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Featured Strategy Iberia Capital Strategy Followed by live capital $29,400 Hypothetical

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vicinoo! trading - Futures (beta) +300%

By vicinoo_trading

Futures · Started Jun 2005

hypothetical · Annual Return (Compounded)
-1.0%
Max Drawdown
72.4%
Trades
185
Win Trades
42.2%
Profit Factor
1.10
Win Months
2.8%

About this strategy

This is an all new futures system since MAY 2006. Currently system is still free but a fee will be introduced sooner or later.

(Start of the original system, trading basically options, was 1 year ago. The all new futures system now started in May 2006 = at the bottom of the chart!)


Key features of new system:

- One trade instrument
- Fix order size
- No averaging down
- Always a stoploss
- We prefer cutting loosers fast and let winners run than trying to have only winners (pure hoping when it goes wrong, large undefined single trade drawdowns)

As said, previous results are results from an options system with a few stocks and futures trades. Last trade of the old system was 10/13/05, then system was inactive for 7 months until 05/19/06. The inactive period is not really visible in the chart.


................................................................................................
Some stats since new system start on 5/19/06:

Starting account size ... $78,071
Actual C2 account size ... $318,571
Win % ... 57.58%

Cumu Profit in $ ... $240,500

Cumu Profit in % ... 308%

after typical commission ... $225,650

W:L Ratio (Profit Factor) ... 1.89


Annualized % ... 3777.22% ... over 29 days


Last update:
06/16/06
4:15 pm ET



Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200582.2-43.24.9-19.60.0
2006197.126.3-6.6-21.36.00.90.9-0.657.7
2007-0.6-0.7-0.7-0.7-0.7-0.70.00.00.00.00.00.0-3.9
20080.00.00.00.0-47.00.00.00.00.00.00.00.0-47.0
20090.00.00.00.00.00.00.00.00.00.00.00.00.0
20100.00.00.00.00.0-0.00.0-0.00.0-0.00.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began6/24/2005
Suggested Minimum Capital$100,000
Age259 months
What it tradesOptions, Futures
# Trades185
# Profitable78
% Profitable42.2%
Avg trade duration20.5 hours
Max peak-to-valley drawdown72.4%
drawdown periodJuly 05, 2005 - Oct 06, 2005
Annual Return (Compounded)-1.0%
Avg win$10,125
Avg loss$6,515

Ratios

W:L ratio1.13
Sharpe Ratio0.04
Sortino Ratio0.08
Calmar Ratio-0.06

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life542.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-561.7%

Return Statistics

Ann Return (w trading costs)-1.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)3.1%

Slump

Current Slump as Pcnt Equity204.0%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.8%
Percent Trades Options0.2%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
Chance of 70% account loss (Monte Carlo)100.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$6,515
Avg Win$10,125
# Winners78
Sum Trade PL (losers)$697,128
Sum Trade PL (winners)$789,750
Num Months Winners10
# Losers107
% Winners42.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table250

Frequency

Avg Position Time (mins)1230.83
Avg Position Time (hrs)20.51
Avg Trade Length0.90
Last Trade Ago7250

Regression

Alpha0
Beta0.07
Treynor Index0.07

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.05
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.03
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades3.33
MAE:PL (avg, all trades)0.09
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats15.34
MAE:PL - Winning Trades - this strat Percentile of All Strats36.57
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.41
Avg(MAE) / Avg(PL) - Losing trades-1.22
Hold-and-Hope Ratio0.27

