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Alpha Equivalence Bot

ES, YM, NQ Long-Short Systems

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Results show backtested performance for the latest Alpha Equivalence Bot Portfolio + Position Sizing Bot.

The AE + Pos Bot has multiple trades per day. Each NQ, YM and ES system consists of many subsystems, we expect many days in which we will get correlated trades. The YM, ES and NQ can and will all go long or short on individual days. Also, you have the potential for multiple longs or shorts on individual markets all at different prices. Results below show the daily top 60 and bottom 60 trades for the entire day (the day will consist of multiple individual subsystem trades).

Monthly Results

YM BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Monthly
20210.4%-14.0%12.7%19.1%16.4%1.5%4.6%16.4%-0.1%5.2%-0.6%4.6%66.2%5.52%
20206.1%23.2%28.3%6.6%11.2%6.1%25.1%0.3%-7.1%17.9%-3.5%5.3%119.5%9.96%
20198.3%16.5%0.4%8.5%15.5%17.7%4.5%9.1%5.4%13.9%3.6%14.3%117.5%9.80%
201810.0%-4.9%-11.2%15.7%13.5%0.2%13.0%14.8%7.2%26.9%9.4%4.8%99.6%8.30%
2017-6.1%4.0%-3.2%9.7%6.9%0.0%9.3%7.9%-0.8%3.1%9.2%-4.9%35.0%2.92%
201619.2%8.5%18.7%4.6%11.3%0.1%-6.7%-1.6%16.2%-9.4%17.4%3.2%81.5%6.80%
20158.9%20.9%5.1%17.2%5.5%6.3%6.5%0.1%18.0%12.5%3.4%-1.5%103.1%8.59%
20149.1%26.0%2.2%15.7%19.8%4.0%9.7%18.2%-3.3%12.2%10.3%3.7%127.6%10.64%
201322.7%15.3%0.0%5.0%4.7%10.5%-8.4%-2.5%3.6%23.7%9.7%-4.3%79.9%6.66%
2012-2.5%0.5%13.8%-3.6%-3.0%17.6%4.3%-2.1%1.0%8.4%19.5%9.6%63.4%5.29%
2011-3.7%8.4%12.2%-1.1%7.9%4.3%6.2%35.4%-8.9%22.2%11.2%11.7%106.0%8.83%
2010-3.4%-0.7%12.6%-7.1%15.2%5.5%10.7%9.8%17.1%10.2%13.0%13.6%96.5%8.04%
20095.9%19.7%17.8%6.4%15.6%-12.0%20.9%2.6%21.3%11.4%7.9%-12.2%105.3%8.77%
2008-0.9%-7.1%20.8%30.2%3.9%15.8%17.7%-7.5%21.0%29.7%37.4%16.1%177.1%14.76%
20074.1%9.8%13.2%16.2%9.8%22.7%15.9%22.2%-1.7%2.7%33.5%7.6%156.0%13.00%
20062.4%3.5%13.4%5.3%-9.2%8.3%18.0%5.7%11.1%-12.4%12.6%-0.6%58.0%4.84%
20056.1%5.0%10.9%20.5%17.6%4.6%0.2%-5.1%-7.9%-2.5%-1.9%-1.7%45.8%3.81%
2004-0.6%-7.8%7.1%6.3%15.6%4.1%3.7%8.8%-2.5%-2.4%5.2%13.7%51.2%4.27%
200321.4%34.7%6.3%9.1%2.9%4.0%23.0%23.2%5.5%11.4%7.3%14.8%163.5%13.62%
20023.6%14.4%1.3%13.3%4.6%25.4%0.7%-3.3%11.8%2.6%-3.2%18.1%89.3%7.44%

