Eternal Return Trading - SwingNQ
- hypothetical · Annual Return (Compounded)
- 10.2%
- Max Drawdown
- 20.3%
- Trades
- 381
- Win Trades
- 68.2%
- Profit Factor
- 1.20
- Win Months
- 5.0%
About this strategy
THIS SYSTEM HAS BEEN SUSPENDED UNTIL FURTHER NOTICE.
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CORRUPTED EQUITY GRAPH, MONTHLY P/L, AND STATISTICS.
In May 2008, C2 incorrectly starting tracking trade signals on the equity graph and in the system statistics for this system that were never sent. (The system's trades list was unaffected.) C2's fix of this problem still left errors. For example, the equity graph shows this system ending with losing trades. However, the trades list shows that the last 6 trades were all winners. In addition, 4/2008 was a profitable month for this system while the monthly PL results list 4/2008 as a -5% losing month. The system's statistics are also affected by these non-existent losing trades, making the system's Cumu $, sharpe ratio, etc. slightly lower than they should be.
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Signals are delivered intraday during regular session hours (usu. 8:30 AM - 15:15 CT). Market orders are used for entries. Profit-targets/limits (GTC) and stoplosses (GTC) are used to exit each trade and will be sent with each entry. This system requires a minimum account size of $10000/contract-traded for the very aggressive trader.
On 8/30/2007 a new parameter set was added to generate trades in higher volatility markets. This new parameter set also employs an incremental trailing stop. Still, new stopLoss prices (and original entries and exits) are sent only during regular session hours (usu. 8:30 AM - 15:15 CT).
Please realize that the results shown here do not reflect compounding. Instead, I trade this account as if it has a constant balance of $100,000. However, if you are willing to take on the risk of compounding, you can attain substantially higher returns with this system than those shown here.
*************************************************************
CORRUPTED EQUITY GRAPH, MONTHLY P/L, AND STATISTICS.
In May 2008, C2 incorrectly starting tracking trade signals on the equity graph and in the system statistics for this system that were never sent. (The system's trades list was unaffected.) C2's fix of this problem still left errors. For example, the equity graph shows this system ending with losing trades. However, the trades list shows that the last 6 trades were all winners. In addition, 4/2008 was a profitable month for this system while the monthly PL results list 4/2008 as a -5% losing month. The system's statistics are also affected by these non-existent losing trades, making the system's Cumu $, sharpe ratio, etc. slightly lower than they should be.
*************************************************************
Signals are delivered intraday during regular session hours (usu. 8:30 AM - 15:15 CT). Market orders are used for entries. Profit-targets/limits (GTC) and stoplosses (GTC) are used to exit each trade and will be sent with each entry. This system requires a minimum account size of $10000/contract-traded for the very aggressive trader.
On 8/30/2007 a new parameter set was added to generate trades in higher volatility markets. This new parameter set also employs an incremental trailing stop. Still, new stopLoss prices (and original entries and exits) are sent only during regular session hours (usu. 8:30 AM - 15:15 CT).
Please realize that the results shown here do not reflect compounding. Instead, I trade this account as if it has a constant balance of $100,000. However, if you are willing to take on the risk of compounding, you can attain substantially higher returns with this system than those shown here.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 2.4 | 7.9 | 14.2 | 26.3 | |||||||||
| 2007 | 10.4 | 5.1 | 0.4 | 18.9 | 3.6 | 3.2 | -3.1 | -11.5 | -8.2 | -3.7 | 1.6 | 1.6 | 15.8 |
| 2008 | 27.8 | -3.3 | -7.5 | -8.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.1 |
| 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 | |
