Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 527
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 485
Percent signals followed since 06/20/2024 92%
This information was last updated 12/21/24 9:29 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)

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Read important disclosures.

Created by: CreateYourOptions CreateYourOptions
Started: 04/2024
Stocks, Options
Last trade: 3 days ago
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).
-2.0%
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.

(5.1%)
Max Drawdown
238
Num Trades
47.5%
Win Trades
1.0 : 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%)(1.6%)+0.5%(1.7%)(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 485 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
12/10/24 11:06 QQQ2420X522 QQQ Dec20'24 522 put LONG 2 4.51 12/18 15:35 4.16 0.85%
Trade id #150290062
Max drawdown($822)
Time12/18/24 10:50
Quant open2
Worst price0.40
Drawdown as % of equity-0.85%
 ($74)
Includes Typical Broker Commissions trade costs of $3.40
12/18/24 10:50 QQQ2420L536 QQQ Dec20'24 536 call SHORT 4 4.11 12/18 14:20 1.76 n/a $932
Includes Typical Broker Commissions trade costs of $5.60
12/18/24 13:44 QID PROSHARES ULTRASHORT QQQ LONG 851 30.48 12/18 14:07 30.79 0.03%
Trade id #150355627
Max drawdown($26)
Time12/18/24 13:55
Quant open351
Worst price30.37
Drawdown as % of equity-0.03%
 $247
Includes Typical Broker Commissions trade costs of $17.02
12/14/24 9:35 QQQ POWERSHARES QQQ LONG 300 523.00 12/14 9:35 522.00 n/a ($306)
Includes Typical Broker Commissions trade costs of $6.00
12/10/24 15:15 QQQ2413X520 QQQ Dec13'24 520 put LONG 1 2.93 12/14 9:35 0.00 0.3%
Trade id #150293082
Max drawdown($292)
Time12/13/24 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.30%
 ($294)
Includes Typical Broker Commissions trade costs of $1.00
12/10/24 11:06 QQQ2413X522 QQQ Dec13'24 522 put SHORT 2 2.57 12/14 9:35 0.00 0.4%
Trade id #150290064
Max drawdown($386)
Time12/10/24 15:32
Quant open2
Worst price4.50
Drawdown as % of equity-0.40%
 $513
Includes Typical Broker Commissions trade costs of $1.40
12/9/24 15:06 QQQ2413L522 QQQ Dec13'24 522 call SHORT 3 3.45 12/14 9:35 0.00 2.33%
Trade id #150282936
Max drawdown($2,268)
Time12/13/24 0:00
Quant open3
Worst price11.01
Drawdown as % of equity-2.33%
 $1,033
Includes Typical Broker Commissions trade costs of $2.10
12/2/24 14:38 AEO2413L20 AEO Dec13'24 20 call LONG 4 1.26 12/14 9:35 0.00 0.5%
Trade id #150225816
Max drawdown($500)
Time12/5/24 0:00
Quant open4
Worst price0.01
Drawdown as % of equity-0.50%
 ($507)
Includes Typical Broker Commissions trade costs of $2.80
12/9/24 15:06 QQQ2413L521 QQQ Dec13'24 521 call LONG 1 4.03 12/14 9:35 0.00 0.16%
Trade id #150282940
Max drawdown($155)
Time12/10/24 0:00
Quant open1
Worst price2.48
Drawdown as % of equity-0.16%
 ($404)
Includes Typical Broker Commissions trade costs of $1.00
12/2/24 13:16 CHWY2413L33.5 CHWY Dec13'24 33.5 call LONG 3 2.29 12/14 9:35 0.00 0.7%
Trade id #150225247
Max drawdown($684)
Time12/13/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.70%
 ($689)
Includes Typical Broker Commissions trade costs of $2.10
12/2/24 13:09 FL2413L25 FL Dec13'24 25 call LONG 5 2.39 12/14 9:35 0.00 1.19%
Trade id #150225126
Max drawdown($1,188)
Time12/4/24 0:00
Quant open5
Worst price0.01
Drawdown as % of equity-1.19%
 ($1,197)
Includes Typical Broker Commissions trade costs of $3.50
12/9/24 15:06 QQQ2413L524 QQQ Dec13'24 524 call LONG 2 2.50 12/14 9:35 0.00 0.24%
Trade id #150282938
Max drawdown($234)
Time12/10/24 0:00
Quant open2
Worst price1.33
Drawdown as % of equity-0.24%
 ($501)
Includes Typical Broker Commissions trade costs of $1.40
12/2/24 14:39 S2413L27.5 S Dec13'24 27.5 call LONG 3 1.92 12/14 9:35 0.00 0.59%
Trade id #150225830
Max drawdown($573)
