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Cheetah

By CheetahTrader

Futures · Started Jan 2006

hypothetical · Annual Return (Compounded)
3.3%
Max Drawdown
47.9%
Trades
657
Win Trades
55.6%
Profit Factor
1.10
Win Months
7.6%

About this strategy

This system has been succeeded by Cheetah Index.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20061.2-23.051.922.413.8-8.2-1.09.91.99.13.9-6.078.8
20073.65.4-4.0-0.89.1-17.626.4-28.1-36.1-16.119.477.2-3.7
2008-16.70.0-0.4-0.27.1-15.4-10.90.00.00.00.00.0-33.1
20090.00.00.00.00.00.00.00.00.0-0.30.00.0-0.3
20100.00.00.00.00.00.3-0.30.30.0-0.00.00.00.3
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
20140.00.00.00.00.04.4-0.00.00.00.00.0-2.22.1
20150.1-0.10.0-0.0-0.00.0-1082.30.00.00.00.00.0-1082.1
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/10/2006
Suggested Minimum Capital$11,585
Age252 months
What it tradesFutures
# Trades657
# Profitable365
% Profitable55.6%
Avg trade duration8.9 hours
Max peak-to-valley drawdown47.9%
drawdown periodJan 28, 2008 - July 16, 2008
Annual return (compounded)0.0%
Avg win$416
Avg loss$469

Ratios

W:L ratio1.11
Sharpe Ratio-0.26
Sortino Ratio-0.26
Calmar Ratio-0.73

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life492.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)94.1%

Return Statistics

Ann Return (w trading costs)3.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

Slump

Current Slump as Pcnt Equity—
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss80.0%
Chance of 20% account loss66.7%
Chance of 30% account loss53.3%
Chance of 40% account loss13.3%
Chance of 50% account loss13.3%
Chance of 60% account loss (Monte Carlo)6.7%
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 Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$469
Avg Win$416
# Winners365
Sum Trade PL (losers)$136,962
Sum Trade PL (winners)$151,750
Num Months Winners22
# Losers292
% Winners55.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table115

Frequency

Avg Position Time (mins)532.73
Avg Position Time (hrs)8.88
Avg Trade Length0.40
Last Trade Ago6632

Regression

Alpha0
Beta0.08
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.11
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades22.61
MAE:PL (avg, all trades)-0.12
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats44.48
MAE:PL - Winning Trades - this strat Percentile of All Strats29.19
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.35
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio-0.25

RATIO STATISTICS

a (intercept, estimate of alpha)0.18
VAR (95 Confidence Intrvl)0.32

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)170
Last 4 Months - Pcnt Negative0.8%

Trading record

Placed 981 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ER2 U8long10Jul 15, 2008Jul 16, 2008($5,380)
ER2 U8long8Jul 3, 2008Jul 3, 2008$3,856
TY U8short2May 30, 2008Jun 3, 2008($1,423)
AUD/USD long130May 29, 2008Jun 2, 2008($195)
YG Q8short3May 30, 2008Jun 2, 2008($744)
NZD/USD short130May 22, 2008May 30, 2008$197
AUD/USD long100May 27, 2008May 29, 2008($491)
YG M8short2May 28, 2008May 29, 2008$1,100
USD/CAD short80May 27, 2008May 29, 2008$277
ES M8long4May 22, 2008May 22, 2008$18
ES M8short4May 22, 2008May 22, 2008$456
EUR/GBP long100May 21, 2008May 22, 2008($763)
NZD/USD short110May 20, 2008May 22, 2008($1,402)
GBP/AUD short60May 20, 2008May 21, 2008$385
USD/CHF short60May 21, 2008May 21, 2008$20
ER2 H8short2Jan 31, 2008Jan 31, 2008($1,226)
ER2 H8long2Jan 30, 2008Jan 30, 2008($2,296)
NQ H8short1Jan 30, 2008Jan 30, 2008($573)
NQ H8short6Jan 25, 2008Jan 29, 2008($628)
ER2 H8short1Jan 25, 2008Jan 29, 2008($2,058)
ER2 H8short1Jan 25, 2008Jan 25, 2008$412
ER2 H8short1Jan 24, 2008Jan 24, 2008$402
ER2 H8long2Jan 23, 2008Jan 23, 2008$3,434
NQ H8short4Jan 23, 2008Jan 23, 2008($12)
NQ H8short3Jan 23, 2008Jan 23, 2008($2,009)
ER2 H8long2Jan 23, 2008Jan 23, 2008($2,476)
NQ H8short3Jan 22, 2008Jan 22, 2008$821
ER2 H8short1Jan 22, 2008Jan 22, 2008$562
NQ H8short3Jan 22, 2008Jan 22, 2008($1,084)
NQ H8long2Jan 18, 2008Jan 18, 2008$454

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.