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Featured Strategy Iberia Capital Strategy Followed by live capital $29,300 Hypothetical

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enigma24 Futures

By enigma24

Futures · Started Jul 2013

hypothetical · Annual Return (Compounded)
-4.4%
Max Drawdown
17.3%
Trades
59
Win Trades
49.2%
Profit Factor
1.30
Win Months
11.4%

About this strategy

ENIGMA24 FUTURES

enigma24 Futures is a portfolio of 100% automatic transaction systems. The systems use advanced logic, proprietary indicators and the most effective for automatic systems tics charts. The systems trade intraday and that means each open position is always closed before the end of the session. Thanks to intraday security policy there are no gaps of open so your funds are much more safe. Intraday initial margin is only about 500-2500 $ (depends on a broker). The systems' parameters are periodically updated. Right now the portfolio consists of one future (FESX) howevere it will be expanded of S&P and Dow Jones in few months. .

enigma24 Futures characteristic:
Market: Eurex
Symbol: FESX/EX (10.- Euro per point)
Trading hours: 8:00 am - 10:00 pm (Central European Time)
System type: short term intraday trading (average few round trades per month)
Position: long/short
Pyramid: no
Stop: dynamic stop
Signals are sent to C2 via Ninja Trader platform

You are welcome to take a look at historical results of enigma24 Futures system on our website:

www.enigma24.com

In case of any question do not hesitate to contact us.

Regards,
enigma24 team

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2013-0.74.62.42.48.20.218.0
20141.7-1.2-1.11.40.7-9.0-8.8-7.5-0.60.0-0.1-0.3-22.9
2015-0.9-0.1-0.50.4-0.30.3-0.30.30.1-0.2-0.40.3-1.4
2016-0.00.10.40.1-0.3-0.10.1-0.00.1-0.40.00.0-0.0
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 began7/19/2013
Suggested Minimum Capital$15,000
Age160 months
What it tradesFutures
# Trades59
# Profitable29
% Profitable49.2%
Avg trade duration4.9 hours
Max peak-to-valley drawdown17.3%
drawdown periodJune 02, 2014 - Aug 25, 2014
Annual Return (Compounded)-4.4%
Avg win$243
Avg loss$181

Ratios

W:L ratio1.30
Sharpe Ratio-0.65
Sortino Ratio-0.90
Calmar Ratio0.18

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life348.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-22.9%

Return Statistics

Ann Return (w trading costs)-4.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.8%

Slump

Current Slump as Pcnt Equity41.4%
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 loss10.0%
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%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)608

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$181
Avg Win$243
# Winners29
Sum Trade PL (losers)$5,438
Sum Trade PL (winners)$7,046
Num Months Winners19
# Losers30
% Winners49.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table159

Frequency

Avg Position Time (mins)294.72
Avg Position Time (hrs)4.91
Avg Trade Length0.20
Last Trade Ago4407

Regression

Alpha-0.01
Beta0
Treynor Index1.66

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.04
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 trades6.50
MAE:PL (avg, all trades)-0.25
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats22.77
MAE:PL - Winning Trades - this strat Percentile of All Strats24.51
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.45
Avg(MAE) / Avg(PL) - Losing trades-1.34
Hold-and-Hope Ratio0.15