Time12/11/24 0:00
Quant open3
Worst price0.01
Drawdown as % of equity-0.59%
 ($578)
Includes Typical Broker Commissions trade costs of $2.10
12/13/24 14:00 MRVL MARVELL TECHNOLOGY SHORT 25 119.28 12/13 15:54 120.64 0.06%
Trade id #150322278
Max drawdown($62)
Time12/13/24 15:34
Quant open25
Worst price121.78
Drawdown as % of equity-0.06%
 ($35)
Includes Typical Broker Commissions trade costs of $0.50
12/13/24 15:49 AAPL APPLE LONG 89 248.26 12/13 15:51 247.96 0.03%
Trade id #150323147
Max drawdown($27)
Time12/13/24 15:51
Quant open89
Worst price247.96
Drawdown as % of equity-0.03%
 ($29)
Includes Typical Broker Commissions trade costs of $1.78
12/13/24 14:00 APH AMPHENOL SHORT 37 73.66 12/13 15:51 73.84 0.01%
Trade id #150322274
Max drawdown($7)
Time12/13/24 15:50
Quant open37
Worst price73.87
Drawdown as % of equity-0.01%
 ($8)
Includes Typical Broker Commissions trade costs of $0.74
12/13/24 14:00 MSFT MICROSOFT SHORT 6 447.56 12/13 15:50 447.81 0%
Trade id #150322288
Max drawdown($4)
Time12/13/24 15:48
Quant open6
Worst price448.25
Drawdown as % of equity-0.00%
 ($2)
Includes Typical Broker Commissions trade costs of $0.12
12/13/24 14:00 AAPL APPLE SHORT 11 247.78 12/13 15:49 248.26 0.01%
Trade id #150322280
Max drawdown($5)
Time12/13/24 15:49
Quant open11
Worst price248.30
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.22
12/13/24 14:00 LRCX LAM RESEARCH SHORT 35 76.04 12/13 15:49 76.00 0.02%
Trade id #150322272
Max drawdown($17)
Time12/13/24 15:08
Quant open35
Worst price76.55
Drawdown as % of equity-0.02%
 $0
Includes Typical Broker Commissions trade costs of $0.70
12/13/24 14:00 SQ BLOCK INC SHORT 29 92.87 12/13 15:48 92.79 0.01%
Trade id #150322282
Max drawdown($9)
Time12/13/24 14:23
Quant open29
Worst price93.19
Drawdown as % of equity-0.01%
 $1
Includes Typical Broker Commissions trade costs of $0.58
12/13/24 14:00 NVDA NVIDIA SHORT 20 134.25 12/13 15:48 133.98 0.01%
Trade id #150322290
Max drawdown($13)
Time12/13/24 14:32
Quant open20
Worst price134.92
Drawdown as % of equity-0.01%
 $5
Includes Typical Broker Commissions trade costs of $0.40
12/13/24 14:00 AMZN AMAZON.COM SHORT 12 228.04 12/13 15:24 227.23 0.01%
Trade id #150322276
Max drawdown($7)
Time12/13/24 14:31
Quant open12
Worst price228.65
Drawdown as % of equity-0.01%
 $10
Includes Typical Broker Commissions trade costs of $0.24
12/13/24 14:00 GOOGL ALPHABET INC CLASS A SHORT 15 191.45 12/13 15:23 190.57 0%
Trade id #150322284
Max drawdown($3)
Time12/13/24 14:19
Quant open15
Worst price191.66
Drawdown as % of equity-0.00%
 $13
Includes Typical Broker Commissions trade costs of $0.30
12/13/24 11:02 WOLF WOLFSPEED INC SHORT 300 7.88 12/13 11:10 7.91 0.01%
Trade id #150319985
Max drawdown($9)
Time12/13/24 11:06
Quant open300
Worst price7.91
Drawdown as % of equity-0.01%
 ($14)
Includes Typical Broker Commissions trade costs of $6.00
12/13/24 10:56 MARA MARATHON DIGITAL HOLDINGS INC SHORT 500 22.44 12/13 11:06 22.73 0.18%
Trade id #150319895
Max drawdown($172)
Time12/13/24 11:06
Quant open500
Worst price22.78
Drawdown as % of equity-0.18%
 ($157)
Includes Typical Broker Commissions trade costs of $10.00
12/13/24 10:51 MARA MARATHON DIGITAL HOLDINGS INC SHORT 500 22.41 12/13 10:51 22.46 0.03%
Trade id #150319857
Max drawdown($25)
Time12/13/24 10:51
Quant open500
Worst price22.46
Drawdown as % of equity-0.03%
 ($35)
Includes Typical Broker Commissions trade costs of $10.00
12/12/24 10:37 QID PROSHARES ULTRASHORT QQQ LONG 200 31.20 12/12 11:22 31.20 0.01%
Trade id #150309837
Max drawdown($12)
Time12/12/24 11:04
Quant open200
Worst price31.14
Drawdown as % of equity-0.01%
 ($4)
Includes Typical Broker Commissions trade costs of $4.00
12/12/24 10:25 NVDA NVIDIA LONG 20 136.90 12/12 11:21 136.78 0.01%
Trade id #150309641
Max drawdown($10)
Time12/12/24 10:34
Quant open20
Worst price136.38
