Alpha Equivalence
ES, YM, NQ Long-Short Systems


Click System Links Below for More Data

SystemQtrYTD20203 YR5 YRAll-timeMin InvProfit FactorAvg Yearly Avg Mth
All Systems Combined54.0%111.6%349.5%628.2%892.8%4603.1%-57.7%$25k1.69246.6%20.6%
Systems + Position Size Bot36.9%57.2%119.5%336.6%453.2%1933.1%-33.2%$20k1.64100.3%8.36%
Tech System NQ32.8%81.4%137.6%283%439.7%1833.8%-37.5%$15k1.6398.2%8.19%
Broad Market ES18.8%22.2%114.6%232.5%282.3%1517.2%-45.6%$15k1.8381.3%6.77%
Blue Chip YM2.44%8.0%97.3%181.5%231.3%1252.1%-28.9%$15k1.6667.1%5.59%

Recent Trades – AE – ES System + NQ System + YM system

Trade #Symbol NameTypeSignalDateEntry TimeExit TimeEntryExitContractsProfit ($)Profit (%)Runnin PnL
1NQLongNQ system101/07/202110:24:0015:15:0014474.7514536.751$1,2310.425%$1,231
2YMLongYM system406/07/202108:35:0008:40:0034654345871-$344-0.199%$887
3ES LongES system307/07/202108:46:0009:30:004345.54333.51-$609-0.280%$278
4NQLongNQ system207/07/202108:51:0015:15:0014847.7514800.251-$964-0.325%-$686
5YMLongYM system207/07/202108:40:0015:15:0034531345621$1410.082%-$545
6NQLongNQ system308/07/202108:32:0009:29:0014606.2514609.51$510.017%-$494
7ES ShortES system1 08/07/202111:13:0015:00:004313.54315.51-$129-0.060%-$623
8YMShortYM system108/07/202110:33:0015:00:0034225343151-$464-0.271%-$1,087
9NQLongNQ system108/07/202108:44:0015:15:001461614701.251$1,6910.578%$604
10YMLongYM system308/07/202113:21:0015:15:0034206342561$2410.141%$845
11NQLongNQ system309/07/202108:40:0015:05:001470114810.251$2,1760.740%$3,021
12YMLongYM system413/07/202109:05:0014:55:0034811347901-$114-0.066%$2,907
13ES LongES system513/07/202112:42:0015:10:004365.754361.51-$227-0.104%$2,680
14YMLongYM system613/07/202109:06:0015:10:0034767347851$760.044%$2,756
15NQLongNQ system113/07/202108:44:0015:15:0014863148691$1060.036%$2,862
16ES LongES system514/07/202110:46:0015:10:004359.2543701$5230.240%$3,386
17ES LongES system514/07/202110:29:0015:15:004365.254370.251$2330.107%$3,619
18YMLongYM system214/07/202108:40:0015:15:0034901348301-$369-0.211%$3,250
19NQLongNQ system115/07/202109:49:0010:04:0014772.25147611-$234-0.079%$3,016
20YMShortYM system115/07/202112:45:0014:21:0034742348451-$529-0.305%$2,487
21YMShortYM system515/07/202108:48:0015:12:0034686348481-$824-0.475%$1,663
22ES LongES system515/07/202112:16:0015:15:004343.254347.751$1960.090%$1,859
23ES LongES system215/07/202112:36:0015:15:004338.754347.751$4410.203%$2,300
24NQLongNQ system316/07/202108:40:0014:05:0014864.514688.751-$3,529-1.187%-$1,229
25ES LongES system216/07/202113:36:0015:15:004328.2543151-$672-0.310%-$1,901
26NQShortNQ system419/07/202111:03:0012:34:0014519.25144511$1,3560.467%-$545
27ES LongES system219/07/202108:56:0015:15:004248.254254.751$3160.149%-$229
28YMLongYM system319/07/202111:45:0015:15:0033645338801$1,1660.693%$937
29NQLongNQ system319/07/202108:32:0015:15:0014535.514556.251$4010.138%$1,338
30NQShortNQ system420/07/202108:54:0010:30:001453914672.251-$2,679-0.921%-$1,341
31NQShortNQ system421/07/202108:54:0011:18:0014719147781-$1,194-0.406%-$2,535
32NQLongNQ system121/07/202108:44:0015:15:001473914826.251$1,7310.587%-$804
33NQLongNQ system322/07/202108:40:0011:10:0014868.2514868.751-$4-0.001%-$808
34NQLongNQ system122/07/202108:44:0015:15:001487614941.51$1,2960.436%$488
35NQLongNQ system223/07/202108:51:0015:15:0014949.7515095.751$2,9060.972%$3,394
36YMLongYM system223/07/202108:40:0015:15:0034926349491$1010.058%$3,495
37YMLongYM system426/07/202108:50:0010:30:0034885349581$3560.204%$3,851
38YMLongYM system626/07/202109:18:0012:22:0034877350031$6210.356%$4,472
39YMLongYM system627/07/202108:42:0009:26:0034794349221$6310.363%$5,103
40ES LongES system527/07/202108:46:0010:42:0043924374.751-$877-0.399%$4,227
41YMShortYM system127/07/202108:53:0015:00:0034858349521-$484-0.278%$3,743
42YMLongYM system327/07/202111:17:0015:15:0034774348851$5460.314%$4,289
