Alpha Equivalence
ES, YM, NQ Long-Short Systems
Click System Links Below for More Data
Click System Links Below for More Data
Notes: Historical trades were all normalised to today’s current market prices. For the NQ we normalised trades to a recent market price of 15000. For the ES we normalised trades to a market price of 4350. For the YM we normalised trades to a market price of 35000. Futures are traded only in 1 contract increments. Normalising backtests and adjusting past trades to the current market price gives realistic dollar values per Emini contract.
Results are based on trading 1 Emini contract per trade (no compounding) and starting with an initial $100k account (this is standard inputs for representing performance). To give accurate drawdown data we assume for every new user the drawdown is from the first trade taken, so the drawdown figure is always based on $100k capital, not the historical cumulative return. Assuming the max drawdown is taken from the initial capital $100k will give a new user the very worst-case scenario.
Every user can adjust their position sizing to suit their risk profile, however, to standardise the performance we simply base this on $100k initial capital trading 1 Emini contract at the current market price.
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.
Rare days in backtesting confirm the potential to be Long/Short 8 subsystems (each NQ, ES and YM system is comprised of multiple subsystems). Users trading a fixed position size of 1 Emini contract can potentially have as an example +4 Long YM, +2 Long ES, +2 Long NQ = total Emini +8 across three different markets all at the same time on the same day (each subsystem will have separate entry times, stops and targets). If you set risk of 2% per trade on your initial capital then on the rare correlated trading days you have the potential risk of 12%.
Days with +8 Emini simultaneously are rare and have only occurred a handful of times in backtesting from 2002 to 2021. However, we do expect +4 Emini contracts in the same direction on an individual day to occur a handful of times per year (average4 times per year). Because the subsystems have different entry times, stops and targets and trading three different markets, many of these correlated trade days will not have highly correlated daily profit and loss.
Users should understand they can have more than one contract in the same direction on the same market and must take this into account when selecting their position size. Users should also take the broker margin required when selecting position size.
Every User has a different risk propensity and you should choose a portfolio consistent with your investment needs and ethos.
Past experience proves position sizing, which was controlled by the User is rarely adjusted regardless of market price, profits, volatility or drawdown. Due to the dynamic nature of market price and individual market volatility, creating a balanced portfolio for Users is difficult especially for those trading smaller accounts. Without the automated Position Sizing Bot, it is hard for passive Users to stay on top of important position size rebalancing which is frequently required on a weekly basis (notably for larger accounts). Position sizing is crucial to reducing drawdowns and getting more consistent results as opposed to larger swings in equity.
Consistent yearly performance will never be realised with fixed position sizing, outlier years e.g. 2008 will always manifest. If the volatility expands rapidly then a User trading a fixed position size will see a massive increase in dollars per trade relative to a low volatility environment. Moreover, if a user trades a fixed position size and the market price keeps increasing (e.g. Nasdaq has moved from 1000 to nearly 16000 since 2009) then the dollar value per trade will be nearly 9 times today than what it was in 2009.
Position Sizing Bot allows Users with smaller accounts to autonomously places trades on either Emini or Micro markets. If the volatility is low the system might place full position size and trade the Emini and if the volatility is high the Position Sizing Bot will autonomously reduce the size a trade the Micro markets to always remain balanced and reduce risk.
The Position Sizing Bot will put on equal bets across the three markets. Hence, why results for the AE System + Position Sizing Bot show balanced performance between the NQ, ES and YM markets. If a User was trading a fixed position size then they will find it difficult to balance their portfolio as the NQ is near twice the contract value of the YM and the NQ has higher intraday volatility – NQ dollar per trade is more than twice the dollar value per trade than the YM. The Position Sizing Bot will always trade each market based on an expected dollar value per trade and it takes volatility into account when selecting a balanced Position size to trade.
If you are an active User who wants to control their own position sizing and are ready to adjust frequently depending on volatility and market price then the position sizing bot might not be the best option.
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial. 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
Alpha Equivalence
ES, YM, NQ Long-Short Systems
Click System Links Below for More Data
Notes: Historical trades were all normalised to today’s current market prices. For the NQ we normalised trades to a recent market price of 15000. For the ES we normalised trades to a market price of 4350. For the YM we normalised trades to a market price of 35000. Futures are traded only in 1 contract increments. Normalising backtests and adjusting past trades to the current market price gives realistic dollar values per Emini contract.
Results are based on trading 1 Emini contract per trade (no compounding) and starting with an initial $100k account (this is standard inputs for representing performance). To give accurate drawdown data we assume for every new user the drawdown is from the first trade taken, so the drawdown figure is always based on $100k capital, not the historical cumulative return. Assuming the max drawdown is taken from the initial capital $100k will give a new user the very worst-case scenario.
Every user can adjust their position sizing to suit their risk profile, however, to standardise the performance we simply base this on $100k initial capital trading 1 Emini contract at the current market price.
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.
Rare days in backtesting confirm the potential to be Long/Short 8 subsystems (each NQ, ES and YM system is comprised of multiple subsystems). Users trading a fixed position size of 1 Emini contract can potentially have as an example +4 Long YM, +2 Long ES, +2 Long NQ = total Emini +8 across three different markets all at the same time on the same day (each subsystem will have separate entry times, stops and targets). If you set risk of 2% per trade on your initial capital then on the rare correlated trading days you have the potential risk of 12%.