RATIO STATISTICS

Mean0.07
SD0.57
Sharpe ratio (Glass type estimate)0.12
Sharpe ratio (Hedges UMVUE)0.12
df85
t0.33
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio-0.61
Upperbound of 95% confidence interval for Sharpe Ratio0.85
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.61
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85
Sortino ratio0.29
Upside Potential Ratio0.96
Upside part of mean0.23
Downside part of mean-0.16
Upside SD0.52
Downside SD0.24
N nonnegative terms78
N negative terms8
N of observations86
Mean of predictor0.19
Mean of criterion0.07
SD of predictor0.24
SD of criterion0.57
Covariance0.03
r0.24
b (slope, estimate of beta)0.56
a (intercept, estimate of alpha)-0.04
Mean Square Error0.32
DF error84
t(b)2.24
p(b)0.01
t(a)-0.17
p(a)0.57
Lowerbound of 95% confidence interval for beta0.06
Upperbound of 95% confidence interval for beta1.06
Lowerbound of 95% confidence interval for alpha-0.46
Upperbound of 95% confidence interval for alpha0.39
Treynor index (mean / b)0.13
Jensen alpha (a)-0.04
Mean-0.04
SD0.46
Sharpe ratio (Glass type estimate)-0.10
Sharpe ratio (Hedges UMVUE)-0.10
df85
t-0.26
p0.60
Lowerbound of 95% confidence interval for Sharpe Ratio-0.83
Upperbound of 95% confidence interval for Sharpe Ratio0.64
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.83
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64
Sortino ratio-0.14
Upside Potential Ratio0.49
Upside part of mean0.16
Downside part of mean-0.20
Upside SD0.33
Downside SD0.32
N nonnegative terms78
N negative terms8
N of observations86
Mean of predictor0.16
Mean of criterion-0.04
SD of predictor0.25
SD of criterion0.46
Covariance0.03
r0.26
b (slope, estimate of beta)0.49
a (intercept, estimate of alpha)-0.12
Mean Square Error0.20
DF error84
t(b)2.48
p(b)0.01
t(a)-0.72
p(a)0.76
Lowerbound of 95% confidence interval for beta0.10
Upperbound of 95% confidence interval for beta0.88
Lowerbound of 95% confidence interval for alpha-0.46
Upperbound of 95% confidence interval for alpha0.22
Treynor index (mean / b)-0.09
Jensen alpha (a)-0.12
VaR(95%)0.20
Expected Shortfall on VaR0.24
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.71
SD1.47
Sharpe ratio (Glass type estimate)0.48
Sharpe ratio (Hedges UMVUE)0.48
df1894
t1.30
p0.49
Lowerbound of 95% confidence interval for Sharpe Ratio-0.24
Upperbound of 95% confidence interval for Sharpe Ratio1.21
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.21
Sortino ratio1.16
Upside Potential Ratio3.19
Upside part of mean1.96
Downside part of mean-1.24
Upside SD1.34
Downside SD0.61
N nonnegative terms1787
N negative terms108
N of observations1895
Mean of predictor0.31
Mean of criterion0.71
SD of predictor0.57
SD of criterion1.47
Covariance0.27
r0.32
b (slope, estimate of beta)0.84
a (intercept, estimate of alpha)0.45
Mean Square Error1.94
DF error1893
t(b)14.88
p(b)0.30
t(a)0.87
p(a)0.49
Lowerbound of 95% confidence interval for beta0.73
Upperbound of 95% confidence interval for beta0.95
Lowerbound of 95% confidence interval for alpha-0.56
Upperbound of 95% confidence interval for alpha1.47
Treynor index (mean / b)0.85
Jensen alpha (a)0.45
Mean-0.04
SD1.19
Sharpe ratio (Glass type estimate)-0.04
Sharpe ratio (Hedges UMVUE)-0.04
df1894
t-0.10
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.77
Upperbound of 95% confidence interval for Sharpe Ratio0.69
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.77
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69
Sortino ratio-0.05
Upside Potential Ratio1.78
Upside part of mean1.48
Downside part of mean-1.52
Upside SD0.85
Downside SD0.83
N nonnegative terms1787
N negative terms108
N of observations1895
Mean of predictor0.15
Mean of criterion-0.04
SD of predictor0.57
SD of criterion1.19
Covariance0.22
r0.32
b (slope, estimate of beta)0.68
a (intercept, estimate of alpha)-0.15
Mean Square Error1.26
DF error1893
t(b)14.89
p(b)0.30
t(a)-0.35
p(a)0.51
Lowerbound of 95% confidence interval for beta0.59
Upperbound of 95% confidence interval for beta0.77
Lowerbound of 95% confidence interval for alpha-0.96