Drawdown Data

Max Drawdown %Max Drawdown DateStartedRecoveredDays
-33.21%13/10/200523/09/200505/04/2006139
-28.16%11/03/200428/01/200413/05/200477
-26.10%18/02/201003/12/200922/05/2010122
-20.93%03/11/200604/10/200602/12/200643
-17.82%18/05/201213/04/201207/06/201240
-17.39%21/11/200231/10/200218/12/200235
-17.24%08/06/200630/05/200612/07/200632
-17.23%18/10/200421/09/200408/12/200457
-15.72%08/09/200827/08/200830/09/200825
-15.62%17/09/200205/08/200228/09/200240

Top 10 Individual Trades %

Top 10 Largest Wins %DateTop 10 Largest Losses %Date
7.01%01/12/2008-4.08%21/03/2017
5.94%25/02/2013-4.07%27/07/2017
5.93%10/10/2018-4.07%07/11/2013
5.50%29/01/2002-4.02%17/08/2017
5.34%01/12/2008-3.64%05/07/2006
5.27%13/11/2013-3.60%12/05/2004
4.97%25/03/2015-3.38%25/02/2013
4.77%25/02/2013-3.18%07/04/2003
4.75%25/02/2020-2.96%13/03/2018
4.72%13/11/2008-2.79%11/06/2020

Top 10 Individual Trades $

Top 10 Largest Wins $DateTop 10 Largest Losses $Date
$7,008.07 01/12/2008 $-4,081.28 21/03/2017
$5,944.83 25/02/2013 $-4,072.27 27/07/2017
$5,930.37 10/10/2018 $-4,071.66 07/11/2013
$5,497.79 29/01/2002 $-4,019.44 17/08/2017
$5,336.35 01/12/2008 $-3,636.83 05/07/2006
$5,269.41 13/11/2013 $-3,595.10 12/05/2004
$4,970.65 25/03/2015 $-3,375.96 25/02/2013
$4,772.72 25/02/2013 $-3,176.08 07/04/2003
$4,750.98 25/02/2020 $-2,959.02 13/03/2018
$4,721.96 13/11/2008 $-2,785.31 11/06/2020

Top 60 Days % (multiple trades per day)

Top 60 Wins Per Day %DateBottom 60 Losses Per Day %Date
16.74%01/12/2008-10.45%21/03/2017
12.23%24/10/2018-9.67%04/05/2018
12.08%04/08/2011-8.28%10/01/2008
11.97%23/02/2009-8.25%30/11/2005
11.58%07/07/2009-8.24%25/09/2020
11.52%21/02/2003-8.21%13/03/2018
11.39%25/02/2020-8.05%10/04/2012
10.96%06/05/2010-7.87%04/10/2006
10.43%25/07/2003-7.70%13/12/2012
10.07%28/11/2012-7.67%30/06/2009
9.77%01/07/2003-7.56%03/12/2009
9.52%13/11/2008-7.40%24/07/2013
9.50%16/08/2007-7.11%03/12/2015
9.38%06/06/2012-6.93%17/08/2017
9.29%31/01/2020-6.91%19/12/2011
9.23%18/10/2011-6.86%11/02/2011
9.22%19/03/2004-6.77%22/05/2013
9.08%30/07/2020-6.69%10/05/2007
8.94%09/12/2002-6.66%25/02/2008
8.84%25/02/2013-6.64%03/01/2005
8.46%10/10/2002-6.61%10/07/2012
8.16%10/12/2014-6.54%23/03/2018
8.13%07/05/2019-6.43%21/05/2002
8.10%29/09/2008-6.40%18/10/2019
8.10%09/10/2014-6.39%24/02/2021
8.08%12/07/2007-6.37%02/01/2008
8.06%02/02/2015-6.28%24/08/2012
7.98%24/07/2012-6.26%27/08/2013
7.97%28/04/2015-6.21%07/11/2013
7.82%03/10/2019-6.11%30/08/2004
7.77%18/09/2020-6.01%28/01/2004
7.76%02/12/2019-6.00%03/02/2009
7.71%23/10/2008-6.00%02/12/2015
7.64%16/04/2008-5.99%18/05/2011
7.64%02/01/2003-5.96%30/01/2009
7.56%03/02/2014-5.82%20/11/2002
7.48%10/10/2018-5.82%20/11/2019
7.42%16/05/2007-5.76%27/03/2019
7.34%01/04/2008-5.72%31/12/2014
7.20%03/01/2006-5.58%07/03/2003
7.11%05/08/2003-5.55%27/07/2017
7.07%10/03/2003-5.50%23/09/2005
6.92%24/06/2002-5.49%05/03/2018
6.88%22/10/2020-5.44%12/05/2008
6.84%20/07/2020-5.19%13/03/2007
6.81%12/01/2005-5.16%04/01/2005
6.80%17/09/2008-5.13%21/10/2002
6.78%10/04/2014-5.08%30/06/2016
6.77%08/10/2014-5.07%17/10/2006
6.73%30/10/2009-5.06%17/05/2017
6.66%07/07/2010-5.01%23/02/2016
6.63%13/03/2003-4.98%07/04/2006
6.61%27/02/2019-4.95%28/07/2015
6.55%19/11/2008-4.87%25/10/2012
6.52%25/05/2004-4.85%09/02/2005
6.50%02/04/2018-4.84%29/07/2010
6.49%21/12/2020-4.83%27/11/2018
6.48%11/05/2017-4.83%07/12/2006
6.47%03/08/2007-4.82%04/10/2005
6.45%29/12/2008-4.78%03/09/2020

