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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 06/20/2024
Most recent certification approved 6/20/24 10:03 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 214
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 196
Percent signals followed since 06/20/2024 91.6%
This information was last updated 10/4/24 2:12 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/20/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

An Earnings Affair
(147900215)

Powered by BrokerTransmit.
Read important disclosures.

Created by: CreateYourOptions CreateYourOptions
Started: 04/2024
Options
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $150.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
0.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(1.2%)
Max Drawdown
93
Num Trades
48.4%
Win Trades
1.2 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (0.2%)(0.2%)(0.2%)+1.1%+0.5%(0.2%)                  

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 195 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/16/24 15:06 RDFN2427I15 RDFN Sep27'24 15 call LONG 10 0.74 9/28 9:35 0.00 0.72%
Trade id #149412905
Max drawdown($730)
Time9/27/24 0:00
Quant open10
Worst price0.01
Drawdown as % of equity-0.72%
($747)
Includes Typical Broker Commissions trade costs of $7.00
9/18/24 13:44 ONON2427I51 ONON Sep27'24 51 call LONG 1 1.54 9/27 14:27 0.18 0.13%
Trade id #149437581
Max drawdown($136)
Time9/27/24 14:27
Quant open1
Worst price0.18
Drawdown as % of equity-0.13%
($138)
Includes Typical Broker Commissions trade costs of $2.00
9/18/24 13:42 DKNG2427I38.5 DKNG Sep27'24 38.5 call LONG 2 1.36 9/23 9:31 2.01 0.08%
Trade id #149437567
Max drawdown($80)
Time9/18/24 15:37
Quant open2
Worst price0.96
Drawdown as % of equity-0.08%
$127
Includes Typical Broker Commissions trade costs of $2.80
9/16/24 15:06 RDFN2420I16 RDFN Sep20'24 16 call SHORT 10 0.36 9/21 9:35 0.00 0.04%
Trade id #149412907
Max drawdown($40)
Time9/17/24 0:00
Quant open10
Worst price0.40
Drawdown as % of equity-0.04%
$353
Includes Typical Broker Commissions trade costs of $7.00
9/18/24 13:44 NEM2427I53 NEM Sep27'24 53 call LONG 2 1.14 9/20 10:46 1.96 0.04%
Trade id #149437583
Max drawdown($44)
Time9/19/24 0:00
Quant open2
Worst price0.92
Drawdown as % of equity-0.04%
$161
Includes Typical Broker Commissions trade costs of $2.80
9/18/24 13:44 AFRM2427I44.5 AFRM Sep27'24 44.5 call LONG 1 2.23 9/19 11:05 3.33 0.05%
Trade id #149437585
Max drawdown($55)
Time9/18/24 15:29
Quant open1
Worst price1.68
Drawdown as % of equity-0.05%
$108
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:33 AI2406I28 AI Sep6'24 28 call LONG 1 2.37 9/7 9:35 0.00 0.23%
Trade id #148766886
Max drawdown($236)
Time9/5/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.23%
($238)
Includes Typical Broker Commissions trade costs of $1.00
7/29/24 13:25 GME2406I24 GME Sep6'24 24 call LONG 1 2.20 9/7 9:35 0.00 0.22%
Trade id #148766775
Max drawdown($219)
Time9/6/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.22%
($221)
Includes Typical Broker Commissions trade costs of $1.00
8/12/24 11:50 ALB2406U79 ALB Sep6'24 79 put LONG 2 6.30 9/6 11:23 4.64 0.62%
Trade id #148893202
Max drawdown($624)
Time8/30/24 0:00
Quant open1
Worst price0.06
Drawdown as % of equity-0.62%
($335)
Includes Typical Broker Commissions trade costs of $3.40
7/29/24 13:25 GME2406U23 GME Sep6'24 23 put LONG 1 1.80 9/6 11:19 0.99 0.13%
Trade id #148766773
Max drawdown($135)
Time9/4/24 0:00
Quant open1
Worst price0.45
Drawdown as % of equity-0.13%
($83)
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:20 IOT2406I37 IOT Sep6'24 37 call LONG 1 3.35 9/5 12:02 4.05 0.1%
Trade id #148766710
Max drawdown($100)
Time8/2/24 0:00
Quant open1
Worst price2.35
Drawdown as % of equity-0.10%
$68
