ONE'N'GO
- hypothetical · Annual Return (Compounded)
- -19.3%
- Max Drawdown
- 50.5%
- Trades
- 1390
- Win Trades
- 83.5%
- Profit Factor
- 1.10
- Win Months
- 7.7%
About this strategy
NEWS 09/27/2010:
As requested by many subscribers the system now sends the profit-target-order AND the stop-loss-order short after the position has been opened. As the stop-loss-order is trailed, subscribers may have to adjust the stop-loss-order more than once.
Important note: The system-logic of the ONE'N'GO-System is *untouched/unchanged*, only the stop-loss-order send-behaviour has been changed!
The ONE'N'GO System trades the E-Mini S&P 500 (ES) the E-Mini Nasdaq (NQ) and the Mini Dow Future (YM). It is a market-timing system combined with technical analysis. If market conditions are met it trades once a day per market. Positions will be held overnight until the Profit Target is hit or the position is stopped out. Positions are opened always as limit orders. All trades are placed fully automatically and the system is 100% mechanical.
FAQ
Q: What is the minimum account-size that you would recommend?
A: I recommend at least $ 20'000 to start with - as the system trades the ES, the NQ and the YM at the same time, you need sufficient capitalization to meet the minimal Margin-Requirements and to have some reserve to sustain a possible Drawdown right at the beginning (yes, that unfortunately can happen. )
Q: What if I have less than the recommended minimum account-size?
A: If you have less capitalization I recommend you to automate the 3 markets with the following priority: ES, NQ, YM - e.g. automate only the ES or the ES and the NQ.
Q: Do you place your orders manually or automatically and is this a mechanical or discretionary system?
A: All orders are placed fully automatically and the system is 100% mechanical. (Exception: when it is time for a contract roll-over I manually close out the old contract and open the position with the new contract before market opening)
Q: Are entries with limit orders?
A: Yes, all entries are sent as limit orders.
Q: Does your system use stop-losses?
A: As every strategy should have an appropriate stop-loss strategy, the ONE'N'GO-System has a build-in stop-loss methodology, too that will cut losses short.
The stop-loss in absolute values varies according to the calculation on the system-internal logic - which I cannot disclose. But, the stop-loss typically varies from market to market and it depends on the actual market-behavior.
As implemented by design the stop-loss order will trail accordingly to the market movements. The trailing will go in direction of the actual trade only - higher stop-loss prices on LONG-positions and lower stop-loss prices on SHORT-position. So the risk per trade will diminish step-by-step.
Q: What is the "typical" max. stop loss when you leave position (ES, NQ, YM ) overnight ?
A: The calculation of the stop loss used by the ONE'N'GO-System is the same during the overnight-period as it is during market hours. It can happen that during the overnight-period the stop loss is hit and the system closes out the position as it can happen that the profit-target is hit and the system closes out the position, as well.
Q: Did you make any changes to the system after the Drawdown in June and July, like changing the stop loss or other things?
A: No, I did not change anything. The ONE'N'GO-System logic (incl. profit-target, stop-loss etc.) was never changed since going "live" on C2.
As requested by many subscribers the system now sends the profit-target-order AND the stop-loss-order short after the position has been opened. As the stop-loss-order is trailed, subscribers may have to adjust the stop-loss-order more than once.
Important note: The system-logic of the ONE'N'GO-System is *untouched/unchanged*, only the stop-loss-order send-behaviour has been changed!
The ONE'N'GO System trades the E-Mini S&P 500 (ES) the E-Mini Nasdaq (NQ) and the Mini Dow Future (YM). It is a market-timing system combined with technical analysis. If market conditions are met it trades once a day per market. Positions will be held overnight until the Profit Target is hit or the position is stopped out. Positions are opened always as limit orders. All trades are placed fully automatically and the system is 100% mechanical.
FAQ
Q: What is the minimum account-size that you would recommend?
A: I recommend at least $ 20'000 to start with - as the system trades the ES, the NQ and the YM at the same time, you need sufficient capitalization to meet the minimal Margin-Requirements and to have some reserve to sustain a possible Drawdown right at the beginning (yes, that unfortunately can happen. )
Q: What if I have less than the recommended minimum account-size?
A: If you have less capitalization I recommend you to automate the 3 markets with the following priority: ES, NQ, YM - e.g. automate only the ES or the ES and the NQ.
Q: Do you place your orders manually or automatically and is this a mechanical or discretionary system?
A: All orders are placed fully automatically and the system is 100% mechanical. (Exception: when it is time for a contract roll-over I manually close out the old contract and open the position with the new contract before market opening)
Q: Are entries with limit orders?
A: Yes, all entries are sent as limit orders.
Q: Does your system use stop-losses?
A: As every strategy should have an appropriate stop-loss strategy, the ONE'N'GO-System has a build-in stop-loss methodology, too that will cut losses short.
The stop-loss in absolute values varies according to the calculation on the system-internal logic - which I cannot disclose. But, the stop-loss typically varies from market to market and it depends on the actual market-behavior.
As implemented by design the stop-loss order will trail accordingly to the market movements. The trailing will go in direction of the actual trade only - higher stop-loss prices on LONG-positions and lower stop-loss prices on SHORT-position. So the risk per trade will diminish step-by-step.
Q: What is the "typical" max. stop loss when you leave position (ES, NQ, YM ) overnight ?
A: The calculation of the stop loss used by the ONE'N'GO-System is the same during the overnight-period as it is during market hours. It can happen that during the overnight-period the stop loss is hit and the system closes out the position as it can happen that the profit-target is hit and the system closes out the position, as well.
Q: Did you make any changes to the system after the Drawdown in June and July, like changing the stop loss or other things?
