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

Fundamental Income Generator
(76994439)

Created by: FundamentalInvesto FundamentalInvesto
Started: 10/2012
Options
Last trade: 1,195 days ago
Trading style: Options Covered Calls

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 $88.00 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
Covered Calls
Category: Equity

Covered Calls

Strategy buys a stock, and sells call options for the same amount (or less) of stock, and then waits for the options contract to be exercised or to expire.
6.1%
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.

(42.8%)
Max Drawdown
483
Num Trades
80.3%
Win Trades
1.7 : 1
Profit Factor
66.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.9%)+0.9%+1.6%+1.6%
2013+4.8%(0.1%)+3.1%+1.7%+3.0%(1.7%)+1.5%(0.2%)+5.3%+1.9%+3.7%+0.3%+25.6%
2014(6.4%)+4.8%+1.4%+1.4%+1.8%+1.1%(0.8%)+3.9%(1.5%)+1.0%+1.4%(2.2%)+5.5%
2015(4.6%)+8.1%(2.4%)+1.0%+1.1%(1.6%)+3.8%(8.3%)+0.2%+11.8%+1.5%+0.1%+9.7%
2016(6.9%)+4.5%+7.7%+3.2%+3.0%  -  +2.5%+3.2%(1.1%)+1.6%+1.2%+1.2%+21.0%
2017+1.7%+3.9%(0.6%)+1.4%(0.3%)+2.5%+1.8%(6.9%)+2.7%(1%)+1.1%+3.3%+9.4%
2018+0.6%(5.9%)(9.2%)(2.8%)+0.9%+6.2%+3.3%+0.4%(3.5%)(8.6%)(5.8%)(18.4%)(37%)
2019+20.2%+2.7%+2.2%+2.6%(0.3%)(1.9%)+2.0%(2.4%)(1.6%)+3.6%+3.6%+1.6%+35.1%
2020  -  (2.1%)(10.4%)+5.5%+3.3%  -  +10.4%+1.4%+7.0%
2021(0.3%)+0.5%+2.9%+0.5%+0.4%+0.5%+0.7%+0.7%(1.6%)(1.1%)  -  +1.1%+4.6%
2022(0.7%)(2.6%)+0.6%+0.2%(0.4%)(3.9%)+0.7%+0.5%(1.9%)(0.2%)+0.3%+0.6%(6.7%)
2023+0.9%+1.4%+0.6%+2.0%+0.2%+1.0%+0.4%(0.6%)+0.3%+0.6%+0.5%+0.1%+7.3%
2024+1.8%+3.2%+0.9%                                                      +6.0%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 342 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2045 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/17/18 15:17 SPY2018X270 SPY Dec18'20 270 put LONG 1 19.47 12/19/20 9:35 0.00 4.62%
Trade id #119495942
Max drawdown($1,946)
Time12/14/20 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-4.62%
($1,948)
Includes Typical Broker Commissions trade costs of $1.00
8/17/18 15:15 SPY2018X350 SPY Dec18'20 350 put SHORT 1 65.47 12/19/20 9:35 0.00 19.28%
Trade id #119495911
Max drawdown($6,504)
Time3/23/20 0:00
Quant open1
Worst price130.51
Drawdown as % of equity-19.28%
$6,546
Includes Typical Broker Commissions trade costs of $1.00
12/5/17 15:44 PM2017A100 PM Jan17'20 100 call LONG 1 11.00 1/18/20 9:35 0.00 2.61%
Trade id #115208291
Max drawdown($1,099)
Time12/4/19 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-2.61%
($1,101)
Includes Typical Broker Commissions trade costs of $1.00
8/21/18 13:27 MSFT1918P95 MSFT Apr18'19 95 put SHORT 2 2.75 4/19/19 8:05 0.00 n/a $549
Includes Typical Broker Commissions trade costs of $1.40
8/21/18 13:28 MSFT1918P90 MSFT Apr18'19 90 put LONG 2 1.81 4/19/19 8:05 0.00 0.74%
Trade id #119536536
Max drawdown($361)
Time4/19/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.74%
($362)
Includes Typical Broker Commissions trade costs of $1.40
3/16/19 9:36 DWDP DOWDUPONT SHORT 300 57.50 3/16 9:36 62.50 3.1%
Trade id #122936410
Max drawdown($1,500)
Time3/16/19 9:36
Quant open0
Worst price62.50
Drawdown as % of equity-3.10%
($1,506)
Includes Typical Broker Commissions trade costs of $6.00
8/21/18 13:08 DWDP1915O62.5 DWDP Mar15'19 62.5 put SHORT 3 2.35 3/16/19 9:36 0.00 4.5%
Trade id #119536170
Max drawdown($2,142)
Time2/28/19 13:13
Quant open-3
Worst price9.49
Drawdown as % of equity-4.50%
$703
Includes Typical Broker Commissions trade costs of $2.10
8/21/18 13:12 DWDP1915O57.5 DWDP Mar15'19 57.5 put LONG 3 1.24 3/16/19 9:36 0.00 0.77%
Trade id #119536266
Max drawdown($372)
Time3/16/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.77%
($374)
Includes Typical Broker Commissions trade costs of $2.10
7/21/18 9:36 GIS GENERAL MILLS LONG 200 50.00 2/20/19 13:43 44.60 2.7%
Trade id #119048340
Max drawdown($1,470)
Time7/24/18 10:35
Quant open200
Worst price42.65
Drawdown as % of equity-2.70%
($1,085)
Includes Typical Broker Commissions trade costs of $4.00
7/12/18 15:59 IFF1915N115 IFF Feb15'19 115 put SHORT 2 3.40 2/16/19 9:36 0.00 n/a $679
Includes Typical Broker Commissions trade costs of $1.40
2/16/19 9:35 SUM SUMMIT MATERIALS INC SHORT 400 17.50 2/16 9:36 22.50 4.25%
Trade id #122555514
Max drawdown($2,000)