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:20 IOT2406U37 IOT Sep6'24 37 put LONG 1 3.00 9/5 12:02 2.23 0.19%
Trade id #148766708
Max drawdown($192)
Time8/26/24 0:00
Quant open1
Worst price1.08
Drawdown as % of equity-0.19%
($79)
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:15 GTLB2406I53 GTLB Sep6'24 53 call LONG 1 4.92 9/5 10:35 3.20 0.44%
Trade id #148766662
Max drawdown($442)
Time9/4/24 0:00
Quant open1
Worst price0.50
Drawdown as % of equity-0.44%
($174)
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:33 AI2406U27 AI Sep6'24 27 put LONG 1 2.36 8/30 11:14 4.40 0.01%
Trade id #148766884
Max drawdown($11)
Time7/31/24 0:00
Quant open1
Worst price2.25
Drawdown as % of equity-0.01%
$202
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:34 CHWY2430H24 CHWY Aug30'24 24 call LONG 1 2.08 8/28 13:17 6.28 0.09%
Trade id #148766898
Max drawdown($92)
Time8/7/24 0:00
Quant open1
Worst price1.16
Drawdown as % of equity-0.09%
$418
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:34 CHWY2430T24 CHWY Aug30'24 24 put LONG 1 2.00 8/28 13:17 0.01 0.2%
Trade id #148766896
Max drawdown($199)
Time8/28/24 10:33
Quant open1
Worst price0.01
Drawdown as % of equity-0.20%
($201)
Includes Typical Broker Commissions trade costs of $2.00
8/22/24 13:15 SNOW2430T110 SNOW Aug30'24 110 put SHORT 1 0.81 8/28 13:14 1.05 0.1%
Trade id #149007495
Max drawdown($99)
Time8/23/24 0:00
Quant open1
Worst price1.80
Drawdown as % of equity-0.10%
($26)
Includes Typical Broker Commissions trade costs of $2.00
8/22/24 13:15 SNOW2430T119 SNOW Aug30'24 119 put LONG 1 4.04 8/28 13:14 7.42 0.22%
Trade id #149007493
Max drawdown($221)
Time8/26/24 0:00
Quant open1
Worst price1.83
Drawdown as % of equity-0.22%
$336
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:13 FL2430H28.5 FL Aug30'24 28.5 call LONG 1 2.38 8/27 11:15 5.28 0.1%
Trade id #148766621
Max drawdown($98)
Time8/2/24 0:00
Quant open1
Worst price1.40
Drawdown as % of equity-0.10%
$288
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:13 FL2430T27.5 FL Aug30'24 27.5 put LONG 1 2.17 8/27 11:15 0.57 0.16%
Trade id #148766619
Max drawdown($162)
Time8/26/24 0:00
Quant open1
Worst price0.55
Drawdown as % of equity-0.16%
($162)
Includes Typical Broker Commissions trade costs of $2.00
7/29/24 13:31 AFRM2423T26 AFRM Aug23'24 26 put LONG 1 1.94 8/24 9:35 0.00 0.19%
Trade id #148766875
Max drawdown($193)
Time8/22/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.19%
($195)
Includes Typical Broker Commissions trade costs of $1.00
7/29/24 13:31 AFRM2423H27 AFRM Aug23'24 27 call LONG 1 2.19 8/23 10:28 4.00 0.17%
Trade id #148766877
Max drawdown($169)
Time8/12/24 0:00
Quant open1
Worst price0.50
Drawdown as % of equity-0.17%
$179
Includes Typical Broker Commissions trade costs of $2.00
8/15/24 13:29 CSCO2430H48.5 CSCO Aug30'24 48.5 call LONG 4 0.89 8/20 13:48 1.94 0.12%
Trade id #148929665
Max drawdown($120)
Time8/15/24 15:16
Quant open4
Worst price0.59
Drawdown as % of equity-0.12%
$414
Includes Typical Broker Commissions trade costs of $5.60
8/6/24 15:39 UBER2416T65 UBER Aug16'24 65 put LONG 1 1.90 8/17 9:35 0.00 0.19%
Trade id #148849026
Max drawdown($189)
Time8/14/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.19%
($191)
Includes Typical Broker Commissions trade costs of $1.00
8/5/24 15:06 HIMS2416H17.5 HIMS Aug16'24 17.5 call LONG 3 2.44 8/17 9:35 0.00 0.73%
Trade id #148835047
Max drawdown($730)
Time8/14/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.73%
($735)
Includes Typical Broker Commissions trade costs of $2.40
8/7/24 15:36 RSP2416T165 RSP Aug16'24 165 put LONG 2 2.68 8/17 9:35 0.00 0.53%
Trade id #148860599
Max drawdown($528)
Time8/16/24 0:00
Quant open2
Worst price0.04
Drawdown as % of equity-0.53%
($537)
Includes Typical Broker Commissions trade costs of $1.40
8/6/24 15:39 UBER2416H66 UBER Aug16'24 66 call LONG 1 1.88 8/15 12:37 6.82 0.03%
Trade id #148849024