Drawdown as % of equity-0.01%
 ($3)
Includes Typical Broker Commissions trade costs of $0.40
12/12/24 10:25 MSFT MICROSOFT LONG 6 452.89 12/12 11:21 454.55 0%
Trade id #150309639
Max drawdown($4)
Time12/12/24 10:28
Quant open6
Worst price452.18
Drawdown as % of equity-0.00%
 $10
Includes Typical Broker Commissions trade costs of $0.12
12/12/24 10:25 GOOGL ALPHABET INC CLASS A LONG 15 193.27 12/12 11:21 193.99 n/a $11
Includes Typical Broker Commissions trade costs of $0.30
Next

Statistics

  • Strategy began
    4/15/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    250.36
  • Age
    8 months ago
  • What it trades
    Stocks, Options
  • # Trades
    238
  • # Profitable
    113
  • % Profitable
    47.50%
  • Avg trade duration
    7.1 days
  • Max peak-to-valley drawdown
    5.12%
  • drawdown period
    Aug 05, 2024 - Dec 18, 2024
  • Cumul. Return
    -2.0%
  • Avg win
    $477.02
  • Avg loss
    $426.74
  • Model Account Values (Raw)
  • Cash
    $100,482
  • Margin Used
    $0
  • Buying Power
    $100,482
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.91
  • Sortino Ratio
    -1.38
  • Calmar Ratio
    0.389
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -19.19%
  • Correlation to SP500
    -0.20720
  • Return Percent SP500 (cumu) during strategy life
    17.17%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.9%
  • Slump
  • Current Slump as Pcnt Equity
    3.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • Instruments
  • Short Options - Percent Covered
    14.29%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.020%
  • Instruments
  • Percent Trades Options
    0.65%
  • Percent Trades Stocks
    0.35%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.8%
  • 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)
    683
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    929
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $427
  • Avg Win
    $477
  • Sum Trade PL (losers)
    $53,342.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $53,903.000
  • # Winners
    113
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    -11
  • AUM
  • AUM (AutoTrader live capital)
    99618
  • Win / Loss
  • # Losers
    125
  • % Winners
    47.5%
  • Frequency
  • Avg Position Time (mins)
    10253.10
  • Avg Position Time (hrs)
    170.88
  • Avg Trade Length
    7.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.05
  • Daily leverage (max)
    10.30
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.06
  • Treynor Index
    0.20
  • 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)
    -0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -17.218
  • 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
    0.315
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.203
  • Hold-and-Hope Ratio
    -0.077
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02194
  • SD
    0.02160
  • Sharpe ratio (Glass type estimate)
    1.01550
  • Sharpe ratio (Hedges UMVUE)
    0.81025
  • df
    4.00000
  • t
    0.65550
  • p
    0.27397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89809
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28309
  • Upside Potential Ratio
    5.77443
  • Upside part of mean
    0.03859
  • Downside part of mean
    -0.01665
  • Upside SD
    0.01920
  • Downside SD
    0.00668
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.38301
  • Mean of criterion
    0.02194
  • SD of predictor
    0.05314
  • SD of criterion
    0.02160
  • Covariance
    -0.00002
  • r
    -0.01408
  • b (slope, estimate of beta)
    -0.00572
  • a (intercept, estimate of alpha)
    0.02413
  • Mean Square Error
    0.00062
  • DF error
    3.00000
  • t(b)
    -0.02439
  • p(b)
    0.50896
  • t(a)
    0.24663
  • p(a)
    0.41055
  • Lowerbound of 95% confidence interval for beta
