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M8888 LR

Futures · Started Aug 2024

hypothetical · Annual Return (Compounded)
3.6%
Max Drawdown
49.8%
Trades
92
Win Trades
82.6%
Profit Factor
1.20
Win Months
22.2%

About this strategy

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on GBPUSD, EURUSD, AUDUSD, USDJPY, USDCAD, USDCHF currency pairs.
5) Each trade is protected by stop loss.
6) Not a martingale.

It is important to know when connecting my system “M8888 LR” (FX futures CME) to autotrade:

1) The "M8888 LR" system is identical to the "M8888" system. The difference in risks (conservative approach to risk), entry points, exit points in transactions are the same. The "M8888 LR" trading system with a lower risk duplicates the "M8888" trading system for the possibility of accepting a larger number of subscribers, since there are regulator restrictions on the volume opened for CME Group currency futures. Suggested Minimum Capital 100,000 USD.
2) Attention! I recommend that subscribers in the settings set the maximum risk parameters per month no more than 10-15-20%. Be sure to do this.

Useful recommendations when copying my system “M8888 LR” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.

September 11, 2024
Michael

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20244.418.3-23.214.8-39.7-34.3
202527.128.80.30.00.00.00.00.00.00.00.00.064.3
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began8/20/2024
Suggested Minimum Capital$100,000
Age26 months
What it tradesFutures
# Trades92
# Profitable76
% Profitable82.6%
Avg trade duration2.2 days
Max peak-to-valley drawdown49.9%
drawdown periodOct 02, 2024 - Dec 27, 2024
Annual Return (Compounded)3.6%
Avg win$1,215
Avg loss$4,835

Ratios

W:L ratio1.19
Sharpe Ratio0.19
Sortino Ratio0.28
Calmar Ratio0.30

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life36.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-31.5%

Return Statistics

Ann Return (w trading costs)3.6%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)6.6%

Slump

Current Slump as Pcnt Equity16.3%
Current Slump, time of slump as pcnt of strategy life0.9%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss60.0%
Chance of 40% account loss19.0%
Chance of 50% account loss1.5%
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)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$4,834
Avg Win$1,215
# Winners76
Sum Trade PL (losers)$77,352
Sum Trade PL (winners)$92,352
Num Months Winners6
# Losers16
% Winners82.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table27

Frequency

Avg Position Time (mins)3126.25
Avg Position Time (hrs)52.10
Avg Trade Length2.20
Last Trade Ago576

Leverage

Daily leverage (average)8.83
Daily leverage (max)33.54

Regression

Alpha0.03
Beta-0.11
Treynor Index-0.20

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.06
MAE:Equity, average, losing trades0.06
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 trades12.66
MAE:PL (avg, all trades)0.04
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.85
Avg(MAE) / Avg(PL) - Losing trades-1.24
Hold-and-Hope Ratio0.08