Time2/16/19 9:36
Quant open0
Worst price22.50
Drawdown as % of equity-4.25%
($2,008)
Includes Typical Broker Commissions trade costs of $8.00
8/21/18 13:49 PCAR1915N58 PCAR Feb15'19 58 put LONG 2 1.60 2/16/19 9:36 0.00 0.68%
Trade id #119537117
Max drawdown($320)
Time2/16/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.68%
($321)
Includes Typical Broker Commissions trade costs of $1.40
7/30/18 15:56 SUM1915N22.5 SUM Feb15'19 22.5 put SHORT 4 1.35 2/16/19 9:36 0.00 n/a $537
Includes Typical Broker Commissions trade costs of $2.80
7/12/18 15:59 IFF1915N110 IFF Feb15'19 110 put LONG 2 2.48 2/16/19 9:35 0.00 1.05%
Trade id #118903824
Max drawdown($496)
Time2/16/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-1.05%
($497)
Includes Typical Broker Commissions trade costs of $1.40
8/21/18 13:50 PCAR1915N63 PCAR Feb15'19 63 put SHORT 2 2.85 2/16/19 9:35 0.00 0.11%
Trade id #119537130
Max drawdown($50)
Time1/28/19 9:40
Quant open-2
Worst price3.10
Drawdown as % of equity-0.11%
$569
Includes Typical Broker Commissions trade costs of $1.40
7/30/18 15:57 SUM1915N17.5 SUM Feb15'19 17.5 put LONG 4 0.40 2/16/19 9:35 0.00 0.34%
Trade id #119193037
Max drawdown($160)
Time2/16/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.34%
($163)
Includes Typical Broker Commissions trade costs of $2.80
1/19/19 9:36 PM PHILIP MORRIS LONG 200 75.00 2/1 13:51 75.84 2.3%
Trade id #122069573
Max drawdown($938)
Time1/24/19 13:13
Quant open200
Worst price70.31
Drawdown as % of equity-2.30%
$164
Includes Typical Broker Commissions trade costs of $4.00
6/21/18 15:25 BRKB1918M165 BRK.B Jan18'19 165 put LONG 2 2.83 1/19/19 9:36 0.00 1.14%
Trade id #118574405
Max drawdown($566)
Time1/19/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-1.14%
($567)
Includes Typical Broker Commissions trade costs of $1.40
1/19/19 9:36 BUD ANHEUSER-BUSCH INBEV LONG 200 90.00 1/19 9:36 85.00 2.02%
Trade id #122069276
Max drawdown($1,000)
Time1/19/19 9:36
Quant open0
Worst price85.00
Drawdown as % of equity-2.02%
($1,004)
Includes Typical Broker Commissions trade costs of $4.00
6/21/18 15:15 BUD1918M85 BUD Jan18'19 85 put LONG 2 1.98 1/19/19 9:36 0.00 0.8%
Trade id #118574178
Max drawdown($396)
Time1/19/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.80%
($397)
Includes Typical Broker Commissions trade costs of $1.40
1/19/19 9:36 FB META PLATFORMS INC SHORT 170 175.00 1/19 9:36 180.00 1.71%
Trade id #122069625
Max drawdown($850)
Time1/19/19 9:36
Quant open0
Worst price180.00
Drawdown as % of equity-1.71%
($853)
Includes Typical Broker Commissions trade costs of $3.40
6/20/18 15:13 FB1918M180 FB Jan18'19 180 put SHORT 2 6.65 1/19/19 9:36 0.00 18.94%
Trade id #118546589
Max drawdown($9,390)
Time12/21/18 14:35
Quant open-2
Worst price53.60
Drawdown as % of equity-18.94%
$1,329
Includes Typical Broker Commissions trade costs of $1.40
9/22/18 9:36 FB META PLATFORMS INC LONG 100 165.00 1/19/19 9:36 166.79 2.57%
Trade id #119987561
Max drawdown($1,273)
Time12/24/18 8:04
Quant open30
Worst price122.55
Drawdown as % of equity-2.57%
$177
Includes Typical Broker Commissions trade costs of $2.00
7/12/18 15:31 TJX1918M42.50 TJX Jan18'19 42.50 put SHORT 4 1.02 1/19/19 9:36 0.00 n/a $303
Includes Typical Broker Commissions trade costs of $2.80
6/20/18 15:14 FB1918M175 FB Jan18'19 175 put LONG 2 5.55 1/19/19 9:36 0.00 2.24%
Trade id #118546612
Max drawdown($1,110)
Time1/19/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-2.24%
($1,111)
Includes Typical Broker Commissions trade costs of $1.40
1/19/19 9:36 GD GENERAL DYNAMICS SHORT 200 170.00 1/19 9:36 175.00 2.02%
Trade id #122069366
Max drawdown($1,000)
Time1/19/19 9:36
Quant open0
Worst price175.00
Drawdown as % of equity-2.02%
($1,004)
Includes Typical Broker Commissions trade costs of $4.00
6/20/18 15:41 GD1918M175 GD Jan18'19 175 put SHORT 2 5.55 1/19/19 9:36 0.00 10.27%
Trade id #118547471
Max drawdown($5,090)
Time12/26/18 10:14
Quant open-2
Worst price31.00
Drawdown as % of equity-10.27%
$1,109
Includes Typical Broker Commissions trade costs of $1.40
7/5/18 15:58 MO1918M47.5 MO Jan18'19 47.5 put LONG 3 0.96 1/19/19 9:36 0.00 0.58%
Trade id #118792489
Max drawdown($288)
Time1/19/19 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-0.58%
($290)
Includes Typical Broker Commissions trade costs of $2.10
