MicroFutures Strategy
- hypothetical · Annual Return (Compounded)
- 7.5%
- Max Drawdown
- 45.8%
- Trades
- 177
- Win Trades
- 84.2%
- Profit Factor
- 1.50
- Win Months
- 17.8%
About this strategy
In this strategy my goal is keep monitoring by magnifying glass every open positions to prevent any potential account crashes. Rather than using stop losses, I always set take profits for each position. My goal is to achieve profit margins ranging from 200 to 1000 USD per day, depending on market conditions. In MicroFutures Strategy my focus is on the Micro-Crude Oil contracts and Micro E-Mini Nasdaq. The strategy was changed in order to let more subscribes follow this strategy with a lower capital and still enjoining profits.
To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on Crude Oil / Nasdaq. The key for this approach is analyzing the volume profile of the market.
In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for any trade. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risks.
To effectively follow this strategy, it's recommended to have at least between 15K to 40k in capital. However, i suggest all new subscribes within this strategy to consult with the collective team to have a better understanding about the best settings regards auto trade for each subscribe of his own.
Please feel free to contact me with any question or concerns you may have, 24/7.
Looking forward to hearing from you soon!
Best regards,
Eliran :)
To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on Crude Oil / Nasdaq. The key for this approach is analyzing the volume profile of the market.
In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for any trade. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risks.
To effectively follow this strategy, it's recommended to have at least between 15K to 40k in capital. However, i suggest all new subscribes within this strategy to consult with the collective team to have a better understanding about the best settings regards auto trade for each subscribe of his own.
Please feel free to contact me with any question or concerns you may have, 24/7.
Looking forward to hearing from you soon!
Best regards,
Eliran :)
Momentum Commodities
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -0.2 | -0.2 | |||||||||||
| 2023 | 5.4 | 19.1 | 28.7 | 4.5 | 6.5 | 0.5 | -2.7 | -0.2 | -0.2 | -1.1 | -1.6 | 3.9 | 77.1 |
| 2024 | -0.2 | -0.2 | -20.5 | -3.0 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -24.8 |
| 2025 | -0.3 | 3.7 | -0.3 | -0.3 | 0.0 | -0.5 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | 0.7 |
| 2026 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | -0.3 | 0.0 | 0.0 | -1.9 |
Statistics
Overview
| Strategy began | 12/27/2022 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 45 months |
| C2 Rank | 255 |
| What it trades | Futures |
| # Trades | 177 |
| # Profitable | 149 |
| % Profitable | 84.2% |
| Avg trade duration | 6.5 days |
| Max peak-to-valley drawdown | 45.8% |
| drawdown period | Oct 09, 2023 - April 05, 2024 |
| Annual Return (Compounded) | 7.5% |
| Avg win | $497 |
| Avg loss | $1,724 |
Ratios
| W:L ratio | 1.54 |
|---|---|
| Sharpe Ratio | 0.27 |
| Sortino Ratio | 0.44 |
| Calmar Ratio | 0.48 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.05 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 99.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -70.9% |
Return Statistics
| Ann Return (w trading costs) | 7.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 11.9% |
Slump
| Current Slump as Pcnt Equity | 46.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.8% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 52.5% |
|---|---|
| Chance of 20% account loss | 26.5% |
| Chance of 30% account loss | 7.5% |
| Chance of 40% account loss | 3.0% |
| Chance of 50% account loss | 0.5% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 316 |
| C2 Score | 255 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,724 |
|---|---|
| Avg Win | $497 |
| # Winners | 149 |
| Sum Trade PL (losers) | $48,277 |
| Sum Trade PL (winners) | $74,104 |
| Num Months Winners | 8 |
| # Losers | 28 |
| % Winners | 84.2% |
Dividends
| Dividends Received in Model Acct | 170 |
|---|
Age
| Num Months filled monthly returns table | 46 |
|---|
Frequency
| Avg Position Time (mins) | 9327.48 |
|---|---|
| Avg Position Time (hrs) | 155.46 |
| Avg Trade Length | 6.50 |
| Last Trade Ago | 866 |
Leverage
| Daily leverage (average) | 2.31 |
|---|---|
| Daily leverage (max) | 9.22 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | 0.12 |
| Treynor Index | 0.22 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | — |
| MAE:Equity, average, losing trades | — |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 0 |
| MAE:PL (avg, all trades) | 0 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0 |
| Avg(MAE) / Avg(PL) - Losing trades | — |
| Hold-and-Hope Ratio | 0 |
RATIO STATISTICS
| Mean | 0.20 |
|---|---|
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 0.68 |
| Sharpe ratio (Hedges UMVUE) | 0.66 |
| df | 26 |
| t | 1.02 |
