CME Milk Futures Trading System

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

Stepped Parameter Summary Performance

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

Yearly Performance Summary

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

Instrument Performance Summary

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

Trading Performance CAGR % 7.39% MAR Ratio 1.23 RAR % 7.07% R-Squared 0.971 R-Cubed 1.34 Avg Margin to Equity Ratio 1.49% Daily Return % 0.0280% Average Monthly Return % 0.6106% Daily Geometric Return % 0.0195% Daily Standard Deviation % 0.37% Annualized Daily StandDev % 6.04% Monthly Standard Deviation % 1.88% Annualized Monthly StandDev % 6.50% Daily Downside Deviation % 0.24% Daily Sharpe Ratio 0.075 Daily Geo Sharpe Ratio 0.052 Modified Sharpe Ratio 1.13 Annual Sharpe Ratio 1.19 Monthly Sharpe Ratio 0.33 Robust Sharpe Ratio 1.09 Daily Sortino Ratio 0.117 Annual Sortino Ratio 46.94 Monthly Sortino Ratio 0.80 Calmar Ratio 1.76 Maximum Total Equity Drawdown % 6.01% Longest Total Equity Drawdown (months) 23.26 Average Max TE Drawdown % 5.00% Average Max TE Drawdown Length (months) 12.64 Maximum Monthly Total Equity Drawdown % 4.19% Maximum Monthly Closed Equity Drawdown % 3.33% Maximum Closed Equity Drawdown % 3.39% Average Closed Equity Drawdown % 0.95% Round Turns Per Million 109 Round Turns 182 Total Trades 86 Start Account Balance 100,000.00 Total Win Dollars 168,603.02 Total Loss Dollars 48,932.93 Total Profit 119,670.09 Earned Interest 0.00 Margin Interest 0.00 End Closed Equity 219,670.09 End Open Equity 0.00 End Total Equity 219,670.09 Highest Total Equity 222,063.47 Highest Closed Equity 220,184.55 Total Commissions 1,820.00 Commission per Round Turn 10.00 Total Slippage 1,269.91 Slippage per Round Turn 6.98 Total Forex Carry 0.00 Total Dividends 0.00 Total Other Expenses 0.00 Fees Incentive Accrued 0.00 Fees Management Accrued 0.00 Fees Incentive Total 0.00 Fees Management Total 0.00 Capital Adds Draws Total 0.00

Win/Loss Statistics Wins 46 53.5% Losses 40 46.5% Total 86 100.0% Winning Months 79 59.4% Losing Months 54 40.6% Total 133 100.0% Average Risk Percent 1.57% Average Win Percent 2.47% Average Loss Percent 0.78% Win/Loss Percent Ratio 3.17 Average Win Dollars 3,665.28 Average Loss Dollars 1,223.32 Win/Loss Dollars Ratio 3.00 Average Trade Percent 0.96% Average Trade Duration 31.13 Average Trade Dollars 1,391.51 Profit Factor 3.45 Percent Profit Factor 3.64 Expectation 0.61   Equity Management Test Starting Equity 100,000.00 Order Generation Equity 0.00 Order Generation Equity High 0.00 Leverage (fraction) 1.00000000 Trading Equity Base Total Equity Drawdown Reduction Threshold (%) 0.00% Drawdown Reduction Amount (%) 0.00%   Global Simulation Parameters Earn Interest False Slippage Percent 0.00% Minimum Futures Slippage 0.00 Max Percent Volume Per Trade 0.00% Max Margin Equity 100.00% Trade Always on Tick True Smart Fill Exit True Entry Day Retracement -1.00% Max Units 1 Use Broker Positions False Thread Count 1 Walk Forward Optimization 365 Walk Forward OOS 9,125 Minimum Futures Volume 0 Commission per Contract 10.00 Trade on Lock Days False Account for Contract Rolls True Roll Slippage in % of ATR 5.00% Minimum Stock Volume 10,000 Commission per Stock Trade 0.00 Commission per Stock Share 0.010 Commission per Forex Trade 0.00 Commission by Stock Value (%) 0.00% Sell Stock Split Remainder True Earn Dividends True Pay Margin on Stocks True Forex Trade Size 1,000.00 Account for Forex Carry True Use Pip Based Slippage False Management Fee 0.00% Management Fee Period Daily Incentive Fee 0.00% Incentive Fee Period Daily Use Capital Adds Draws True   Preferences Risk Free Rate 0.00% Load Volume True Load Unadjusted Close True Process Weekly Bars False Process Monthly Bars False Process Daily Bars False Process Weekends True Additional Years of Data 5.00

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.