Triple-Index ThetaShield
Trades Own Strategy BrokerTransmit
- hypothetical · Cumul. Return
- 26.9%
- Max Drawdown
- 29.1%
- Trades
- 50
- Win Trades
- 46.0%
- Profit Factor
- 1.10
- Win Months
- 22.2%
About this strategy
This system was developed and traded privately using the same framework and execution style, and is now available to Collective2 users for transparency and tracking.
Core idea
Capture short-dated time decay while managing the unique risks of 1DTE options (fast gamma, overnight gaps) through:
Selective entries (not every day)
Defined-risk structures
Conservative position sizing
Discretionary TP/SL guided by a consistent playbook
Entries (systematic)
Trades are initiated only when conditions meet a rules-based checklist (liquidity, premium adequacy, volatility/regime filters, and calendar/event awareness). Strike placement is typically out-of-the-money using probability-weighted positioning (adjusted to prevailing volatility).
Exits (discretionary, but structured)
Profit-taking and risk exits are not fixed percentages. Management follows a repeatable decision framework that considers factors like proximity to short strikes, volatility changes, speed of move, time remaining, and exit quality. This flexibility is intentional for 1DTE conditions.
Risk notes
All trades are defined risk, but losses can still occur—especially during large directional moves or gaps. The approach emphasizes longevity and disciplined exposure rather than constant trading.
Minimum suggested balance: $3,000 USD (smaller accounts typically trade fewer positions/symbols at a time).
Historical testing over the full 1DTE era indicates positive long-run expectancy, though results are not guaranteed and execution matters.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.2 | 61.1 | -21.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 26.9 |
Statistics
Overview
| Strategy began | 2/5/2026 |
|---|---|
| Suggested Minimum Capital | $30,000 |
| Age | 8 months |
| What it trades | Options |
| # Trades | 50 |
| # Profitable | 23 |
| % Profitable | 46.0% |
| Avg trade duration | 1.0 days |
| Max peak-to-valley drawdown | 29.1% |
| drawdown period | March 07, 2026 - April 14, 2026 |
| Cumul. Return | 26.9% |
| Avg win | $3,102 |
| Avg loss | $2,367 |
Ratios
| W:L ratio | 1.12 |
|---|---|
| Sharpe Ratio | 0.61 |
| Sortino Ratio | 2.15 |
| Calmar Ratio | 8.95 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.14 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 14.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 12.2% |
Return Statistics
| Ann Return (w trading costs) | 42.1% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 47.2% |
Slump
| Current Slump as Pcnt Equity | 34.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| Short Options - Percent Covered | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 53.5% |
|---|---|
| Chance of 20% account loss | 17.0% |
| Chance of 30% account loss | 1.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187475 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $2,367 |
|---|---|
| Avg Win | $3,102 |
| # Winners | 23 |
| Sum Trade PL (losers) | $63,919 |
| Sum Trade PL (winners) | $71,354 |
| Num Months Winners | 2 |
| # Losers | 27 |
| % Winners | 46.0% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 9 |
|---|
Frequency
| Avg Position Time (mins) | 1497.57 |
|---|---|
| Avg Position Time (hrs) | 24.96 |
| Avg Trade Length | 1 |
| Last Trade Ago | 169 |
Leverage
| Daily leverage (average) | 116.39 |
|---|---|
| Daily leverage (max) | 252.70 |
Regression
| Alpha | 0.21 |
|---|---|
| Beta | -0.82 |
| Treynor Index | -0.20 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.06 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.06 |
| MAE:Equity, average, losing trades | 0.07 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.04 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -3.41 |
| MAE:PL (avg, all trades) | -0.95 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.53 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.10 |
| Hold-and-Hope Ratio | -0.29 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 2.53 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.10 |
DRAW DOWN STATISTICS
| Strat Max DD how much worse than SP500 max DD during strat life? | -490863328 |
|---|---|
| Max Equity Drawdown (num days) | 38 |
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 123 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| RUTW2620D2805 | short | 4 | Apr 17, 2026 | Apr 21, 2026 | $1,584 |
| RUTW2620P2740 | long | 4 | Apr 17, 2026 | Apr 21, 2026 | ($1,490) |
| RUTW2620P2745 | short | 2 | Apr 17, 2026 | Apr 21, 2026 | $913 |
| SPXW2620P7065 | long | 4 | Apr 17, 2026 | Apr 20, 2026 | ($2,220) |
| SPXW2620D7175 | long | 4 | Apr 17, 2026 | Apr 20, 2026 | ($1,944) |
| SPXW2614P6835 | short | 5 | Apr 14, 2026 | Apr 15, 2026 | $546 |
| SPXW2614P6830 | long | 5 | Apr 14, 2026 | Apr 15, 2026 | ($543) |
| RUTW2614P2635 | long | 5 | Apr 14, 2026 | Apr 15, 2026 | ($420) |
| SPXW2614D6925 | long | 5 | Apr 14, 2026 | Apr 15, 2026 | $14,303 |
| RUTW2614D2690 | short | 5 | Apr 14, 2026 | Apr 15, 2026 | $2,172 |
| RUTW2614D2695 | long | 4 | Apr 14, 2026 | Apr 15, 2026 | ($1,483) |
| SPXW2614D6920 | short | 5 | Apr 14, 2026 | Apr 15, 2026 | ($15,535) |
| RUTW2614P2640 | short | 5 | Apr 14, 2026 | Apr 15, 2026 | $459 |
| RUTW2614D2695 | short | 1 | Apr 14, 2026 | Apr 14, 2026 | ($89) |
| SPXW2601D6585 | short | 4 | Apr 1, 2026 | Apr 1, 2026 | ($3,118) |
| SPXW2601P6455 | short | 4 | Apr 1, 2026 | Apr 1, 2026 | $406 |
| SPXW2601P6450 | long | 4 | Mar 31, 2026 | Apr 1, 2026 | ($3,722) |
| SPXW2601D6590 | long | 4 | Mar 31, 2026 | Apr 1, 2026 | $4,842 |
| RUTW2601D2535 | long | 4 | Apr 1, 2026 | Apr 1, 2026 | $552 |
| RUTW2601P2460 | short | 4 | Mar 31, 2026 | Apr 1, 2026 | $635 |
| RUTW2601D2530 | short | 4 | Mar 31, 2026 | Apr 1, 2026 | ($3,103) |
| RUTW2601P2455 | long | 4 | Mar 31, 2026 | Apr 1, 2026 | ($1,732) |
| RUTW2630C2510 | long | 7 | Mar 30, 2026 | Mar 30, 2026 | ($824) |
| RUTW2630O2395 | short | 7 | Mar 30, 2026 | Mar 30, 2026 | ($64) |
| RUTW2630C2505 | short | 7 | Mar 27, 2026 | Mar 30, 2026 | $4,076 |
| RUTW2630O2390 | long | 7 | Mar 27, 2026 | Mar 30, 2026 | ($4,705) |
| SPXW2627O6400 | short | 4 | Mar 27, 2026 | Mar 27, 2026 | $970 |
| SPXW2627C6555 | short | 4 | Mar 27, 2026 | Mar 27, 2026 | $270 |
| SPXW2627C6560 | long | 4 | Mar 27, 2026 | Mar 27, 2026 | ($278) |
| SPXW2627O6395 | long | 4 | Mar 27, 2026 | Mar 27, 2026 | ($1,706) |
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.