Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver Followed by live capital $81,300 Hypothetical

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Russell Income
(150648953)

Created by: QuantX QuantX
Started: 01/2025
Options
Last trade: Yesterday
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 $79.00 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.
20.0%
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.

(34.8%)
Max Drawdown
55
Num Trades
92.7%
Win Trades
4.6 : 1
Profit Factor
73.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025+0.1%(0.9%)(4.8%)(3.4%)+11.0%+8.4%+0.8%+1.4%+1.7%+1.6%+0.9%+2.3%+19.5%
2026(0.9%)+2.7%+1.9%                                                      +3.6%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/24/26 10:02 IWM2627O240 IWM Mar27'26 240 put SHORT 4 1.99 3/25 9:40 0.29 2.8%
Trade id #154733174
Max drawdown($1,688)
Time3/9/26 0:00
Quant open4
Worst price6.21
Drawdown as % of equity-2.80%
 $674
Includes Typical Broker Commissions trade costs of $5.60
1/29/26 9:43 IWM2620C271 IWM Mar20'26 271 call SHORT 4 5.40 3/9 12:09 0.10 0.57%
Trade id #154280117
Max drawdown($336)
Time2/10/26 0:00
Quant open4
Worst price6.24
Drawdown as % of equity-0.57%
 $2,114
Includes Typical Broker Commissions trade costs of $5.60
1/29/26 9:46 IWM2627N248 IWM Feb27'26 248 put SHORT 4 1.65 2/24 9:59 0.23 1.28%
Trade id #154280274
Max drawdown($756)
Time2/5/26 0:00
Quant open4
Worst price3.54
Drawdown as % of equity-1.28%
 $562
Includes Typical Broker Commissions trade costs of $5.60
1/2/26 12:09 IWM2630A260 IWM Jan30'26 260 call SHORT 4 0.90 1/29 9:42 5.20 7.98%
Trade id #153982316
Max drawdown($4,556)
Time1/22/26 0:00
Quant open4
Worst price12.29
Drawdown as % of equity-7.98%
 ($1,726)
Includes Typical Broker Commissions trade costs of $5.60
1/8/26 15:37 IWM2606N244 IWM Feb6'26 244 put SHORT 4 1.38 1/23 12:24 0.26 n/a $442
Includes Typical Broker Commissions trade costs of $5.60
12/29/25 10:59 IWM2630M236 IWM Jan30'26 236 put SHORT 4 1.40 1/8/26 15:32 0.41 0.2%
Trade id #153940444
Max drawdown($120)
Time12/31/25 0:00
Quant open4
Worst price1.70
Drawdown as % of equity-0.20%
 $390
Includes Typical Broker Commissions trade costs of $5.60
12/11/25 9:43 IWM2623A260 IWM Jan23'26 260 call SHORT 4 5.22 1/2/26 12:07 0.49 0.39%
Trade id #153775041
Max drawdown($224)
Time12/11/25 14:02
Quant open4
Worst price5.78
Drawdown as % of equity-0.39%
 $1,886
Includes Typical Broker Commissions trade costs of $5.60
12/11/25 9:54 IWM2609M240 IWM Jan9'26 240 put SHORT 4 1.55 12/29 10:55 0.48 0.44%
Trade id #153775373
Max drawdown($260)
Time12/17/25 0:00
Quant open4
Worst price2.20
Drawdown as % of equity-0.44%
 $422
Includes Typical Broker Commissions trade costs of $5.60
11/17/25 12:27 IWM2519L253 IWM Dec19'25 253 call SHORT 4 1.18 12/11 9:39 4.77 2.91%
Trade id #153460072
Max drawdown($1,700)
Time12/10/25 0:00
Quant open4
Worst price5.43
Drawdown as % of equity-2.91%
 ($1,442)
Includes Typical Broker Commissions trade costs of $5.60
11/12/25 14:06 IWM2512X228 IWM Dec12'25 228 put SHORT 4 1.52 12/1 15:00 0.31 2.8%
Trade id #153421703
Max drawdown($1,616)
Time11/20/25 0:00
Quant open4
Worst price5.56
Drawdown as % of equity-2.80%
 $478
Includes Typical Broker Commissions trade costs of $5.60
11/12/25 14:06 IWM2512L261 IWM Dec12'25 261 call SHORT 4 1.17 11/17 12:24 0.28 n/a $350
Includes Typical Broker Commissions trade costs of $5.60
10/21/25 12:12 IWM2514W235 IWM Nov14'25 235 put SHORT 3 1.66 11/12 13:57 0.08 0.94%
Trade id #153220765
Max drawdown($543)
Time10/22/25 0:00
Quant open3
Worst price3.47
Drawdown as % of equity-0.94%
 $470
Includes Typical Broker Commissions trade costs of $4.20
10/13/25 10:07 IWM2514K259 IWM Nov14'25 259 call SHORT 2 1.28 11/4 16:01 0.09 0.84%
Trade id #153145777
Max drawdown($482)
Time10/15/25 0:00
Quant open2
Worst price3.69
Drawdown as % of equity-0.84%
 $235
Includes Typical Broker Commissions trade costs of $2.80
10/2/25 14:23 IWM2531V230 IWM Oct31'25 230 put SHORT 2 1.47 10/21 12:11 0.38 0.55%
Trade id #153061598
Max drawdown($314)
Time10/10/25 0:00
Quant open2
Worst price3.04
Drawdown as % of equity-0.55%
 $215
