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For your consideration ares Rank on Leaderboard #1 Hypothetical

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Rotational DTP

By QuantifiedSolutions

Futures · Started Aug 2026

hypothetical · Cumul. Return
1.8%
Max Drawdown
13.4%
Trades
84
Win Trades
32.1%
Profit Factor
1.10
Win Months
33.3%
Subscribe $249/mo

About this strategy

Portfolio consists of ten subsystems (both positional and day trading) from our systems portfolio (https://quantified-solutions.com/portfolio/), rebalanced monthly by selecting the top five performers based on their trailing 12-month risk adjusted performance

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2026-0.17.7-5.31.8

Statistics

Overview

Strategy began8/3/2026
Suggested Minimum Capital$100,000
Age87 days
C2 Rank938
Rank at C2 %Top 6.2%
Rank ##347
What it tradesFutures
# Trades84
# Profitable27
% Profitable32.1%
Avg trade duration19.9 hours
Max peak-to-valley drawdown13.4%
drawdown periodAug 17, 2026 - Sept 18, 2026
Cumul. Return1.8%
Avg win$1,627
Avg loss$698

Ratios

W:L ratio1.10
Sharpe Ratio0.37
Sortino Ratio0.83
Calmar Ratio1.42

CORRELATION STATISTICS

Correlation to SP5000.46
Return Percent SP500 (cumu) during strategy life1.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)0.2%

Return Statistics

Ann Return (w trading costs)7.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)18.1%

Slump

Current Slump as Pcnt Equity12.3%
Current Slump, time of slump as pcnt of strategy life0.4%

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 loss30.5%
Chance of 20% account loss1.0%
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%
Chance of 100% account loss (Monte Carlo)100.0%

Automation

Percentage Signals Automated99.6%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)800
C2 Score938
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$698
Avg Win$1,625
# Winners27
Sum Trade PL (losers)$39,783
Sum Trade PL (winners)$43,887
Num Months Winners2
# Losers57
% Winners32.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table3

Frequency

Avg Position Time (mins)1189.37
Avg Position Time (hrs)19.82
Avg Trade Length0.80
Last Trade Ago1

Leverage

Daily leverage (average)2.61
Daily leverage (max)7.85

Regression

Alpha0.02
Beta1.47
Treynor Index0.03

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.05
MAE:Equity, average, losing trades0.01
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 trades15.54
MAE:PL (avg, all trades)-0.51
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.15
Avg(MAE) / Avg(PL) - Losing trades-1.09
Hold-and-Hope Ratio0.07

RATIO STATISTICS

a (intercept, estimate of alpha)0.11
VAR (95 Confidence Intrvl)0.03

DRAW DOWN STATISTICS

Strat Max DD how much worse than SP500 max DD during strat life?-1144306176
Max Equity Drawdown (num days)32
Last 4 Months - Pcnt Negative0.2%

Trading record

SymbolSideQtyOpenedClosedP/L
@MNQ Z6short1Oct 29, 2026Oct 29, 2026($328)
@MNQ Z6short1Oct 29, 2026Oct 29, 2026($265)
@MNQ Z6long35Oct 26, 2026Oct 29, 2026($1,577)
@MNQ Z6long1Oct 23, 2026Oct 26, 2026$229
@MNQ Z6short2Oct 22, 2026Oct 22, 2026$1,396
@MNQ Z6long13Oct 21, 2026Oct 22, 2026($3,270)
@MNQ Z6short1Oct 20, 2026Oct 20, 2026($78)
@MNQ Z6short1Oct 20, 2026Oct 20, 2026($65)
@MNQ Z6long1Oct 20, 2026Oct 20, 2026($141)
@MNQ Z6long1Oct 20, 2026Oct 20, 2026($307)
@MNQ Z6short1Oct 20, 2026Oct 20, 2026($187)
@MNQ Z6long2Oct 19, 2026Oct 19, 2026($328)
@MNQ Z6short2Oct 19, 2026Oct 19, 2026($247)
@MNQ Z6long6Oct 19, 2026Oct 19, 2026($722)
@MNQ Z6long1Oct 16, 2026Oct 19, 2026$783
@MNQ Z6short8Oct 16, 2026Oct 16, 2026$2,595
@MNQ Z6short2Oct 13, 2026Oct 13, 2026($134)
@MNQ Z6short1Oct 13, 2026Oct 13, 2026($88)
@MNQ Z6long1Oct 9, 2026Oct 12, 2026($264)
@MNQ Z6long2Oct 9, 2026Oct 9, 2026($497)
@MNQ Z6short4Oct 8, 2026Oct 8, 2026$512
@MNQ Z6long1Oct 7, 2026Oct 8, 2026($150)
@MNQ Z6long12Oct 5, 2026Oct 7, 2026$50
@MNQ Z6long4Oct 2, 2026Oct 2, 2026$51
@MNQ Z6long1Oct 2, 2026Oct 2, 2026($149)
@MNQ Z6short1Oct 2, 2026Oct 2, 2026($174)
@MNQ Z6long9Oct 2, 2026Oct 2, 2026($1,649)
@MNQ Z6long1Oct 1, 2026Oct 2, 2026$728
@MNQ Z6short2Oct 1, 2026Oct 1, 2026($325)
@MNQ Z6long2Oct 1, 2026Oct 1, 2026($491)

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.