Collective2 Collective2
Featured Strategy IC Algotrading Followed by live capital $278,000 Hypothetical

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SPX One Day Options
(147720929)

Created by: LeslieGray LeslieGray
Started: 03/2024
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 $50.00 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.
7.9%
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.

(8.9%)
Max Drawdown
58
Num Trades
46.6%
Win Trades
1.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024              +10.8%(2.6%)                                                +7.9%

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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/26/24 9:54 SPXW2426P5070 SPX Apr26'24 5070 put LONG 2 5.75 4/27 9:35 0.00 0.56%
Trade id #148020869
Max drawdown($1,140)
Time4/26/24 15:14
Quant open2
Worst price0.05
Drawdown as % of equity-0.56%
 ($1,152)
Includes Typical Broker Commissions trade costs of $2.00
4/26/24 9:54 SPXW2426P5095 SPX Apr26'24 5095 put SHORT 2 13.60 4/27 9:35 0.00 0.14%
Trade id #148020867
Max drawdown($288)
Time4/26/24 10:00
Quant open2
Worst price15.04
Drawdown as % of equity-0.14%
 $2,718
Includes Typical Broker Commissions trade costs of $2.00
4/24/24 15:08 SPXW2425P5035 SPX Apr25'24 5035 put LONG 2 7.30 4/26 8:05 0.00 0.4%
Trade id #148000980
Max drawdown($800)
Time4/24/24 15:55
Quant open2
Worst price3.30
Drawdown as % of equity-0.40%
 ($1,461)
Includes Typical Broker Commissions trade costs of $1.40
4/24/24 15:07 SPXW2425P5060 SPX Apr25'24 5060 put SHORT 2 15.80 4/26 8:05 11.58 1.5%
Trade id #148000972
Max drawdown($3,020)
Time4/25/24 0:00
Quant open2
Worst price30.90
Drawdown as % of equity-1.50%
 $841
Includes Typical Broker Commissions trade costs of $2.80
4/23/24 15:45 SPXW2424P5045 SPX Apr24'24 5045 put LONG 1 6.10 4/25 8:05 0.00 0.21%
Trade id #147990056
Max drawdown($425)
Time4/24/24 0:00
Quant open1
Worst price1.85
Drawdown as % of equity-0.21%
 ($611)
Includes Typical Broker Commissions trade costs of $1.00
4/23/24 15:45 SPXW2424D5100 SPX Apr24'24 5100 call LONG 1 3.90 4/25 8:05 0.00 0.06%
Trade id #147990063
Max drawdown($120)
Time4/23/24 15:58
Quant open1
Worst price2.70
Drawdown as % of equity-0.06%
 ($391)
Includes Typical Broker Commissions trade costs of $1.00
4/23/24 15:45 SPXW2424D5075 SPX Apr24'24 5075 call SHORT 1 13.10 4/25 8:05 0.00 0.48%
Trade id #147990053
Max drawdown($960)
Time4/24/24 0:00
Quant open1
Worst price22.70
Drawdown as % of equity-0.48%
 $1,309
Includes Typical Broker Commissions trade costs of $1.00
4/23/24 15:45 SPXW2424P5070 SPX Apr24'24 5070 put SHORT 1 13.70 4/25 8:05 0.00 0.14%
Trade id #147990045
Max drawdown($280)
Time4/23/24 15:58
Quant open1
Worst price16.50
Drawdown as % of equity-0.14%
 $1,369
Includes Typical Broker Commissions trade costs of $1.00
4/23/24 9:49 SPXW2423P5020 SPX Apr23'24 5020 put LONG 2 4.80 4/24 8:05 0.00 0.48%
Trade id #147985617
Max drawdown($950)
Time4/23/24 15:12
Quant open2
Worst price0.05
Drawdown as % of equity-0.48%
 ($961)
Includes Typical Broker Commissions trade costs of $1.40
4/23/24 9:49 SPXW2423P5045 SPX Apr23'24 5045 put SHORT 2 11.90 4/24 8:05 0.00 0.24%
Trade id #147985592
Max drawdown($480)
Time4/23/24 9:52
Quant open2
Worst price14.30
Drawdown as % of equity-0.24%
 $2,379
Includes Typical Broker Commissions trade costs of $1.40
4/22/24 9:45 SPXW2422P4960 SPX Apr22'24 4960 put LONG 2 4.65 4/23 8:05 0.00 0.46%
Trade id #147974071
Max drawdown($920)
Time4/22/24 15:17
Quant open2
Worst price0.05
Drawdown as % of equity-0.46%
 ($932)
Includes Typical Broker Commissions trade costs of $2.00
4/22/24 9:45 SPXW2422P4985 SPX Apr22'24 4985 put SHORT 2 12.20 4/23 8:05 0.00 0.84%
Trade id #147974069
Max drawdown($1,640)
Time4/22/24 11:15
Quant open2
Worst price20.40
Drawdown as % of equity-0.84%
 $2,438
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 11:05 SPXW2418P5050 SPX Apr18'24 5050 put LONG 1 13.10 4/19 8:05 38.88 0.2%
Trade id #147946116
Max drawdown($390)
Time4/18/24 11:22
Quant open1
Worst price9.20
Drawdown as % of equity-0.20%
 $2,576
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 10:56 SPXW2418D5075 SPX Apr18'24 5075 call LONG 1 4.60 4/19 8:05 0.00 0.23%
Trade id #147945975
Max drawdown($455)
Time4/18/24 14:31
Quant open1
Worst price0.05