43NQShortNQ system428/07/202110:48:0013:01:0014997.25149421$1,0960.365%$5,385
44NQShortNQ system429/07/202111:46:0012:35:0015047.515069.251-$449-0.149%$4,936
45NQLongNQ system329/07/202108:45:0015:05:0015058.7515035.251-$479-0.159%$4,457
46ES LongES system329/07/202108:46:0015:14:004410.7544071-$197-0.089%$4,260
47YMLongYM system229/07/202108:40:0015:15:0035014350031-$69-0.039%$4,191
48ES ShortES system1 30/07/202109:19:0013:38:004397.54383.751$6710.305%$4,862
49NQLongNQ system330/07/202108:32:0014:51:0014896.25149441$9410.316%$5,803
50YMLongYM system202/08/202108:40:0009:05:0034984349841-$14-0.008%$5,789
51NQLongNQ system103/08/202109:09:0010:15:0014879.7514880.51$60.002%$5,795
52YMLongYM system403/08/202108:45:0010:45:0034744349001$7760.447%$6,571
53NQLongNQ system203/08/202108:51:0015:15:001499215039.751$9410.314%$7,512
54ES LongES system203/08/202108:58:0015:15:004370.54410.251$1,9780.905%$9,490
55YMLongYM system303/08/202108:58:0015:15:0034628349571$1,6360.945%$11,126
56ES ShortES system404/08/202108:48:0015:06:004401.2543941$3480.158%$11,475
57YMShortYM system504/08/202108:48:0015:06:0034818346851$6510.374%$12,126
58NQLongNQ system105/08/202108:44:0015:15:0015108.2515159.751$1,0160.336%$13,142
59ES LongES system306/08/202108:50:0015:10:0044294429.251$80.004%$13,150
60NQLongNQ system106/08/202108:44:0015:15:0015140.25150891-$1,039-0.343%$12,111
61ES LongES system509/08/202108:42:0013:14:00442044281$3910.177%$12,502
62YMLongYM system609/08/202108:42:0015:10:0034991350191$1260.072%$12,628
63NQShortNQ system509/08/202108:48:0015:12:0015091.2515129.751-$784-0.260%$11,844
64YMShortYM system510/08/202108:48:0009:18:0035019351551-$694-0.396%$11,150
65ES ShortES system410/08/202108:48:0014:48:004428.54428.251-$2-0.001%$11,149
66NQLongNQ system110/08/202109:31:0015:15:0015075.515039.251-$734-0.243%$10,415
67NQLongNQ system311/08/202108:40:0015:05:0015109.5150221-$1,759-0.582%$8,656
68ES LongES system512/08/202108:42:0010:42:004434.754443.251$4160.188%$9,072
69NQShortNQ system412/08/202112:04:0013:10:0015033.515057.751-$499-0.166%$8,573
70NQShortNQ system413/08/202110:08:0011:57:001510615115.51-$204-0.068%$8,369
71YMLongYM system213/08/202108:40:0013:45:0035467353931-$384-0.217%$7,985
72NQLongNQ system116/08/202108:44:0015:15:001509515131.51$7160.237%$8,701
73NQLongNQ system116/08/202109:08:0015:15:001501315134.51$2,4210.806%$11,122
74ES LongES system517/08/202109:06:0009:10:004437.7544441$3030.137%$11,425
75YMLongYM system617/08/202109:02:0009:14:0035202352991$4760.270%$11,901
76YMLongYM system417/08/202109:00:0014:10:0035221352211-$9-0.005%$11,892
77ES ShortES system417/08/202108:48:0015:12:004447.54439.251$3980.179%$12,290
78YMShortYM system517/08/202108:48:0015:12:0035263352161$2210.125%$12,511
79NQShortNQ system517/08/202108:48:0015:12:0015016.514984.51$6260.208%$13,137
80ES LongES system217/08/202111:41:0015:15:004422.254438.251$7910.358%$13,928
81YMLongYM system317/08/202111:43:0015:15:0035103352061$5060.288%$14,434
82NQShortNQ system418/08/202110:12:0011:15:0014984.7514993.251-$184-0.061%$14,250
83NQLongNQ system318/08/202108:45:0011:50:0014999.5149911-$184-0.061%$14,066
84ES ShortES system1 18/08/202109:29:0014:35:004445.254411.751$1,6580.746%$15,725
85ES ShortES system418/08/202108:48:0015:12:004434.754393.51$2,0480.924%$17,773
86YMShortYM system518/08/202108:48:0015:12:0035161348831$1,3760.783%$19,149
87YMShortYM system119/08/202109:01:0015:00:0034811348271-$94-0.054%$19,055
88ES LongES system219/08/202113:33:0015:15:004379.54405.751$1,3030.595%$20,359
89YMLongYM system319/08/202113:04:0015:15:0034740348621$6010.346%$20,960
90NQLongNQ system320/08/202108:40:0015:05:0014988.7515083.251$1,8810.627%$22,841
91NQLongNQ system323/08/202108:40:0015:05:0015149.2515306.51$3,1361.035%$25,977
92NQLongNQ system123/08/202108:44:0015:15:0015169.7515320.51$3,0010.989%$28,978
93YMLongYM system223/08/202108:40:0015:15:0035272353111$1810.103%$29,159

