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ATFutures

By ChrisKobewka

Futures · Started Oct 2006

hypothetical · Annual Return (Compounded)
4.4%
Max Drawdown
14.6%
Trades
96
Win Trades
79.2%
Profit Factor
2.20
Win Months
2.9%

About this strategy

Testing
Trades will be intra-day trades.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20060.66.0-1.35.2
20078.43.32.111.3-9.20.00.00.00.00.00.00.015.5
20080.00.00.00.00.30.00.00.00.00.00.00.00.3
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.0-0.00.00.00.00.00.00.0
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
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began10/1/2006
Suggested Minimum Capital$100,000
Age243 months
What it tradesFutures
# Trades96
# Profitable76
% Profitable79.2%
Avg trade duration21.9 hours
Max peak-to-valley drawdown14.6%
drawdown periodJan 23, 2007 - March 07, 2007
Annual return (compounded)1.4%
Avg win$754
Avg loss$1,312

Ratios

W:L ratio2.18
Sharpe Ratio-0.17
Sortino Ratio-0.26
Calmar Ratio0.06

CORRELATION STATISTICS

Correlation to SP5000.02
Return Percent SP500 (cumu) during strategy life471.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)2.1%

Return Statistics

Ann Return (w trading costs)4.4%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.4%

Slump

Current Slump as Pcnt Equity16.4%
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$1,312
Avg Win$754
# Winners76
Sum Trade PL (losers)$26,238
Sum Trade PL (winners)$57,290
Num Months Winners9
# Losers20
% Winners79.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table240

Frequency

Avg Position Time (mins)1316.03
Avg Position Time (hrs)21.93
Avg Trade Length0.90
Last Trade Ago7047

Regression

Alpha0
Beta0.01
Treynor Index-0.38

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades7.33
MAE:PL (avg, all trades)0.64
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats80.20
MAE:PL - Winning Trades - this strat Percentile of All Strats60.85
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.99
Avg(MAE) / Avg(PL) - Losing trades-2.45
Hold-and-Hope Ratio0.13

RATIO STATISTICS

a (intercept, estimate of alpha)0.02
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)43
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 162 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
GBP/USD long500Mar 1, 2007May 21, 2007$3,950
BP H7short18Feb 9, 2007Feb 13, 2007$3,156
GBP/USD long500Feb 7, 2007Feb 7, 2007($1,150)
GBP/USD long500Feb 6, 2007Feb 6, 2007$1,000
GBP/USD long500Feb 2, 2007Feb 2, 2007($984,050)
GBP/USD long500Feb 1, 2007Feb 1, 2007($983,500)
GBP/USD long500Jan 31, 2007Jan 31, 2007$950
GBP/USD long500Jan 29, 2007Jan 29, 2007($500)
BP H7short6Jan 26, 2007Jan 26, 2007($236)
GBP/USD long500Jan 23, 2007Jan 23, 2007($2,100)
GBP/USD long500Jan 22, 2007Jan 22, 2007$150
GBP/USD long500Jan 17, 2007Jan 17, 2007$1,000
GBP/USD long500Jan 12, 2007Jan 12, 2007$4,750
GBP/USD long500Jan 11, 2007Jan 11, 2007$5,400
GBP/USD long500Jan 8, 2007Jan 8, 2007$1,450
GBP/USD long500Jan 2, 2007Jan 2, 2007($150)
GBP/USD long500Dec 27, 2006Dec 27, 2006($2,550)
GBP/USD long500Dec 19, 2006Dec 19, 2006$1,550
GBP/USD long100Dec 15, 2006Dec 15, 2006($810)
GBP/USD long100Dec 12, 2006Dec 12, 2006$580
ER2 Z6long16Nov 22, 2006Nov 22, 2006$192
ER2 Z6long4Nov 21, 2006Nov 21, 2006$208
ER2 Z6long4Nov 21, 2006Nov 21, 2006$288
ER2 Z6long8Nov 21, 2006Nov 21, 2006$456
ER2 Z6long4Nov 20, 2006Nov 20, 2006$128
ER2 Z6long4Nov 17, 2006Nov 17, 2006$288
ER2 Z6long4Nov 17, 2006Nov 17, 2006$448
BP Z6long12Nov 16, 2006Nov 16, 2006($1,371)
ER2 Z6long4Nov 16, 2006Nov 16, 2006$728
ER2 Z6long8Nov 15, 2006Nov 15, 2006$336

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.