Top 60 Days $ (multiple trades per day)

Top 60 Wins Per Day $DateBottom 60 Losses Per Day $Date
$16,74001/12/2008-$10,45321/03/2017
$12,23324/10/2018-$9,67404/05/2018
$12,07704/08/2011-$8,28010/01/2008
$11,97523/02/2009-$8,25430/11/2005
$11,57607/07/2009-$8,23925/09/2020
$11,51821/02/2003-$8,21013/03/2018
$11,38525/02/2020-$8,05510/04/2012
$10,96306/05/2010-$7,86504/10/2006
$10,43225/07/2003-$7,69813/12/2012
$10,06828/11/2012-$7,66830/06/2009
$9,77001/07/2003-$7,55703/12/2009
$9,51913/11/2008-$7,39624/07/2013
$9,49916/08/2007-$7,10703/12/2015
$9,38106/06/2012-$6,93017/08/2017
$9,29131/01/2020-$6,91419/12/2011
$9,22818/10/2011-$6,85711/02/2011
$9,21719/03/2004-$6,76822/05/2013
$9,08230/07/2020-$6,68810/05/2007
$8,93709/12/2002-$6,65725/02/2008
$8,83625/02/2013-$6,63803/01/2005
$8,46210/10/2002-$6,60910/07/2012
$8,16010/12/2014-$6,54223/03/2018
$8,12607/05/2019-$6,43121/05/2002
$8,10129/09/2008-$6,40518/10/2019
$8,09709/10/2014-$6,38824/02/2021
$8,07512/07/2007-$6,37202/01/2008
$8,06202/02/2015-$6,28124/08/2012
$7,98224/07/2012-$6,26027/08/2013
$7,96928/04/2015-$6,21507/11/2013
$7,82403/10/2019-$6,11430/08/2004
$7,77018/09/2020-$6,01528/01/2004
$7,76102/12/2019-$6,00503/02/2009
$7,70923/10/2008-$5,99602/12/2015
$7,64116/04/2008-$5,98618/05/2011
$7,63902/01/2003-$5,96430/01/2009
$7,55703/02/2014-$5,82520/11/2002
$7,47610/10/2018-$5,82520/11/2019
$7,42416/05/2007-$5,76227/03/2019
$7,34001/04/2008-$5,72531/12/2014
$7,20003/01/2006-$5,58007/03/2003
$7,11005/08/2003-$5,54927/07/2017
$7,07410/03/2003-$5,50123/09/2005
$6,91624/06/2002-$5,49005/03/2018
$6,88222/10/2020-$5,44212/05/2008
$6,84420/07/2020-$5,19513/03/2007
$6,81112/01/2005-$5,16004/01/2005
$6,80317/09/2008-$5,12721/10/2002
$6,77810/04/2014-$5,07930/06/2016
$6,77308/10/2014-$5,06717/10/2006
$6,72930/10/2009-$5,05817/05/2017
$6,66307/07/2010-$5,01023/02/2016
$6,63213/03/2003-$4,98107/04/2006
$6,60527/02/2019-$4,94528/07/2015
$6,55219/11/2008-$4,87225/10/2012
$6,52125/05/2004-$4,84809/02/2005
$6,50002/04/2018-$4,84129/07/2010
$6,49021/12/2020-$4,82927/11/2018
$6,48511/05/2017-$4,82607/12/2006
$6,47403/08/2007-$4,81504/10/2005
$6,44829/12/2008-$4,78203/09/2020