| 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 | 10/17/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 242 months |
| What it trades | Futures |
| # Trades | 381 |
| # Profitable | 260 |
| % Profitable | 68.2% |
| Avg trade duration | 17.2 hours |
| Max peak-to-valley drawdown | 20.3% |
| drawdown period | July 26, 2007 - Oct 11, 2007 |
| Annual return (compounded) | 4.1% |
| Avg win | $2,437 |
| Avg loss | $4,241 |
Ratios
| W:L ratio | 1.23 |
|---|---|
| Sharpe Ratio | 0.05 |
| Sortino Ratio | 0.07 |
| Calmar Ratio | 0.17 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 459.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 96.8% |
Return Statistics
| Ann Return (w trading costs) | 10.2% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 4.1% |
Slump
| Current Slump as Pcnt Equity | 28.8% |
|---|---|
| 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% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 37.5% |
|---|---|
| Chance of 20% account loss | 11.8% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | 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 | $4,241 |
|---|---|
| Avg Win | $2,437 |
| # Winners | 260 |
| Sum Trade PL (losers) | $513,155 |
| Sum Trade PL (winners) | $633,735 |
| Num Months Winners | 14 |
| # Losers | 121 |
| % Winners | 68.2% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 240 |
|---|
Frequency
| Avg Position Time (mins) | 1030.35 |
|---|---|
| Avg Position Time (hrs) | 17.17 |
| Avg Trade Length | 0.70 |
| Last Trade Ago | 6722 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | -0.69 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.03 |
| 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 | 7.85 |
| MAE:PL (avg, all trades) | 0.03 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 18.74 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 19.33 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.62 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.05 |
| Hold-and-Hope Ratio | 0.12 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.27 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.06 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 77 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 367 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NQ M8 | short | 10 | Apr 11, 2008 | Apr 11, 2008 | $1,520 |
| NQ M8 | short | 10 | Apr 10, 2008 | Apr 10, 2008 | $1,470 |
| NQ M8 | long | 10 | Apr 9, 2008 | Apr 9, 2008 | $1,370 |
| NQ M8 | short | 10 | Apr 9, 2008 | Apr 9, 2008 | $1,370 |
| NQ M8 | short | 10 | Apr 8, 2008 | Apr 9, 2008 | $1,420 |
| NQ M8 | short | 10 | Apr 8, 2008 | Apr 8, 2008 | $1,470 |
| NQ M8 | long | 10 | Apr 4, 2008 | Apr 8, 2008 | ($5,280) |
| NQ M8 | long | 10 | Apr 3, 2008 | Apr 4, 2008 | $4,820 |
| NQ M8 | long | 10 | Apr 3, 2008 | Apr 3, 2008 | $4,870 |
| NQ M8 | long | 10 | Apr 2, 2008 | Apr 2, 2008 | ($5,280) |
| NQ M8 | short | 10 | Apr 1, 2008 | Apr 1, 2008 | ($3,730) |
| NQ M8 | short | 10 | Mar 31, 2008 | Apr 1, 2008 | ($4,130) |
| NQ M8 | long | 10 | Mar 31, 2008 | Mar 31, 2008 | $1,370 |
| NQ M8 | long | 10 | Mar 27, 2008 | Mar 28, 2008 | ($5,330) |
| NQ M8 | long | 10 | Mar 26, 2008 | Mar 26, 2008 | ($430) |
| NQ M8 | long | 10 | Mar 24, 2008 | Mar 26, 2008 | ($530) |
| NQ M8 | long | 10 | Mar 20, 2008 | Mar 20, 2008 | $4,870 |
| NQ M8 | long | 10 | Mar 19, 2008 | Mar 19, 2008 | ($5,230) |
| NQ M8 | short | 10 | Mar 18, 2008 | Mar 18, 2008 | ($5,230) |
| NQ M8 | short | 10 | Mar 17, 2008 | Mar 18, 2008 | ($5,230) |
| NQ M8 | short | 10 | Mar 17, 2008 | Mar 17, 2008 | $4,970 |
| NQ M8 | short | 10 | Mar 14, 2008 | Mar 16, 2008 | ($4,730) |
| NQ M8 | long | 10 | Mar 14, 2008 | Mar 14, 2008 | ($5,230) |
| NQ M8 | long | 10 | Mar 14, 2008 | Mar 14, 2008 | ($5,580) |
| NQ M8 | short | 10 | Mar 13, 2008 | Mar 14, 2008 | ($480) |
| NQ H8 | long | 10 | Mar 12, 2008 | Mar 12, 2008 | $4,970 |
| NQ H8 | short | 10 | Mar 11, 2008 | Mar 11, 2008 | ($480) |
| NQ H8 | short | 10 | Mar 7, 2008 | Mar 10, 2008 | $4,920 |
| NQ H8 | short | 10 | Mar 7, 2008 | Mar 7, 2008 | $4,770 |
| NQ H8 | short | 10 | Mar 5, 2008 | Mar 5, 2008 | $1,570 |
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.