Normalised Trades

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.

Drawdown Calculation

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. 

    • If a system report starts with $100k and records an equity peak of 200k and then a drawdown of $50k that equates to a -25% drawdown (peak to trough). However, for a new User starting with $100k who only started trading at the exact Peak of the Equity curve then they would still experience a $50k drawdown which equates to 50% of their initial capital. Our results always show the worst-case scenario and assumption that at anytime any new user will experience the worst dollar drawdown from their initial 100k capital.

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. 

Correlation

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.

Trade size expectations

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.

Which System Should I Trade?

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.

 

    • Position Sizing Bot backtests show smaller drawdowns and smoother yearly performance. A fixed position size of 1 Emini trading the AE System with 100k capital has shown Drawdowns on separate occasions between -40% and -57.7% ten times in the backtests. If the Position Sizing Bot was utilised then backtests show only four instances of -20% to -33% with the majority of drawdowns far less than -20%.

 

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

SystemQtrYTD20203 YR5 YRAll-timeMin InvProfit FactorAvg Yearly Avg Mth
All Systems Combined54.0%111.6%349.5%628.2%892.8%4603.1%-57.7%$25k1.69246.6%20.6%
Systems + Position Size Bot36.9%57.2%119.5%336.6%453.2%1933.1%-33.2%$20k1.64100.3%8.36%
Tech System NQ32.8%81.4%137.6%283%439.7%1833.8%-37.5%$15k1.6398.2%8.19%
Broad Market ES18.8%22.2%114.6%232.5%282.3%1517.2%-45.6%$15k1.8381.3%6.77%
Blue Chip YM2.44%8.0%97.3%181.5%231.3%1252.1%-28.9%$15k1.6667.1%5.59%