RATIO STATISTICS

Mean0.18
SD0.43
Sharpe ratio (Glass type estimate)0.42
Sharpe ratio (Hedges UMVUE)0.39
df12
t0.44
p0.44
Lowerbound of 95% confidence interval for Sharpe Ratio-1.48
Upperbound of 95% confidence interval for Sharpe Ratio2.30
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.28
Sortino ratio0.85
Upside Potential Ratio2.19
Upside part of mean0.46
Downside part of mean-0.29
Upside SD0.35
Downside SD0.21
N nonnegative terms3
N negative terms10
N of observations13
Mean of predictor0.24
Mean of criterion0.18
SD of predictor0.17
SD of criterion0.43
Covariance0.00
r0.05
b (slope, estimate of beta)0.13
a (intercept, estimate of alpha)0.15
Mean Square Error0.20
DF error11
t(b)0.17
p(b)0.43
t(a)0.32
p(a)0.38
Lowerbound of 95% confidence interval for beta-1.53
Upperbound of 95% confidence interval for beta1.79
Lowerbound of 95% confidence interval for alpha-0.87
Upperbound of 95% confidence interval for alpha1.17
Treynor index (mean / b)1.39
Jensen alpha (a)0.15
Mean0.10
SD0.40
Sharpe ratio (Glass type estimate)0.25
Sharpe ratio (Hedges UMVUE)0.23
df12
t0.26
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.64
Upperbound of 95% confidence interval for Sharpe Ratio2.13
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.65
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.12
Sortino ratio0.43
Upside Potential Ratio1.76
Upside part of mean0.41
Downside part of mean-0.31
Upside SD0.31
Downside SD0.23
N nonnegative terms3
N negative terms10
N of observations13
Mean of predictor0.22
Mean of criterion0.10
SD of predictor0.17
SD of criterion0.40
Covariance0.00
r0.06
b (slope, estimate of beta)0.14
a (intercept, estimate of alpha)0.07
Mean Square Error0.18
DF error11
t(b)0.19
p(b)0.42
t(a)0.16
p(a)0.44
Lowerbound of 95% confidence interval for beta-1.44
Upperbound of 95% confidence interval for beta1.72
Lowerbound of 95% confidence interval for alpha-0.89
Upperbound of 95% confidence interval for alpha1.03
Treynor index (mean / b)0.72
Jensen alpha (a)0.07
VaR(95%)0.17
Expected Shortfall on VaR0.21
VaR(95%)0.07
Expected Shortfall on VaR0.14
Mean0.21
SD0.48
Sharpe ratio (Glass type estimate)0.45
Sharpe ratio (Hedges UMVUE)0.45
df289
t0.47
p0.32
Lowerbound of 95% confidence interval for Sharpe Ratio-1.42
Upperbound of 95% confidence interval for Sharpe Ratio2.31
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.31
Sortino ratio0.63
Upside Potential Ratio4.88
Upside part of mean1.64
Downside part of mean-1.43
Upside SD0.34
Downside SD0.34
N nonnegative terms78
N negative terms212
N of observations290
Mean of predictor0.27
Mean of criterion0.21
SD of predictor0.19
SD of criterion0.48
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.10
a (intercept, estimate of alpha)0.24
Mean Square Error0.23
DF error288
t(b)-0.70
p(b)0.76
t(a)0.53
p(a)0.30
Lowerbound of 95% confidence interval for beta-0.39
Upperbound of 95% confidence interval for beta0.19
Lowerbound of 95% confidence interval for alpha-0.65
Upperbound of 95% confidence interval for alpha1.14
Treynor index (mean / b)-2.10
Jensen alpha (a)0.24
Mean0.10
SD0.48
Sharpe ratio (Glass type estimate)0.20
Sharpe ratio (Hedges UMVUE)0.20
df289
t0.21
p0.42
Lowerbound of 95% confidence interval for Sharpe Ratio-1.66
Upperbound of 95% confidence interval for Sharpe Ratio2.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.66
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.07
Sortino ratio0.27
Upside Potential Ratio4.40
Upside part of mean1.59
Downside part of mean-1.49
Upside SD0.32
Downside SD0.36
N nonnegative terms78
N negative terms212
N of observations290
Mean of predictor0.25
Mean of criterion0.10
SD of predictor0.19
SD of criterion0.48
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.11
a (intercept, estimate of alpha)0.13
Mean Square Error0.23
DF error288
t(b)-0.71
p(b)0.76
t(a)0.27
p(a)0.39
Lowerbound of 95% confidence interval for beta-0.40
Upperbound of 95% confidence interval for beta0.19
Lowerbound of 95% confidence interval for alpha-0.78
Upperbound of 95% confidence interval for alpha1.03
Treynor index (mean / b)-0.92
Jensen alpha (a)0.13
VaR(95%)0.05
Expected Shortfall on VaR0.06
VaR(95%)0.02
Expected Shortfall on VaR0.03
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor0.63
Mean of criterion-0.03
SD of predictor0.22
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor0.61
Mean of criterion-0.03
SD of predictor0.22
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6764424241086464
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.05
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)2.54260543354451e+32
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations13
Minimum0.80
Quartile 11
Median1
Quartile 31.00
Maximum1.33
Mean of quarter 10.93
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.17
Inter Quartile Range0.00
Number outliers low2
Percentage of outliers low0.15
Mean of outliers low0.86
Number of outliers high3
Percentage of outliers high0.23
Mean of outliers high1.17
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)2.23
VaR(95%) (regression method)0.19
Expected Shortfall (regression method)0
Number of observations290
Minimum0.78
Quartile 11
Median1
Quartile 31.00
Maximum1.16
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.00
Number outliers low39
Percentage of outliers low0.13
Mean of outliers low0.96
Number of outliers high60
Percentage of outliers high0.21
Mean of outliers high1.03
Extreme Value Index (moments method)0.83
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.04
Extreme Value Index (regression method)0.45
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.05
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
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