Drawdown as % of equity-0.23%
 ($461)
Includes Typical Broker Commissions trade costs of $1.00
4/18/24 9:58 SPXW2418P5000 SPX Apr18'24 5000 put LONG 1 6.60 4/19 8:05 0.00 0.33%
Trade id #147944981
Max drawdown($655)
Time4/18/24 15:50
Quant open1
Worst price0.05
Drawdown as % of equity-0.33%
 ($661)
Includes Typical Broker Commissions trade costs of $1.00
4/18/24 11:02 SPXW2418D5050 SPX Apr18'24 5050 call SHORT 1 12.10 4/19 8:05 0.00 0.21%
Trade id #147946080
Max drawdown($400)
Time4/18/24 11:22
Quant open1
Worst price16.10
Drawdown as % of equity-0.21%
 $1,209
Includes Typical Broker Commissions trade costs of $1.00
4/18/24 10:56 SPXW2418P5045 SPX Apr18'24 5045 put SHORT 1 9.20 4/19 8:05 33.88 1.67%
Trade id #147945971
Max drawdown($3,276)
Time4/18/24 14:34
Quant open1
Worst price41.96
Drawdown as % of equity-1.67%
 ($2,470)
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 10:56 SPXW2418P5020 SPX Apr18'24 5020 put LONG 1 3.70 4/19 8:05 8.88 0.1%
Trade id #147945969
Max drawdown($205)
Time4/18/24 15:51
Quant open1
Worst price1.65
Drawdown as % of equity-0.10%
 $516
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 9:56 SPXW2418P5025 SPX Apr18'24 5025 put SHORT 1 14.80 4/19 8:05 13.88 0.53%
Trade id #147944935
Max drawdown($1,045)
Time4/18/24 14:34
Quant open1
Worst price25.25
Drawdown as % of equity-0.53%
 $90
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 9:56 SPXW2418D5025 SPX Apr18'24 5025 call SHORT 1 16.00 4/19 8:05 0.00 0.96%
Trade id #147944933
Max drawdown($1,849)
Time4/18/24 11:17
Quant open1
Worst price34.49
Drawdown as % of equity-0.96%
 $1,599
Includes Typical Broker Commissions trade costs of $1.00
4/18/24 9:58 SPXW2418D5050 SPX Apr18'24 5050 call LONG 1 5.90 4/18 10:56 14.50 0.08%
Trade id #147944979
Max drawdown($160)
Time4/18/24 10:03
Quant open1
Worst price4.30
Drawdown as % of equity-0.08%
 $858
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 9:56 SPXW2418D5000 SPX Apr18'24 5000 call LONG 1 33.60 4/18 9:56 34.00 n/a $38
Includes Typical Broker Commissions trade costs of $2.00
4/18/24 9:56 SPXW2418P5050 SPX Apr18'24 5050 put LONG 1 29.60 4/18 9:56 28.00 0.08%
Trade id #147944947
Max drawdown($160)
Time4/18/24 9:56
Quant open1
Worst price28.00
Drawdown as % of equity-0.08%
 ($162)
Includes Typical Broker Commissions trade costs of $2.00
4/10/24 12:15: Rescaled upward by +-110% of previous Model Account size
4/4/24 9:40 SPXW2404D5250 SPX Apr4'24 5250 call SHORT 2.100000000 7.40 4/5 8:05 0.00 0.7%
Trade id #147805839
Max drawdown($1,411)
Time4/4/24 12:09
Quant open4
Worst price10.60
Drawdown as % of equity-0.70%
 $1,553
Includes Typical Broker Commissions trade costs of $1.47
4/4/24 9:40 SPXW2404P5250 SPX Apr4'24 5250 put SHORT 2.100000000 8.30 4/5 8:05 102.79 21.32%
Trade id #147805835
Max drawdown($41,202)
Time4/4/24 15:42
Quant open4
Worst price101.73
Drawdown as % of equity-21.32%
 ($19,846)
Includes Typical Broker Commissions trade costs of $2.94
4/4/24 11:15 SPXW2404P5245 SPX Apr4'24 5245 put SHORT 2.100000000 7.00 4/5 8:05 97.79 20.52%
Trade id #147807352
Max drawdown($39,650)
Time4/4/24 15:58
Quant open4
Worst price96.91
Drawdown as % of equity-20.52%
 ($19,069)
Includes Typical Broker Commissions trade costs of $2.94
4/4/24 11:12 SPXW2404P5220 SPX Apr4'24 5220 put LONG 2.100000000 0.95 4/5 8:05 72.79 0.14%
Trade id #147807334
Max drawdown($286)
Time4/4/24 12:40
Quant open4
Worst price0.30
Drawdown as % of equity-0.14%
 $15,083
Includes Typical Broker Commissions trade costs of $2.94
4/4/24 9:38 SPXW2404D5280 SPX Apr4'24 5280 call LONG 2.100000000 0.55 4/5 8:05 0.00 0.11%
Trade id #147805754
Max drawdown($220)
Time4/4/24 13:43
Quant open4
Worst price0.05
Drawdown as % of equity-0.11%
 ($117)
Includes Typical Broker Commissions trade costs of $1.47
4/4/24 9:38 SPXW2404P5225 SPX Apr4'24 5225 put LONG 2.100000000 1.50 4/5 8:05 77.79 0.24%
Trade id #147805752
Max drawdown($485)
Time4/4/24 12:09
Quant open4
Worst price0.40
Drawdown as % of equity-0.24%
 $16,018
Includes Typical Broker Commissions trade costs of $2.94
4/3/24 11:58 SPXW2403D5220 SPX Apr3'24 5220 call SHORT 2.100000000 7.50 4/4 8:05 0.00 0.68%
Trade id #147796114
Max drawdown($1,367)
Time4/3/24 12:33
Quant open4
Worst price10.60
Drawdown as % of equity-0.68%
 $1,574
Includes Typical Broker Commissions trade costs of $1.47
Next

