Diversity GC

Diversity GC

Key Details

  • Strategy type: Swing Trading
  • Markets Traded: COMEX GOLD
  • Lease and Commissions: $50 per month / $10 per trade
  • Min. Account Size: $10,000

 
 

Out of Sample Performance Since Released (December 2017)

 

Start Date Avg. Return Ending Balance MAR Max DD Longest DD Sharpe Win/Loss Rate R3 Trades
Jan-18 58.32% 51,441.84 2.91 20.1% 6.4 mths 2.26    71.4% / 28.6% 16.57 77

Trade Chart

Equity Curves and Drawdowns

Monte-Carlo simulations

Risk Profile

Monthly Returns

Performance Numbers

Trading Performance

CAGR % 58.32%
MAR Ratio 2.91
RAR % 47.32%
R-Squared 0.789
R-Cubed 16.57
Avg Margin to Equity Ratio 5.82%
Daily Return % 0.1884%
Average Monthly Return % 4.03%
Daily Geometric Return % 0.1259%
Daily Standard Deviation % 1.59%
Annualized Daily StandDev % 25.76%
Monthly Standard Deviation % 6.19%
Annualized Monthly StandDev % 21.43%
Daily Downside Deviation % 1.01%
Daily Sharpe Ratio 0.113
Daily Geo Sharpe Ratio 0.074
Modified Sharpe Ratio 2.26
Annual Sharpe Ratio 0.97
Monthly Sharpe Ratio 0.61
Robust Sharpe Ratio 2.21
Daily Sortino Ratio 0.178
Annual Sortino Ratio + ∞  
Monthly Sortino Ratio 2.09
Calmar Ratio 5.8
Maximum Total Equity Drawdown % 20.05%
Longest Total Equity Drawdown (months) 6.41
Average Max TE Drawdown % 11.43%
Average Max TE Drawdown Length (months) 3
Maximum Monthly Total Equity Drawdown % 10.06%
Maximum Monthly Closed Equity Drawdown % 10.06%
Maximum Closed Equity Drawdown % 16.05%
Average Closed Equity Drawdown % 1.5%
Round Turns Per Million 1038
Round Turns 79
Total Trades 77
Start Account Balance 20000
Total Win Dollars 60913.73
Total Loss Dollars 29471.89
Total Profit 31441.84
Earned Interest 0
Margin Interest 0
End Closed Equity 51441.84
End Open Equity 0
End Total Equity 51441.84
Highest Total Equity 51911.84
Highest Closed Equity 51911.84
Total Commissions 790
Commission per Round Turn 10
Total Slippage 4198.16
Slippage per Round Turn 53.14
Total Forex Carry 0
Total Dividends 0
Total Other Expenses 0
Fees Incentive Accrued 0
Fees Management Accrued 0
Fees Incentive Total 0
Fees Management Total 0
Capital Adds Draws Total 0

Win/Loss Statistics

Wins 55 (71.4%)
Losses 22 (28.6%)
Total 77 (100%)
Winning Months 18 (72%)
Losing Months 7 (28%)
Total 25 (100%)
Average Risk Percent 6.48%
Average Win Percent 3.13%
Average Loss Percent 3.28%
Average Win Dollars 1107.52
Average Loss Dollars 1339.63
Average Trade Percent 1.3%
Average Trade Duration 4.04
Average Trade Dollars 408.34
Profit Factor 2.07
Percent Profit Factor 2.38
Expectation 0.2

Equity Management

Test Starting Equity 20000
Order Generation Equity 0
Order Generation Equity High 0
Leverage (fraction) 1
Trading Equity Base Total Equity
Drawdown Reduction Threshold (%) 0%
Drawdown Reduction Amount (%) 0%

Global Simulation Parameters

Earn Interest FALSE
Slippage Percent 5%
Minimum Slippage 15
Max Percent Volume Per Trade 100%
Max Margin Equity 100%
Trade Always on Tick TRUE
Smart Fill Exit TRUE
Entry Day Retracement -1%
Use Start Date Stepping FALSE
Use Broker Positions FALSE
Thread Count 1
Walk Forward Optimization 365
Walk Forward OOS 9125
Minimum Futures Volume 0
Commission per Contract 10
Trade on Lock Days FALSE
Account for Contract Rolls TRUE
Roll Slippage in % of ATR 5%
Minimum Stock Volume 10000
Commission per Stock Trade 0
Commission per Stock Share 0.01
Commission by Stock Value (%) 0%
Sell Stock Split Remainder TRUE
Earn Dividends TRUE
Pay Margin on Stocks TRUE
Forex Trade Size 1000
Account for Forex Carry TRUE
Use Pip Based Slippage FALSE
Management Fee 0%
Management Fee Period Daily
Incentive Fee 0%
Incentive Fee Period Daily
Use Capital Adds Draws FALSE

Preferences

Risk Free Rate 3%
Load Volume TRUE
Load Unadjusted Close TRUE
Raise Negative Data FALSE
Process Weekly Bars TRUE
Process Monthly Bars TRUE
Process Daily Bars TRUE
Process Weekends TRUE
Additional Years of Data 5
 

Disclaimers

Risk Disclosures

Commodity Trading involves high risks and you can lose a significant amount of money. Commodity trading is not suitable for many investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.

CFTC-required risk disclosure for hypothetical results

Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. in fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.