WWW.CONSENSUS-TRADING.COM
- hypothetical · Annual Return (Compounded)
- 25.6%
- Max Drawdown
- 22.3%
- Trades
- 261
- Win Trades
- 94.6%
- Profit Factor
- 3.60
- Win Months
- 7.1%
About this strategy
Please visit www.consensus-trading.com
If you do not trade the contracts or position sizes we post for this system, you can still use our signals as a GUIDE. to market direction then apply your own trades, entry and exit points and position sizes.
Signals from this system will include intra-day and after hours trades. End of day (EOD) only trades are available from www.consensus-trading.com
You can view our closed trades record here: http://www.consensus-trading.com/track-record.html
www.consensus-trading.com
If you do not trade the contracts or position sizes we post for this system, you can still use our signals as a GUIDE. to market direction then apply your own trades, entry and exit points and position sizes.
Signals from this system will include intra-day and after hours trades. End of day (EOD) only trades are available from www.consensus-trading.com
You can view our closed trades record here: http://www.consensus-trading.com/track-record.html
www.consensus-trading.com
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 5.8 | 6.9 | 5.5 | 2.9 | -3.1 | 19.0 | |||||||
| 2006 | 10.7 | 3.7 | 1.2 | 0.8 | -3.6 | 20.5 | 19.2 | 11.7 | 1.8 | 0.4 | 2.5 | 7.9 | 104.6 |
| 2007 | 4.1 | 2.2 | -5.8 | 3.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 3.7 |
| 2008 | 0.0 | 0.0 | 0.0 | 0.0 | -0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.5 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 8/26/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 256 months |
| What it trades | Futures |
| # Trades | 261 |
| # Profitable | 247 |
| % Profitable | 94.6% |
| Avg trade duration | 1.3 days |
| Max peak-to-valley drawdown | 22.3% |
| drawdown period | May 11, 2006 - May 24, 2006 |
| Annual return (compounded) | 5.0% |
| Avg win | $1,013 |
| Avg loss | $4,940 |
Ratios
| W:L ratio | 3.62 |
|---|---|
| Sharpe Ratio | 0.23 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 0.02 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 532.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 138.1% |
Return Statistics
| Ann Return (w trading costs) | 25.6% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 5.0% |
Slump
| Current Slump as Pcnt Equity | 5.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $4,940 |
|---|---|
| Avg Win | $1,013 |
| # Winners | 247 |
| Sum Trade PL (losers) | $69,154 |
| Sum Trade PL (winners) | $250,161 |
| Num Months Winners | 21 |
| # Losers | 14 |
| % Winners | 94.6% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 254 |
|---|
Frequency
| Avg Position Time (mins) | 1873.78 |
|---|---|
| Avg Position Time (hrs) | 31.23 |
| Avg Trade Length | 1.30 |
| Last Trade Ago | 7073 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | -3.54 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.07 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 3.42 |
| MAE:PL (avg, all trades) | 1.64 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 95.58 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 64.59 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.68 |
| Avg(MAE) / Avg(PL) - Losing trades | -2.27 |
| Hold-and-Hope Ratio | 0.29 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.32 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.10 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 13 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 132 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES M7 | short | 10 | Apr 26, 2007 | Apr 27, 2007 | $420 |
| ES M7 | short | 25 | Apr 12, 2007 | Apr 19, 2007 | $3,113 |
| ES M7 | short | 10 | Apr 6, 2007 | Apr 11, 2007 | $2,983 |
| ES M7 | long | 10 | Apr 1, 2007 | Apr 3, 2007 | $2,545 |
| ES M7 | short | 20 | Mar 19, 2007 | Apr 1, 2007 | ($20,473) |
| ES M7 | short | 5 | Mar 18, 2007 | Mar 18, 2007 | $773 |
| ES M7 | short | 5 | Mar 16, 2007 | Mar 16, 2007 | $960 |
| ES M7 | short | 5 | Mar 15, 2007 | Mar 16, 2007 | $210 |
| ES H7 | long | 3 | Mar 12, 2007 | Mar 12, 2007 | $576 |
| ES H7 | long | 3 | Mar 11, 2007 | Mar 12, 2007 | $501 |
| ES H7 | short | 3 | Mar 8, 2007 | Mar 9, 2007 | $464 |
| ES H7 | long | 3 | Mar 5, 2007 | Mar 5, 2007 | $464 |
| ES H7 | long | 3 | Mar 4, 2007 | Mar 5, 2007 | $464 |
| ES H7 | short | 3 | Feb 25, 2007 | Feb 26, 2007 | $464 |
| ES H7 | short | 5 | Feb 22, 2007 | Feb 23, 2007 | $1,273 |
| ES H7 | short | 3 | Feb 21, 2007 | Feb 21, 2007 | $689 |
| ES H7 | short | 8 | Feb 15, 2007 | Feb 16, 2007 | $949 |
| ES H7 | long | 10 | Feb 11, 2007 | Feb 13, 2007 | $3,045 |
| ES H7 | short | 5 | Feb 8, 2007 | Feb 11, 2007 | $2,648 |
| ES H7 | long | 5 | Feb 6, 2007 | Feb 7, 2007 | $148 |
| ES H7 | long | 3 | Feb 5, 2007 | Feb 6, 2007 | $314 |
| ES H7 | short | 15 | Jan 31, 2007 | Feb 4, 2007 | ($2,183) |
| ES H7 | long | 10 | Jan 25, 2007 | Jan 29, 2007 | $1,733 |
| ES H7 | long | 7 | Jan 23, 2007 | Jan 24, 2007 | $732 |
| ES H7 | long | 13 | Jan 20, 2007 | Jan 23, 2007 | $1,296 |
| ES H7 | short | 30 | Jan 11, 2007 | Jan 16, 2007 | $1,448 |
| ES H7 | long | 3 | Jan 10, 2007 | Jan 11, 2007 | $351 |
| ES H7 | long | 15 | Jan 9, 2007 | Jan 10, 2007 | $1,193 |
| ES H7 | long | 10 | Jan 5, 2007 | Jan 7, 2007 | $170 |
| ES H7 | long | 10 | Jan 3, 2007 | Jan 4, 2007 | $2,858 |
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.