DRAW DOWN STATISTICS

Number of observations1
Minimum0.27
Quartile 10.27
Median0.27
Quartile 30.27
Maximum0.27
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 observations7
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.17
Maximum0.45
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.02
Mean of quarter 40.39
Inter Quartile Range0.17
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.14
Mean of outliers high0.45
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 observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
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
Strat Max DD how much worse than SP500 max DD during strat life?-643590912
Max Equity Drawdown (num days)86
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.14
Compounded annual return (geometric extrapolation)0.14
Calmar ratio (compounded annual return / max draw down)0.51
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.67
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.14
Compounded annual return (geometric extrapolation)0.13
Calmar ratio (compounded annual return / max draw down)0.30
Compounded annual return / average of 25% largest draw downs0.35
Compounded annual return / Expected Shortfall lognormal2.27
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 364 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
@JY H5long24Dec 11, 2024Mar 17, 2025($12,960)
@BP Z4short8Dec 6, 2024Dec 6, 2024$686
@BP Z4short4Dec 5, 2024Dec 5, 2024$581
@BP Z4long2Dec 5, 2024Dec 5, 2024$422
@BP Z4long57Dec 2, 2024Dec 5, 2024$10,375
@SF Z4long5Dec 3, 2024Dec 3, 2024$929
@BP Z4short15Nov 29, 2024Nov 29, 2024$2,093
@JY Z4short9Nov 27, 2024Nov 27, 2024($197)
@BP Z4long48Nov 13, 2024Nov 27, 2024$5,722
@JY Z4long23Nov 19, 2024Nov 26, 2024$10,002
@SF Z4long3Nov 13, 2024Nov 19, 2024$707
@JY Z4long3Nov 19, 2024Nov 19, 2024$1,232
@JY Z4long20Oct 24, 2024Nov 5, 2024($5,273)
@SF Z4long8Oct 24, 2024Oct 28, 2024$1,005
@JY Z4long9Oct 24, 2024Oct 24, 2024$1,035
@JY Z4long15Oct 20, 2024Oct 23, 2024($25,414)
@SF Z4long3Oct 17, 2024Oct 21, 2024($368)
@JY Z4long12Oct 17, 2024Oct 18, 2024($809)
@SF Z4long2Oct 17, 2024Oct 17, 2024$572
@BP Z4short18Oct 16, 2024Oct 17, 2024$1,456
@SF Z4long8Oct 10, 2024Oct 16, 2024($2,720)
@BP Z4long7Oct 15, 2024Oct 16, 2024($2,900)
@BP Z4long2Oct 15, 2024Oct 15, 2024$103
@BP Z4long3Oct 15, 2024Oct 15, 2024$151
@BP Z4long5Oct 15, 2024Oct 15, 2024$210
@BP Z4long5Oct 15, 2024Oct 15, 2024$398
@JY Z4long5Oct 11, 2024Oct 15, 2024$1,260
@JY Z4long14Oct 10, 2024Oct 10, 2024$1,600
@SF Z4long1Oct 10, 2024Oct 10, 2024$792
@JY Z4long3Oct 10, 2024Oct 10, 2024$426

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.