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For your consideration Orange Cat Management Followed by live capital $577.0 thousand Hypothetical

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50k Futures Portfolio

By AndresPadrones

Futures · Started Jun 2017

hypothetical · Annual Return (Compounded)
26.9%
Max Drawdown
14.1%
Trades
370
Win Trades
50.5%
Profit Factor
1.90
Win Months
9.8%

About this strategy

50k Futures Portfolio is a portfolio than combines 17 trading systems working over S&P500 futures and commodities:

- Five over E-mini S&P500 futures
- Two over Soybeans futures
- One over Bund futures
- One over E-mini DAX futures
- Three over Crude Oil futures
- Three over Natural Gas futures
- Two over Lean Hogs futures

It includes the eleven trading systems of 30k Futures Portfolio also published in Collective2 (https://www.collective2.com/details/109496813)

Portfolio is designed to work with starting account size of 50.000 USD.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201741.2-5.53.74.817.216.117.0130.9
2018-40.5171.90.00.00.00.00.00.00.00.00.00.061.8
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.0-28.8-28.8
20260.4-0.4-0.5-1.0-0.40.4-0.7-3.3-0.70.1-6.0

Statistics

Overview

Strategy began6/11/2017
Suggested Minimum Capital$50,000
Age114 months
What it tradesFutures
# Trades370
# Profitable187
% Profitable50.5%
Avg trade duration18.3 days
Max peak-to-valley drawdown14.1%
drawdown periodAug 24, 2017 - Sept 05, 2017
Cumul. Return10.8%
Avg win$948
Avg loss$510

Ratios

W:L ratio1.90
Sharpe Ratio0.31
Sortino Ratio0.59
Calmar Ratio3.81

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life215.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)4.7%

Return Statistics

Ann Return (w trading costs)26.9%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)11.1%

Slump

Current Slump as Pcnt Equity49.4%
Current Slump, time of slump as pcnt of strategy life0.1%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.1%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss27.5%
Chance of 20% account loss2.0%
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 Automated86.8%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)807
Popularity (7 days, Percentile 1000 scale)458

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$510
Avg Win$948
# Winners187
Sum Trade PL (losers)$93,298
Sum Trade PL (winners)$177,352
Num Months Winners10
# Losers183
% Winners50.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table113

Frequency

Avg Position Time (mins)26362.32
Avg Position Time (hrs)439.37
Avg Trade Length18.30
Last Trade Ago3195

Regression

Alpha0.05
Beta-0.09
Treynor Index-0.51

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
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 trades0.29
MAE:PL (avg, all trades)-0.02
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats3.26
MAE:PL - Winning Trades - this strat Percentile of All Strats0.02
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.25
Avg(MAE) / Avg(PL) - Losing trades-1
Hold-and-Hope Ratio5.58

RATIO STATISTICS

Mean0.46
SD0.15
Sharpe ratio (Glass type estimate)3.07
Sharpe ratio (Hedges UMVUE)2.22
df3
t1.77
p0.09
Lowerbound of 95% confidence interval for Sharpe Ratio-1.21
Upperbound of 95% confidence interval for Sharpe Ratio7.04
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.61
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.05
Sortino ratio22.32
Upside Potential Ratio24.06
Upside part of mean0.50
Downside part of mean-0.04
Upside SD0.19
Downside SD0.02
N nonnegative terms3
N negative terms1
N of observations4
Mean of predictor0.13
Mean of criterion0.46
SD of predictor0.04
SD of criterion0.15
Covariance-0.01
r-0.93
b (slope, estimate of beta)-3.32
a (intercept, estimate of alpha)0.88
Mean Square Error0.00
DF error2
t(b)-3.51
p(b)0.96
t(a)5.22
p(a)0.02
Lowerbound of 95% confidence interval for beta-7.38
Upperbound of 95% confidence interval for beta0.75
Lowerbound of 95% confidence interval for alpha0.15
Upperbound of 95% confidence interval for alpha1.60
Treynor index (mean / b)-0.14
Jensen alpha (a)0.88
Mean0.45
SD0.14
Sharpe ratio (Glass type estimate)3.07
Sharpe ratio (Hedges UMVUE)2.22
df3
t1.78
p0.09
Lowerbound of 95% confidence interval for Sharpe Ratio-1.20
Upperbound of 95% confidence interval for Sharpe Ratio7.05
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.61
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.06
Sortino ratio21.40
Upside Potential Ratio23.13
Upside part of mean0.48
Downside part of mean-0.04
Upside SD0.18
Downside SD0.02
N nonnegative terms3
N negative terms1
N of observations4
Mean of predictor0.12
Mean of criterion0.45
SD of predictor0.04
SD of criterion0.14
Covariance-0.01
r-0.93
b (slope, estimate of beta)-3.22
a (intercept, estimate of alpha)0.84
Mean Square Error0.00
DF error2
t(b)-3.48
p(b)0.96
t(a)5.18
p(a)0.02
Lowerbound of 95% confidence interval for beta-7.20
Upperbound of 95% confidence interval for beta0.76
Lowerbound of 95% confidence interval for alpha0.14
Upperbound of 95% confidence interval for alpha1.54
Treynor index (mean / b)-0.14
Jensen alpha (a)0.84
VaR(95%)0.03
Expected Shortfall on VaR0.05
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0.47
SD0.25
Sharpe ratio (Glass type estimate)1.85
Sharpe ratio (Hedges UMVUE)1.84
df108
t1.20
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-1.20
Upperbound of 95% confidence interval for Sharpe Ratio4.90
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.21
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.89
Sortino ratio2.88
Upside Potential Ratio11.42
Upside part of mean1.85
Downside part of mean-1.38
Upside SD0.19
Downside SD0.16
N nonnegative terms56
N negative terms53
N of observations109
Mean of predictor0.12
Mean of criterion0.47
SD of predictor0.07
SD of criterion0.25
Covariance0.00
r0.00
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)2.38
Mean Square Error0.06
DF error107
t(b)0.04
p(b)0.50
t(a)1.18
p(a)0.43
Lowerbound of 95% confidence interval for beta-0.71
Upperbound of 95% confidence interval for beta0.73
Lowerbound of 95% confidence interval for alpha-0.32
Upperbound of 95% confidence interval for alpha1.25
Treynor index (mean / b)32.49
Jensen alpha (a)0.46
Mean0.43
SD0.25
Sharpe ratio (Glass type estimate)1.73
Sharpe ratio (Hedges UMVUE)1.72
df108
t1.12
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio-1.32
Upperbound of 95% confidence interval for Sharpe Ratio4.77
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.33
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.76
Sortino ratio2.65
Upside Potential Ratio11.17
Upside part of mean1.83
Downside part of mean-1.40
Upside SD0.19
Downside SD0.16
N nonnegative terms56
N negative terms53
N of observations109
Mean of predictor0.12
Mean of criterion0.43
SD of predictor0.07
SD of criterion0.25
Covariance0.00
r0.00
b (slope, estimate of beta)0.01
a (intercept, estimate of alpha)0.43
Mean Square Error0.06
DF error107
t(b)0.02
p(b)0.50
t(a)1.10
p(a)0.43
Lowerbound of 95% confidence interval for beta-0.71
Upperbound of 95% confidence interval for beta0.73
Lowerbound of 95% confidence interval for alpha-0.35
Upperbound of 95% confidence interval for alpha1.21
Treynor index (mean / b)53.80
Jensen alpha (a)0.43
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
VAR (95 Confidence Intrvl)0.13