Days with +8 Emini simultaneously are rare and have only occurred a handful of times in backtesting from 2002 to 2021. However, we do expect +4 Emini contracts in the same direction on an individual day to occur a handful of times per year (average4 times per year). Because the subsystems have different entry times, stops and targets and trading three different markets, many of these correlated trade days will not have highly correlated daily profit and loss.
Users should understand they can have more than one contract in the same direction on the same market and must take this into account when selecting their position size. Users should also take the broker margin required when selecting position size.
Every User has a different risk propensity and you should choose a portfolio consistent with your investment needs and ethos.
Past experience proves position sizing, which was controlled by the User is rarely adjusted regardless of market price, profits, volatility or drawdown. Due to the dynamic nature of market price and individual market volatility, creating a balanced portfolio for Users is difficult especially for those trading smaller accounts. Without the automated Position Sizing Bot, it is hard for passive Users to stay on top of important position size rebalancing which is frequently required on a weekly basis (notably for larger accounts). Position sizing is crucial to reducing drawdowns and getting more consistent results as opposed to larger swings in equity.
Consistent yearly performance will never be realised with fixed position sizing, outlier years e.g. 2008 will always manifest. If the volatility expands rapidly then a User trading a fixed position size will see a massive increase in dollars per trade relative to a low volatility environment. Moreover, if a user trades a fixed position size and the market price keeps increasing (e.g. Nasdaq has moved from 1000 to nearly 16000 since 2009) then the dollar value per trade will be nearly 9 times today than what it was in 2009.
Position Sizing Bot allows Users with smaller accounts to autonomously places trades on either Emini or Micro markets. If the volatility is low the system might place full position size and trade the Emini and if the volatility is high the Position Sizing Bot will autonomously reduce the size a trade the Micro markets to always remain balanced and reduce risk.
The Position Sizing Bot will put on equal bets across the three markets. Hence, why results for the AE System + Position Sizing Bot show balanced performance between the NQ, ES and YM markets. If a User was trading a fixed position size then they will find it difficult to balance their portfolio as the NQ is near twice the contract value of the YM and the NQ has higher intraday volatility – NQ dollar per trade is more than twice the dollar value per trade than the YM. The Position Sizing Bot will always trade each market based on an expected dollar value per trade and it takes volatility into account when selecting a balanced Position size to trade.
If you are an active User who wants to control their own position sizing and are ready to adjust frequently depending on volatility and market price then the position sizing bot might not be the best option.
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial. 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
Trade all three systems with a minimum account value of $25k (smaller accounts will trade Micro contracts, each Micro contract is 1/10th size of Emini contract). Recommendation to all users is to trade a minimum of $125k per Emini contract ($12.5k per Micro). You will get multiple systems trades in a day simultaneously across markets and you can have +8 long or -8 short on a single day.
Trading all three systems will produce many correlated trades with a higher correlation between YM and ES trades relative to the NQ market. Tests exhibit running systems on all markets even with simultaneous correlated trades generates smoother long term performance and more consistent monthly gains. The number of trades per month will be much higher than in previous portfolios. Users should trade smaller size per trade e.g. 1% or 2% risk per trade (you can have multiple long and short trade on at the same time). Users must respect you might have eight correlated positions on a single day (so the combined risk for a user risking 1% per trade will be 8% for that particular day, those days are very rare). Every system still operates independently and all have different entries and targets.
Without a position sizing bot users will need to adjust their position size relative to their own risk propensity, risk profile, market price or volatility. Users should not trade this portfolio with a fixed position size of 1 NQ, 1 ES, 1 YM as the NQ is a more volatile market and the daily dollar range per Emini/Micro is almost double that of the YM. The Position Sizing Calculator can give guidance on position size recommendations.
YEAR-TO-DATE
+ 82.4%
2020 Return +349.5%
Monthly Performance %
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.
Account & Fees
Trading
Net % Profit Per System
Drawdown % Per System
Summary
We affirm running a portfolio of systems across three Futures Index markets increases odds for successful performance. 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 yealy % gain is two times max historical drawdown.
Position Size Guidance
Historical drawdown on $100k initial account assuming drawdown occurs from 1st trade made is -57%, therefore, users should trade a position size they are comfortable with ( lower levels of leverage e.g more capital per contract traded will generate smaller drawdown). Most users are willing to risk half of the average yearly gain ($246,595 – this figure is skewed because of exceptional backtest performance during the 2008 market crash) relative to the max historical drawdown. Average yearly gain excluding 2008 = $211,865). If the User is not prepared for a -$57k drawdown per Emini on an initial $100k account then guidance would be to trade 1 Emini contract for every $125k or even more depending on your risk tolerance (1 Micro contract for every $15k).
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 multiple long positions at one time. Trading multiple systems simultaneously improve performance and odds increase for monthly consistency. An individual has multiple subsystems packed into the portfolio and you can have on very rare days +8 Long or -8 Short on a single day across the three markets.