Recent Trades – AE – ES System + NQ System + YM System

Trade #Symbol NameTypeSignalDateEntry TimeExit TimeEntryExitContractsProfit ($)Profit (%)Runnin PnL
1NQLongNQ system101/07/202110:24:0015:15:0014474.7514536.751$1,2310.425%$1,231
2YMLongYM system406/07/202108:35:0008:40:0034654345871-$344-0.199%$887
3ES LongES system307/07/202108:46:0009:30:004345.54333.51-$609-0.280%$278
4NQLongNQ system207/07/202108:51:0015:15:0014847.7514800.251-$964-0.325%-$686
5YMLongYM system207/07/202108:40:0015:15:0034531345621$1410.082%-$545
6NQLongNQ system308/07/202108:32:0009:29:0014606.2514609.51$510.017%-$494
7ES ShortES system1 08/07/202111:13:0015:00:004313.54315.51-$129-0.060%-$623
8YMShortYM system108/07/202110:33:0015:00:0034225343151-$464-0.271%-$1,087
9NQLongNQ system108/07/202108:44:0015:15:001461614701.251$1,6910.578%$604
10YMLongYM system308/07/202113:21:0015:15:0034206342561$2410.141%$845
11NQLongNQ system309/07/202108:40:0015:05:001470114810.251$2,1760.740%$3,021
12YMLongYM system413/07/202109:05:0014:55:0034811347901-$114-0.066%$2,907
13ES LongES system513/07/202112:42:0015:10:004365.754361.51-$227-0.104%$2,680
14YMLongYM system613/07/202109:06:0015:10:0034767347851$760.044%$2,756
15NQLongNQ system113/07/202108:44:0015:15:0014863148691$1060.036%$2,862
16ES LongES system514/07/202110:46:0015:10:004359.2543701$5230.240%$3,386
17ES LongES system514/07/202110:29:0015:15:004365.254370.251$2330.107%$3,619
18YMLongYM system214/07/202108:40:0015:15:0034901348301-$369-0.211%$3,250
19NQLongNQ system115/07/202109:49:0010:04:0014772.25147611-$234-0.079%$3,016
20YMShortYM system115/07/202112:45:0014:21:0034742348451-$529-0.305%$2,487
21YMShortYM system515/07/202108:48:0015:12:0034686348481-$824-0.475%$1,663
22ES LongES system515/07/202112:16:0015:15:004343.254347.751$1960.090%$1,859
23ES LongES system215/07/202112:36:0015:15:004338.754347.751$4410.203%$2,300
24NQLongNQ system316/07/202108:40:0014:05:0014864.514688.751-$3,529-1.187%-$1,229
25ES LongES system216/07/202113:36:0015:15:004328.2543151-$672-0.310%-$1,901
26NQShortNQ system419/07/202111:03:0012:34:0014519.25144511$1,3560.467%-$545
27ES LongES system219/07/202108:56:0015:15:004248.254254.751$3160.149%-$229
28YMLongYM system319/07/202111:45:0015:15:0033645338801$1,1660.693%$937
29NQLongNQ system319/07/202108:32:0015:15:0014535.514556.251$4010.138%$1,338
30NQShortNQ system420/07/202108:54:0010:30:001453914672.251-$2,679-0.921%-$1,341
31NQShortNQ system421/07/202108:54:0011:18:0014719147781-$1,194-0.406%-$2,535
32NQLongNQ system121/07/202108:44:0015:15:001473914826.251$1,7310.587%-$804
33NQLongNQ system322/07/202108:40:0011:10:0014868.2514868.751-$4-0.001%-$808
34NQLongNQ system122/07/202108:44:0015:15:001487614941.51$1,2960.436%$488
35NQLongNQ system223/07/202108:51:0015:15:0014949.7515095.751$2,9060.972%$3,394
36YMLongYM system223/07/202108:40:0015:15:0034926349491$1010.058%$3,495
37YMLongYM system426/07/202108:50:0010:30:0034885349581$3560.204%$3,851
38YMLongYM system626/07/202109:18:0012:22:0034877350031$6210.356%$4,472
39YMLongYM system627/07/202108:42:0009:26:0034794349221$6310.363%$5,103
40ES LongES system527/07/202108:46:0010:42:0043924374.751-$877-0.399%$4,227
41YMShortYM system127/07/202108:53:0015:00:0034858349521-$484-0.278%$3,743
42YMLongYM system327/07/202111:17:0015:15:0034774348851$5460.314%$4,289
43NQShortNQ system428/07/202110:48:0013:01:0014997.25149421$1,0960.365%$5,385
44NQShortNQ system429/07/202111:46:0012:35:0015047.515069.251-$449-0.149%$4,936
45NQLongNQ system329/07/202108:45:0015:05:0015058.7515035.251-$479-0.159%$4,457
46ES LongES system329/07/202108:46:0015:14:004410.7544071-$197-0.089%$4,260
47YMLongYM system229/07/202108:40:0015:15:0035014350031-$69-0.039%$4,191
48ES ShortES system1 30/07/202109:19:0013:38:004397.54383.751$6710.305%$4,862
49NQLongNQ system330/07/202108:32:0014:51:0014896.25149441$9410.316%$5,803
50YMLongYM system202/08/202108:40:0009:05:0034984349841-$14-0.008%$5,789
51NQLongNQ system103/08/202109:09:0010:15:0014879.7514880.51$60.002%$5,795
52YMLongYM system403/08/202108:45:0010:45:0034744349001$7760.447%$6,571
53NQLongNQ system203/08/202108:51:0015:15:001499215039.751$9410.314%$7,512
54ES LongES system203/08/202108:58:0015:15:004370.54410.251$1,9780.905%$9,490
55YMLongYM system303/08/202108:58:0015:15:0034628349571$1,6360.945%$11,126
56ES ShortES system404/08/202108:48:0015:06:004401.2543941$3480.158%$11,475
57YMShortYM system504/08/202108:48:0015:06:0034818346851$6510.374%$12,126
58NQLongNQ system105/08/202108:44:0015:15:0015108.2515159.751$1,0160.336%$13,142
59ES LongES system306/08/202108:50:0015:10:0044294429.251$80.004%$13,150
60NQLongNQ system106/08/202108:44:0015:15:0015140.25150891-$1,039-0.343%$12,111
61ES LongES system509/08/202108:42:0013:14:00442044281$3910.177%$12,502
62YMLongYM system609/08/202108:42:0015:10:0034991350191$1260.072%$12,628
63NQShortNQ system509/08/202108:48:0015:12:0015091.2515129.751-$784-0.260%$11,844
64YMShortYM system510/08/202108:48:0009:18:0035019351551-$694-0.396%$11,150
65ES ShortES system410/08/202108:48:0014:48:004428.54428.251-$2-0.001%$11,149
66NQLongNQ system110/08/202109:31:0015:15:0015075.515039.251-$734-0.243%$10,415
67NQLongNQ system311/08/202108:40:0015:05:0015109.5150221-$1,759-0.582%$8,656
68ES LongES system512/08/202108:42:0010:42:004434.754443.251$4160.188%$9,072
69NQShortNQ system412/08/202112:04:0013:10:0015033.515057.751-$499-0.166%$8,573
70NQShortNQ system413/08/202110:08:0011:57:001510615115.51-$204-0.068%$8,369
71YMLongYM system213/08/202108:40:0013:45:0035467353931-$384-0.217%$7,985
72NQLongNQ system116/08/202108:44:0015:15:001509515131.51$7160.237%$8,701
73NQLongNQ system116/08/202109:08:0015:15:001501315134.51$2,4210.806%$11,122
74ES LongES system517/08/202109:06:0009:10:004437.7544441$3030.137%$11,425
75YMLongYM system617/08/202109:02:0009:14:0035202352991$4760.270%$11,901
76YMLongYM system417/08/202109:00:0014:10:0035221352211-$9-0.005%$11,892
77ES ShortES system417/08/202108:48:0015:12:004447.54439.251$3980.179%$12,290
78YMShortYM system517/08/202108:48:0015:12:0035263352161$2210.125%$12,511
79NQShortNQ system517/08/202108:48:0015:12:0015016.514984.51$6260.208%$13,137
80ES LongES system217/08/202111:41:0015:15:004422.254438.251$7910.358%$13,928
81YMLongYM system317/08/202111:43:0015:15:0035103352061$5060.288%$14,434
82NQShortNQ system418/08/202110:12:0011:15:0014984.7514993.251-$184-0.061%$14,250
83NQLongNQ system318/08/202108:45:0011:50:0014999.5149911-$184-0.061%$14,066
84ES ShortES system1 18/08/202109:29:0014:35:004445.254411.751$1,6580.746%$15,725
85ES ShortES system418/08/202108:48:0015:12:004434.754393.51$2,0480.924%$17,773
86YMShortYM system518/08/202108:48:0015:12:0035161348831$1,3760.783%$19,149
87YMShortYM system119/08/202109:01:0015:00:0034811348271-$94-0.054%$19,055
88ES LongES system219/08/202113:33:0015:15:004379.54405.751$1,3030.595%$20,359
89YMLongYM system319/08/202113:04:0015:15:0034740348621$6010.346%$20,960
90NQLongNQ system320/08/202108:40:0015:05:0014988.7515083.251$1,8810.627%$22,841
91NQLongNQ system323/08/202108:40:0015:05:0015149.2515306.51$3,1361.035%$25,977
92NQLongNQ system123/08/202108:44:0015:15:0015169.7515320.51$3,0010.989%$28,978
93YMLongYM system223/08/202108:40:0015:15:0035272353111$1810.103%$29,159