RATIO STATISTICS

Mean0.16
SD0.17
Sharpe ratio (Glass type estimate)0.98
Sharpe ratio (Hedges UMVUE)0.92
df12
t1.02
p0.36
Lowerbound of 95% confidence interval for Sharpe Ratio-0.96
Upperbound of 95% confidence interval for Sharpe Ratio2.89
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.00
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.84
Sortino ratio1.84
Upside Potential Ratio3.37
Upside part of mean0.30
Downside part of mean-0.14
Upside SD0.14
Downside SD0.09
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.11
Mean of criterion0.16
SD of predictor0.09
SD of criterion0.17
Covariance0.00
r0.15
b (slope, estimate of beta)0.30
a (intercept, estimate of alpha)0.13
Mean Square Error0.03
DF error11
t(b)0.52
p(b)0.31
t(a)0.74
p(a)0.24
Lowerbound of 95% confidence interval for beta-0.96
Upperbound of 95% confidence interval for beta1.55
Lowerbound of 95% confidence interval for alpha-0.26
Upperbound of 95% confidence interval for alpha0.52
Treynor index (mean / b)0.56
Jensen alpha (a)0.13
Mean0.15
SD0.16
Sharpe ratio (Glass type estimate)0.92
Sharpe ratio (Hedges UMVUE)0.86
df12
t0.95
p0.37
Lowerbound of 95% confidence interval for Sharpe Ratio-1.02
Upperbound of 95% confidence interval for Sharpe Ratio2.82
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.06
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.77
Sortino ratio1.63
Upside Potential Ratio3.16
Upside part of mean0.29
Downside part of mean-0.14
Upside SD0.14
Downside SD0.09
N nonnegative terms8
N negative terms5
N of observations13
Mean of predictor0.11
Mean of criterion0.15
SD of predictor0.09
SD of criterion0.16
Covariance0.00
r0.15
b (slope, estimate of beta)0.30
a (intercept, estimate of alpha)0.12
Mean Square Error0.03
DF error11
t(b)0.52
p(b)0.31
t(a)0.68
p(a)0.26
Lowerbound of 95% confidence interval for beta-0.95
Upperbound of 95% confidence interval for beta1.55
Lowerbound of 95% confidence interval for alpha-0.27
Upperbound of 95% confidence interval for alpha0.50
Treynor index (mean / b)0.51
Jensen alpha (a)0.12
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.02
Expected Shortfall on VaR0.05
Mean0.10
SD0.10
Sharpe ratio (Glass type estimate)0.98
Sharpe ratio (Hedges UMVUE)0.98
df390
t1.05
p0.15
Lowerbound of 95% confidence interval for Sharpe Ratio-0.86
Upperbound of 95% confidence interval for Sharpe Ratio2.82
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.86
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.82
Sortino ratio1.59
Upside Potential Ratio6.76
Upside part of mean0.44
Downside part of mean-0.33
Upside SD0.08
Downside SD0.06
N nonnegative terms104
N negative terms287
N of observations391
Mean of predictor0.14
Mean of criterion0.10
SD of predictor0.10
SD of criterion0.10
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.01
Mean Square Error0.01
DF error389
t(b)-0.09
p(b)0.54
t(a)1.05
p(a)0.15
Lowerbound of 95% confidence interval for beta-0.11
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.09
Upperbound of 95% confidence interval for alpha0.30
Treynor index (mean / b)-22.05
Jensen alpha (a)0.10
Mean0.10
SD0.10
Sharpe ratio (Glass type estimate)0.93
Sharpe ratio (Hedges UMVUE)0.93
df390
t1.00
p0.16
Lowerbound of 95% confidence interval for Sharpe Ratio-0.91
Upperbound of 95% confidence interval for Sharpe Ratio2.77
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.91
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.77
Sortino ratio1.50
Upside Potential Ratio6.65
Upside part of mean0.43
Downside part of mean-0.34
Upside SD0.08
Downside SD0.07
N nonnegative terms104
N negative terms287
N of observations391
Mean of predictor0.14
Mean of criterion0.10
SD of predictor0.10
SD of criterion0.10
Covariance-0.00
r-0.00
b (slope, estimate of beta)-0.00
a (intercept, estimate of alpha)0.10
Mean Square Error0.01
DF error389
t(b)-0.09
p(b)0.54
t(a)1.00
p(a)0.16
Lowerbound of 95% confidence interval for beta-0.11
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.10
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)-19.98
Jensen alpha (a)0.10
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean-0.28
SD0.10
Sharpe ratio (Glass type estimate)-2.79
Sharpe ratio (Hedges UMVUE)-2.77
df171
t-1.97
p0.59
Lowerbound of 95% confidence interval for Sharpe Ratio-5.57
Upperbound of 95% confidence interval for Sharpe Ratio0.00
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.56
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01
Sortino ratio-3.19
Upside Potential Ratio3.17
Upside part of mean0.28
Downside part of mean-0.56
Upside SD0.05
Downside SD0.09
N nonnegative terms65
N negative terms107
N of observations172
Mean of predictor0.15
Mean of criterion-0.28
SD of predictor0.10
SD of criterion0.10
Covariance0.00
r0.05
b (slope, estimate of beta)0.05
a (intercept, estimate of alpha)-0.29
Mean Square Error0.01
DF error170
t(b)0.60
p(b)0.48
t(a)-2.01
p(a)0.58
Lowerbound of 95% confidence interval for beta-0.11
Upperbound of 95% confidence interval for beta0.21
Lowerbound of 95% confidence interval for alpha-0.57
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-5.86
Jensen alpha (a)-0.29
Mean-0.29
SD0.10
Sharpe ratio (Glass type estimate)-2.82
Sharpe ratio (Hedges UMVUE)-2.81
df171
t-2.00
p0.60
Lowerbound of 95% confidence interval for Sharpe Ratio-5.61
Upperbound of 95% confidence interval for Sharpe Ratio-0.03
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.60
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.02
Sortino ratio-3.22
Upside Potential Ratio3.13
Upside part of mean0.28
Downside part of mean-0.56
Upside SD0.05
Downside SD0.09
N nonnegative terms65
N negative terms107
N of observations172
Mean of predictor0.15
Mean of criterion-0.29
SD of predictor0.10
SD of criterion0.10
Covariance0.00
r0.05
b (slope, estimate of beta)0.05
a (intercept, estimate of alpha)-0.29
Mean Square Error0.01
DF error170
t(b)0.61
p(b)0.48
t(a)-2.04
p(a)0.58
Lowerbound of 95% confidence interval for beta-0.11
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0.21
Lowerbound of 95% confidence interval for alpha-0.58
Upperbound of 95% confidence interval for alpha-0.01
Treynor index (mean / b)-5.85
Jensen alpha (a)-0.29
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations13
Minimum0.93
Quartile 11.00
Median1.02
Quartile 31.03
Maximum1.11
Mean of quarter 10.96
Mean of quarter 21.01
Mean of quarter 31.03
Mean of quarter 41.08
Inter Quartile Range0.03
Number outliers low2
Percentage of outliers low0.15
Mean of outliers low0.94
Number of outliers high1
Percentage of outliers high0.08
Mean of outliers high1.11
Extreme Value Index (moments method)-6.15
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-1.99
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.06
Number of observations391
Minimum0.97
Quartile 11.00
Median1
Quartile 31.00
Maximum1.03
Mean of quarter 11.00
Mean of quarter 21.00
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low71
Percentage of outliers low0.18
Mean of outliers low0.99
Number of outliers high73
Percentage of outliers high0.19
Mean of outliers high1.01
Extreme Value Index (moments method)-0.08
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.14
VaR(95%) (regression method)0.00
Expected Shortfall (regression method)0.01
Number of observations172
Minimum0.97
Quartile 11.00
Median1.00
Quartile 31.00
Maximum1.02
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.00
Inter Quartile Range0.00
Number outliers low29
Percentage of outliers low0.17
Mean of outliers low0.99
Number of outliers high20
Percentage of outliers high0.12
Mean of outliers high1.01
Extreme Value Index (moments method)0.36
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.34
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations4
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.04
Maximum0.12
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.12
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high0.12
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 observations7
Minimum0.01
Quartile 10.01
Median0.02
Quartile 30.04
Maximum0.17
Mean of quarter 10.01
Mean of quarter 20.02
Mean of quarter 30.03
Mean of quarter 40.10
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.14
Mean of outliers high0.17
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 observations8
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.02
Maximum0.17
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.10
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.12
Mean of outliers high0.17
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
Max Equity Drawdown (num days)84
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.17
Compounded annual return (geometric extrapolation)0.17
Calmar ratio (compounded annual return / max draw down)1.40
Compounded annual return / average of 25% largest draw downs1.40
Compounded annual return / Expected Shortfall lognormal2.13
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.11
Compounded annual return (geometric extrapolation)0.11
Calmar ratio (compounded annual return / max draw down)0.67
Compounded annual return / average of 25% largest draw downs1.11
Compounded annual return / Expected Shortfall lognormal10.07
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.26
Compounded annual return (geometric extrapolation)-0.24
Calmar ratio (compounded annual return / max draw down)-1.44
Compounded annual return / average of 25% largest draw downs-2.36
Compounded annual return / Expected Shortfall lognormal-20.06