Position Sizing Bot

Alpha Equivalence Bot autonomously adjusts the position size relative to market price and volatility. The position sizing bot will keep the expected value per trade across the different markets equal. The position sizing bot will lower the risk and reduce the depth of drawdowns. The position sizing bot can also utilise the Emini and Micro markets simultaneously so for smaller accounts the bot will automatically choose the correct market to trade to ensure position size across markets is balanced.

Position Sizing Bot is used to smooth performance during a volatile period or rapid increase in market price. Position Sizing Bot will allow users to trade volatile markets or low range markets whilst risking an appropriate amount per trade. Position Sizing Bot will always have a lower net % profits but will have a much smoother performance and greater risk-adjusted returns. There have only been 4 drawdowns greater than 20% in the testing period. Most users are more concerned with drawdown and risk-adjusted returns, a user would be happy to average 100% return with a max drawdown of -33.21% which compared to using no Position Sizing Bot (excluding outlier years) we have 159% average yearly gain with 57.7% drawdown.

Examples:

Fixed position size – 1 Emini per system for 100k capital. NQ Low volatility market with 1% range and market price 15000 = 150 NQ points = $4,000 per Emini contract. Under volatile market conditions with 2% range and market price 15000 = 300 NQ points = $6,000 per Emini contract. When the market themes shifts from low volatility to high volatility this tends to happen swiftly, a user trading a fixed position size will have a much higher degree of risk during a volatile period and the performance during the volatile period will be heavily weighted and reflect the bulk of long term performance.

With the same example as above with a Position Sizing Bot, the Position size will autonomously adjust to take into account volatility and market price. If a user is starting with $100k initial capital and is comfortable risking 3% per trade then they will trade 1 Emini contract with market trading in a 1% range = $3,000 per Emini contract. If volatility increases and the daily range expectation is now 2% the position sizing will autonomously adjust the position size so the user trades 5 Micro contracts on the next trade which means they will still be in line with the original $3,000 they are comfortable with risking.

Allowing multiple systems to trade simultaneously with smaller bets can reduce overall risk. Risk per day does increase and the dollar values, when normalised to today’s market price, is higher than previous portfolios, however, returns are superior and the average year % gain is two times max historical drawdown.

Position Size Guidance

Historical drawdown on $100k initial account assuming drawdown occurs from 1st trade made. Users will input their Initial Capital and % they are willing to risk per trade (keep in mind we average 2.5 trades per day) and the Position Sizing Bot will autonomously adjust the position size for each individual market. The Positions Sizing Bot will also move from Emini markets to Micro markets autonomously so trades are always placed with User risk parameters.

AE Position Sizing Calculator can be used as a guide – this calculator is updated relative to volatility and market price.

Correlation

NQ, YM and ES share some correlated trades meaning you might have three long positions at one time. Trading multiple systems simultaneously improve performance and odds increase for monthly consistency. An individual has multiple systems packed into the portfolio on a very rare day you can potentially have +8 Long or -8 Short on a single day.