Normalised Trades

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.

Drawdown Calculation

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. 

    • If a system report starts with $100k and records an equity peak of 200k and then a drawdown of $50k that equates to a -25% drawdown (peak to trough). However, for a new User starting with $100k who only started trading at the exact Peak of the Equity curve then they would still experience a $50k drawdown which equates to 50% of their initial capital. Our results always show the worst-case scenario and assumption that at anytime any new user will experience the worst dollar drawdown from their initial 100k capital.

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. 

Correlation

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.

Trade size expectations

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.

Which System Should I Trade?

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.

 

    • Position Sizing Bot backtests show smaller drawdowns and smoother yearly performance. A fixed position size of 1 Emini trading the AE System with 100k capital has shown Drawdowns on separate occasions between -40% and -57.7% ten times in the backtests. If the Position Sizing Bot was utilised then backtests show only four instances of -20% to -33% with the majority of drawdowns far less than -20%.

 

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

AE Portfolio FAQ

Am I eligble to shift to the new Systems? Can I trade the Chimera Bot and the new portfolio at the same time?

Existing Users can trade any new portfolio with their current subscription Position Size with no extra fees. Users can change portfolios at any time.

There is a correlation between the Chimera systems and the AE portfolio so Users cannot trade both portfolios at the same time.

Are there multiple trades per day? What is the expected daily profit / loss?

Every system can have multiple trades per day. If you were to trade only the NQ system then understand it is comprised of six subsystems that are combined and trade from one chart. The Subsystems are comprised of three Long systems and three Short systems creating a market neutral balance. . You can and will have multiple trades per day and you can have more than 1 Long Subsystem trade simultaneously.

There can be multiple trades in a day and the average gain in 2021 has been 0.77% on days in which at least one trade was placed for fixed 1 Emini contract position size (this can be skewed heavily by strong winning outliers, fat tails are expected with day trades). The average winning trade for AE Combined Systems without position sizing bot is +$1,556 and the average losing trade is -$1,135.

If I trade 1 Emini per trade and there can be mulitple trades in the same direction, will my position size exceed 1 Emini?

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.

If you set a fixed position size of 1 Emini contract because multiple systems can trade simultaneously there is the chance on very rare occasions for you to be +8, Emini Long. Because we have multiple systems with the potential of trading in the same direction simultaneously this is why we urge reducing your position size in half or more for the new portfolio relative to the previous Chimer Bot portfolios.

