slow and steady
- hypothetical · Annual Return (Compounded)
- -445.4%
- Max Drawdown
- 100.0%
- Trades
- 433
- Win Trades
- 68.4%
- Profit Factor
- 7.60
- Win Months
- 17.7%
About this strategy
We trade the S&P 500 emini futures. We try to minimize losses and stay consistent on wins. Take a look. I am changing the opening and closing sizes to help allow smaller users to autotrade. Normal opens will be 30, and a max of 60 with lots of 10 being used. So if you want to trade at a 1:10 ratio, 6 would be the max you would have open at any given time. I will only hold overnight on occasion, and I will send an email before the close if I plan to do this. For the most part though, 30-40 is the average that we are in at a given time.
To go into more on this as I have been getting a lot of questions. If you want to be able to trade the 6 contracts and want to not have to worry about margin, then 24K would be needed as its roughly 4K overnight margins on Emini contracts, a little more if you assume a bit for drawdowns. However if you watch your account and are willing to close out and get back in, then Id say 12K is a reasonable amount to trade. 6K is the absolute lowest Id go and that is 1K per contract. It really depends on your risk tolerance.
I will get in and out during a trade, and will especially scale out on profits. I like to lock in some profits in case it turns against us.
If you have any questions, please IM me.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 10.0 | 133.0 | 23.2 | 29.8 | -1.8 | -29.3 | 184.6 | ||||||
| 2008 | -44.7 | -10.4 | 1.3 | -43.6 | 103.9 | -120.8 | -200.9 | -120.0 | -430.0 | -626.1 | -26.7 | -2.1 | -315.2 |
| 2009 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -208.9 | 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 | 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 | -188.5 | 5.8 | 4.8 | 5.5 | -203.5 |
| 2018 | 12.7 | -8.2 | -6.6 | 1.2 | 5.9 | -0.0 | 4.2 | 7.5 | 0.7 | -11.8 | 1.1 | -19.6 | -16.4 |
| 2019 | -215.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -215.5 | ||||
| 2020 | 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 | ||||||
| 2022 | 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 | -385.1 | -3.2 | 8.3 | 4.0 | -410.7 | |||
| 2024 | 4.4 | 7.3 | 3.1 | -0.4 | 3.9 | 3.0 | 0.9 | -1.8 | 1.7 | 4.7 | 5.4 | -0.2 | 36.7 |
| 2025 | 1.0 | 0.7 | -9.7 | -6.7 | 10.0 | 0.5 | 6.9 | 1.8 | 3.7 | 3.4 | 0.0 | 0.2 | 11.0 |
| 2026 | -0.1 | -2.0 | -4.0 | -0.4 | 19.4 | -1.0 | -0.6 | 3.8 | -0.3 | 13.9 |
Statistics
Overview
| Strategy began | 7/26/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 233 months |
| What it trades | Futures |
| # Trades | 433 |
| # Profitable | 296 |
| % Profitable | 68.4% |
| Avg trade duration | 15.3 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | July 14, 2008 - June 20, 2014 |
| Annual return (compounded) | 27.0% |
| Avg win | $37,819 |
| Avg loss | $10,794 |
Ratios
| W:L ratio | 7.57 |
|---|---|
| Sharpe Ratio | -0.46 |
| Sortino Ratio | -0.46 |
| Calmar Ratio | 0.68 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.28 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 415.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -1665.0% |
Return Statistics
| Ann Return (w trading costs) | -445.4% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 27.0% |
Slump
| Current Slump as Pcnt Equity | 1.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 100.0% |
| Chance of 90% account loss (Monte Carlo) | 100.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
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 | $10,794 |
|---|---|
| Avg Win | $37,819 |
| # Winners | 296 |
| Sum Trade PL (losers) | $1,478,815 |
| Sum Trade PL (winners) | $11,194,337 |
| Num Months Winners | 6 |
| # Losers | 137 |
| % Winners | 68.4% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 12 |
|---|
Frequency
| Avg Position Time (mins) | 22020.27 |
|---|---|
| Avg Position Time (hrs) | 367 |
| Avg Trade Length | 15.30 |
| Last Trade Ago | 6548 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 3.48 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.19 |
| MAE:Equity, average, losing trades | 0.06 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -7.49 |
| MAE:PL (avg, all trades) | 0.09 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 72.43 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 60.78 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.88 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.46 |
| Hold-and-Hope Ratio | 1.84 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 1389173.38 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.90 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 2167 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.5% |
Trading record
Placed 1070 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES U8 | long | 280 | Jun 17, 2008 | Sep 19, 2008 | ($234,353) |
| ES U8 | long | 30 | Jun 16, 2008 | Jun 17, 2008 | $1,635 |
| ES U8 | long | 20 | Jun 16, 2008 | Jun 16, 2008 | $3,965 |
| ES U8 | long | 30 | Jun 16, 2008 | Jun 16, 2008 | $5,135 |
| ES M8 | short | 30 | Jun 13, 2008 | Jun 13, 2008 | $4,885 |
| ES M8 | short | 30 | Jun 13, 2008 | Jun 13, 2008 | ($2,240) |
| ES M8 | short | 40 | Jun 13, 2008 | Jun 13, 2008 | ($15,945) |
| ES M8 | long | 10 | Jun 12, 2008 | Jun 12, 2008 | $1,795 |
| ES M8 | long | 50 | Jun 11, 2008 | Jun 12, 2008 | $6,225 |
| ES M8 | long | 40 | Jun 10, 2008 | Jun 11, 2008 | $4,805 |
| ES M8 | long | 20 | Jun 10, 2008 | Jun 10, 2008 | $4,590 |
| ES M8 | long | 40 | Jun 10, 2008 | Jun 10, 2008 | $10,930 |
| ES M8 | long | 40 | Jun 9, 2008 | Jun 9, 2008 | $11,680 |
| ES M8 | long | 40 | Jun 8, 2008 | Jun 9, 2008 | $9,555 |
| ES M8 | short | 30 | Jun 6, 2008 | Jun 6, 2008 | $2,885 |
| ES M8 | long | 110 | Jun 1, 2008 | Jun 6, 2008 | $15,370 |
| ES M8 | short | 30 | May 29, 2008 | May 29, 2008 | $4,260 |
| ES M8 | long | 10 | May 28, 2008 | May 28, 2008 | $2,420 |
| ES M8 | long | 90 | May 22, 2008 | May 28, 2008 | $5,030 |
| ES M8 | long | 40 | May 21, 2008 | May 22, 2008 | $6,430 |
| ES M8 | long | 30 | May 20, 2008 | May 21, 2008 | $1,260 |
| ES M8 | short | 20 | May 20, 2008 | May 20, 2008 | $3,715 |
| ES M8 | long | 20 | May 19, 2008 | May 20, 2008 | ($3,410) |
| ES M8 | short | 30 | May 18, 2008 | May 19, 2008 | ($3,615) |
| ES M8 | long | 30 | May 16, 2008 | May 16, 2008 | $4,135 |
| ES M8 | short | 40 | May 15, 2008 | May 16, 2008 | $4,805 |
| ES M8 | long | 40 | May 14, 2008 | May 15, 2008 | $5,305 |
| ES M8 | long | 50 | May 13, 2008 | May 14, 2008 | $3,850 |
| ES M8 | long | 40 | May 13, 2008 | May 13, 2008 | $5,680 |
| ES M8 | short | 50 | May 12, 2008 | May 13, 2008 | ($5,150) |
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.