ORDER STATISTICS

Number of observations4
Minimum0.99
Quartile 11.02
Median1.04
Quartile 31.06
Maximum1.09
Mean of quarter 10.99
Mean of quarter 21.03
Mean of quarter 31.05
Mean of quarter 41.09
Inter Quartile Range0.04
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 observations109
Minimum0.96
Quartile 10.99
Median1.00
Quartile 31.01
Maximum1.04
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.01
Mean of quarter 41.02
Inter Quartile Range0.02
Number outliers low2
Percentage of outliers low0.02
Mean of outliers low0.96
Number of outliers high2
Percentage of outliers high0.02
Mean of outliers high1.04
Extreme Value Index (moments method)-0.68
VaR(95%) (moments method)0.02
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)-0.28
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.02

DRAW DOWN STATISTICS

Number of observations1
Minimum0.01
Quartile 10.01
Median0.01
Quartile 30.01
Maximum0.01
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
Number of observations6
Minimum0.01
Quartile 10.03
Median0.07
Quartile 30.07
Maximum0.11
Mean of quarter 10.01
Mean of quarter 20.07
Mean of quarter 30.07
Mean of quarter 40.09
Inter Quartile Range0.04
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
Max Equity Drawdown (num days)12
Last 4 Months - Pcnt Negative0.8%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.51
Compounded annual return (geometric extrapolation)0.61
Calmar ratio (compounded annual return / max draw down)62.74
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal12.65
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.51
Compounded annual return (geometric extrapolation)0.59
Calmar ratio (compounded annual return / max draw down)5.31
Compounded annual return / average of 25% largest draw downs6.28
Compounded annual return / Expected Shortfall lognormal19.66

Trading record

Placed 6 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
@ES Z7long2Nov 9, 2017Dec 18, 2017$8,409
@HE Z7short4Nov 10, 2017Nov 10, 2017$568
@GF F8long1Nov 10, 2017Nov 10, 2017($633)
QCL Z7long1Nov 9, 2017Nov 9, 2017$142
@HE Z7short2Nov 9, 2017Nov 9, 2017($356)
@GF F8short1Nov 6, 2017Nov 9, 2017$917
@HE Z7short2Nov 9, 2017Nov 9, 2017($36)
BD Z7long1Nov 9, 2017Nov 9, 2017($485)
QRB Z7long1Nov 8, 2017Nov 8, 2017$34
QCL Z7short2Nov 8, 2017Nov 8, 2017($1,096)
QNG Z7short1Nov 7, 2017Nov 7, 2017($388)
@HE Z7short2Nov 7, 2017Nov 7, 2017$104
BD Z7long1Nov 3, 2017Nov 7, 2017$686
@EU Z7long1Nov 6, 2017Nov 7, 2017($196)
QNG Z7short1Nov 6, 2017Nov 6, 2017($768)
@GF F8long1Nov 3, 2017Nov 6, 2017($771)
@HE Z7short2Nov 6, 2017Nov 6, 2017$444
QNG Z7long1Nov 5, 2017Nov 5, 2017($38)
@HE Z7short2Nov 3, 2017Nov 3, 2017($96)
QNG Z7long1Nov 3, 2017Nov 3, 2017($8)
@GF F8short1Nov 2, 2017Nov 3, 2017($1,708)
@ES Z7long2Nov 1, 2017Nov 2, 2017$434
QCL Z7long1Nov 2, 2017Nov 2, 2017$52
QNG Z7long1Nov 2, 2017Nov 2, 2017($78)
@GF F8long1Oct 30, 2017Nov 2, 2017$992
QCL Z7long2Nov 1, 2017Nov 1, 2017($846)
@ES Z7long1Nov 1, 2017Nov 1, 2017$17
@HE Z7long2Oct 31, 2017Oct 31, 2017$1,184
@HE Z7short2Oct 31, 2017Oct 31, 2017$64
@HE Z7long2Oct 30, 2017Oct 31, 2017$284

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.