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Mini Russell 2000 Daily and Swing

By LL10

Futures · Started Jun 2009

hypothetical · Annual Return (Compounded)
0.8%
Max Drawdown
6.0%
Trades
32
Win Trades
65.6%
Profit Factor
2.30
Win Months
0.5%

About this strategy

By trading mini Russell 2000 exclusively, this system aims to profit from the market consistently and achieve a reasonably smooth equity curve.

Trade signals are generated based on the dynamics between supply and demand. Trades last from minutes to days. All entries are done during normal market hours; there may be predetermined exits and stops for the after and pre-market, but these signals are sent during normal market hours as well.

At any given time, the maximum capital at risk is 2% of the trading capital. However, since I both scale in and out of positions, the sizes of different trades may vary.

Thanks for your interest. Please take advantage of the 14-day free trial to see whether this system is right for you. Happy trading.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200919.8-3.4-0.1-0.1-0.1-0.10.015.0
20100.00.00.00.00.00.00.0-0.00.00.00.00.0-0.0
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 began6/5/2009
Suggested Minimum Capital$100,000
Age210 months
What it tradesFutures
# Trades32
# Profitable21
% Profitable65.6%
Avg trade duration6.5 hours
Max peak-to-valley drawdown6.0%
drawdown periodJune 19, 2009 - Nov 17, 2009
Annual Return (Compounded)0.8%
Avg win$1,459
Avg loss$1,189

Ratios

W:L ratio2.34
Sharpe Ratio-0.47
Sortino Ratio-1.16
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life712.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-691.7%

Return Statistics

Ann Return (w trading costs)0.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.9%

Slump

Current Slump as Pcnt Equity6.4%
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 loss0.0%
Chance of 20% account loss0.0%
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%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,189
Avg Win$1,459
# Winners21
Sum Trade PL (losers)$13,084
Sum Trade PL (winners)$30,635
Num Months Winners1
# Losers11
% Winners65.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table208

Frequency

Avg Position Time (mins)390.92
Avg Position Time (hrs)6.51
Avg Trade Length0.30
Last Trade Ago6280

Regression

Alpha0
Beta0
Treynor Index-2.36

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.30
MAE:PL (avg, all trades)0.13
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats5.86
MAE:PL - Winning Trades - this strat Percentile of All Strats20.86
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.31
Avg(MAE) / Avg(PL) - Losing trades-1.01
Hold-and-Hope Ratio0.77

