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For your consideration QPI 50L 50K Rank on Leaderboard #5 Hypothetical

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M.G. futures daytrade

By MatejGlavas

Futures · Started Apr 2017

hypothetical · Annual Return (Compounded)
-65.5%
Max Drawdown
15.9%
Trades
71
Win Trades
76.1%
Profit Factor
0.60
Win Months
0.0%

About this strategy

Looking to intraday trade index futures, gold, crude oil, natural gas and soybeans.
No martingale, using stop loss, no adding to losing positions. Using market orders.
Main focus in on index futures (YM; ES; NQ) and GC, but will also look for high R : R
setups on CL; S; NG.
For any questions, feel free to send me a message.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2017-5.8-5.20.00.00.00.00.00.00.0-10.7
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began4/1/2017
Suggested Minimum Capital$50,000
Age116 months
What it tradesFutures
# Trades71
# Profitable54
% Profitable76.1%
Avg trade duration17.4 hours
Max peak-to-valley drawdown15.9%
drawdown periodApril 19, 2017 - May 01, 2017
Cumul. Return-9.4%
Avg win$111
Avg loss$585

Ratios

W:L ratio0.60
Sharpe Ratio-0.63
Sortino Ratio-0.85
Calmar Ratio-0.39

CORRELATION STATISTICS

Correlation to SP5000.00
Return Percent SP500 (cumu) during strategy life226.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-10.6%

Return Statistics

Ann Return (w trading costs)-65.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-0.9%

Slump

Current Slump as Pcnt Equity21.1%
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 loss51.5%
Chance of 20% account loss4.5%
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)869
Popularity (7 days, Percentile 1000 scale)483

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$585
Avg Win$111
# Winners54
Sum Trade PL (losers)$9,953
Sum Trade PL (winners)$5,979
Num Months Winners0
# Losers17
% Winners76.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table115

Frequency

Avg Position Time (mins)1045.63
Avg Position Time (hrs)17.43
Avg Trade Length0.70
Last Trade Ago3444

Regression

Alpha-0.01
Beta0
Treynor Index-84.38

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 trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades4.90
MAE:PL (avg, all trades)0.22
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats91.98
MAE:PL - Winning Trades - this strat Percentile of All Strats66.84
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades3.13
Avg(MAE) / Avg(PL) - Losing trades-4.04
Hold-and-Hope Ratio0.20

RATIO STATISTICS

a (intercept, estimate of alpha)-0.08
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)12
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
@ES M7short2Apr 24, 2017May 1, 2017($1,354)
@NQ M7short2Apr 20, 2017May 1, 2017($6,931)
QPL N7long1May 1, 2017May 1, 2017($558)
QGC M7long1May 1, 2017May 1, 2017$32
QGC M7long1Apr 25, 2017Apr 30, 2017$62
@ES M7short1Apr 24, 2017Apr 24, 2017($21)
QCL M7long1Apr 24, 2017Apr 24, 2017($18)
QCL M7long1Apr 24, 2017Apr 24, 2017($18)
QGC M7long1Apr 24, 2017Apr 24, 2017$22
@ES M7short1Apr 20, 2017Apr 21, 2017($358)
QCL M7long1Apr 21, 2017Apr 21, 2017($18)
QGC M7short1Apr 21, 2017Apr 21, 2017$2
QGC M7long1Apr 20, 2017Apr 20, 2017$52
@YM M7long1Apr 19, 2017Apr 19, 2017$62
@NQ M7short1Apr 19, 2017Apr 19, 2017$112
@NQ M7short1Apr 19, 2017Apr 19, 2017$52
QCL M7long1Apr 19, 2017Apr 19, 2017$82
@ES M7short1Apr 19, 2017Apr 19, 2017$67
@ES M7short2Apr 19, 2017Apr 19, 2017$222
@ES M7long1Apr 18, 2017Apr 19, 2017$17
USD/JPY long100Apr 18, 2017Apr 19, 2017$1
@ES M7short1Apr 18, 2017Apr 18, 2017$30
@ES M7short1Apr 18, 2017Apr 18, 2017$55
@ES M7long1Apr 18, 2017Apr 18, 2017$80
@ES M7short1Apr 17, 2017Apr 18, 2017($71)
@ES M7short1Apr 17, 2017Apr 17, 2017($46)
@ES M7long1Apr 17, 2017Apr 17, 2017$142
@ES M7long1Apr 17, 2017Apr 17, 2017($33)
QCL K7short1Apr 13, 2017Apr 13, 2017($68)
@ES M7short1Apr 13, 2017Apr 13, 2017$30

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.