| p | 0.16 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.99 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.66 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.98 |
| Sortino ratio | 1.42 |
| Upside Potential Ratio | 2.52 |
| Upside part of mean | 0.35 |
| Downside part of mean | -0.15 |
| Upside SD | 0.26 |
| Downside SD | 0.14 |
| N nonnegative terms | 9 |
| N negative terms | 18 |
| N of observations | 27 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.24 |
| SD of criterion | 0.29 |
| Covariance | -0.01 |
| r | -0.15 |
| b (slope, estimate of beta) | -0.18 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.09 |
| DF error | 25 |
| t(b) | -0.76 |
| p(b) | 0.77 |
| t(a) | 1.21 |
| p(a) | 0.12 |
| Lowerbound of 95% confidence interval for beta | -0.67 |
| Upperbound of 95% confidence interval for beta | 0.31 |
| Lowerbound of 95% confidence interval for alpha | -0.18 |
| Upperbound of 95% confidence interval for alpha | 0.68 |
| Treynor index (mean / b) | -1.09 |
| Jensen alpha (a) | 0.25 |
| Mean | 0.16 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.56 |
| df | 26 |
| t | 0.87 |
| p | 0.20 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.74 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.89 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.75 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.88 |
| Sortino ratio | 1.04 |
| Upside Potential Ratio | 2.11 |
| Upside part of mean | 0.32 |
| Downside part of mean | -0.16 |
| Upside SD | 0.23 |
| Downside SD | 0.15 |
| N nonnegative terms | 9 |
| N negative terms | 18 |
| N of observations | 27 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.22 |
| SD of criterion | 0.27 |
| Covariance | -0.01 |
| r | -0.16 |
| b (slope, estimate of beta) | -0.20 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.08 |
| DF error | 25 |
| t(b) | -0.82 |
| p(b) | 0.79 |
| t(a) | 1.09 |
| p(a) | 0.14 |
| Lowerbound of 95% confidence interval for beta | -0.71 |
| Upperbound of 95% confidence interval for beta | 0.31 |
| Lowerbound of 95% confidence interval for alpha | -0.19 |
| Upperbound of 95% confidence interval for alpha | 0.61 |
| Treynor index (mean / b) | -0.78 |
| Jensen alpha (a) | 0.21 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.21 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.63 |
| Sharpe ratio (Hedges UMVUE) | 0.63 |
| df | 593 |
| t | 0.94 |
| p | 0.17 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.68 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.93 |
| Sortino ratio | 1.02 |
| Upside Potential Ratio | 4.72 |
| Upside part of mean | 1.00 |
| Downside part of mean | -0.78 |
| Upside SD | 0.27 |
| Downside SD | 0.21 |
| N nonnegative terms | 88 |
| N negative terms | 506 |
| N of observations | 594 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.21 |
| SD of predictor | 0.15 |
| SD of criterion | 0.34 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.15 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.12 |
| DF error | 592 |
| t(b) | 1.55 |
| p(b) | 0.06 |
| t(a) | 0.76 |
| p(a) | 0.22 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| Upperbound of 95% confidence interval for beta | 0.33 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.62 |
| Treynor index (mean / b) | 1.45 |
| Jensen alpha (a) | 0.17 |
| Mean | 0.16 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.47 |
| Sharpe ratio (Hedges UMVUE) | 0.47 |
| df | 593 |
| t | 0.70 |
| p | 0.24 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.77 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.77 |
| Sortino ratio | 0.72 |
| Upside Potential Ratio | 4.38 |
| Upside part of mean | 0.96 |
| Downside part of mean | -0.80 |
| Upside SD | 0.26 |
| Downside SD | 0.22 |
| N nonnegative terms | 88 |
| N negative terms | 506 |
| N of observations | 594 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.15 |
| SD of criterion | 0.34 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.15 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.11 |
| DF error | 592 |
| t(b) | 1.60 |
| p(b) | 0.05 |
| t(a) | 0.52 |
| p(a) | 0.30 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.33 |
| Lowerbound of 95% confidence interval for alpha | -0.32 |
| Upperbound of 95% confidence interval for alpha | 0.56 |
| Treynor index (mean / b) | 1.05 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.04 |
| SD | 0.05 |
| Sharpe ratio (Glass type estimate) | 0.87 |
| Sharpe ratio (Hedges UMVUE) | 0.86 |
| df | 130 |
| t | 0.62 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.91 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.64 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.64 |
| Sortino ratio | 25.97 |
| Upside Potential Ratio | 42.09 |
| Upside part of mean | 0.07 |
| Downside part of mean | -0.03 |
| Upside SD | 0.05 |
| Downside SD | 0.00 |
| N nonnegative terms | 1 |
| N negative terms | 130 |
| N of observations | 131 |
| Mean of predictor | 0.50 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.20 |
| SD of criterion | 0.05 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.00 |
| DF error | 129 |
| t(b) | 0.43 |
| p(b) | 0.48 |