Leverage

In live trading, clients trade 2 to 5 times leverage. Clients choose their own Initial Capital and Risk Per Trade settings. The Position Sizing Bot can be turned on and off at any time. You can add max loss per day stop for each system.

Don’t worry about the position sizing

Position sizing bot is used to smooth performance during a volatile period or rapid increase in market price. In other words, it will allow you to trade volatile markets or low range markets whilst risking an appropriate amount per trade.

Our algorithmic trading bot will autonomously adjust position size relative to market price and volatility – so you wouldn’t have to worry about it! Simply set your initial capital and the amount of risk you require per trade e.g. 2%.

The position sizing bot can be turned on and off at any time. You can also add max loss per day stop for each system.

**Commodity Future and Trading Commission Futures 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 markets. Do not trade with money you cannot afford to lose. The past performance posted on quantsavvy.com 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

**Commodity Future and Trading Commission Futures 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 markets. Do not trade with money you cannot afford to lose. The past performance posted on quantsavvy.com is not necessarily indicative of future results.

Quant Savvy provides trading algorithms based on a computerized system. All advice is impersonal and not tailored to any specific individual’s unique situation. Quant Savvy, and its principles, are not required to register with the NFA as a CTA and are publicly claiming this exemption. Information posted online or distributed through email has NOT been reviewed by any government agencies — this includes but is not limited to back-tested reports, statements and any other marketing materials. Carefully consider this prior to purchasing our algorithms. For more information on the exemption we are claiming, please visit the NFA website: http://www.nfa.futures.org/nfa-registration/cta/index.html. If you are in need of professional advice unique to your situation, please consult with a licensed broker/CTA.

**DISCLAIMER: Commodity Futures Trading Commission Futures 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 markets. Don’t trade with money you can’t afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results. ***All returns posted on this site and in our videos is considered Backtested Trading Performance.

Backtested trading 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 backtested trading results and the actual results subsequently achieved by any particular trading program. One of the limitations of backtested trading results is that they are generally prepared with the benefit of hindsight. In addition, backtested trading does not involve financial risk, and no backtested trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or 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 backtested performance results and all of which can adversely affect actual trading 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.

Statements posted from our actual customers trading the algorithms (algos) include slippage and commission. Statements posted are not fully audited or verified and should be considered as customer testimonials. Individual results do vary. They are real statements from real people trading our algorithms on auto-pilot and as far as we know, do NOT include any discretionary trades. Tradelists posted on this site also include slippage and commission. All advice and/or suggestions given in Quant Savvy website are intended for running automated software in simulation mode only. Trading futures is not for everyone and does carry a high level of risk. All past performance shown is backtested data only.
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Coronavirus

Sharp Market Collapse – S&P -35.5%

The COVID-19 outbreak caused supply disruptions, leading to the fastest U.S. stock market plunge in history (and a new bear market). A record drop was seen, and the Dow Jones dropped more than 10% in a single week. Peak to trough: 02/2020 – ongoing Worst Month: 01/02/2020 Weakest Quarter: 1st Quarter 2020 Minimum Year: 2020
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2018 Global Downturn

Extreme Shortlived Volatility – S&P -20.2%

The S&P 500 peaked at 2930 on Sep 20 and dropped 19.73% to 2351 by Xmas Eve. The DJIA falls 18.78% during the same period. Shanghai Composite dropped to a four-year low, escalating its economic downturn since 2015 recession. Peak to trough: 09/2018 – 12/2018, Worst Month: 01/12/2018, Weakest Quarter: 4th Quarter 2018, Worst Year: 2018
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2015-16 Stocks Selloff

Minor Correction – S&P -15.2%

The Dow fell 588 points during a two-day period, 1,300 points from Aug 18–21. Aug 24, world markets were down substantially, wiping out all gains made in 2015, with interlinked drops in oil, which hit a six-year price low, copper, and most of Asian currencies. Peak to trough: 05/2015 – 02/2016 Worst Month: 01/01/2016 Weakest Quarter: 3rd Quarter 2015 Minimum Year: 2015
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