Trading record

Placed 41 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EX U4short2Aug 15, 2014Aug 15, 2014($343)
EX U4short2Aug 8, 2014Aug 8, 2014$115
EX U4short2Aug 6, 2014Aug 6, 2014($517)
EX U4short2Aug 1, 2014Aug 1, 2014($16)
EX U4long2Jul 23, 2014Jul 23, 2014($299)
EX U4short2Jul 10, 2014Jul 10, 2014($212)
EX U4short2Jul 9, 2014Jul 9, 2014($452)
EX U4short2Jul 8, 2014Jul 8, 2014$115
EX U4long2Jul 4, 2014Jul 4, 2014($125)
EX U4short2Jun 26, 2014Jun 26, 2014($321)
EX M4long2Jun 11, 2014Jun 11, 2014($343)
EX M4long2Jun 5, 2014Jun 5, 2014($430)
EX M4long2Jun 4, 2014Jun 4, 2014($38)
EX M4long2Jun 3, 2014Jun 3, 2014($38)
EX M4long2Jun 2, 2014Jun 2, 2014($16)
EX M4long2May 30, 2014May 30, 2014$202
EX M4long2May 29, 2014May 29, 2014$180
EX M4long2May 27, 2014May 27, 2014$28
EX M4long2May 26, 2014May 26, 2014$267
EX M4long2May 15, 2014May 15, 2014($517)
EX M4long2May 2, 2014May 2, 2014$136
EX M4long2Apr 22, 2014Apr 22, 2014$49
EX M4long2Apr 4, 2014Apr 4, 2014$213
EX M4long2Mar 31, 2014Mar 31, 2014($60)
EX M4long2Mar 28, 2014Mar 28, 2014($60)
EX M4long2Mar 27, 2014Mar 27, 2014$311
EX M4long2Mar 26, 2014Mar 26, 2014($147)
EX M4long2Mar 19, 2014Mar 19, 2014($103)
EX H4short2Mar 14, 2014Mar 14, 2014($148)
EX H4short2Mar 13, 2014Mar 13, 2014$202

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.