6/20/18 15:06 PM1918M75 PM Jan18'19 75 put SHORT 2 3.30 1/19/19 9:36 0.00 2.77%
Trade id #118546383
Max drawdown($1,372)
Time12/27/18 14:45
Quant open-2
Worst price10.16
Drawdown as % of equity-2.77%
$659
Includes Typical Broker Commissions trade costs of $1.40
1/19/19 9:36 KHC THE KRAFT HEINZ COMPANY COMMON STOCK LONG 300 57.50 1/19 9:36 52.50 3.03%
Trade id #122069447
Max drawdown($1,500)
Time1/19/19 9:36
Quant open0
Worst price52.50
Drawdown as % of equity-3.03%
($1,506)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    10/7/2012
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    4187.75
  • Age
    140 months ago
  • What it trades
    Options
  • # Trades
    483
  • # Profitable
    388
  • % Profitable
    80.30%
  • Avg trade duration
    102.9 days
  • Max peak-to-valley drawdown
    42.76%
  • drawdown period
    Jan 23, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    6.1%
  • Avg win
    $213.73
  • Avg loss
    $544.65
  • Model Account Values (Raw)
  • Cash
    $51,515
  • Margin Used
    $0
  • Buying Power
    $54,550
  • Ratios
  • W:L ratio
    1.66:1
  • Sharpe Ratio
    0.31
  • Sortino Ratio
    0.41
  • Calmar Ratio
    0.362
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -159.55%
  • Correlation to SP500
    0.40740
  • Return Percent SP500 (cumu) during strategy life
    259.26%
  • Return Statistics
  • Ann Return (w trading costs)
    6.1%
  • Slump
  • Current Slump as Pcnt Equity
    1.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    2.45%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.061%
  • Instruments
  • Percent Trades Options
    0.93%
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.00%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    5.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $545
  • Avg Win
    $214
  • Sum Trade PL (losers)
    $51,742.000
  • Age
  • Num Months filled monthly returns table
    134
  • Win / Loss
  • Sum Trade PL (winners)
    $82,926.000
  • # Winners
    388
  • Num Months Winners
    91
  • Dividends
  • Dividends Received in Model Acct
    2783
  • Win / Loss
  • # Losers
    95
  • % Winners
    80.3%
  • Frequency
  • Avg Position Time (mins)
    190608.00
  • Avg Position Time (hrs)
    3176.79
  • Avg Trade Length
    132.4 days
  • Last Trade Ago
    1193
  • Regression
  • Alpha
    0.00
  • Beta
    0.34
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    20.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.83
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    21.912
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.318
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.185
  • Hold-and-Hope Ratio
    0.018
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09675
  • SD
    0.15298
  • Sharpe ratio (Glass type estimate)
    0.63243
  • Sharpe ratio (Hedges UMVUE)
    0.62676
  • df
    84.00000
  • t
    1.68317
  • p
    0.04803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11201
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37319
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36926
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94791
  • Upside Potential Ratio
    2.37931
  • Upside part of mean
    0.24284
  • Downside part of mean
    -0.14609
  • Upside SD
    0.11614
  • Downside SD
    0.10206
  • N nonnegative terms
    58.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.14481
  • Mean of criterion
    0.09675
  • SD of predictor
    0.19583
  • SD of criterion
    0.15298
  • Covariance
    0.02247
  • r
    0.75010
  • b (slope, estimate of beta)
    0.58595
  • a (intercept, estimate of alpha)
    0.01189
  • Mean Square Error
    0.01036
  • DF error
    83.00000
  • t(b)
    10.33350
  • p(b)
    -0.00000
  • t(a)
    0.30410
  • p(a)
    0.38091
  • Lowerbound of 95% confidence interval for beta
    0.47317
  • Upperbound of 95% confidence interval for beta
    0.69874
  • Lowerbound of 95% confidence interval for alpha
    -0.06590
  • Upperbound of 95% confidence interval for alpha
    0.08969
  • Treynor index (mean / b)
    0.16511
  • Jensen alpha (a)
    0.01189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08463
  • SD
    0.15330
  • Sharpe ratio (Glass type estimate)
    0.55203
