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For your consideration SharpeQuant Strategy Rank on Leaderboard #2 Hypothetical

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Spank the Markets - CL edition (beta)

By GaryKlos2

Futures · Started Mar 2010

hypothetical · Annual Return (Compounded)
-98.1%
Max Drawdown
50.5%
Trades
297
Win Trades
46.1%
Profit Factor
0.80
Win Months
0.0%

About this strategy

Strong focus on support/resistance short term as well as the larger charts. Use my custom tools to help me visualize strong short term momentum for entries with low MAE. Trend and counter-trend trades. Use good money management for exits. Use 2-4 contracts. Full stop is less than $400. Look to trade from 8-1 CST / 9-2 EST. Check out the MAE on my entries! More information on my trades can be found here: http://spankthemarkets.blogspot.com/ - *** PLEASE NOTE: I am currently testing fills with both manual buy/sell stops and automatic market orders to optimize for scalping and will remove this note once testing has been completed. Currently C2 slippage is negatively impacting live/real net positive +$ trades due to many trades lasting only seconds.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2010-1.1-88.0-567.10.00.0-0.00.00.00.00.0-155.2
20110.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/25/2010
Suggested Minimum Capital$10,000
Age202 months
What it tradesFutures
# Trades297
# Profitable137
% Profitable46.1%
Avg trade duration5.6 minutes
Max peak-to-valley drawdown50.5%
drawdown periodMarch 30, 2010 - May 12, 2010
Annual return (compounded)-3.5%
Avg win$136
Avg loss$144

Ratios

W:L ratio0.81
Sharpe Ratio-3.84
Sortino Ratio-3.75
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP5000.34
Return Percent SP500 (cumu) during strategy life562.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-89.3%

Return Statistics

Ann Return (w trading costs)-98.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-3.5%

Slump

Current Slump as Pcnt Equity—
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%

Automation

Percentage Signals Automated97.7%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$144
Avg Win$136
# Winners137
Sum Trade PL (losers)$23,050
Sum Trade PL (winners)$18,600
Num Months Winners0
# Losers160
% Winners46.1%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table3

Frequency

Avg Position Time (mins)5.62
Avg Position Time (hrs)0.09
Avg Trade Length0
Last Trade Ago6015

Regression

Alpha0
Beta9.69
Treynor Index0

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.07
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.08
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.06
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-23.23
MAE:PL (avg, all trades)0
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats9.98
MAE:PL - Winning Trades - this strat Percentile of All Strats27.56
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.69
Avg(MAE) / Avg(PL) - Losing trades-1.14
Hold-and-Hope Ratio-0.04

RATIO STATISTICS

a (intercept, estimate of alpha)0.01
VAR (95 Confidence Intrvl)0.06

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)43
Last 4 Months - Pcnt Negative0.8%

Trading record

SymbolSideQtyOpenedClosedP/L
QCL M0short4May 11, 2010May 11, 2010($142)
QCL M0long4May 11, 2010May 11, 2010$28
QCL M0long2May 11, 2010May 11, 2010($36)
QCL M0short2May 11, 2010May 11, 2010($306)
QCL M0long2May 11, 2010May 11, 2010($226)
QCL M0short2May 11, 2010May 11, 2010($56)
QCL M0short4May 11, 2010May 11, 2010($22)
QCL M0short2May 11, 2010May 11, 2010($86)
QCL M0long2May 11, 2010May 11, 2010$4
QCL M0long2May 11, 2010May 11, 2010$184
QCL M0long2May 11, 2010May 11, 2010$94
QCL M0short2May 10, 2010May 10, 2010($76)
QCL M0short4May 10, 2010May 10, 2010$48
QCL M0long2May 10, 2010May 10, 2010$44
QCL M0short2May 10, 2010May 10, 2010($36)
QCL M0short4May 10, 2010May 10, 2010($242)
QCL M0short2May 10, 2010May 10, 2010($176)
QCL M0short2May 10, 2010May 10, 2010($46)
QCL M0short2May 10, 2010May 10, 2010$74
QCL M0long2May 10, 2010May 10, 2010($46)
QCL M0long6May 10, 2010May 10, 2010($88)
QCL M0short2May 10, 2010May 10, 2010($336)
QCL M0long2May 10, 2010May 10, 2010($316)
QCL M0short2May 6, 2010May 6, 2010($206)
QCL M0long2May 6, 2010May 6, 2010($116)
QCL M0short2May 6, 2010May 6, 2010($166)
QCL M0short2May 6, 2010May 6, 2010($346)
QCL M0long2May 6, 2010May 6, 2010($16)
QCL M0long2May 6, 2010May 6, 2010($176)
QCL M0long2May 6, 2010May 6, 2010$24

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.