You recommend $125k capital per Emini daily, if you have simultaneous long positions then do I need $125k per Emini?

We advise a minimum of $125k for a setting of 1 Emini – this is just an initial daily setting, in this case, every trade placed on a single day will be 1 Emini increment. Even though at times you will have more than 1 Emini Long or Short we still recommend only $125k minimum and this will cover all trades per day. If three Long Systems place trade simultaneously you will be +3, Emini Long, at your broker and our recommendation is for $125k to cover all 3 Long positions, hence, you do not need $375k to trade 3 Emini at the same time.

We expect on average to be Long or Short with correlated trades to be +2 Emini Long or 2 Emini Short – a recommendation of $125k will suffice all trades made on the day. If your position is +2 Emini Long on a single day and you are trading 1 Emini per trade then the recommendation is still $125k for the day.

Will the Position Sizing Bot trade the same fixed size for each trade made on a single day?

The position sizing bot determines your position size per trade at the start of each day. The bot looks at the current market price, the contract value and the expected volatility and range for that day relative to your risk setting inputs. The bot will then calculate how many contracts Emini/Micro to trade per trade for that day (a new position size will be computed at the start of every new day). The User will set their initial capital input and the amount of risk they require per trade e.g. 2%. We expect on average to be 2 potential long/short correlated positions per day simultaneously so your overall risk will be 2% + 2% = 4% if you are long or short two systems.

On very rare occasions you can even have 8 long or short trades simultaneously so in that case, you will have a combined 16% risk; Users should keep in mind that even though this seems like the risk is extensive on those very rare days, the correlated simultaneous trades in the same direction will never all have the same entry times and each trade will have different stops and targets, therefore, many of the correlated trades can be a mix of winners or losers – we do not expect all simultaneous long/short positions to achieve the same profit/loss for that day.

The position sizing bot will calculate the size at the start of each day for each market and places the same fixed size for each trade for their respective market on a single day e.g. If the position sizing bot calculates based on user risk settings to trade 6 Micro contracts on the NQ, 8 Micro on the ES and 9 Micro on the YM then every NQ trade made that day will trade 6 Micro per trade, every ES trade will trade 9 Micro per trade and every YM trade will be 9 Micro per trade – the position sizing bot will not increase or decrease this daily calculated size just because a simultaneous same direction trade is being placed.

How do I choose how many contracts to trade?

Quant Savvy users trade all systems with their chosen position size e.g. 1 Emini contract for a minimum $125K initial capital. Every user chooses their own contract size based on these minimum guidelines:

  • One Micro contract is the smallest position that can be traded in Futures markets
  • The user must choose their contract sizing by themselves or turn on the Position Sizing Bot (users must understand the basics of the Position Sizing Bot and how it operates) as Quant Savvy do not manage money
  • The Position Sizing Calculator can give guidance on position size recommendations.
  • Each user has a different risk propensity, some users might trade 1 contract for $120K while others might choose to trade 1 contracts for $200K
  • We recommend a minimum of $125k per contract for full Emini contracts (for all trades made on a single day).
  • We recommend a minimum of $12.5k per contract for micro contracts (for all trades made on a single day).

If there can be multiple simultaneous positions, what is the estimated Margin Requirements?

Margin requirements will vary from broker to broker, all systems are day trade only so you will assume day trading margin. Under highly volatile market conditions many broker e.g. INteractive Brokers has been known the increase margin requirements considerably on very short notice so all Users should take this into account (using the Position Sizing Bot we would expect a decrease in the number of contracts being traded during a volatile period anyway which should allievate most margin increase concerns).

Interactive Brokers Individual accounts day trading margin is very high:

  • 1 Emini NQ: $17,723
  • 1 Emini ES: $12,838
  • 1 Emini YM: $9,598

TradeStation:

  • 1 Emini NQ: $4,400
  • 1 Emini ES: $3,300
  • 1 Emini YM: $2,613

Under very rare circumstances for a User not using the Position Sizing Bot and a fixed 1 Emini contract per trade, a day in which we have max 8 Correlated Long Positions across the three different markets can look like: 2 NQ, 2ES and 4 YM for Interactive Brokers you will need margin: $35,446 (NQ trades), $25,676 (ES  trades), $38,392 (NQ trades) = total $99,514 (we recommend $125k for 1 Emini trades in a day which should provide you with over $25k spare margin on a very rare day with 8 correlated positions).

Are the Chimera Bot Systems included in the Alpha Equivalence portoflio? What type of Systems do you deploy?

The AE bots are a total of 19 subsystems trading on the NQ, ES and YM. Some of the best performing bots from the Chimera systems have been included in the AE portfolio and have been permitted to trade more than one market e.g. the Chimera 2 NQ bot now has imperceptibly modified versions that can trade the ES and YM as well as the NQ in the new AE portfolio. There are also a number of new systems included in the portfolio.