Includes Typical Broker Commissions trade costs of $2.80
9/19/25 13:58 IWM2524J250 IWM Oct24'25 250 call SHORT 3 3.55 10/13 10:06 1.27 0.83%
Trade id #152959349
Max drawdown($465)
Time9/23/25 0:00
Quant open3
Worst price5.10
Drawdown as % of equity-0.83%
 $680
Includes Typical Broker Commissions trade costs of $4.20
9/23/25 9:43 IWM2524V231 IWM Oct24'25 231 put SHORT 3 1.55 10/10 9:32 0.40 0.77%
Trade id #152980791
Max drawdown($438)
Time9/25/25 0:00
Quant open3
Worst price3.01
Drawdown as % of equity-0.77%
 $341
Includes Typical Broker Commissions trade costs of $4.20
8/29/25 12:52 IWM2530I250 IWM Sep30'25 250 call SHORT 2 1.04 9/26 12:45 0.03 0.27%
Trade id #152785382
Max drawdown($154)
Time9/17/25 0:00
Quant open2
Worst price1.81
Drawdown as % of equity-0.27%
 $199
Includes Typical Broker Commissions trade costs of $2.80
9/11/25 12:40 IWM2510V226 IWM Oct10'25 226 put SHORT 3 1.41 9/23 9:41 0.35 0.15%
Trade id #152889988
Max drawdown($87)
Time9/16/25 0:00
Quant open3
Worst price1.70
Drawdown as % of equity-0.15%
 $314
Includes Typical Broker Commissions trade costs of $4.20
8/20/25 15:44 IWM2519I240 IWM Sep19'25 240 call SHORT 3 1.08 9/19 13:56 3.40 2.37%
Trade id #152652386
Max drawdown($1,341)
Time9/17/25 0:00
Quant open3
Worst price5.55
Drawdown as % of equity-2.37%
 ($700)
Includes Typical Broker Commissions trade costs of $4.20
8/26/25 10:27 IWM2526U220 IWM Sep26'25 220 put SHORT 3 1.52 9/11 12:39 0.32 0.28%
Trade id #152710571
Max drawdown($156)
Time9/2/25 0:00
Quant open3
Worst price2.04
Drawdown as % of equity-0.28%
 $356
Includes Typical Broker Commissions trade costs of $4.20
8/13/25 9:54 IWM2512U216 IWM Sep12'25 216 put SHORT 3 1.41 8/25 10:36 0.42 0.36%
Trade id #152596498
Max drawdown($204)
Time8/22/25 0:00
Quant open3
Worst price2.09
Drawdown as % of equity-0.36%
 $293
Includes Typical Broker Commissions trade costs of $4.20
7/30/25 10:00 IWM2529H237 IWM Aug29'25 237 call SHORT 3 1.17 8/20 15:39 0.27 0.4%
Trade id #152470886
Max drawdown($222)
Time8/13/25 0:00
Quant open3
Worst price1.91
Drawdown as % of equity-0.40%
 $266
Includes Typical Broker Commissions trade costs of $4.20
8/7/25 9:47 IWM2512U206 IWM Sep12'25 206 put SHORT 3 1.68 8/18 10:06 0.50 0.21%
Trade id #152546462
Max drawdown($114)
Time8/7/25 15:57
Quant open3
Worst price2.06
Drawdown as % of equity-0.21%
 $350
Includes Typical Broker Commissions trade costs of $4.20
8/5/25 9:49 IWM2505U205 IWM Sep5'25 205 put SHORT 2 1.48 8/13 9:33 0.33 0.19%
Trade id #152522780
Max drawdown($106)
Time8/5/25 10:48
Quant open2
Worst price2.01
Drawdown as % of equity-0.19%
 $227
Includes Typical Broker Commissions trade costs of $2.80
7/21/25 11:50 IWM2515T210 IWM Aug15'25 210 put SHORT 3 1.27 8/7 9:39 0.37 1.33%
Trade id #152375349
Max drawdown($738)
Time8/1/25 0:00
Quant open3
Worst price3.73
Drawdown as % of equity-1.33%
 $266
Includes Typical Broker Commissions trade costs of $4.20
7/11/25 15:03 IWM2515H238 IWM Aug15'25 238 call SHORT 3 1.07 7/30 9:59 0.33 0.08%
Trade id #152296403
Max drawdown($45)
Time7/15/25 0:00
Quant open3
Worst price1.22
Drawdown as % of equity-0.08%
 $218
Includes Typical Broker Commissions trade costs of $4.20
6/12/25 9:37 IWM2511G224 IWM Jul11'25 224 call SHORT 3 0.95 7/12 9:35 0.00 0.76%
Trade id #152003096
Max drawdown($417)
Time7/10/25 0:00
Quant open3
Worst price2.34
Drawdown as % of equity-0.76%
 $283
Includes Typical Broker Commissions trade costs of $2.10
6/23/25 10:14 IWM2527F214 IWM Jun27'25 214 call SHORT 3 0.71 6/28 9:35 0.00 1.47%
Trade id #152121874
Max drawdown($801)
Time6/27/25 0:00
Quant open3
Worst price3.38
Drawdown as % of equity-1.47%
 $211
Includes Typical Broker Commissions trade costs of $2.10
6/11/25 9:57 IWM2511S202 IWM Jul11'25 202 put SHORT 3 1.29 6/27 9:41 0.35 0.98%
Trade id #151991134
Max drawdown($525)
Time6/13/25 0:00
Quant open3
Worst price3.04
Drawdown as % of equity-0.98%
 $278
Includes Typical Broker Commissions trade costs of $4.20
6/16/25 9:45 IWM2520F214 IWM Jun20'25 214 call SHORT 3 0.63 6/21 9:35 0.00 0.42%
Trade id #152064218
Max drawdown($219)
Time6/18/25 0:00
Quant open3
Worst price1.36
Drawdown as % of equity-0.42%
 $187
Includes Typical Broker Commissions trade costs of $2.10

