CME Milk Futures Trading System
Class III milk futures traded on the Chicago Mercantile Exchange (CME) represent a standardized financial contract for the future delivery of Grade A milk used in the production of cheese. These futures contracts provide a mechanism for market participants to manage and hedge against price fluctuations in the Class III milk market.
Milk futures exhibit favorable characteristics for trend following trading systems, making them attractive instruments for traders. The dynamics of the milk futures market, particularly Class III milk on the Chicago Mercantile Exchange (CME), contribute to their compatibility with trend-following strategies.
Here we feature one of our Milk Futures breakout trading systems traded with a fixed fractional money management strategy risking 2% of the account balance per trade. For those seeking a comprehensive report or additional insights into how Iron Milk performs in conjunction with other markets exhibiting low correlation, please get in touch.
TS Milk Summary Results |
Test | Ending Balance | Ending VADI | CAGR% | MAR | Modified Sharpe | Annual Sharpe | Max Total Equity DD | Longest Drawdown | # Trades | |
1 | 219,670.09 | 219,670.09 | 7.39% | 1.23 | 1.13 | 1.19 | 6.0% | 23.3 | 86 | |
Year | Days | Closed Balance | End Total Equity | End VADI | Total Equity Gain | Gain % | # Trades |
2013 | 365 | 105,634.07 | 110,474.07 | 110,474.07 | 10,474.07 | 10.5% | 7 |
2014 | 365 | 126,326.38 | 126,326.38 | 126,326.38 | 15,852.31 | 14.3% | 9 |
2015 | 365 | 123,485.52 | 127,805.52 | 127,805.52 | 1,479.14 | 1.2% | 9 |
2016 | 366 | 138,960.69 | 143,160.69 | 143,160.69 | 15,355.17 | 12.0% | 8 |
2017 | 365 | 138,879.54 | 142,399.54 | 142,399.54 | -761.15 | -0.5% | 10 |
2018 | 365 | 166,190.52 | 166,190.52 | 166,190.52 | 23,790.97 | 16.7% | 6 |
2019 | 365 | 169,918.23 | 167,758.23 | 167,758.23 | 1,567.71 | 0.9% | 8 |
2020 | 366 | 190,875.68 | 190,875.68 | 190,875.68 | 23,117.45 | 13.8% | 5 |
2021 | 365 | 193,194.50 | 195,194.50 | 195,194.50 | 4,318.83 | 2.3% | 9 |
2022 | 365 | 196,329.84 | 199,849.84 | 199,849.84 | 4,655.34 | 2.4% | 9 |
2023 | 365 | 217,515.09 | 219,935.09 | 219,935.09 | 20,085.25 | 10.1% | 5 |
2024 | 17 | 219,670.09 | 219,670.09 | 219,670.09 | -265.00 | -0.1% | 1 |
Symbol | Wins | % | Losses | % | Trades | Win Months | % | Loss Months | % | Avg. Win % | Avg. Loss % | Avg. Trade % | % Profit Factor |
DA2 | 46 | 53.5% | 40 | 46.5% | 86 | 79 | 59.4% | 54 | 40.6% | 2.47% | 0.78% | 0.96% | 3.64 |
Test Period for parameter run 1. | ||
First Test Date | 2013-01-01 | |
Last Test Date | 2024-01-17 | |
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Required Disclaimer – Commodity Futures Trading Commission: Futures and options trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don’t trade with money you can’t afford to lose. This website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. The past performance of any trading system or methodology is not necessarily indicative of future results
CFTC RULE 4.41 – HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY, SIMULATED 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 PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.