The goal is to have many systems trading with medium to low correlation across different markets and placing trades with smaller bets. Using the Position Sizing Bot we can balance performance across different assets and trade volatile markets whilst remaining well within our defined risk parameters. With a Position Sizing Bot trading a volatile market will not induce much more stress than trading a low to moderate volatility market.

Each subsystem is striving to expose distinct market inefficiencies, some systems will target intraday trend following and others will be mean reversion or liquidity seeking. Every single subsystem has dynamic stops and targets and entry intervals.

How can I set the inputs: Initial Capital and % Risk Per Trade for the Position Sizing Bot?

The Position Sizing Calculator can give guidance on position size recommendations.

There will be a guide on your server on how to input your settings which is simply changing the inputs on the charts for the loaded systems. Alternatively, our technical support can adjust inputs for you at your request.

Overnight trading or day trading only?

Overnight trading is substantially riskier as trading a very large pooled number of contracts (large trading size) makes almost impracticable to exit positions during the very low liquidity overnight future markets. It means that if you were to exit a large position overnight, you would suffer extensive slippage on markets such as Nasdaq Futures and Dow Jones Futures.

Quant Savvy algo systems are day trading only, as holding overnight negates the initial positive expectancy on the entry and exit. The longer the trade, the more trivial the entry become and the ability to have a large trade sample is greatly diminished when creating the initial system.

System providers who display overnight systems have often never traded a large position size and often create only backtests based on highly liquid scenarios which are misleading and distorted in reality.

Who is responsible for logging inot the broker software on the server?

Only you are responsible for logging into the broker software on the server. We do not need your broker credentials, so please keep them safe and do not share them.

Market orders or Limit orders?

The current portfolio uses market orders because the number of pooled contracts is large and it would be detrimental to show this order on the visible trade book, other competing algo systems will always target large resting limit orders for liquidity purposes. There is also a tradeoff between more slippage with market orders but the guarantee of entry. Limit orders might have no slippage but you are not always certain to be filled, we have a large pooled order which would most certainly lead to partial fills for many users in most markets.

We work on a tick by tick basis and limiting slippage and fast execution is always our priority. We work on this constantly and we are monitoring every metric to ensure slippage is checked. The systems will seek liquidity and fire orders when the right liquidity conditions are met, they will attempt to achieve positive slippage in certain trades. Slippage and transaction costs are the number one reason why we don’t trade more frequently during the day session, liquidity and scalability is paramount when running a large number of pooled contracts.

On the ES you will rarely get more than 1 tick per trade and that is on over 300 lots/contracts. Someone trading 1 lot/contract with the right execution should get close to zero slippage on the ES,NQ and YM. On the NQ and YM with a large market order you might get 2 to 3 ticks slippage on entry and exit as an average over 100 trades, this is one of the challenges when trading a large contract size and not one lot/contract.

Is the AE performance live or backtested?

The AE Portfolio has only been live a couple of months. It does include the best performing systems from the Chimera portfolio which can now trade across different markets. We will continue to track the live performance over the coming months.

There will be no issues trading the portfolio from a technical standpoint and things should be a lot easier than trading the current Chimera portfolio as all NQ, ES and YM systems will trade from a single chart.

What data feeds will I need?

CBOT, CME

You can start with $15k initial capital all the way to 3 million. We will set up your systems with markets listed below relative to your account size. The user has the ultimate choice over the number of contracts traded. The Position Sizing Calculator can give guidance on position size recommendations.

No connection issues. Hosting with Quant Savvy means 99% uptime. User can log in as much or as little as he wants – everything will work flawlessly either way.

We ensure the software is working correctly every day. We monitor systems in realtime and provide numerous fail-safes to ensure no errors occur.

We set up everything. No hardware costs for the user. No internet costs or expensive monitoring software required. Simply log in and view your profits.

Anywhere. Anytime. Our users have access to their unique server 24/7. The server can easily be accessed via PC, Mac, Tablet or event Smartphone. The systems can be turned on and off when the user decides.

Speed. Servers we provide are fast with high spec. Strategic server locations – order fills latency can be less than 1 millisecond in many cases. We fire orders at high speed to ensure slippage costs are limited. The difference between precisely organised automated hardware and software execution relative to human trading is day and night.

TradeStation or Interactive Brokers

We recommend TradeStation as the best broker/software with Interactive Brokers being a close second place – both are excellent brokers with competitive commissions, the platforms are very stable and work well with automated trading systems. However, with all the broker combinations we use we find TradeStation gets superior trade fills.

Quant Savvy systems are compatible with numerous brokers, including OEC, Interactive Brokers, AMP, Tradestation, Dorman Trading, Futures Online etc.

See the list of other compatible brokers: Multicharts brokers.

You use your own broker so you have the complete day to day control over your own account. Don’t give away this control to an underperforming fund manager as they will often tie you up for a year or two; we believe every investor should have access to their money at any time!