Statistics

  • Strategy began
    1/23/2025
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    426.64
  • Age
    14 months ago
  • What it trades
    Options
  • # Trades
    55
  • # Profitable
    51
  • % Profitable
    92.70%
  • Avg trade duration
    17.4 days
  • Max peak-to-valley drawdown
    34.79%
  • drawdown period
    Feb 19, 2025 - April 09, 2025
  • Annual Return (Compounded)
    20.0%
  • Avg win
    $341.27
  • Avg loss
    $971.75
  • Model Account Values (Raw)
  • Cash
    $65,808
  • Margin Used
    $9,447
  • Buying Power
    $56,361
  • Ratios
  • W:L ratio
    4.64:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.79
  • Calmar Ratio
    0.702
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    16.16%
  • Correlation to SP500
    0.07030
  • Return Percent SP500 (cumu) during strategy life
    7.73%
  • Return Statistics
  • Ann Return (w trading costs)
    20.0%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    25.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.200%
  • Instruments
  • Percent Trades Options
    0.96%
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    23.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    4.00%
  • 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)
    755
  • Popularity (Last 6 weeks)
    741
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    928
  • Popularity (7 days, Percentile 1000 scale)
    648
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $972
  • Avg Win
    $341
  • Sum Trade PL (losers)
    $3,887.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $17,405.000
  • # Winners
    51
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    311
  • Win / Loss
  • # Losers
    4
  • % Winners
    92.7%
  • Frequency
  • Avg Position Time (mins)
    25026.00
  • Avg Position Time (hrs)
    417.10
  • Avg Trade Length
    17.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.66
  • Daily leverage (max)
    3.71
  • Regression
  • Alpha
    0.06
  • Beta
    0.12
  • Treynor Index
    0.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.84
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    4.003
  • 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
    2.558
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.989
  • Hold-and-Hope Ratio
    0.249
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18488
  • SD
    0.15660
  • Sharpe ratio (Glass type estimate)
    1.18056
  • Sharpe ratio (Hedges UMVUE)
    1.10494
  • df
    12.00000
  • t
    1.22877
  • p
    0.33285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03920
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.46006
  • Upside Potential Ratio
    3.70301
  • Upside part of mean
    0.27829
  • Downside part of mean
    -0.09341
  • Upside SD
    0.14085
  • Downside SD
    0.07515
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.07565
  • Mean of criterion
    0.18488
  • SD of predictor
    0.11744
  • SD of criterion
    0.15660
  • Covariance
    0.01526
  • r
    0.82984
  • b (slope, estimate of beta)
    1.10657
  • a (intercept, estimate of alpha)
    0.10117
  • Mean Square Error
    0.00833
  • DF error
    11.00000
  • t(b)
    4.93240
  • p(b)
    0.00022
  • t(a)
    1.13266
  • p(a)
    0.14072
  • Lowerbound of 95% confidence interval for beta
    0.61279
  • Upperbound of 95% confidence interval for beta
    1.60036
  • Lowerbound of 95% confidence interval for alpha
    -0.09542
  • Upperbound of 95% confidence interval for alpha
    0.29775
  • Treynor index (mean / b)
    0.16707
  • Jensen alpha (a)
    0.10117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17223
  • SD
    0.15277
  • Sharpe ratio (Glass type estimate)
    1.12740
  • Sharpe ratio (Hedges UMVUE)
    1.05518
  • df
    12.00000
  • t
    1.17343
  • p
    0.33958
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82975
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98499
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21304
  • Upside Potential Ratio
    3.44848
  • Upside part of mean
    0.26838
  • Downside part of mean
    -0.09615
  • Upside SD