  • Sharpe ratio (Hedges UMVUE)
    0.54709
  • df
    84.00000
  • t
    1.46921
  • p
    0.07276
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28815
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79191
  • Upside Potential Ratio
    2.20755
  • Upside part of mean
    0.23591
  • Downside part of mean
    -0.15128
  • Upside SD
    0.11136
  • Downside SD
    0.10686
  • N nonnegative terms
    58.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.12657
  • Mean of criterion
    0.08463
  • SD of predictor
    0.18253
  • SD of criterion
    0.15330
  • Covariance
    0.02125
  • r
    0.75943
  • b (slope, estimate of beta)
    0.63783
  • a (intercept, estimate of alpha)
    0.00390
  • Mean Square Error
    0.01007
  • DF error
    83.00000
  • t(b)
    10.63460
  • p(b)
    -0.00000
  • t(a)
    0.10140
  • p(a)
    0.45974
  • Lowerbound of 95% confidence interval for beta
    0.51854
  • Upperbound of 95% confidence interval for beta
    0.75712
  • Lowerbound of 95% confidence interval for alpha
    -0.07259
  • Upperbound of 95% confidence interval for alpha
    0.08039
  • Treynor index (mean / b)
    0.13268
  • Jensen alpha (a)
    0.00390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06363
  • Expected Shortfall on VaR
    0.08066
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02003
  • Expected Shortfall on VaR
    0.04540
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.87912
  • Quartile 1
    0.99711
  • Median
    1.01630
  • Quartile 3
    1.03095
  • Maximum
    1.14364
  • Mean of quarter 1
    0.95600
  • Mean of quarter 2
    1.00736
  • Mean of quarter 3
    1.02139
  • Mean of quarter 4
    1.05940
  • Inter Quartile Range
    0.03384
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.07059
  • Mean of outliers low
    0.90818
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04706
  • Mean of outliers high
    1.11454
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.92963
  • VaR(95%) (moments method)
    0.01422
  • Expected Shortfall (moments method)
    0.01582
  • Extreme Value Index (regression method)
    -0.51576
  • VaR(95%) (regression method)
    0.05835
  • Expected Shortfall (regression method)
    0.07264
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00622
  • Median
    0.04147
  • Quartile 3
    0.06422
  • Maximum
    0.28698
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.02254
  • Mean of quarter 3
    0.05344
  • Mean of quarter 4
    0.15841
  • Inter Quartile Range
    0.05800
  • 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
    0.08333
  • Mean of outliers high
    0.28698
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.26100
  • VaR(95%) (moments method)
    0.16133
  • Expected Shortfall (moments method)
    0.20878
  • Extreme Value Index (regression method)
    1.33053
  • VaR(95%) (regression method)
    0.27999
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17211
  • Compounded annual return (geometric extrapolation)
    0.11911
  • Calmar ratio (compounded annual return / max draw down)
    0.41505
  • Compounded annual return / average of 25% largest draw downs
    0.75193
  • Compounded annual return / Expected Shortfall lognormal
    1.47673
  • 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
    0.10340
  • SD
    0.14987
  • Sharpe ratio (Glass type estimate)
    0.68997
  • Sharpe ratio (Hedges UMVUE)
    0.68969
  • df
    1874.00000
  • t
    1.84578
  • p
    0.47870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42268
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91895
  • Upside Potential Ratio
    6.50003
  • Upside part of mean
    0.73140
  • Downside part of mean
    -0.62800
  • Upside SD
    0.09913
  • Downside SD
    0.11252
  • N nonnegative terms
    1074.00000
  • N negative terms
    801.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1875.00000
  • Mean of predictor
    0.17250
  • Mean of criterion
    0.10340
  • SD of predictor
    0.21415
  • SD of criterion
    0.14987
  • Covariance
    0.01315
  • r
    0.40965
  • b (slope, estimate of beta)
    0.28668
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.01870
  • DF error
    1873.00000
  • t(b)
    19.43450
  • p(b)
    0.24670
  • t(a)
    1.05414
  • p(a)
    0.48450
