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Gold Survivor Eurex Brk

By MicheleGiardina

Futures · Started Jul 2008

hypothetical · Annual Return (Compounded)
38.9%
Max Drawdown
33.3%
Trades
310
Win Trades
47.4%
Profit Factor
1.30
Win Months
13.2%

About this strategy

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HISTORICAL RESULTS
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Download historical system results here:
http://www.coincollector.it/Survivor-Dax-EMB_2029311.html
http://www.en.coincollector.ea23.com/Survivor-Dax-EMB_20293338.html

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ADDITIONAL INFORMATION
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Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com

See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

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FEEDS
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To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek

To see other our C2 trading systems subscribe the following feed:
http://feeds.feedburner.com/TradingSystemsCollection

--------------------------------
SYSTEM FEATURES
--------------------------------
Survivor Dax EMB is a pattern recognition system which was born after the extension of the Dax future timetable, with the intention to capture important market movements even from mid afternoon onwards. The operative setup takes place on two different intraday patterns with an high probability of success.

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GOLD SURVIVOR FEATURES
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Survivor is a very good system, both intraday and overnight, which can work on a highly diversified futures and stocks portfolio. The Survivor core elements are the volatility breakout, the file pattern that validates it and the little number of parameters (3) which regulate its working.
The highly selective and combined two variables action makes Survivor one of the more robust and versatile systems in its category.
In fact Survivor can operate with profit on many markets and on many time frames. It can also operate both intraday and overnight. It works on fixed non-optimizied parameters on all the markets, these parameters are never changed and this is an essential condition to guarantee constant and robust results.

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OUR OTHER SYSTEMS ON C2
----------------------------------------------
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com

Gold Survivor DayTrader: www.collective2.com/go/survivordaytrader
Gold Survivor Energy Portfolio: www.collective2.com/go/survivorenergyportfolio
Gold Survivor Intraday Portfolio: www.collective2.com/go/survivorintradayportfolio
Gold Survivor Eurex Mini Portfolio: www.collective2.com/go/survivoreurexminiportfolio
Gold Survivor Intraday Dax: www.collective2.com/go/survivordaxintraday
Gold Survivor Intraday Euro Fx: www.collective2.com/go/survivorintraeurofx
Gold Survivor Intraday Mini S&P: www.collective2.com/go/survivores
Sniper Commodity: www.collective2.com/go/snipercommodity
Super Commodity: www.collective2.com/go/supercommodity
Super Mixer: www.collective2.com/go/supermixer
Super Mixer Light: www.collective2.com/go/supermixerlight
Super Forex: www.collective2.com/go/superforex
Super Forex Light: www.collective2.com/go/superforexlight
Super Stocks: www.collective2.com/go/superstocks

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2008-6.221.829.522.214.50.4107.9
200917.211.211.0-4.9-10.93.4-6.1-1.1-6.7-1.9-2.9-4.00.6
20100.3-1.9-1.1-4.914.4-0.21.04.8-2.13.4-7.6-2.32.1
2011-0.00.00.00.00.00.00.00.00.00.00.00.0-0.0
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
20140.06.20.60.3-1.10.1-1.2-1.4-2.3-0.5-0.7-1.6-1.8
2015-4.80.5-3.52.1-1.00.3-0.11.5-0.4-1.0-2.21.7-6.9
2016-0.31.11.01.0-1.4-0.60.90.10.2-1.9-0.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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 began7/10/2008
Suggested Minimum Capital$30,000
Age221 months
What it tradesFutures
# Trades310
# Profitable147
% Profitable47.4%
Avg trade duration4.5 hours
Max peak-to-valley drawdown33.3%
drawdown periodApril 14, 2009 - April 27, 2010
Annual return (compounded)4.5%
Avg win$1,168
Avg loss$826

Ratios

W:L ratio1.28
Sharpe Ratio0.19
Sortino Ratio0.34
Calmar Ratio0.25

CORRELATION STATISTICS

Correlation to SP500-0.06
Return Percent SP500 (cumu) during strategy life509.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)106.5%

Return Statistics

Ann Return (w trading costs)38.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.5%

Slump

Current Slump as Pcnt Equity58.9%
Current Slump, time of slump as pcnt of strategy life1.0%

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 loss25.0%
Chance of 20% account loss5.9%
Chance of 30% account loss5.6%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
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$826
Avg Win$1,168
# Winners147
Sum Trade PL (losers)$134,630
Sum Trade PL (winners)$171,724
Num Months Winners30
# Losers163
% Winners47.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table219

Frequency

Avg Position Time (mins)267.18
Avg Position Time (hrs)4.45
Avg Trade Length0.20
Last Trade Ago5753

Regression

Alpha0.01
Beta-0.03
Treynor Index-0.19

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.02
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 trades11.55
MAE:PL (avg, all trades)-0.26
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats44.57
MAE:PL - Winning Trades - this strat Percentile of All Strats54.85
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.38
Avg(MAE) / Avg(PL) - Losing trades-1.17
Hold-and-Hope Ratio0.09

RATIO STATISTICS

a (intercept, estimate of alpha)1.22
VAR (95 Confidence Intrvl)0.10

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)378
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 336 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
XG Z0long1Dec 15, 2010Dec 15, 2010($635)
XG Z0short1Dec 10, 2010Dec 10, 2010($512)
XG Z0short1Dec 8, 2010Dec 8, 2010($35)
XG Z0short1Nov 30, 2010Nov 30, 2010($1,139)
XG Z0long1Nov 26, 2010Nov 26, 2010($921)
XG Z0short1Nov 16, 2010Nov 16, 2010$1,340
XG Z0long1Nov 12, 2010Nov 12, 2010($784)
XG Z0short1Nov 12, 2010Nov 12, 2010($171)
XG Z0long1Nov 9, 2010Nov 9, 2010($607)
XG Z0long1Nov 4, 2010Nov 4, 2010($199)
XG Z0long1Nov 3, 2010Nov 3, 2010($512)
XG Z0long1Nov 1, 2010Nov 1, 2010($1,207)
XG Z0long1Oct 21, 2010Oct 21, 2010$1,422
XG Z0long1Oct 20, 2010Oct 20, 2010($76)
XG Z0long1Oct 19, 2010Oct 19, 2010($880)
XG Z0short1Oct 13, 2010Oct 13, 2010($131)
XG Z0long1Oct 13, 2010Oct 13, 2010$1,599
XG Z0long1Oct 12, 2010Oct 12, 2010$224
XG Z0short1Oct 7, 2010Oct 7, 2010($662)
XG Z0long1Oct 5, 2010Oct 5, 2010$782
XG Z0short1Oct 4, 2010Oct 4, 2010($321)
XG Z0long1Sep 24, 2010Sep 24, 2010$591
XG Z0short1Sep 23, 2010Sep 23, 2010($1,220)
XG Z0short1Sep 17, 2010Sep 17, 2010($1,138)
XG U0long1Sep 14, 2010Sep 14, 2010$46
XG U0long1Sep 9, 2010Sep 9, 2010($308)
XG U0long1Sep 2, 2010Sep 2, 2010$60
XG U0long1Sep 1, 2010Sep 1, 2010$905
XG U0short1Aug 27, 2010Aug 27, 2010($1,275)
XG U0short1Aug 24, 2010Aug 24, 2010$2,376

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.