    0.13401
  • Downside SD
    0.07782
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.06900
  • Mean of criterion
    0.17223
  • SD of predictor
    0.11620
  • SD of criterion
    0.15277
  • Covariance
    0.01463
  • r
    0.82407
  • b (slope, estimate of beta)
    1.08339
  • a (intercept, estimate of alpha)
    0.09748
  • Mean Square Error
    0.00817
  • DF error
    11.00000
  • t(b)
    4.82473
  • p(b)
    0.00027
  • t(a)
    1.10500
  • p(a)
    0.14637
  • Lowerbound of 95% confidence interval for beta
    0.58916
  • Upperbound of 95% confidence interval for beta
    1.57762
  • Lowerbound of 95% confidence interval for alpha
    -0.09668
  • Upperbound of 95% confidence interval for alpha
    0.29163
  • Treynor index (mean / b)
    0.15897
  • Jensen alpha (a)
    0.09748
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05653
  • Expected Shortfall on VaR
    0.07363
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00963
  • Expected Shortfall on VaR
    0.02457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.92649
  • Quartile 1
    1.00761
  • Median
    1.01716
  • Quartile 3
    1.02015
  • Maximum
    1.12141
  • Mean of quarter 1
    0.97835
  • Mean of quarter 2
    1.01328
  • Mean of quarter 3
    1.01857
  • Mean of quarter 4
    1.07387
  • Inter Quartile Range
    0.01255
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.95568
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.09963
  • 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)
    0.49010
  • VaR(95%) (regression method)
    0.05847
  • Expected Shortfall (regression method)
    0.16905
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00558
  • Quartile 1
    0.02606
  • Median
    0.04655
  • Quartile 3
    0.06704
  • Maximum
    0.08752
  • Mean of quarter 1
    0.00558
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08752
  • Inter Quartile Range
    0.04097
  • 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)
    0.22349
  • Compounded annual return (geometric extrapolation)
    0.22157
  • Calmar ratio (compounded annual return / max draw down)
    2.53159
  • Compounded annual return / average of 25% largest draw downs
    2.53159
  • Compounded annual return / Expected Shortfall lognormal
    3.00927
  • 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
    0.23712
  • SD
    0.31363
  • Sharpe ratio (Glass type estimate)
    0.75606
  • Sharpe ratio (Hedges UMVUE)
    0.75413
  • df
    295.00000
  • t
    0.80362
  • p
    0.21113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60044
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59910
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04678
  • Upside Potential Ratio
    5.20233
  • Upside part of mean
    1.17846
  • Downside part of mean
    -0.94134
  • Upside SD
    0.21664
  • Downside SD
    0.22653
  • N nonnegative terms
    175.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.05438
  • Mean of criterion
    0.23712
  • SD of predictor
    0.18174
  • SD of criterion
    0.31363
  • Covariance
    0.00437
  • r
    0.07670
  • b (slope, estimate of beta)
    0.13237
  • a (intercept, estimate of alpha)
    0.23000
  • Mean Square Error
    0.09812
  • DF error
    294.00000
  • t(b)
    1.31910
  • p(b)
    0.09408
  • t(a)
    0.78007
  • p(a)
    0.21799
  • Lowerbound of 95% confidence interval for beta
    -0.06512
  • Upperbound of 95% confidence interval for beta
    0.32986
  • Lowerbound of 95% confidence interval for alpha
    -0.35016
  • Upperbound of 95% confidence interval for alpha
    0.81001
  • Treynor index (mean / b)
    1.79137
  • Jensen alpha (a)
    0.22992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18711
  • SD
    0.31823
  • Sharpe ratio (Glass type estimate)
    0.58797
  • Sharpe ratio (Hedges UMVUE)
    0.58647
  • df
    295.00000
  • t
    0.62495
  • p
    0.26624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25709
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43104
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77903
  • Upside Potential Ratio
    4.81334
  • Upside part of mean
    1.15608
