Iron Ore Trading System

Market Highlight – SGX Iron Ore

Iron ore stands as the fundamental raw material in the manufacturing of steel, a versatile alloy crucial to diverse industries. Steel manifests in various forms such as rebar, plates, and hot-rolled coils, playing an integral role in construction, shipbuilding, and various manufacturing endeavors.

At the forefront of global iron ore consumption is China, serving as the principal importing nation for seaborne iron ore. Notably, key contributors to the global iron ore supply chain are countries like Australia and Brazil, recognized as major iron ore producers. This symbiotic relationship between iron ore production, global trade, and steel manufacturing underscores the pivotal role that iron ore plays in shaping international industries and infrastructure development.

In 2018, iron ore started trading on the Singapore Commodity Exchange, emerging as a robust and consistently trending market since its inclusion. The market’s appeal has grown steadily, evident in the increasing open interest and trading volume. This positive trajectory positions iron ore as a valuable addition to a trend-following systems trading portfolio.

Here we feature one of our Iron Ore breakout trading systems traded with a fixed fractional money management strategy at 2% risk per trade. For those seeking a comprehensive report or additional insights into how Iron Ore performs in conjunction with other markets exhibiting low correlation, please get in touch.

Iron Ore 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		354,448.14	354,448.14	13.43%	1.00	1.15	1.35	13.4%	13.1	34

Yearly Performance Summary

Year	Days	Closed Balance	End Total Equity	End VADI	Total Equity Gain	Gain %	# Trades
2014	365	117,748.52	117,748.52	117,748.52	17,748.52	17.7%	2
2015	365	144,620.75	144,620.75	144,620.75	26,872.23	22.8%	4
2016	366	169,903.41	169,903.41	169,903.41	25,282.65	17.5%	4
2017	365	176,194.59	179,642.59	179,642.59	9,739.18	5.7%	5
2018	365	177,497.38	177,497.38	177,497.38	-2,145.20	-1.2%	5
2019	365	205,894.11	205,894.11	205,894.11	28,396.73	16.0%	3
2020	366	260,644.65	260,644.65	260,644.65	54,750.54	26.6%	2
2021	365	325,381.54	325,381.54	325,381.54	64,736.89	24.8%	2
2022	365	343,298.72	352,448.72	352,448.72	27,067.18	8.3%	2
2023	365	363,028.14	362,392.14	362,392.14	9,943.42	2.8%	4
2024	17	354,448.14	354,448.14	354,448.14	-7,944.00	-2.2%	1

Instrument Performance Summary

Symbol	Wins	%	Losses	%	Trades	Win Months	%	Loss Months	%	Avg. Win %	Avg. Loss %	Avg. Trade %	% Profit Factor
SEF	18	52.9%	16	47.1%	34	81	66.9%	40	33.1%	10.24%	1.93%	4.51%	5.98

Test Period for parameter run 1.
First Test Date	2014-01-01
Last Test Date	2024-01-17

Trading Performance CAGR % 13.43% MAR Ratio 1.00 RAR % 14.02% R-Squared 0.942 R-Cubed 1.87 Avg Margin to Equity Ratio 3.81% Daily Return % 0.0503% Average Monthly Return % 1.1051% Daily Geometric Return % 0.0345% Daily Standard Deviation % 0.63% Annualized Daily StandDev % 10.16% Monthly Standard Deviation % 3.33% Annualized Monthly StandDev % 11.52% Daily Downside Deviation % 0.40% Daily Sharpe Ratio 0.080 Daily Geo Sharpe Ratio 0.055 Modified Sharpe Ratio 1.15 Annual Sharpe Ratio 1.35 Monthly Sharpe Ratio 0.33 Robust Sharpe Ratio 1.22 Daily Sortino Ratio 0.126 Annual Sortino Ratio 17.84 Monthly Sortino Ratio 0.72 Calmar Ratio 1.19 Maximum Total Equity Drawdown % 13.44% Longest Total Equity Drawdown (months) 13.11 Average Max TE Drawdown % 9.79% Average Max TE Drawdown Length (months) 9.19 Maximum Monthly Total Equity Drawdown % 11.28% Maximum Monthly Closed Equity Drawdown % 11.26% Maximum Closed Equity Drawdown % 11.26% Average Closed Equity Drawdown % 3.28% Round Turns Per Million 591 Round Turns 1,042 Total Trades 34 Start Account Balance 100,000.00 Total Win Dollars 309,075.65 Total Loss Dollars 54,627.51 Total Profit 254,448.14 Earned Interest 0.00 Margin Interest 0.00 End Closed Equity 354,448.14 End Open Equity 0.00 End Total Equity 354,448.14 Highest Total Equity 364,744.14 Highest Closed Equity 363,028.14 Total Commissions 10,420.00 Commission per Round Turn 10.00 Total Slippage 7,911.86 Slippage per Round Turn 7.59 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 18 52.9% Losses 16 47.1% Total 34 100.0% Winning Months 81 66.9% Losing Months 40 33.1% Total 121 100.0% Average Risk Percent 1.91% Average Win Percent 10.24% Average Loss Percent 1.93% Win/Loss Percent Ratio 5.31 Average Win Dollars 17,170.87 Average Loss Dollars 3,414.22 Win/Loss Dollars Ratio 5.03 Average Trade Percent 4.51% Average Trade Duration 93.91 Average Trade Dollars 7,483.77 Profit Factor 5.66 Percent Profit Factor 5.98 Expectation 2.36   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% 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.