Statistics

  • Strategy began
    3/24/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    34.77
  • Age
    35 days ago
  • What it trades
    Options
  • # Trades
    58
  • # Profitable
    27
  • % Profitable
    46.60%
  • Avg trade duration
    1.1 days
  • Max peak-to-valley drawdown
    8.92%
  • drawdown period
    March 27, 2024 - April 04, 2024
  • Cumul. Return
    7.9%
  • Avg win
    $3,895
  • Avg loss
    $2,880
  • Model Account Values (Raw)
  • Cash
    $203,322
  • Margin Used
    $0
  • Buying Power
    $203,322
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
  • Sortino Ratio
  • Calmar Ratio
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.47%
  • Return Percent SP500 (cumu) during strategy life
    -2.56%
  • Return Statistics
  • Ann Return (w trading costs)
    109.1%
  • Instruments
  • Percent Trades Options
    1.00%
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    4.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.079%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    129.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.00%
  • 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
    51.35%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    904
  • Popularity (7 days, Percentile 1000 scale)
    657
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    939
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $3,896
  • Avg Loss
    $2,880
  • Sum Trade PL (losers)
    $89,285.000
  • Sum Trade PL (winners)
    $105,182.000
  • # Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    2
  • Win / Loss
  • # Losers
    31
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    1646.58
  • Avg Position Time (hrs)
    27.44
  • Avg Trade Length
    1.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    38.96
  • Daily leverage (max)
    225.53
  • Maximum Adverse Excursion (MAE)
  • Hold-and-Hope Ratio
    -0.069
  • Analysis based on DAILY values, last 6 months only
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    8
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -316005000

Strategy Description

Algo driven Strategy, auto-traded. Trades short 1-day SPX options, iron condors using a timing model. In the market only 25% of days, on the average. Backtest (Return/Drawdown ratio) >10.0.

(Note. 4/10/24: because of the way C2 executes short options - each leg sequentially - I had to increase account size and size of trade to avoid rejection of orders.)

You may contact me at lesgray@morganllc.com. 617-592-8379






Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-03-24
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.1%
Rank # 
#81
# Trades
58
# Profitable
27
% Profitable
46.6%
Sharpe Ratio
-
Sortino Ratio
0.00
Beta
0.00
Alpha
0.00
Leverage
38.96 Average
225.53 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.