  • Downside part of mean
    -0.96897
  • Upside SD
    0.20827
  • Downside SD
    0.24018
  • N nonnegative terms
    175.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.03803
  • Mean of criterion
    0.18711
  • SD of predictor
    0.18080
  • SD of criterion
    0.31823
  • Covariance
    0.00489
  • r
    0.08499
  • b (slope, estimate of beta)
    0.14959
  • a (intercept, estimate of alpha)
    0.18142
  • Mean Square Error
    0.10088
  • DF error
    294.00000
  • t(b)
    1.46260
  • p(b)
    0.07232
  • t(a)
    0.60707
  • p(a)
    0.27214
  • Lowerbound of 95% confidence interval for beta
    -0.05170
  • Upperbound of 95% confidence interval for beta
    0.35089
  • Lowerbound of 95% confidence interval for alpha
    -0.40673
  • Upperbound of 95% confidence interval for alpha
    0.76957
  • Treynor index (mean / b)
    1.25078
  • Jensen alpha (a)
    0.18142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03113
  • Expected Shortfall on VaR
    0.03903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00685
  • Expected Shortfall on VaR
    0.01639
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    296.00000
  • Minimum
    0.84550
  • Quartile 1
    0.99809
  • Median
    1.00086
  • Quartile 3
    1.00346
  • Maximum
    1.13892
  • Mean of quarter 1
    0.98633
  • Mean of quarter 2
    0.99966
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.01612
  • Inter Quartile Range
    0.00537
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.07095
  • Mean of outliers low
    0.96354
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.08784
  • Mean of outliers high
    1.03431
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.95712
  • VaR(95%) (moments method)
    0.01151
  • Expected Shortfall (moments method)
    0.28352
  • Extreme Value Index (regression method)
    0.86925
  • VaR(95%) (regression method)
    0.00889
  • Expected Shortfall (regression method)
    0.07004
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00132
  • Median
    0.00331
  • Quartile 3
    0.00892
  • Maximum
    0.34187
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00222
  • Mean of quarter 3
    0.00669
  • Mean of quarter 4
    0.05231
  • Inter Quartile Range
    0.00760
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.14083
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.03196
  • VaR(95%) (moments method)
    0.04439
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.47691
  • VaR(95%) (regression method)
    0.03498
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24338
  • Compounded annual return (geometric extrapolation)
    0.23988
  • Calmar ratio (compounded annual return / max draw down)
    0.70167
  • Compounded annual return / average of 25% largest draw downs
    4.58577
  • Compounded annual return / Expected Shortfall lognormal
    6.14595
  • 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
    0.19178
  • SD
    0.09592
  • Sharpe ratio (Glass type estimate)
    1.99942
  • Sharpe ratio (Hedges UMVUE)
    1.98786
  • df
    130.00000
  • t
    1.41380
  • p
    0.43847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77811
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79445
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77018
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.29864
  • Upside Potential Ratio
    10.07480
  • Upside part of mean
    0.58574
  • Downside part of mean
    -0.39396
  • Upside SD
    0.07675
  • Downside SD
    0.05814
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03230
  • Mean of criterion
    0.19178
  • SD of predictor
    0.12462
  • SD of criterion
    0.09592
  • Covariance
    0.00245
  • r
    0.20479
  • b (slope, estimate of beta)
    0.15763
  • a (intercept, estimate of alpha)
    0.19687
  • Mean Square Error
    0.00888
  • DF error
    129.00000
  • t(b)
    2.37631
  • p(b)
    0.37055
  • t(a)
    1.47686
  • p(a)
    0.41814
  • Lowerbound of 95% confidence interval for beta
    0.02639
  • Upperbound of 95% confidence interval for beta
    0.28887
  • Lowerbound of 95% confidence interval for alpha
    -0.06687