  • Lowerbound of 95% confidence interval for beta
    0.25775
  • Upperbound of 95% confidence interval for beta
    0.31561
  • Lowerbound of 95% confidence interval for alpha
    -0.04643
  • Upperbound of 95% confidence interval for alpha
    0.15433
  • Treynor index (mean / b)
    0.36070
  • Jensen alpha (a)
    0.05395
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09202
  • SD
    0.15122
  • Sharpe ratio (Glass type estimate)
    0.60851
  • Sharpe ratio (Hedges UMVUE)
    0.60826
  • df
    1874.00000
  • t
    1.62785
  • p
    0.48121
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34117
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79788
  • Upside Potential Ratio
    6.29934
  • Upside part of mean
    0.72649
  • Downside part of mean
    -0.63448
  • Upside SD
    0.09791
  • Downside SD
    0.11533
  • N nonnegative terms
    1074.00000
  • N negative terms
    801.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1875.00000
  • Mean of predictor
    0.14828
  • Mean of criterion
    0.09202
  • SD of predictor
    0.22322
  • SD of criterion
    0.15122
  • Covariance
    0.01401
  • r
    0.41491
  • b (slope, estimate of beta)
    0.28108
  • a (intercept, estimate of alpha)
    0.05034
  • Mean Square Error
    0.01894
  • DF error
    1873.00000
  • t(b)
    19.73550
  • p(b)
    0.24365
  • t(a)
    0.97767
  • p(a)
    0.48562
  • Lowerbound of 95% confidence interval for beta
    0.25315
  • Upperbound of 95% confidence interval for beta
    0.30902
  • Lowerbound of 95% confidence interval for alpha
    -0.05064
  • Upperbound of 95% confidence interval for alpha
    0.15132
  • Treynor index (mean / b)
    0.32737
  • Jensen alpha (a)
    0.05034
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01490
  • Expected Shortfall on VaR
    0.01874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.01087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1875.00000
  • Minimum
    0.88550
  • Quartile 1
    0.99820
  • Median
    1.00071
  • Quartile 3
    1.00340
  • Maximum
    1.06010
  • Mean of quarter 1
    0.99111
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.00937
  • Inter Quartile Range
    0.00521
  • Number outliers low
    131.00000
  • Percentage of outliers low
    0.06987
  • Mean of outliers low
    0.97974
  • Number of outliers high
    113.00000
  • Percentage of outliers high
    0.06027
  • Mean of outliers high
    1.01993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59008
  • VaR(95%) (moments method)
    0.00770
  • Expected Shortfall (moments method)
    0.02152
  • Extreme Value Index (regression method)
    0.34093
  • VaR(95%) (regression method)
    0.00754
  • Expected Shortfall (regression method)
    0.01457
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    106.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00143
  • Median
    0.00367
  • Quartile 3
    0.01242
  • Maximum
    0.35199
  • Mean of quarter 1
    0.00070
  • Mean of quarter 2
    0.00245
  • Mean of quarter 3
    0.00763
  • Mean of quarter 4
    0.05486
  • Inter Quartile Range
    0.01099
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.12264
  • Mean of outliers high
    0.09368
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75116
  • VaR(95%) (moments method)
    0.05360
  • Expected Shortfall (moments method)
    0.23184
  • Extreme Value Index (regression method)
    0.71004
  • VaR(95%) (regression method)
    0.06098
  • Expected Shortfall (regression method)
    0.23497
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18990
  • Compounded annual return (geometric extrapolation)
    0.12741
  • Calmar ratio (compounded annual return / max draw down)
    0.36198
  • Compounded annual return / average of 25% largest draw downs
    2.32235
  • Compounded annual return / Expected Shortfall lognormal
    6.80052
  • 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
    0.47829
  • SD
    0.15131
  • Sharpe ratio (Glass type estimate)
    3.16105
  • Sharpe ratio (Hedges UMVUE)
    3.14278
  • df
    130.00000
  • t
    2.23520
  • p
    0.40381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34477
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.94079
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.52392