    -0.75259
  • Upperbound of 95% confidence interval for beta
    0.74114
  • Lowerbound of 95% confidence interval for alpha
    -0.28724
  • Upperbound of 95% confidence interval for alpha
    0.33550
  • Treynor index (mean / b)
    -3.83230
  • Jensen alpha (a)
    0.02413
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02168
  • SD
    0.02147
  • Sharpe ratio (Glass type estimate)
    1.01005
  • Sharpe ratio (Hedges UMVUE)
    0.80590
  • df
    4.00000
  • t
    0.65199
  • p
    0.27499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89320
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24763
  • Upside Potential Ratio
    5.73863
  • Upside part of mean
    0.03831
  • Downside part of mean
    -0.01663
  • Upside SD
    0.01906
  • Downside SD
    0.00668
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.37512
  • Mean of criterion
    0.02168
  • SD of predictor
    0.05121
  • SD of criterion
    0.02147
  • Covariance
    -0.00001
  • r
    -0.00977
  • b (slope, estimate of beta)
    -0.00410
  • a (intercept, estimate of alpha)
    0.02322
  • Mean Square Error
    0.00061
  • DF error
    3.00000
  • t(b)
    -0.01693
  • p(b)
    0.50622
  • t(a)
    0.23556
  • p(a)
    0.41447
  • Lowerbound of 95% confidence interval for beta
    -0.77429
  • Upperbound of 95% confidence interval for beta
    0.76610
  • Lowerbound of 95% confidence interval for alpha
    -0.29047
  • Upperbound of 95% confidence interval for alpha
    0.33691
  • Treynor index (mean / b)
    -5.29137
  • Jensen alpha (a)
    0.02322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00835
  • Expected Shortfall on VaR
    0.01091
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00342
  • Expected Shortfall on VaR
    0.00469
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99889
  • Quartile 1
    1.00000
  • Median
    1.00116
  • Quartile 3
    1.00687
  • Maximum
    1.01386
  • Mean of quarter 1
    0.99945
  • Mean of quarter 2
    1.00116
  • Mean of quarter 3
    1.00687
  • Mean of quarter 4
    1.01386
  • Inter Quartile Range
    0.00687
  • 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
    1.00000
  • Minimum
    0.00111
  • Quartile 1
    0.00111
  • Median
    0.00111
  • Quartile 3
    0.00111
  • Maximum
    0.00111
  • 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)
    0.05011
  • Compounded annual return (geometric extrapolation)
    0.05084
  • Calmar ratio (compounded annual return / max draw down)
    45.86490
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.65868
  • 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
    -0.01399
  • SD
    0.04774
  • Sharpe ratio (Glass type estimate)
    -0.29302
  • Sharpe ratio (Hedges UMVUE)
    -0.29127
  • df
    126.00000
  • t
    -0.20401
  • p
    0.50909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52407
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49404
  • Upside Potential Ratio
    7.49839
  • Upside part of mean
    0.21232
  • Downside part of mean
    -0.22631
  • Upside SD
    0.03821
  • Downside SD
    0.02832
  • N nonnegative terms
    41.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    127.00000
  • Mean of predictor
    0.31223
  • Mean of criterion
    -0.01399
  • SD of predictor
    0.16247
  • SD of criterion
    0.04774
  • Covariance
    -0.00139
  • r
    -0.17940
  • b (slope, estimate of beta)
    -0.05272
  • a (intercept, estimate of alpha)
    0.00200
  • Mean Square Error
    0.00222
  • DF error
    125.00000
  • t(b)
    -2.03884
  • p(b)
    0.61360
  • t(a)
    0.03622
  • p(a)
    0.49794
  • Lowerbound of 95% confidence interval for beta
    -0.10389
  • Upperbound of 95% confidence interval for beta
    -0.00154
  • Lowerbound of 95% confidence interval for alpha
    -0.13252