RATIO STATISTICS

Mean0
SD0.00
Sharpe ratio (Glass type estimate)-0.26
Sharpe ratio (Hedges UMVUE)-0.25
df59
t-0.57
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.13
Upperbound of 95% confidence interval for Sharpe Ratio0.62
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.13
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62
Sortino ratio-0.32
Upside Potential Ratio0.32
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0.00
N nonnegative terms58
N negative terms2
N of observations60
Mean of predictor0.41
Mean of criterion0
SD of predictor0.24
SD of criterion0.00
Covariance0
r0.33
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.00
Mean Square Error0
DF error58
t(b)2.69
p(b)0.00
t(a)-1.76
p(a)0.96
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)-0.18
Jensen alpha (a)-0.00
Mean0
SD0.00
Sharpe ratio (Glass type estimate)-0.26
Sharpe ratio (Hedges UMVUE)-0.25
df59
t-0.57
p0.72
Lowerbound of 95% confidence interval for Sharpe Ratio-1.13
Upperbound of 95% confidence interval for Sharpe Ratio0.62
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.13
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.62
Sortino ratio-0.32
Upside Potential Ratio0.32
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0.00
N nonnegative terms58
N negative terms2
N of observations60
Mean of predictor0.38
Mean of criterion0
SD of predictor0.24
SD of criterion0.00
Covariance0
r0.36
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)-0.00
Mean Square Error0
DF error58
t(b)2.92
p(b)0.00
t(a)-1.78
p(a)0.96
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0.00
Lowerbound of 95% confidence interval for alpha-0.00
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)-0.17
Jensen alpha (a)-0.00
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0
Mean0.02
SD0.17
Sharpe ratio (Glass type estimate)0.09
Sharpe ratio (Hedges UMVUE)0.09
df1322
t0.20
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.79
Upperbound of 95% confidence interval for Sharpe Ratio0.96
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.79
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.96
Sortino ratio0.13
Upside Potential Ratio1.18
Upside part of mean0.14
Downside part of mean-0.13
Upside SD0.13
Downside SD0.12
N nonnegative terms1304
N negative terms19
N of observations1323
Mean of predictor0.44
Mean of criterion0.02
SD of predictor0.35
SD of criterion0.17
Covariance0.00
r0.00
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)0.01
Mean Square Error0.03
DF error1321
t(b)0.05
p(b)0.50
t(a)0.19
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.03
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.17
Treynor index (mean / b)21.20
Jensen alpha (a)0.01
Mean0
SD0.17
Sharpe ratio (Glass type estimate)-0.00
Sharpe ratio (Hedges UMVUE)-0.00
df1322
t-0.00
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-0.87
Upperbound of 95% confidence interval for Sharpe Ratio0.87
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.87
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87
Sortino ratio-0.00
Upside Potential Ratio1.04
Upside part of mean0.13
Downside part of mean-0.13
Upside SD0.12
Downside SD0.13
N nonnegative terms1304
N negative terms19
N of observations1323
Mean of predictor0.38
Mean of criterion0
SD of predictor0.36
SD of criterion0.17
Covariance0.00
r0.02
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)-0.00
Mean Square Error0.03
DF error1321
t(b)0.59
p(b)0.49
t(a)-0.04
p(a)0.50
Lowerbound of 95% confidence interval for beta-0.02
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha-0.16
Upperbound of 95% confidence interval for alpha0.15
Treynor index (mean / b)-0.00
Jensen alpha (a)-0.00
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0
Expected Shortfall on VaR0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.08
Mean of criterion0
SD of predictor0.34
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.02
Mean of criterion0
SD of predictor0.34
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations60
Minimum1.00
Quartile 11
Median1
Quartile 31
Maximum1.00
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low2
Percentage of outliers low0.03
Mean of outliers low1.00
Number of outliers high1
Percentage of outliers high0.02
Mean of outliers high1.00
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations1323
Minimum0.84
Quartile 11
Median1
Quartile 31
Maximum1.17
Mean of quarter 11.00
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.00
Inter Quartile Range0
Number outliers low19
Percentage of outliers low0.01
Mean of outliers low0.97
Number of outliers high25
Percentage of outliers high0.02
Mean of outliers high1.03
Extreme Value Index (moments method)-8.25
VaR(95%) (moments method)-205.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.04
VaR(95%) (regression method)-0.06
Expected Shortfall (regression method)0
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.00
Maximum0.00
Mean of quarter 10.00
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.00
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations3
Minimum0.04
Quartile 10.09
Median0.14
Quartile 30.15
Maximum0.16
Mean of quarter 10.04
Mean of quarter 20.14
Mean of quarter 30
Mean of quarter 40.16
Inter Quartile Range0.06
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-392283456
Max Equity Drawdown (num days)151
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)-0.20
Compounded annual return / average of 25% largest draw downs-0.20
Compounded annual return / Expected Shortfall lognormal-0.42
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)-0.00
Compounded annual return / average of 25% largest draw downs-0.00
Compounded annual return / Expected Shortfall lognormal-0.00
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 43 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TFS U9long7Jul 2, 2009Jul 7, 2009($4,111)
TFS U9long2Jul 2, 2009Jul 2, 2009($476)
TFS U9long2Jul 1, 2009Jul 2, 2009$694
TFS U9short3Jun 29, 2009Jun 30, 2009$841
TFS U9short3Jun 29, 2009Jun 29, 2009$126
TFS U9short3Jun 29, 2009Jun 29, 2009($519)
TFS U9long2Jun 26, 2009Jun 26, 2009$424
TFS U9long3Jun 24, 2009Jun 25, 2009$2,161
TFS U9long2Jun 24, 2009Jun 24, 2009($816)
TFS U9long2Jun 24, 2009Jun 24, 2009$929
TFS U9long4Jun 23, 2009Jun 23, 2009($1,845)
TFS U9long2Jun 22, 2009Jun 23, 2009($17)
TFS U9long4Jun 22, 2009Jun 22, 2009($1,652)
TFS U9long2Jun 22, 2009Jun 22, 2009($739)
TFS U9long2Jun 22, 2009Jun 22, 2009($1,303)
TFS U9short3Jun 19, 2009Jun 19, 2009$1,676
TFS U9long5Jun 17, 2009Jun 18, 2009$3,560
TFS U9short4Jun 16, 2009Jun 16, 2009$3,698
TFS U9long2Jun 15, 2009Jun 16, 2009$1,334
TFS U9long3Jun 15, 2009Jun 15, 2009($624)
TFS U9short2Jun 12, 2009Jun 15, 2009$2,484
TFS U9long3Jun 12, 2009Jun 12, 2009$1,386
TFS U9short3Jun 12, 2009Jun 12, 2009$336
TFS M9short2Jun 11, 2009Jun 12, 2009$2,294
TFS M9long3Jun 11, 2009Jun 11, 2009$666
TFS M9short3Jun 11, 2009Jun 11, 2009$516
TFS M9short4Jun 9, 2009Jun 10, 2009$4,148
TFS M9long3Jun 9, 2009Jun 9, 2009$276
TFS M9short4Jun 8, 2009Jun 9, 2009$1,408
TFS M9short3Jun 8, 2009Jun 8, 2009($1,254)

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.