Upperbound of 95% confidence interval for alpha0.67
Treynor index (mean / b)-0.06
Jensen alpha (a)-0.15
VaR(95%)0.11
Expected Shortfall on VaR0.14
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.96
Mean of criterion0
SD of predictor0.54
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor0.80
Mean of criterion0
SD of predictor0.55
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.11
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations86
Minimum0.48
Quartile 11
Median1
Quartile 31
Maximum2.38
Mean of quarter 10.95
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.08
Inter Quartile Range0
Number outliers low8
Percentage of outliers low0.09
Mean of outliers low0.86
Number of outliers high8
Percentage of outliers high0.09
Mean of outliers high1.21
Extreme Value Index (moments method)2.34
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)1.20
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0
Number of observations1895
Minimum0.38
Quartile 11
Median1
Quartile 31
Maximum3.34
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.03
Inter Quartile Range0
Number outliers low108
Percentage of outliers low0.06
Mean of outliers low0.92
Number of outliers high97
Percentage of outliers high0.05
Mean of outliers high1.15
Extreme Value Index (moments method)-4.54
VaR(95%) (moments method)-0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations2
Minimum0.33
Quartile 10.40
Median0.46
Quartile 30.52
Maximum0.58
Mean of quarter 10.33
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.58
Inter Quartile Range0.12
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations8
Minimum0.11
Quartile 10.27
Median0.49
Quartile 30.62
Maximum0.70
Mean of quarter 10.19
Mean of quarter 20.34
Mean of quarter 30.60
Mean of quarter 40.66
Inter Quartile Range0.35
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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?-396809056
Max Equity Drawdown (num days)93
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.04
Compounded annual return (geometric extrapolation)-0.04
Calmar ratio (compounded annual return / max draw down)-0.08
Compounded annual return / average of 25% largest draw downs-0.08
Compounded annual return / Expected Shortfall lognormal-0.18
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.04
Compounded annual return (geometric extrapolation)-0.04
Calmar ratio (compounded annual return / max draw down)-0.06
Compounded annual return / average of 25% largest draw downs-0.07
Compounded annual return / Expected Shortfall lognormal-0.31
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 129 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ER2 Z6long30Nov 13, 2006Nov 13, 2006($2,040)
ER2 Z6short30Nov 10, 2006Nov 10, 2006$6,660
ER2 Z6short30Oct 31, 2006Oct 31, 2006($2,040)
ER2 Z6long30Oct 18, 2006Oct 18, 2006$8,760
ER2 Z6short30Oct 13, 2006Oct 13, 2006($7,140)
ER2 Z6short30Oct 11, 2006Oct 11, 2006($5,640)
ER2 Z6long30Oct 10, 2006Oct 10, 2006($8,640)
ER2 Z6short30Oct 6, 2006Oct 6, 2006($120)
ER2 Z6long30Oct 5, 2006Oct 5, 2006$6,060
ER2 Z6short30Oct 3, 2006Oct 3, 2006($3,840)
ER2 Z6short30Oct 2, 2006Oct 2, 2006$7,560
ER2 Z6short30Oct 2, 2006Oct 2, 2006($3,840)
ER2 Z6short30Oct 2, 2006Oct 2, 2006$6,060
ER2 Z6long30Sep 21, 2006Sep 21, 2006($7,440)
ER2 Z6long30Sep 15, 2006Sep 15, 2006($5,640)
ER2 U6short30Sep 7, 2006Sep 7, 2006($2,340)
ER2 U6short30Sep 7, 2006Sep 7, 2006$9,660
ER2 U6short30Sep 7, 2006Sep 7, 2006$11,760
ER2 U6short30Sep 6, 2006Sep 6, 2006($120)
ER2 U6long30Sep 1, 2006Sep 1, 2006($8,040)
ER2 U6short30Aug 29, 2006Aug 29, 2006($4,440)
ER2 U6short30Aug 29, 2006Aug 29, 2006($5,340)
ER2 U6short30Aug 18, 2006Aug 18, 2006($5,340)
ER2 U6long30Aug 17, 2006Aug 17, 2006($240)
ER2 U6short30Aug 17, 2006Aug 17, 2006($10,740)
ER2 U6short30Aug 15, 2006Aug 15, 2006($5,340)
ER2 U6short30Aug 15, 2006Aug 15, 2006($120)
ER2 U6long30Aug 15, 2006Aug 15, 2006($120)
ER2 U6long30Aug 14, 2006Aug 14, 2006($4,140)
ER2 U6long30Aug 11, 2006Aug 11, 2006$5,760

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.