  • Upperbound of 95% confidence interval for alpha
    0.13746
  • Treynor index (mean / b)
    0.26537
  • Jensen alpha (a)
    0.00247
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01511
  • SD
    0.04763
  • Sharpe ratio (Glass type estimate)
    -0.31737
  • Sharpe ratio (Hedges UMVUE)
    -0.31548
  • df
    126.00000
  • t
    -0.22096
  • p
    0.50984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13086
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49991
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53252
  • Upside Potential Ratio
    7.45398
  • Upside part of mean
    0.21157
  • Downside part of mean
    -0.22669
  • Upside SD
    0.03802
  • Downside SD
    0.02838
  • N nonnegative terms
    41.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    127.00000
  • Mean of predictor
    0.29896
  • Mean of criterion
    -0.01511
  • SD of predictor
    0.16221
  • SD of criterion
    0.04763
  • Covariance
    -0.00139
  • r
    -0.18024
  • b (slope, estimate of beta)
    -0.05292
  • a (intercept, estimate of alpha)
    0.00071
  • Mean Square Error
    0.00221
  • DF error
    125.00000
  • t(b)
    -2.04864
  • p(b)
    0.61412
  • t(a)
    0.01038
  • p(a)
    0.49941
  • Lowerbound of 95% confidence interval for beta
    -0.10404
  • Upperbound of 95% confidence interval for beta
    -0.00180
  • Lowerbound of 95% confidence interval for alpha
    -0.13386
  • Upperbound of 95% confidence interval for alpha
    0.13527
  • Treynor index (mean / b)
    0.28562
  • Jensen alpha (a)
    0.00071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00489
  • Expected Shortfall on VaR
    0.00611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00239
  • Expected Shortfall on VaR
    0.00448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    127.00000
  • Minimum
    0.99167
  • Quartile 1
    0.99905
  • Median
    1.00000
  • Quartile 3
    1.00048
  • Maximum
    1.01391
  • Mean of quarter 1
    0.99711
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00327
  • Inter Quartile Range
    0.00143
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08661
  • Mean of outliers low
    0.99523
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09449
  • Mean of outliers high
    1.00667
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36978
  • VaR(95%) (moments method)
    0.00250
  • Expected Shortfall (moments method)
    0.00303
  • Extreme Value Index (regression method)
    -0.08185
  • VaR(95%) (regression method)
    0.00323
  • Expected Shortfall (regression method)
    0.00445
  • 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
    0.03313
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00461
  • Mean of quarter 3
    0.00820
  • Mean of quarter 4
    0.03313
  • 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
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.03313
  • 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)
    0.01283
  • Compounded annual return (geometric extrapolation)
    0.01287
  • Calmar ratio (compounded annual return / max draw down)
    0.38861
  • Compounded annual return / average of 25% largest draw downs
    0.38861
  • Compounded annual return / Expected Shortfall lognormal
    2.10792
  • 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)
    0.00500
  • 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
    0.75%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -332779000
  • Max Equity Drawdown (num days)
    135

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 7.1%
Rank # 
#59
# Trades
238
# Profitable
113
% Profitable
47.5%
Net Dividends
($11)
Correlation S&P500
-0.207
Sharpe Ratio
-0.91
Sortino Ratio
-1.38
Beta
-0.06
Alpha
-0.01
Leverage
1.05 Average
10.30 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.