Z Europe MKT
- hypothetical · Annual Return (Compounded)
- 74.5%
- Max Drawdown
- 15.2%
- Trades
- 65
- Win Trades
- 61.5%
- Profit Factor
- 1.50
- Win Months
- 4.0%
About this strategy
This strategy will only trade Futures
Momentum Financials / Indexes
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 1.4 | 8.4 | 1.7 | 0.0 | 0.0 | 0.0 | 0.0 | 11.7 | |||||
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 6/25/2020 |
|---|---|
| Suggested Minimum Capital | $17,860 |
| Age | 75 months |
| What it trades | Futures |
| # Trades | 65 |
| # Profitable | 40 |
| % Profitable | 61.5% |
| Avg trade duration | 2.3 hours |
| Max peak-to-valley drawdown | 15.2% |
| drawdown period | July 09, 2020 - Aug 27, 2020 |
| Cumul. Return | 11.7% |
| Avg win | $248 |
| Avg loss | $267 |
Ratios
| W:L ratio | 1.49 |
|---|---|
| Sharpe Ratio | 0.02 |
| Sortino Ratio | 0.03 |
| Calmar Ratio | 2.45 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 148.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -4.4% |
Return Statistics
| Ann Return (w trading costs) | 74.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.7% |
Slump
| Current Slump as Pcnt Equity | 6.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Automation
| Percentage Signals Automated | 96.0% |
|---|
Popularity
| Popularity (Today) | 443 |
|---|---|
| Popularity (Last 6 weeks) | 864 |
| Popularity (7 days, Percentile 1000 scale) | 515 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $267 |
|---|---|
| Avg Win | $248 |
| # Winners | 40 |
| Sum Trade PL (losers) | $6,677 |
| Sum Trade PL (winners) | $9,916 |
| Num Months Winners | 3 |
| # Losers | 25 |
| % Winners | 61.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 75 |
|---|
Frequency
| Avg Position Time (mins) | 135.43 |
|---|---|
| Avg Position Time (hrs) | 2.26 |
| Avg Trade Length | 0.10 |
| Last Trade Ago | 2195 |
Leverage
| Daily leverage (average) | 7.50 |
|---|---|
| Daily leverage (max) | 27.18 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | -0.25 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -11.26 |
| MAE:PL (avg, all trades) | 0.16 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.75 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.14 |
| Hold-and-Hope Ratio | -0.09 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.18 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.01 |
DRAW DOWN STATISTICS
| Strat Max DD how much worse than SP500 max DD during strat life? | -276127904 |
|---|---|
| Max Equity Drawdown (num days) | 49 |
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 84 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| RTY U0 | long | 1 | Aug 27, 2020 | Aug 27, 2020 | $252 |
| RTY U0 | long | 2 | Aug 27, 2020 | Aug 27, 2020 | $104 |
| QMGC V0 | long | 5 | Aug 27, 2020 | Aug 27, 2020 | $257 |
| RTY U0 | long | 4 | Aug 27, 2020 | Aug 27, 2020 | $1,248 |
| QMGC V0 | long | 10 | Aug 27, 2020 | Aug 27, 2020 | ($577) |
| RTY U0 | long | 4 | Aug 27, 2020 | Aug 27, 2020 | ($632) |
| RTY U0 | short | 4 | Aug 27, 2020 | Aug 27, 2020 | ($512) |
| RTY U0 | long | 2 | Aug 26, 2020 | Aug 27, 2020 | ($586) |
| RTY U0 | long | 1 | Aug 25, 2020 | Aug 25, 2020 | ($323) |
| QMGC V0 | long | 5 | Aug 17, 2020 | Aug 18, 2020 | $1,232 |
| RTY U0 | long | 1 | Aug 4, 2020 | Aug 5, 2020 | $22 |
| MES U0 | long | 10 | Jul 23, 2020 | Jul 23, 2020 | $51 |
| MES U0 | long | 20 | Jul 23, 2020 | Jul 23, 2020 | $214 |
| MES U0 | long | 5 | Jul 23, 2020 | Jul 23, 2020 | ($181) |
| MES U0 | long | 5 | Jul 23, 2020 | Jul 23, 2020 | ($181) |
| MES U0 | long | 5 | Jul 20, 2020 | Jul 21, 2020 | $338 |
| MES U0 | long | 5 | Jul 20, 2020 | Jul 20, 2020 | $563 |
| MES U0 | long | 5 | Jul 20, 2020 | Jul 20, 2020 | $313 |
| MES U0 | long | 10 | Jul 20, 2020 | Jul 20, 2020 | $151 |
| MES U0 | long | 20 | Jul 17, 2020 | Jul 17, 2020 | $114 |
| MES U0 | long | 20 | Jul 17, 2020 | Jul 17, 2020 | ($982) |
| MES U0 | long | 20 | Jul 17, 2020 | Jul 17, 2020 | $276 |
| MES U0 | long | 10 | Jul 17, 2020 | Jul 17, 2020 | ($225) |
| MES U0 | long | 20 | Jul 16, 2020 | Jul 16, 2020 | ($328) |
| MES U0 | long | 10 | Jul 16, 2020 | Jul 16, 2020 | ($484) |
| MES U0 | long | 20 | Jul 16, 2020 | Jul 16, 2020 | $120 |
| MES U0 | long | 10 | Jul 16, 2020 | Jul 16, 2020 | ($351) |
| MES U0 | long | 5 | Jul 16, 2020 | Jul 16, 2020 | ($216) |
| MES U0 | long | 5 | Jul 16, 2020 | Jul 16, 2020 | $13 |
| MES U0 | long | 5 | Jul 16, 2020 | Jul 16, 2020 | ($31) |
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.