  • Upside Potential Ratio
    13.18780
  • Upside part of mean
    0.96685
  • Downside part of mean
    -0.48855
  • Upside SD
    0.13497
  • Downside SD
    0.07331
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.45135
  • Mean of criterion
    0.47829
  • SD of predictor
    0.45359
  • SD of criterion
    0.15131
  • Covariance
    0.02579
  • r
    0.37574
  • b (slope, estimate of beta)
    0.12534
  • a (intercept, estimate of alpha)
    0.29638
  • Mean Square Error
    0.01981
  • DF error
    129.00000
  • t(b)
    4.60507
  • p(b)
    0.26655
  • t(a)
    1.46036
  • p(a)
    0.41903
  • Lowerbound of 95% confidence interval for beta
    0.07149
  • Upperbound of 95% confidence interval for beta
    0.17919
  • Lowerbound of 95% confidence interval for alpha
    -0.10516
  • Upperbound of 95% confidence interval for alpha
    0.69793
  • Treynor index (mean / b)
    3.81596
  • Jensen alpha (a)
    0.29638
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46662
  • SD
    0.14975
  • Sharpe ratio (Glass type estimate)
    3.11591
  • Sharpe ratio (Hedges UMVUE)
    3.09789
  • df
    130.00000
  • t
    2.20328
  • p
    0.40514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90762
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.89516
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.31185
  • Upside Potential Ratio
    12.95650
  • Upside part of mean
    0.95783
  • Downside part of mean
    -0.49122
  • Upside SD
    0.13274
  • Downside SD
    0.07393
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.34593
  • Mean of criterion
    0.46662
  • SD of predictor
    0.45219
  • SD of criterion
    0.14975
  • Covariance
    0.02535
  • r
    0.37429
  • b (slope, estimate of beta)
    0.12395
  • a (intercept, estimate of alpha)
    0.29978
  • Mean Square Error
    0.01943
  • DF error
    129.00000
  • t(b)
    4.58433
  • p(b)
    0.26741
  • t(a)
    1.49533
  • p(a)
    0.41714
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.07046
  • Upperbound of 95% confidence interval for beta
    0.17745
  • Lowerbound of 95% confidence interval for alpha
    -0.09687
  • Upperbound of 95% confidence interval for alpha
    0.69644
  • Treynor index (mean / b)
    3.76443
  • Jensen alpha (a)
    0.29978
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01335
  • Expected Shortfall on VaR
    0.01715
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00356
  • Expected Shortfall on VaR
    0.00778
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97546
  • Quartile 1
    0.99826
  • Median
    1.00090
  • Quartile 3
    1.00431
  • Maximum
    1.05389
  • Mean of quarter 1
    0.99313
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01217
  • Inter Quartile Range
    0.00606
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98262
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.02781
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14397
  • VaR(95%) (moments method)
    0.00542
  • Expected Shortfall (moments method)
    0.00839
  • Extreme Value Index (regression method)
    -0.11384
  • VaR(95%) (regression method)
    0.00718
  • Expected Shortfall (regression method)
    0.00991
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00077
  • Quartile 1
    0.00181
  • Median
    0.00329
  • Quartile 3
    0.00641
  • Maximum
    0.07510
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00272
  • Mean of quarter 3
    0.00612
  • Mean of quarter 4
    0.03535
  • Inter Quartile Range
    0.00460
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.04982
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.97170
  • VaR(95%) (moments method)
    0.03503
  • Expected Shortfall (moments method)
    1.30507
  • Extreme Value Index (regression method)
    5.60095
  • VaR(95%) (regression method)
    0.17963
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345609000
  • Max Equity Drawdown (num days)
    335
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56103
  • Compounded annual return (geometric extrapolation)
    0.63972
  • Calmar ratio (compounded annual return / max draw down)
    8.51856
  • Compounded annual return / average of 25% largest draw downs
    18.09450
  • Compounded annual return / Expected Shortfall lognormal
    37.30530

