463
  • Mean Square Error
    0.02662
  • DF error
    548.00000
  • t(b)
    3.04388
  • p(b)
    0.00122
  • t(a)
    -0.48423
  • p(a)
    0.68579
  • Lowerbound of 95% confidence interval for beta
    0.04826
  • Upperbound of 95% confidence interval for beta
    0.22387
  • Lowerbound of 95% confidence interval for alpha
    -0.27621
  • Upperbound of 95% confidence interval for alpha
    0.16697
  • Treynor index (mean / b)
    -0.25081
  • Jensen alpha (a)
    -0.05463
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01669
  • Expected Shortfall on VaR
    0.02085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00642
  • Expected Shortfall on VaR
    0.01384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    550.00000
  • Minimum
    0.93090
  • Quartile 1
    0.99735
  • Median
    1.00029
  • Quartile 3
    1.00312
  • Maximum
    1.04956
  • Mean of quarter 1
    0.98953
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.01001
  • Inter Quartile Range
    0.00577
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.06000
  • Mean of outliers low
    0.97466
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.06182
  • Mean of outliers high
    1.02287
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55189
  • VaR(95%) (moments method)
    0.00993
  • Expected Shortfall (moments method)
    0.02510
  • Extreme Value Index (regression method)
    0.45709
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01739
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00066
  • Median
    0.01951
  • Quartile 3
    0.02118
  • Maximum
    0.13264
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.01951
  • Mean of quarter 3
    0.02118
  • Mean of quarter 4
    0.13264
  • Inter Quartile Range
    0.02052
  • 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
    0.20000
  • Mean of outliers high
    0.13264
  • 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)
    -0.00618
  • Compounded annual return (geometric extrapolation)
    -0.00620
  • Calmar ratio (compounded annual return / max draw down)
    -0.04674
  • Compounded annual return / average of 25% largest draw downs
    -0.04674
  • Compounded annual return / Expected Shortfall lognormal
    -0.29734
  • 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
    0.04842
  • SD
    0.15407
  • Sharpe ratio (Glass type estimate)
    0.31430
  • Sharpe ratio (Hedges UMVUE)
    0.31248
  • df
    130.00000
  • t
    0.22224
  • p
    0.49026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08455
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39219
  • Upside Potential Ratio
    5.77675
  • Upside part of mean
    0.71325
  • Downside part of mean
    -0.66483
  • Upside SD
    0.09122
  • Downside SD
    0.12347
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23166
  • Mean of criterion
    0.04842
  • SD of predictor
    0.13662
  • SD of criterion
    0.15407
  • Covariance
    0.01170
  • r
    0.55590
  • b (slope, estimate of beta)
    0.62688
  • a (intercept, estimate of alpha)
    -0.09680
  • Mean Square Error
    0.01653
  • DF error
    129.00000
  • t(b)
    7.59554
  • p(b)
    0.16529
  • t(a)
    -0.52946
  • p(a)
    0.52963
  • Lowerbound of 95% confidence interval for beta
    0.46359
  • Upperbound of 95% confidence interval for beta
    0.79017
  • Lowerbound of 95% confidence interval for alpha
    -0.45851
  • Upperbound of 95% confidence interval for alpha
    0.26492
  • Treynor index (mean / b)
    0.07725
  • Jensen alpha (a)
    -0.09680
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03649
  • SD
    0.15558
  • Sharpe ratio (Glass type estimate)
    0.23451
  • Sharpe ratio (Hedges UMVUE)
    0.23316
  • df
    130.00000
  • t
    0.16582
  • p
    0.49273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00511
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28965
  • Upside Potential Ratio
    5.62921
  • Upside part of mean
    0.70907
  • Downside part of mean
    -0.67258
  • Upside SD
    0.09033
  • Downside SD
    0.12596
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22225
  • Mean of criterion
    0.03649
  • SD of predictor
    0.13690
  • SD of criterion
    0.15558
  • Covariance
    0.01191
  • r
    0.55911
  • b (slope, estimate of beta)
    0.63541
  • a (intercept, estimate of alpha)
    -0.10473
  • Mean Square Error
    0.01677
  • DF error
    129.00000
  • t(b)
    7.65921
  • p(b)
    0.16359
  • t(a)
    -0.56905
  • p(a)
    0.53184
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.47127
  • Upperbound of 95% confidence interval for beta
    0.79955
  • Lowerbound of 95% confidence interval for alpha
    -0.46889
  • Upperbound of 95% confidence interval for alpha
    0.25942
  • Treynor index (mean / b)
    0.05742
  • Jensen alpha (a)
    -0.10473
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01555
  • Expected Shortfall on VaR
    0.01949
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00514
  • Expected Shortfall on VaR
    0.01169
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94245
  • Quartile 1
    0.99843
  • Median
    1.00063
  • Quartile 3
    1.00361
  • Maximum
    1.03500
  • Mean of quarter 1
    0.99058
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.00895
  • Inter Quartile Range
    0.00518
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97475
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71078
  • VaR(95%) (moments method)
    0.00788
  • Expected Shortfall (moments method)
    0.03064
  • Extreme Value Index (regression method)
    0.38770
  • VaR(95%) (regression method)
    0.00924
  • Expected Shortfall (regression method)
    0.01963
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00230
  • Median
    0.00323
  • Quartile 3
    0.01182
  • Maximum
    0.09422
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00281
  • Mean of quarter 3
    0.00516
  • Mean of quarter 4
    0.06055
  • Inter Quartile Range
    0.00952
  • 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
    0.25000
  • Mean of outliers high
    0.06055
  • 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?
    -377382000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06544
  • Compounded annual return (geometric extrapolation)
    0.06651
  • Calmar ratio (compounded annual return / max draw down)
    0.70593
  • Compounded annual return / average of 25% largest draw downs
    1.09838
  • Compounded annual return / Expected Shortfall lognormal
    3.41284

Strategy Description

3 Components of the model are
* Hedged Investment. Max risk = cost of long strangle - (Put Strike - Call Strike)
* Capital Preservation
* Income generation (sell Low delta short term options)

Model Involves Option trading
Performance history (Annualized income return)
Sep 2022 to Feb 2024 - 73.2%
Sept 2022 - Dec 2022 - 31.5%
Jan-Dec 2023 - 84.1%
Jan -Feb 2024 - 91.1%

Over all income trade success rate - 86.9%

Investment is about $25K (for long strangle) + buying power for short strangle.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-09-09
Suggested Minimum Capital
$35,000
# Trades
295
# Profitable
256
% Profitable
86.8%
Net Dividends
$4
Correlation S&P500
0.124
Sharpe Ratio
-0.21
Sortino Ratio
-0.29
Beta
0.15
Alpha
-0.02
Leverage
2.23 Average
6.21 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.