A: No, I did not change anything. The ONE'N'GO-System logic (incl. profit-target, stop-loss etc.) was never changed since going "live" on C2.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 8.1 | 7.7 | 7.2 | 31.9 | 15.6 | 3.6 | 1.0 | 6.9 | 113.0 | ||||
| 2011 | 0.0 | 1.7 | -3.0 | 0.8 | 6.1 | -0.9 | -9.8 | -2.6 | -20.9 | -25.8 | 31.1 | 27.0 | -10.2 |
| 2012 | -0.4 | -0.3 | -0.0 | 1.0 | -16.8 | -5.8 | -29.3 | 10.1 | -36.7 | -52.0 | -25.9 | 0.0 | -86.3 |
| 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 | 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 | -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 | 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 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 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 | 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 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 5/16/2010 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 199 months |
| What it trades | Futures |
| # Trades | 1390 |
| # Profitable | 1161 |
| % Profitable | 83.5% |
| Avg trade duration | 21.8 hours |
| Max peak-to-valley drawdown | 50.5% |
| drawdown period | April 23, 2012 - Oct 23, 2012 |
| Annual return (compounded) | 2.6% |
| Avg win | $168 |
| Avg loss | $806 |
Ratios
| W:L ratio | 1.06 |
|---|---|
| Sharpe Ratio | -0.26 |
| Sortino Ratio | -0.31 |
| Calmar Ratio | 0.12 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 565.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 1.9% |
Return Statistics
| Ann Return (w trading costs) | -19.3% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.6% |
Slump
| Current Slump as Pcnt Equity | 779.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | — |
| Chance of 50% account loss | — |
| 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) | — |
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 | $806 |
|---|---|
| Avg Win | $168 |
| # Winners | 1161 |
| Sum Trade PL (losers) | $184,562 |
| Sum Trade PL (winners) | $195,163 |
| Num Months Winners | 16 |
| # Losers | 229 |
| % Winners | 83.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 197 |
|---|
Frequency
| Avg Position Time (mins) | 1306.42 |
|---|---|
| Avg Position Time (hrs) | 21.77 |
| Avg Trade Length | 0.90 |
| Last Trade Ago | 5048 |
Regression
| Alpha | -0.02 |
|---|---|
| Beta | 0.02 |
| Treynor Index | -1.21 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.08 |
| MAE:Equity, average, losing trades | 0.04 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 163.07 |
| MAE:PL (avg, all trades) | 0.83 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 39.05 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 37.06 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.26 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.12 |
| Hold-and-Hope Ratio | 0.01 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.07 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.03 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 183 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 1078 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| YM Z2 | long | 1 | Nov 8, 2012 | Nov 9, 2012 | ($683) |
| NQ Z2 | long | 1 | Nov 8, 2012 | Nov 9, 2012 | ($388) |
| ES Z2 | long | 1 | Nov 8, 2012 | Nov 9, 2012 | ($771) |
| NQ Z2 | short | 1 | Nov 7, 2012 | Nov 8, 2012 | ($188) |
| ES Z2 | short | 1 | Nov 7, 2012 | Nov 7, 2012 | $192 |
| YM Z2 | short | 1 | Nov 7, 2012 | Nov 7, 2012 | $97 |
| NQ Z2 | long | 1 | Nov 6, 2012 | Nov 7, 2012 | ($1,183) |
| ES Z2 | long | 1 | Nov 6, 2012 | Nov 7, 2012 | $192 |
| YM Z2 | long | 1 | Nov 6, 2012 | Nov 7, 2012 | $122 |
| NQ Z2 | long | 1 | Nov 2, 2012 | Nov 6, 2012 | $127 |
| ES Z2 | long | 1 | Nov 2, 2012 | Nov 6, 2012 | $192 |
| YM Z2 | long | 1 | Nov 2, 2012 | Nov 6, 2012 | $122 |
| YM Z2 | long | 1 | Nov 1, 2012 | Nov 2, 2012 | $112 |
| ES Z2 | long | 1 | Nov 1, 2012 | Nov 2, 2012 | $180 |
| NQ Z2 | long | 1 | Nov 1, 2012 | Nov 1, 2012 | $127 |
| NQ Z2 | long | 1 | Oct 31, 2012 | Oct 31, 2012 | $137 |
| YM Z2 | long | 1 | Oct 31, 2012 | Oct 31, 2012 | $122 |
| ES Z2 | long | 1 | Oct 31, 2012 | Oct 31, 2012 | $192 |
| ES Z2 | short | 1 | Oct 26, 2012 | Oct 29, 2012 | $192 |
| YM Z2 | short | 1 | Oct 26, 2012 | Oct 29, 2012 | $42 |
| NQ Z2 | long | 1 | Oct 26, 2012 | Oct 26, 2012 | $152 |
| YM Z2 | short | 1 | Oct 25, 2012 | Oct 25, 2012 | $87 |
| ES Z2 | short | 1 | Oct 25, 2012 | Oct 25, 2012 | $192 |
| NQ Z2 | short | 1 | Oct 25, 2012 | Oct 25, 2012 | $127 |
| YM Z2 | short | 1 | Oct 24, 2012 | Oct 24, 2012 | $137 |
| NQ Z2 | long | 1 | Oct 24, 2012 | Oct 24, 2012 | $122 |
| YM Z2 | short | 1 | Oct 23, 2012 | Oct 24, 2012 | $127 |
| NQ Z2 | short | 1 | Oct 23, 2012 | Oct 23, 2012 | $152 |
| NQ Z2 | long | 1 | Oct 22, 2012 | Oct 22, 2012 | $137 |
| NQ Z2 | short | 1 | Oct 19, 2012 | Oct 19, 2012 | $147 |
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.