Conspiracy Spread
- hypothetical · Annual Return (Compounded)
- -42.0%
- Max Drawdown
- 100.0%
- Trades
- 74
- Win Trades
- 58.1%
- Profit Factor
- 1.30
- Win Months
- 6.6%
About this strategy
We will mainly trade energy, metals, equity indexes and currency futures.
An energy futures fund of Aestreux Capital LLC.
An energy futures fund of Aestreux Capital LLC.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 97.2 | -31.6 | -28.9 | -76.4 | 19.2 | -7.7 | -16.7 | 58.3 | -67.1 | ||||
| 2007 | 0.0 | 0.0 | 0.0 | 0.0 | -497.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -497.9 |
| 2008 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 2016 | 0.0 | 0.0 | -97.6 | -492.8 | 50.7 | -6.3 | -115.6 | -522.9 | 44.3 | 33.3 | -15.8 | 0.0 | -114.1 |
| 2017 | -810.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -810.8 |
| 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 | |
| 2019 | 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 | ||||||
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | |||||||||
| 2022 | 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 | ||||||
| 2024 | 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 | -141.0 | -6.8 | -16.2 | -132.0 | ||
| 2026 | 31.3 | 19.3 | 71.8 | 1.1 | 20.3 | -25.6 | 42.4 | 6.2 | 19.2 | 338.8 |
Statistics
Overview
| Strategy began | 5/7/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 248 months |
| What it trades | Futures |
| # Trades | 74 |
| # Profitable | 43 |
| % Profitable | 58.1% |
| Avg trade duration | 99.7 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Nov 20, 2006 - June 21, 2014 |
| Annual return (compounded) | 3.4% |
| Avg win | $9,790 |
| Avg loss | $10,367 |
Ratios
| W:L ratio | 1.31 |
|---|---|
| Sharpe Ratio | -0.61 |
| Sortino Ratio | -0.65 |
| Calmar Ratio | 0.30 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.03 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 475.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -244.3% |
Return Statistics
| Ann Return (w trading costs) | -42.0% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.4% |
Slump
| Current Slump as Pcnt Equity | 52.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.1% |
|---|---|
| Percent Trades Futures | 0.9% |
| 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 | $10,367 |
|---|---|
| Avg Win | $9,790 |
| # Winners | 43 |
| Sum Trade PL (losers) | $321,385 |
| Sum Trade PL (winners) | $420,990 |
| Num Months Winners | 3 |
| # Losers | 31 |
| % Winners | 58.1% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 13 |
|---|
Frequency
| Avg Position Time (mins) | 143616.31 |
|---|---|
| Avg Position Time (hrs) | 2393.60 |
| Avg Trade Length | 99.70 |
| Last Trade Ago | 7252 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.70 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.12 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.11 |
| MAE:Equity, average, losing trades | 0.24 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.05 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -36.82 |
| MAE:PL (avg, all trades) | 0.56 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 30.22 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 45.29 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.46 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.52 |
| Hold-and-Hope Ratio | -0.05 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 76820.93 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.75 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 2770 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.2% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QM X6 | long | 5 | Nov 10, 2006 | Nov 10, 2006 | ($40) |
| QM Z6 | long | 7 | Nov 1, 2006 | Nov 9, 2006 | $8,119 |
| QM X6 | long | 10 | Oct 23, 2006 | Oct 31, 2006 | ($80) |
| YG X6 | short | 5 | Oct 30, 2006 | Oct 30, 2006 | $10 |
| YG X6 | long | 5 | Oct 23, 2006 | Oct 26, 2006 | $1,022 |
| YG Z6 | long | 5 | Oct 3, 2006 | Oct 17, 2006 | $1,869 |
| QG Z6 | long | 5 | Oct 3, 2006 | Oct 5, 2006 | $14,710 |
| QU Z6 | long | 10 | Oct 3, 2006 | Oct 4, 2006 | ($18,980) |
| EU U6 | long | 10 | Sep 12, 2006 | Sep 18, 2006 | ($2,080) |
| YG U6 | short | 5 | Sep 6, 2006 | Sep 6, 2006 | $375 |
| AD U6 | long | 10 | Aug 31, 2006 | Sep 4, 2006 | $8,420 |
| JY U6 | long | 5 | Aug 30, 2006 | Aug 30, 2006 | $23 |
| EU U6 | long | 5 | Aug 24, 2006 | Aug 28, 2006 | $2,460 |
| CD U6 | long | 5 | Aug 24, 2006 | Aug 28, 2006 | $610 |
| CD U6 | short | 10 | Aug 24, 2006 | Aug 24, 2006 | ($2,280) |
| QM U6 | long | 10 | Aug 24, 2006 | Aug 24, 2006 | ($80) |
| QM U6 | long | 10 | Aug 23, 2006 | Aug 23, 2006 | ($80) |
| QM U6 | long | 10 | Aug 23, 2006 | Aug 23, 2006 | ($80) |
| YG U6 | long | 5 | Aug 22, 2006 | Aug 23, 2006 | $856 |
| JY U6 | short | 5 | Aug 22, 2006 | Aug 22, 2006 | $85 |
| JY U6 | long | 5 | Aug 18, 2006 | Aug 20, 2006 | $1,398 |
| JY U6 | long | 5 | Aug 17, 2006 | Aug 17, 2006 | $960 |
| QM U6 | long | 25 | Aug 11, 2006 | Aug 16, 2006 | ($30,388) |
| JY U6 | long | 30 | Aug 11, 2006 | Aug 13, 2006 | ($16,740) |
| EU U6 | long | 5 | Aug 11, 2006 | Aug 11, 2006 | $1,335 |
| QM U6 | long | 10 | Aug 11, 2006 | Aug 11, 2006 | $420 |
| QM U6 | long | 10 | Aug 10, 2006 | Aug 10, 2006 | $795 |
| QM U6 | long | 10 | Aug 10, 2006 | Aug 10, 2006 | $1,005 |
| QG U6 | long | 10 | Aug 10, 2006 | Aug 10, 2006 | $670 |
| YG U6 | long | 10 | Aug 10, 2006 | Aug 10, 2006 | ($146) |
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.