  • Upperbound of 95% confidence interval for alpha
    0.46062
  • Treynor index (mean / b)
    1.21667
  • Jensen alpha (a)
    0.19687
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18715
  • SD
    0.09563
  • Sharpe ratio (Glass type estimate)
    1.95692
  • Sharpe ratio (Hedges UMVUE)
    1.94561
  • df
    130.00000
  • t
    1.38375
  • p
    0.43976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72748
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19702
  • Upside Potential Ratio
    9.95548
  • Upside part of mean
    0.58277
  • Downside part of mean
    -0.39562
  • Upside SD
    0.07604
  • Downside SD
    0.05854
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04002
  • Mean of criterion
    0.18715
  • SD of predictor
    0.12488
  • SD of criterion
    0.09563
  • Covariance
    0.00244
  • r
    0.20448
  • b (slope, estimate of beta)
    0.15659
  • a (intercept, estimate of alpha)
    0.19341
  • Mean Square Error
    0.00883
  • DF error
    129.00000
  • t(b)
    2.37257
  • p(b)
    0.37074
  • t(a)
    1.45504
  • p(a)
    0.41932
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.02601
  • Upperbound of 95% confidence interval for beta
    0.28716
  • Lowerbound of 95% confidence interval for alpha
    -0.06958
  • Upperbound of 95% confidence interval for alpha
    0.45641
  • Treynor index (mean / b)
    1.19516
  • Jensen alpha (a)
    0.19341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00896
  • Expected Shortfall on VaR
    0.01140
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00300
  • Expected Shortfall on VaR
    0.00645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97957
  • Quartile 1
    0.99836
  • Median
    1.00061
  • Quartile 3
    1.00288
  • Maximum
    1.02819
  • Mean of quarter 1
    0.99462
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00174
  • Mean of quarter 4
    1.00728
  • Inter Quartile Range
    0.00452
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98551
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01702
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35974
  • VaR(95%) (moments method)
    0.00513
  • Expected Shortfall (moments method)
    0.00954
  • Extreme Value Index (regression method)
    0.08873
  • VaR(95%) (regression method)
    0.00512
  • Expected Shortfall (regression method)
    0.00761
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00163
  • Median
    0.00378
  • Quartile 3
    0.01051
  • Maximum
    0.05289
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00275
  • Mean of quarter 3
    0.00698
  • Mean of quarter 4
    0.02283
  • Inter Quartile Range
    0.00888
  • 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
    0.05000
  • Mean of outliers high
    0.05289
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38850
  • VaR(95%) (moments method)
    0.02498
  • Expected Shortfall (moments method)
    0.04617
  • Extreme Value Index (regression method)
    1.08961
  • VaR(95%) (regression method)
    0.02699
  • 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?
    -444365000
  • Max Equity Drawdown (num days)
    49
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22704
  • Compounded annual return (geometric extrapolation)
    0.23993
  • Calmar ratio (compounded annual return / max draw down)
    4.53666
  • Compounded annual return / average of 25% largest draw downs
    10.51040
  • Compounded annual return / Expected Shortfall lognormal
    21.03750

Strategy Description

This strategy is holding a permanent strangle options position on the Russell 2000 ETF IWM.
Holding a strangle means having Call options and Put options sold on the same underlying.
If one leg of the strangle reaches the profit target, the leg is rolled into a new expiration date and strike.

Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-01-23
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 7.2%
Rank # 
#44
# Trades
55
# Profitable
51
% Profitable
92.7%
Net Dividends
$310
Correlation S&P500
0.070
Sharpe Ratio
0.58
Sortino Ratio
0.79
Beta
0.12
Alpha
0.06
Leverage
1.66 Average
3.71 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.