Max drawdown($32)
Time8/6/24 15:50
Quant open1
Worst price1.56
Drawdown as % of equity-0.03%
$492
Includes Typical Broker Commissions trade costs of $2.00
8/12/24 14:03 ALB ALBEMARLE LONG 50 75.83 8/13 12:45 77.03 0.02%
Trade id #148895821
Max drawdown($20)
Time8/12/24 15:03
Quant open50
Worst price75.42
Drawdown as % of equity-0.02%
$59
Includes Typical Broker Commissions trade costs of $1.00
8/6/24 14:19 FTNT2409H62 FTNT Aug9'24 62 call SHORT 1 1.11 8/10 9:35 0.00 0.89%
Trade id #148848430
Max drawdown($906)
Time8/7/24 0:00
Quant open1
Worst price10.17
Drawdown as % of equity-0.89%
$110
Includes Typical Broker Commissions trade costs of $1.00
8/6/24 13:40 FTNT FORTINET LONG 100 56.48 8/10 9:35 62.00 0.08%
Trade id #148844493
Max drawdown($78)
Time8/6/24 15:59
Quant open100
Worst price55.70
Drawdown as % of equity-0.08%
$550
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    4/15/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    166.34
  • Age
    172 days ago
  • What it trades
    Stocks, Options
  • # Trades
    93
  • # Profitable
    45
  • % Profitable
    48.40%
  • Avg trade duration
    11.4 days
  • Max peak-to-valley drawdown
    1.19%
  • drawdown period
    July 16, 2024 - July 23, 2024
  • Cumul. Return
    0.8%
  • Avg win
    $283.84
  • Avg loss
    $220.69
  • Model Account Values (Raw)
  • Cash
    $102,179
  • Margin Used
    $0
  • Buying Power
    $102,179
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.06
  • Sortino Ratio
    0.11
  • Calmar Ratio
    6.09
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.57%
  • Correlation to SP500
    -0.27240
  • Return Percent SP500 (cumu) during strategy life
    12.61%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Instruments
  • Short Options - Percent Covered
    16.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.008%
  • Instruments
  • Percent Trades Options
    0.75%
  • Percent Trades Stocks
    0.25%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    564
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    940
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $221
  • Avg Win
    $284
  • Sum Trade PL (losers)
    $10,593.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $12,773.000
  • # Winners
    45
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    101937
  • Win / Loss
  • # Losers
    48
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    16447.00
  • Avg Position Time (hrs)
    274.12
  • Avg Trade Length
    11.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.43
  • Daily leverage (max)
    1.35
  • Regression
  • Alpha
    0.01
  • Beta
    -0.06
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -22.119
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.403
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.196
  • Hold-and-Hope Ratio
    -0.045
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03214
  • SD
    0.02664
  • Sharpe ratio (Glass type estimate)
    1.20621
  • Sharpe ratio (Hedges UMVUE)
    0.68053
  • df
    2.00000
  • t
    0.60310
  • p
    0.30386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.15135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.29572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65678
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16509
  • Upside Potential Ratio
    8.85057
  • Upside part of mean
    0.04613
  • Downside part of mean
    -0.01400
  • Upside SD
    0.02307
  • Downside SD
    0.00521
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.39688
  • Mean of criterion
    0.03214
  • SD of predictor
    0.06481
  • SD of criterion
    0.02664
  • Covariance
    -0.00059
  • r
    -0.34244
  • b (slope, estimate of beta)
    -0.14077
  • a (intercept, estimate of alpha)
    0.08800
  • Mean Square Error
    0.00125
  • DF error
    1.00000
  • t(b)
