MREV1
- hypothetical · Annual Return (Compounded)
- 23.9%
- Max Drawdown
- 58.9%
- Trades
- 114
- Win Trades
- 60.5%
- Profit Factor
- 1.20
- Win Months
- 8.2%
About this strategy
This system will conclude trading on June 30, 2012.
If you are interested in a mean-reversion trading system for S&P 500 e-mini futures, I'd encourage you to take a look at new ES Oscilation, instead.
Many enhancements were made to the numerical trading model, used by ES Oscillation, during 2011. The model parameters were locked in late August 2011 and have been unchanged, since. The trade signals for the new ES Oscillation will reflect the new, stable model.
If you are interested in a mean-reversion trading system for S&P 500 e-mini futures, I'd encourage you to take a look at new ES Oscilation, instead.
Many enhancements were made to the numerical trading model, used by ES Oscillation, during 2011. The model parameters were locked in late August 2011 and have been unchanged, since. The trade signals for the new ES Oscillation will reflect the new, stable model.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 0.2 | 21.0 | 9.2 | 7.1 | 12.0 | -0.1 | -2.0 | 55.6 | |||||
| 2011 | 36.0 | 0.8 | 9.7 | -13.4 | 1.0 | -19.7 | -13.9 | -33.8 | 48.4 | 0.4 | -9.4 | 9.1 | -11.2 |
| 2012 | -8.1 | 18.4 | -1.4 | 0.5 | -5.0 | 3.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 5.7 |
| 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 | 0.4 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.4 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.4 |
| 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 | 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 | 0.0 |
Statistics
Overview
| Strategy began | 6/30/2010 |
|---|---|
| Suggested Minimum Capital | $33,333 |
| Age | 197 months |
| What it trades | Futures |
| # Trades | 114 |
| # Profitable | 69 |
| % Profitable | 60.5% |
| Avg trade duration | 2.7 days |
| Max peak-to-valley drawdown | 58.9% |
| drawdown period | April 06, 2011 - Aug 31, 2011 |
| Annual return (compounded) | 3.1% |
| Avg win | $1,975 |
| Avg loss | $2,562 |
Ratios
| W:L ratio | 1.18 |
|---|---|
| Sharpe Ratio | 0.08 |
| Sortino Ratio | 0.13 |
| Calmar Ratio | -0.13 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.04 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 632.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -0.8% |
Return Statistics
| Ann Return (w trading costs) | 23.9% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.1% |
Slump
| Current Slump as Pcnt Equity | 65.4% |
|---|---|
| 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 | 70.7% |
|---|---|
| Chance of 20% account loss | 45.2% |
| Chance of 30% account loss | 18.6% |
| Chance of 40% account loss | 15.9% |
| Chance of 50% account loss | 2.2% |
| 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 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 | $2,562 |
|---|---|
| Avg Win | $1,975 |
| # Winners | 69 |
| Sum Trade PL (losers) | $115,301 |
| Sum Trade PL (winners) | $136,299 |
| Num Months Winners | 16 |
| # Losers | 45 |
| % Winners | 60.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 196 |
|---|
Frequency
| Avg Position Time (mins) | 3959.58 |
|---|---|
| Avg Position Time (hrs) | 65.99 |
| Avg Trade Length | 2.80 |
| Last Trade Ago | 5206 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.04 |
| Treynor Index | 0.12 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.05 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| MAE:Equity, average, losing trades | 0.07 |
| 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 | 11.41 |
| MAE:PL (avg, all trades) | 0.02 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 68.50 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 52.63 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.61 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.33 |
| Hold-and-Hope Ratio | 0.09 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.14 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.05 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 147 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 164 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES U2 | long | 3 | Jun 11, 2012 | Jun 13, 2012 | $2,301 |
| ES M2 | long | 3 | May 30, 2012 | Jun 5, 2012 | ($774) |
| ES M2 | long | 2 | May 23, 2012 | May 23, 2012 | $784 |
| ES M2 | long | 4 | May 3, 2012 | May 8, 2012 | ($5,095) |
| ES M2 | long | 3 | Apr 30, 2012 | May 1, 2012 | $1,889 |
| ES M2 | long | 2 | Apr 19, 2012 | Apr 24, 2012 | ($691) |
| ES M2 | long | 2 | Apr 16, 2012 | Apr 17, 2012 | $2,234 |
| ES M2 | long | 2 | Apr 4, 2012 | Apr 12, 2012 | ($1,241) |
| ES M2 | long | 3 | Mar 28, 2012 | Mar 29, 2012 | ($512) |
| ES M2 | short | 2 | Mar 26, 2012 | Mar 27, 2012 | $359 |
| ES M2 | long | 3 | Mar 22, 2012 | Mar 23, 2012 | $801 |
| ES M2 | short | 3 | Mar 13, 2012 | Mar 19, 2012 | ($2,387) |
| ES H2 | long | 3 | Mar 5, 2012 | Mar 8, 2012 | $614 |
| ES H2 | long | 4 | Feb 29, 2012 | Mar 2, 2012 | $1,518 |
| ES H2 | short | 2 | Feb 23, 2012 | Feb 29, 2012 | ($191) |
| ES H2 | long | 4 | Feb 21, 2012 | Feb 23, 2012 | $768 |
| ES H2 | short | 2 | Feb 16, 2012 | Feb 21, 2012 | ($591) |
| ES H2 | long | 4 | Feb 15, 2012 | Feb 16, 2012 | $2,418 |
| ES H2 | short | 2 | Feb 13, 2012 | Feb 14, 2012 | $634 |
| ES H2 | short | 3 | Feb 6, 2012 | Feb 10, 2012 | $551 |
| ES H2 | long | 4 | Jan 31, 2012 | Feb 3, 2012 | $3,318 |
| ES H2 | short | 1 | Jan 30, 2012 | Jan 31, 2012 | $105 |
| ES H2 | long | 3 | Jan 29, 2012 | Jan 30, 2012 | ($474) |
| ES H2 | short | 4 | Jan 12, 2012 | Jan 27, 2012 | ($3,095) |
| ES H2 | long | 4 | Jan 10, 2012 | Jan 12, 2012 | $1,318 |
| ES H2 | short | 2 | Jan 5, 2012 | Jan 10, 2012 | ($1,291) |
| ES H2 | long | 4 | Jan 3, 2012 | Jan 5, 2012 | ($132) |
| ES H2 | long | 2 | Dec 28, 2011 | Dec 30, 2011 | $1,247 |
| ES H2 | short | 1 | Dec 21, 2011 | Dec 22, 2011 | ($658) |
| ES H2 | long | 3 | Dec 8, 2011 | Dec 21, 2011 | $1,601 |
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.