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Defunct

By CSCS

Futures · Started Nov 2006

hypothetical · Annual Return (Compounded)
-23.6%
Max Drawdown
99.4%
Trades
37
Win Trades
56.8%
Profit Factor
0.50
Win Months
3.4%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2006-0.00.90.8
2007-3.413.8-114.10.0-0.00.00.00.00.00.00.00.0-115.5
20080.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0
20100.00.00.00.00.0-0.0-0.0-0.0-0.0-0.00.0-0.0
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.0-63.5-2.4-10.3-3.8-17.1-7.1-15.7-24.6-18.3-35.6-21.6
2015-101.0-8459.8-154.6-232.4-15.1-163.0-21.0-34.1-61.9-78.4-74.9-479.4-147.1
2016193.173.3-43.8-24.1-25.5370.712.1-3.09.635.00.00.01121.1
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 began11/25/2006
Suggested Minimum Capital$100,000
Age241 months
What it tradesFutures
# Trades37
# Profitable21
% Profitable56.8%
Avg trade duration13.7 hours
Max peak-to-valley drawdown99.4%
drawdown periodMarch 01, 2007 - Sept 21, 2009
Annual return (compounded)-6.5%
Avg win$3,735
Avg loss$9,501

Ratios

W:L ratio0.52
Sharpe Ratio-0.03
Sortino Ratio-0.04
Calmar Ratio-0.18

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life445.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-120.0%

Return Statistics

Ann Return (w trading costs)-23.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-6.5%

Slump

Current Slump as Pcnt Equity1825.6%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.1%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$9,501
Avg Win$3,735
# Winners21
Sum Trade PL (losers)$152,009
Sum Trade PL (winners)$78,437
Num Months Winners2
# Losers16
% Winners56.8%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table5

Frequency

Avg Position Time (mins)824.22
Avg Position Time (hrs)13.74
Avg Trade Length0.60
Last Trade Ago7129

Regression

Alpha0
Beta1.48
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.14
MAE:Equity, 95th Percentile Value for this strat0.08
MAE:Equity, average, losing trades0.30
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 trades-4.00
MAE:PL (avg, all trades)0.04
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats43.79
MAE:PL - Winning Trades - this strat Percentile of All Strats44.13
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.80
Avg(MAE) / Avg(PL) - Losing trades-1.52
Hold-and-Hope Ratio-0.25

RATIO STATISTICS

a (intercept, estimate of alpha)40.75
VAR (95 Confidence Intrvl)0.37

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)935
Last 4 Months - Pcnt Negative0.5%

Trading record

SymbolSideQtyOpenedClosedP/L
LF H7long70Mar 1, 2007Mar 1, 2007($78,919)
ES H7long50Feb 28, 2007Feb 28, 2007($1,025)
ES H7long60Feb 27, 2007Feb 27, 2007($28,230)
NQ H7long25Feb 27, 2007Feb 27, 2007($6,325)
LF H7long70Feb 27, 2007Feb 27, 2007$10,146
LF H7short50Feb 27, 2007Feb 27, 2007$9,083
ES H7short60Feb 26, 2007Feb 26, 2007($1,980)
ES H7long60Feb 26, 2007Feb 26, 2007$10,020
LF H7long50Feb 23, 2007Feb 26, 2007$15,504
CHF/JPY long100Feb 22, 2007Feb 25, 2007$1
EUR/JPY short100Feb 22, 2007Feb 25, 2007$0
EUR/GBP long100Feb 22, 2007Feb 25, 2007$53
EUR/USD short300Feb 21, 2007Feb 25, 2007($150)
GBP/JPY long300Feb 21, 2007Feb 22, 2007$28
ES H7short30Feb 21, 2007Feb 21, 2007($5,115)
ES H7short30Feb 20, 2007Feb 20, 2007($5,115)
ES H7short30Feb 16, 2007Feb 16, 2007($2,865)
ES H7short30Feb 15, 2007Feb 15, 2007($5,115)
ES H7short30Feb 14, 2007Feb 14, 2007($5,490)
ES H7short30Feb 13, 2007Feb 13, 2007($2,865)
ES H7short30Feb 13, 2007Feb 13, 2007$1,260
ES H7long30Feb 12, 2007Feb 12, 2007$135
ES H7long30Feb 8, 2007Feb 8, 2007($2,490)
ES H7short30Feb 8, 2007Feb 8, 2007$510
ES H7long30Feb 8, 2007Feb 8, 2007$3,885
ES H7short30Feb 8, 2007Feb 8, 2007($240)
ES H7long30Feb 8, 2007Feb 8, 2007$1,260
ES H7short30Feb 8, 2007Feb 8, 2007$510
ES H7long30Feb 8, 2007Feb 8, 2007$1,260
ES H7short30Feb 7, 2007Feb 8, 2007$8,010

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.