    -0.36447
  • p(b)
    0.61125
  • t(a)
    0.52121
  • p(a)
    0.34706
  • Lowerbound of 95% confidence interval for beta
    -5.04813
  • Upperbound of 95% confidence interval for beta
    4.76660
  • Lowerbound of 95% confidence interval for alpha
    -2.05735
  • Upperbound of 95% confidence interval for alpha
    2.23336
  • Treynor index (mean / b)
    -0.22830
  • Jensen alpha (a)
    0.08800
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03179
  • SD
    0.02645
  • Sharpe ratio (Glass type estimate)
    1.20157
  • Sharpe ratio (Hedges UMVUE)
    0.67791
  • df
    2.00000
  • t
    0.60079
  • p
    0.30450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.14604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.29791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65374
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.10556
  • Upside Potential Ratio
    8.79084
  • Upside part of mean
    0.04576
  • Downside part of mean
    -0.01398
  • Upside SD
    0.02288
  • Downside SD
    0.00521
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.38827
  • Mean of criterion
    0.03179
  • SD of predictor
    0.06236
  • SD of criterion
    0.02645
  • Covariance
    -0.00056
  • r
    -0.33955
  • b (slope, estimate of beta)
    -0.14403
  • a (intercept, estimate of alpha)
    0.08771
  • Mean Square Error
    0.00124
  • DF error
    1.00000
  • t(b)
    -0.36100
  • p(b)
    0.61028
  • t(a)
    0.51549
  • p(a)
    0.34850
  • Lowerbound of 95% confidence interval for beta
    -5.21344
  • Upperbound of 95% confidence interval for beta
    4.92538
  • Lowerbound of 95% confidence interval for alpha
    -2.07417
  • Upperbound of 95% confidence interval for alpha
    2.24959
  • Treynor index (mean / b)
    -0.22069
  • Jensen alpha (a)
    0.08771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00986
  • Expected Shortfall on VaR
    0.01301
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00278
  • Expected Shortfall on VaR
    0.00338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00058
  • Median
    1.00116
  • Quartile 3
    1.00751
  • Maximum
    1.01386
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00116
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.01386
  • Inter Quartile Range
    0.00693
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06014
  • Compounded annual return (geometric extrapolation)
    0.06151
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.72664
  • 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
    0.04149
  • SD
    0.03823
  • Sharpe ratio (Glass type estimate)
    1.08522
  • Sharpe ratio (Hedges UMVUE)
    1.07539
  • df
    83.00000
  • t
    0.61448
  • p
    0.27029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.54742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54071
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32533
  • Upside Potential Ratio
    9.94600
  • Upside part of mean
    0.17746
  • Downside part of mean
    -0.13597
  • Upside SD
    0.03365
  • Downside SD
    0.01784
  • N nonnegative terms
    23.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.37870
  • Mean of criterion
    0.04149
  • SD of predictor
    0.17537
  • SD of criterion
    0.03823
  • Covariance
    -0.00152
  • r
    -0.22662
  • b (slope, estimate of beta)
    -0.04940
  • a (intercept, estimate of alpha)
    0.06000
  • Mean Square Error
    0.00140
  • DF error
    82.00000
  • t(b)
    -2.10694
  • p(b)
    0.98091
  • t(a)
    0.90177
  • p(a)
    0.18491
  • Lowerbound of 95% confidence interval for beta
    -0.09604
  • Upperbound of 95% confidence interval for beta
    -0.00276
  • Lowerbound of 95% confidence interval for alpha
    -0.07260
  • Upperbound of 95% confidence interval for alpha
    0.19299
  • Treynor index (mean / b)
    -0.83982
  • Jensen alpha (a)
