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For your consideration Quant AI SP500 Rank on Leaderboard #4 Hypothetical

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Emini HFT Scalper

By JonathanKinlay

Futures · Started Oct 2015

hypothetical · Annual Return (Compounded)
-99.9%
Max Drawdown
22.5%
Trades
698
Win Trades
55.6%
Profit Factor
1.60
Win Months
0.0%

About this strategy

This strategy trades the eMini S&P 500 futures contract at high frequency. It will typically trade 150-200 times a day, using limit orders. The trading algorithm uses various market microstructure models and machine learning techniques to extract the trading signal.

HFT scalping strategies depend critically on using a low-latency trading platform to maximize the fill rate (the percentage of limit orders that are filled). Since the objective is to extract around half a tick ($6) per trade on average, it is also important to minimize trading costs.

We recommend using MB Trading for this strategy.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2015-17.90.00.0-17.9
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/22/2015
Suggested Minimum Capital$25,000
Age134 months
What it tradesFutures
# Trades698
# Profitable388
% Profitable55.6%
Avg trade duration8.5 minutes
Max peak-to-valley drawdown22.5%
drawdown periodOct 22, 2015 - Oct 28, 2015
Cumul. Return-17.8%
Avg win$38
Avg loss$30

Ratios

W:L ratio1.59
Sharpe Ratio-0.96
Sortino Ratio-0.98
Calmar Ratio—

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life269.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-19.7%

Return Statistics

Ann Return (w trading costs)-99.9%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.8%

Slump

Current Slump as Pcnt Equity20.8%
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 loss0.0%
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)500
Popularity (Last 6 weeks)896
Popularity (7 days, Percentile 1000 scale)908

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$30
Avg Win$38
# Winners388
Sum Trade PL (losers)$9,356
Sum Trade PL (winners)$14,880
Num Months Winners0
# Losers310
% Winners55.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table133

Frequency

Avg Position Time (mins)8.45
Avg Position Time (hrs)0.14
Avg Trade Length0
Last Trade Ago4020

Regression

Alpha-0.01
Beta0
Treynor Index8.02

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 trades13.93
MAE:PL (avg, all trades)-0.37
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats55.11
MAE:PL - Winning Trades - this strat Percentile of All Strats27.32
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.56
Avg(MAE) / Avg(PL) - Losing trades-2.01
Hold-and-Hope Ratio0.06

RATIO STATISTICS

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

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)6
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 94 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
@ES Z5long2Oct 28, 2015Oct 29, 2015$59
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015($46)
@ES Z5short1Oct 28, 2015Oct 28, 2015$5
@ES Z5long1Oct 28, 2015Oct 28, 2015$30
@ES Z5short1Oct 28, 2015Oct 28, 2015$5
@ES Z5long1Oct 28, 2015Oct 28, 2015$5
@ES Z5short1Oct 28, 2015Oct 28, 2015($21)
@ES Z5long1Oct 28, 2015Oct 28, 2015$5
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015($8)
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015($33)
@ES Z5short1Oct 28, 2015Oct 28, 2015$17
@ES Z5long1Oct 28, 2015Oct 28, 2015$5
@ES Z5short1Oct 28, 2015Oct 28, 2015$5
@ES Z5long1Oct 28, 2015Oct 28, 2015$30
@ES Z5short1Oct 28, 2015Oct 28, 2015$17
@ES Z5long1Oct 28, 2015Oct 28, 2015($71)
@ES Z5short1Oct 28, 2015Oct 28, 2015($33)
@ES Z5long1Oct 28, 2015Oct 28, 2015$17
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015($8)
@ES Z5short1Oct 28, 2015Oct 28, 2015$5
@ES Z5long1Oct 28, 2015Oct 28, 2015($8)
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015($46)
@ES Z5short1Oct 28, 2015Oct 28, 2015($8)
@ES Z5long1Oct 28, 2015Oct 28, 2015$17
@ES Z5short1Oct 28, 2015Oct 28, 2015($21)

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.