| t(a) | 0.54 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.11 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 4.60 |
| Jensen alpha (a) | 0.04 |
| Mean | 0.04 |
| SD | 0.05 |
| Sharpe ratio (Glass type estimate) | 0.86 |
| Sharpe ratio (Hedges UMVUE) | 0.86 |
| df | 130 |
| t | 0.61 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.92 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.63 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.92 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.63 |
| Sortino ratio | 25.22 |
| Upside Potential Ratio | 41.35 |
| Upside part of mean | 0.07 |
| Downside part of mean | -0.03 |
| Upside SD | 0.05 |
| Downside SD | 0.00 |
| N nonnegative terms | 1 |
| N negative terms | 130 |
| N of observations | 131 |
| Mean of predictor | 0.48 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.20 |
| SD of criterion | 0.05 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.00 |
| DF error | 129 |
| t(b) | 0.43 |
| p(b) | 0.48 |
| t(a) | 0.54 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.10 |
| Upperbound of 95% confidence interval for alpha | 0.18 |
| Treynor index (mean / b) | 4.46 |
| Jensen alpha (a) | 0.04 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
ORDER STATISTICS
| Number of observations | 27 |
|---|---|
| Minimum | 0.81 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.04 |
| Maximum | 1.33 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.11 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.87 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.24 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.77 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.45 |
| Number of observations | 594 |
| Minimum | 0.89 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 65 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 88 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.66 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.04 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.07 |
| Median | 0.13 |
| Quartile 3 | 0.18 |
| Maximum | 0.24 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.07 |
| Maximum | 0.43 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.43 |
| Extreme Value Index (moments method) | 0.70 |
| VaR(95%) (moments method) | 0.18 |
| Expected Shortfall (moments method) | 0.56 |
| Extreme Value Index (regression method) | 2.22 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -480322240 |
| Max Equity Drawdown (num days) | 179 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.23 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.21 |
| Calmar ratio (compounded annual return / max draw down) | 0.86 |
| Compounded annual return / average of 25% largest draw downs | 0.86 |
| Compounded annual return / Expected Shortfall lognormal | 1.47 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.23 |
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 0.48 |
| Compounded annual return / average of 25% largest draw downs | 1.28 |
| Compounded annual return / Expected Shortfall lognormal | 4.92 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.07 |
| Compounded annual return (geometric extrapolation) | 0.07 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 11.84 |
Trading record
Placed 30 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QCL K4 | short | 5 | Mar 20, 2024 | Apr 22, 2024 | ($10,750) |
| QCL J4 | short | 5 | Mar 13, 2024 | Mar 20, 2024 | ($9,540) |
| QCL J4 | short | 2 | Mar 13, 2024 | Mar 13, 2024 | $684 |
| QCL G4 | long | 2 | Dec 19, 2023 | Dec 21, 2023 | $3,504 |
| QCL Z3 | long | 2 | Oct 30, 2023 | Nov 6, 2023 | ($6,736) |
| QCL X3 | short | 2 | Oct 12, 2023 | Oct 12, 2023 | $1,284 |
| QCL X3 | short | 2 | Oct 11, 2023 | Oct 11, 2023 | $684 |
| QCL X3 | long | 2 | Oct 6, 2023 | Oct 11, 2023 | $2,844 |
| QMCL Q3 | short | 6 | Jul 4, 2023 | Jul 17, 2023 | ($2,201) |
| QMCL Q3 | long | 2 | Jun 30, 2023 | Jun 30, 2023 | $37 |
| QCL Q3 | short | 2 | Jun 30, 2023 | Jun 30, 2023 | $44 |
| QMCL Q3 | long | 6 | Jun 27, 2023 | Jun 29, 2023 | $997 |
| QMCL Q3 | short | 4 | Jun 26, 2023 | Jun 27, 2023 | $234 |
| QMCL Q3 | long | 2 | Jun 23, 2023 | Jun 23, 2023 | $97 |
| QMCL Q3 | short | 6 | Jun 20, 2023 | Jun 22, 2023 | $378 |
| QMCL N3 | short | 4 | Jun 15, 2023 | Jun 16, 2023 | ($836) |
| QMCL N3 | short | 4 | Jun 14, 2023 | Jun 14, 2023 | $174 |
| QMCL N3 | short | 2 | Jun 14, 2023 | Jun 14, 2023 | $251 |
| QMCL N3 | short | 3 | Jun 9, 2023 | Jun 9, 2023 | $41 |
| QMCL N3 | short | 3 | Jun 9, 2023 | Jun 9, 2023 | $137 |
| QMCL N3 | short | 4 | Jun 6, 2023 | Jun 8, 2023 | ($1,046) |
| QMCL N3 | short | 3 | Jun 1, 2023 | Jun 1, 2023 | $179 |
| MNQ M3 | short | 5 | May 31, 2023 | May 31, 2023 | $513 |
| QCL N3 | short | 3 | May 24, 2023 | May 25, 2023 | $1,746 |
| QCL M3 | short | 2 | May 17, 2023 | May 17, 2023 | $384 |
| QCL M3 | long | 1 | May 17, 2023 | May 17, 2023 | $192 |
| QCL M3 | short | 2 | May 16, 2023 | May 16, 2023 | $194 |
| QCL M3 | short | 2 | May 11, 2023 | May 11, 2023 | $484 |
| QCL M3 | long | 2 | May 9, 2023 | May 9, 2023 | $424 |
| QCL M3 | short | 3 | May 4, 2023 | May 4, 2023 | $96 |
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.