    0.06020
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04076
  • SD
    0.03811
  • Sharpe ratio (Glass type estimate)
    1.06952
  • Sharpe ratio (Hedges UMVUE)
    1.05983
  • df
    83.00000
  • t
    0.60559
  • p
    0.27322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39887
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52503
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28106
  • Upside Potential Ratio
    9.89807
  • Upside part of mean
    0.17687
  • Downside part of mean
    -0.13611
  • Upside SD
    0.03350
  • Downside SD
    0.01787
  • N nonnegative terms
    23.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    0.36327
  • Mean of criterion
    0.04076
  • SD of predictor
    0.17487
  • SD of criterion
    0.03811
  • Covariance
    -0.00152
  • r
    -0.22770
  • b (slope, estimate of beta)
    -0.04963
  • a (intercept, estimate of alpha)
    0.05879
  • Mean Square Error
    0.00139
  • DF error
    82.00000
  • t(b)
    -2.11754
  • p(b)
    0.98138
  • t(a)
    0.88422
  • p(a)
    0.18958
  • Lowerbound of 95% confidence interval for beta
    -0.09625
  • Upperbound of 95% confidence interval for beta
    -0.00300
  • Lowerbound of 95% confidence interval for alpha
    -0.07347
  • Upperbound of 95% confidence interval for alpha
    0.19105
  • Treynor index (mean / b)
    -0.82139
  • Jensen alpha (a)
    0.05879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00371
  • Expected Shortfall on VaR
    0.00469
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00149
  • Expected Shortfall on VaR
    0.00285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.99547
  • Quartile 1
    0.99965
  • Median
    1.00000
  • Quartile 3
    1.00016
  • Maximum
    1.01238
  • Mean of quarter 1
    0.99828
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00281
  • Inter Quartile Range
    0.00051
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.15476
  • Mean of outliers low
    0.99761
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    1.00370
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44257
  • VaR(95%) (moments method)
    0.00195
  • Expected Shortfall (moments method)
    0.00243
  • Extreme Value Index (regression method)
    -0.61538
  • VaR(95%) (regression method)
    0.00222
  • Expected Shortfall (regression method)
    0.00267
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00239
  • Median
    0.00461
  • Quartile 3
    0.00820
  • Maximum
    0.01167
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00461
  • Mean of quarter 3
    0.00820
  • Mean of quarter 4
    0.01167
  • Inter Quartile Range
    0.00581
  • 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)
    0.06943
  • Compounded annual return (geometric extrapolation)
    0.07108
  • Calmar ratio (compounded annual return / max draw down)
    6.08977
  • Compounded annual return / average of 25% largest draw downs
    6.08977
  • Compounded annual return / Expected Shortfall lognormal
    15.15650
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00400
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -447140000
  • Max Equity Drawdown (num days)
    7

Strategy Description

This trading strategy focuses on executing options trades on equities during Earnings Season, with an emphasis on the first two months of each quarter. The approach utilizes a combination of spreads and single options legs, as well as shares, to capitalize on the increased market volatility during this period.

Summary Statistics

Strategy began
2024-04-15
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.0%
Rank # 
#47
# Trades
93
# Profitable
45
% Profitable
48.4%
Correlation S&P500
-0.272
Sharpe Ratio
0.06
Sortino Ratio
0.11
Beta
-0.06
Alpha
0.01
Leverage
0.43 Average
1.35 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.