Leverage
In live trading, clients trade 2 to 5 times leverage. Clients choose their own position sizing if the auto position sizing bot is not used. You can add max loss per day stop for each system.
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.
All per performance shown is backtested data only.
Trade Series Statistics
Drawdown Analysis
Top 10 Trades %
Top 10 Trades $
Trade all three systems with a minimum account value of $25k (smaller accounts will trade Micro contracts, each Micro contract is 1/10th size of Emini contract). Recommendation to all users is to trade a minimum of $125k per Emini contract ($12.5k per Micro). You will get multiple systems trades in a day simultaneously across markets and you can have +8 long or -8 short on a single day.
Trading all three systems will produce many correlated trades with a higher correlation between YM and ES trades relative to the NQ market. Tests exhibit running systems on all markets even with simultaneous correlated trades generates smoother long term performance and more consistent monthly gains. The number of trades per month will be much higher than in previous portfolios. Users should trade smaller size per trade e.g. 1% or 2% risk per trade (you can have multiple long and short trade on at the same time). Users must respect you might have eight correlated positions on a single day (so the combined risk for a user risking 1% per trade will be 8% for that particular day, those days are very rare). Every system still operates independently and all have different entries and targets.
Without a position sizing bot users will need to adjust their position size relative to their own risk propensity, risk profile, market price or volatility. Users should not trade this portfolio with a fixed position size of 1 NQ, 1 ES, 1 YM as the NQ is a more volatile market and the daily dollar range per Emini/Micro is almost double that of the YM. The Position Sizing Calculator can give guidance on position size recommendations.
YEAR-TO-DATE
+ 82.4%
2020 Return +349.5%
Monthly Performance %
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.
Account & Fees
Trading
Net % Profit Per System
Drawdown % Per System
Summary
We affirm running a portfolio of systems across three Futures Index markets increases odds for successful performance. 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 yealy % gain is two times max historical drawdown.
Position Size Guidance
Historical drawdown on $100k initial account assuming drawdown occurs from 1st trade made is -57%, therefore, users should trade a position size they are comfortable with ( lower levels of leverage e.g more capital per contract traded will generate smaller drawdown). Most users are willing to risk half of the average yearly gain ($246,595 – this figure is skewed because of exceptional backtest performance during the 2008 market crash) relative to the max historical drawdown. Average yearly gain excluding 2008 = $211,865). If the User is not prepared for a -$57k drawdown per Emini on an initial $100k account then guidance would be to trade 1 Emini contract for every $125k or even more depending on your risk tolerance (1 Micro contract for every $15k).
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 multiple long positions at one time. Trading multiple systems simultaneously improve performance and odds increase for monthly consistency. An individual has multiple subsystems packed into the portfolio and you can have on very rare days +8 Long or -8 Short on a single day across the three markets.
Leverage
In live trading, clients trade 2 to 5 times leverage. Clients choose their own position sizing if the auto position sizing bot is not used. You can add max loss per day stop for each system.
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.
All per performance shown is backtested data only.
Trade Series Statistics
Drawdown Analysis
Top 10 Trades %
Top 10 Trades $
Use the position sizing bot which will autonomously adjust your 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 decrease volatile performance and reduce 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.
Trade all three systems with a minimum account value of $20k (smaller accounts will trade Micro contracts, each Micro contract is 1/10th size of Emini contract). Recommendation to all users is to trade a maximum of $125k per Emini contract ($12.5k per Micro). You will get multiple systems trades in a day simultaneously across markets and you can have +8 long or -8 short on a single day.
Position Sizing Bot backtests settings: Initial Capital: $100k. Risk per Trade: 2%
YEAR-TO-DATE
+ 57.2%
2020 Return +119.5%
Monthly Performance %
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.
Account & Fees
Trading
Net % Profit Per System
Drawdown % Per System
Summary
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.
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.
All per performance shown is backtested data only.
Trade Series Statistics
Drawdown Analysis
Top 10 Trades %
Top 10 Trades $
Use the position sizing bot which will autonomously adjust your 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 decrease volatile performance and reduce 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.
Trade all three systems with a minimum account value of $20k (smaller accounts will trade Micro contracts, each Micro contract is 1/10th size of Emini contract). Recommendation to all users is to trade a maximum of $125k per Emini contract ($12.5k per Micro). You will get multiple systems trades in a day simultaneously across markets and you can have +8 long or -8 short on a single day.
Position Sizing Bot backtests settings: Initial Capital: $100k. Risk per Trade: 2%
YEAR-TO-DATE
+ 57.2%
2020 Return +119.5%
Monthly Performance %
Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.
Account & Fees
Trading
Net % Profit Per System
Drawdown % Per System
Summary
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.
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.
All per performance shown is backtested data only.
Trade Series Statistics
Drawdown Analysis
Top 10 Trades %
Top 10 Trades $
Trade the NQ system with a minimum account value of $15k (smaller accounts will trade Micro contracts, each Micro contract is 1/10th size of Emini contract). Recommendation to all users is to trade a maximum of $100k per Emini contract ($10k per Micro). The NQ is a volatile market and you will get multiple trades per day.