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HouseAdvantage

By ClosedClosed

Futures · Started Mar 2009

hypothetical · Annual Return (Compounded)
-10.4%
Max Drawdown
17.5%
Trades
184
Win Trades
79.9%
Profit Factor
1.10
Win Months
2.9%

About this strategy

Characterized by a high percentage of small wins and the occasional large payback, HouseAdvantage is named for its similarity to the casino model.

Notes: HouseAdvantage was not running during the period from 4/3/09 to 8/3/09.

Date of Notice: February 3rd, 2010 Attention: HouseAdvantage will begin recommending short positions as well as long positions beginning March 3rd, 2010.

As of March 3rd, 2010 the stop loss for HouseAdvantage has been adjusted from 10 points down to 7.5 points (current value $375) not including slippage and commission. The system will now also take short positions as well as long positions.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2009-0.60.8-0.6-0.6-0.63.9-0.3-0.25.20.77.6
2010-3.6-6.9-0.8-2.9-10.712.4-14.8-13.0-11.60.60.0-0.6-43.1
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 began3/17/2009
Suggested Minimum Capital$6,877
Age213 months
What it tradesFutures
# Trades184
# Profitable147
% Profitable79.9%
Avg trade duration1.6 hours
Max peak-to-valley drawdown17.5%
drawdown periodJuly 20, 2010 - June 20, 2014
Annual return (compounded)0.6%
Avg win$57
Avg loss$206

Ratios

W:L ratio1.10
Sharpe Ratio-0.56
Sortino Ratio-0.65
Calmar Ratio-0.06

CORRELATION STATISTICS

Correlation to SP5000.05
Return Percent SP500 (cumu) during strategy life881.1%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-106.4%

Return Statistics

Ann Return (w trading costs)-10.4%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.6%

Slump

Current Slump as Pcnt Equity77.0%
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 loss48.8%
Chance of 20% account loss9.8%
Chance of 30% account loss0.0%
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$206
Avg Win$57
# Winners147
Sum Trade PL (losers)$7,633
Sum Trade PL (winners)$8,388
Num Months Winners6
# Losers37
% Winners79.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table211

Frequency

Avg Position Time (mins)95.88
Avg Position Time (hrs)1.60
Avg Trade Length0.10
Last Trade Ago5833

Regression

Alpha-0.01
Beta0.02
Treynor Index-0.63

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.06
MAE:Equity, average, losing trades0.05
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 trades26.49
MAE:PL (avg, all trades)0.94
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats19.25
MAE:PL - Winning Trades - this strat Percentile of All Strats32.26
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.16
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio0.04

RATIO STATISTICS

a (intercept, estimate of alpha)-0.07
VAR (95 Confidence Intrvl)0.02

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)1431
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 234 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES Z0long1Sep 28, 2010Sep 28, 2010$92
ES Z0long1Sep 28, 2010Sep 28, 2010($383)
ES Z0long1Sep 27, 2010Sep 27, 2010$55
ES Z0long1Sep 17, 2010Sep 17, 2010$42
ES Z0long1Sep 14, 2010Sep 14, 2010$17
ES U0long1Sep 10, 2010Sep 10, 2010$30
ES U0long1Sep 7, 2010Sep 7, 2010($296)
ES U0long1Sep 6, 2010Sep 6, 2010$42
ES U0short1Sep 3, 2010Sep 3, 2010$30
ES U0long1Sep 3, 2010Sep 3, 2010$17
ES U0long1Sep 2, 2010Sep 2, 2010$17
ES U0short1Sep 1, 2010Sep 1, 2010($208)
ES U0long1Sep 1, 2010Sep 1, 2010$67
ES U0short1Aug 31, 2010Aug 31, 2010$55
ES U0long1Aug 30, 2010Aug 30, 2010($258)
ES U0long1Aug 26, 2010Aug 26, 2010$30
ES U0long1Aug 25, 2010Aug 25, 2010($383)
ES U0short1Aug 25, 2010Aug 25, 2010$142
ES U0long1Aug 24, 2010Aug 24, 2010($296)
ES U0long1Aug 24, 2010Aug 24, 2010$5
ES U0long1Aug 23, 2010Aug 23, 2010$42
ES U0long1Aug 20, 2010Aug 20, 2010($158)
ES U0long1Aug 19, 2010Aug 19, 2010$17
ES U0long1Aug 18, 2010Aug 18, 2010$5
ES U0long1Aug 16, 2010Aug 16, 2010$117
ES U0short1Aug 3, 2010Aug 3, 2010$155
ES U0long1Aug 3, 2010Aug 3, 2010$55
ES U0short1Aug 2, 2010Aug 2, 2010($83)
ES U0long1Jul 30, 2010Jul 30, 2010$67
ES U0short1Jul 27, 2010Jul 27, 2010($196)

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.