Strategy Description

Fundamental Analysis
The system aims at finding well established companies with predictable and stable earning power and substantial competitive advantages, based on a bottom-up fundamental analysis, which their stocks are traded at or below their economic intrinsic value. The system then tries to find mispriced options on such stocks and thereby exploit the price discrepancy. Also, a certain diversification among the underlying companies is kept to somewhat mitigate company specific or sector specific risks.

Use of Options to Generate Income
The focus is on companies that their stock prices are not expected to decline substantially rather than to predict certain price appreciations of such stocks. In such situations the fundamental views can be better reflected through options rather than through outright stock purchases. In these cases the system uses the options (mainly puts) to sell premiums and, hopefully, generating income. However, it should be emphasized that the system, as any trading system, cannot guarantee profits and substantial losses may occur.

Trading Method
The system is focused on fundamental research and finding the best ideas and let them work and to benefit from the options time decay, so that the length of each trade is expected to be a few weeks and not less than that. The trades are entered manually during the regular trading hours in the U.S. The strategy is not based on speculations, day trading, or technical analysis. As most of the trades include shorting options they are made in a margin account. The system tries that at any time the margin requirements of the systems account will not exceed 60% of the accounts equity.

Risks
Even stock prices of good companies may totally collapse due to various reasons, so that alongside a chance for profits there is also a substantial risk of loss and there is no guarantee of any profits as a result of using this trading system. Any potential subscriber should be well aware of this fact and decide for himself if he is willing to take such risk.

Summary Statistics

Strategy began
2012-10-07
Suggested Minimum Capital
$25,000
# Trades
483
# Profitable
388
% Profitable
80.3%
Net Dividends
Correlation S&P500
0.407
Sharpe Ratio
0.31
Sortino Ratio
0.41
Beta
0.34
Alpha
0.00

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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