AE Portfolio FAQ

Am I eligble to shift to the new Systems? Can I trade the Chimera Bot and the new portfolio at the same time?

Existing Users can trade any new portfolio with their current subscription Position Size with no extra fees. Users can change portfolios at any time.

There is a correlation between the Chimera systems and the AE portfolio so Users cannot trade both portfolios at the same time.

Are there multiple trades per day? What is the expected daily profit / loss?

Every system can have multiple trades per day. If you were to trade only the NQ system then understand it is comprised of six subsystems that are combined and trade from one chart. The Subsystems are comprised of three Long systems and three Short systems creating a market neutral balance. . You can and will have multiple trades per day and you can have more than 1 Long Subsystem trade simultaneously.

There can be multiple trades in a day and the average gain in 2021 has been 0.77% on days in which at least one trade was placed for fixed 1 Emini contract position size (this can be skewed heavily by strong winning outliers, fat tails are expected with day trades). The average winning trade for AE Combined Systems without position sizing bot is +$1,556 and the average losing trade is -$1,135.

If I trade 1 Emini per trade and there can be mulitple trades in the same direction, will my position size exceed 1 Emini?

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.

If you set a fixed position size of 1 Emini contract because multiple systems can trade simultaneously there is the chance on very rare occasions for you to be +8, Emini Long. Because we have multiple systems with the potential of trading in the same direction simultaneously this is why we urge reducing your position size in half or more for the new portfolio relative to the previous Chimer Bot portfolios.

You recommend $125k capital per Emini daily, if you have simultaneous long positions then do I need $125k per Emini?

We advise a minimum of $125k for a setting of 1 Emini – this is just an initial daily setting, in this case, every trade placed on a single day will be 1 Emini increment. Even though at times you will have more than 1 Emini Long or Short we still recommend only $125k minimum and this will cover all trades per day. If three Long Systems place trade simultaneously you will be +3, Emini Long, at your broker and our recommendation is for $125k to cover all 3 Long positions, hence, you do not need $375k to trade 3 Emini at the same time.

We expect on average to be Long or Short with correlated trades to be +2 Emini Long or 2 Emini Short – a recommendation of $125k will suffice all trades made on the day. If your position is +2 Emini Long on a single day and you are trading 1 Emini per trade then the recommendation is still $125k for the day.

Will the Position Sizing Bot trade the same fixed size for each trade made on a single day?

The position sizing bot determines your position size per trade at the start of each day. The bot looks at the current market price, the contract value and the expected volatility and range for that day relative to your risk setting inputs. The bot will then calculate how many contracts Emini/Micro to trade per trade for that day (a new position size will be computed at the start of every new day). The User will set their initial capital input and the amount of risk they require per trade e.g. 2%. We expect on average to be 2 potential long/short correlated positions per day simultaneously so your overall risk will be 2% + 2% = 4% if you are long or short two systems.

On very rare occasions you can even have 8 long or short trades simultaneously so in that case, you will have a combined 16% risk; Users should keep in mind that even though this seems like the risk is extensive on those very rare days, the correlated simultaneous trades in the same direction will never all have the same entry times and each trade will have different stops and targets, therefore, many of the correlated trades can be a mix of winners or losers – we do not expect all simultaneous long/short positions to achieve the same profit/loss for that day.

The position sizing bot will calculate the size at the start of each day for each market and places the same fixed size for each trade for their respective market on a single day e.g. If the position sizing bot calculates based on user risk settings to trade 6 Micro contracts on the NQ, 8 Micro on the ES and 9 Micro on the YM then every NQ trade made that day will trade 6 Micro per trade, every ES trade will trade 9 Micro per trade and every YM trade will be 9 Micro per trade – the position sizing bot will not increase or decrease this daily calculated size just because a simultaneous same direction trade is being placed.

How do I choose how many contracts to trade?

Quant Savvy users trade all systems with their chosen position size e.g. 1 Emini contract for a minimum $125K initial capital. Every user chooses their own contract size based on these minimum guidelines:

  • One Micro contract is the smallest position that can be traded in Futures markets
  • The user must choose their contract sizing by themselves or turn on the Position Sizing Bot (users must understand the basics of the Position Sizing Bot and how it operates) as Quant Savvy do not manage money
  • The Position Sizing Calculator can give guidance on position size recommendations.
  • Each user has a different risk propensity, some users might trade 1 contract for $120K while others might choose to trade 1 contracts for $200K
  • We recommend a minimum of $125k per contract for full Emini contracts (for all trades made on a single day).
  • We recommend a minimum of $12.5k per contract for micro contracts (for all trades made on a single day).

If there can be multiple simultaneous positions, what is the estimated Margin Requirements?

Margin requirements will vary from broker to broker, all systems are day trade only so you will assume day trading margin. Under highly volatile market conditions many broker e.g. INteractive Brokers has been known the increase margin requirements considerably on very short notice so all Users should take this into account (using the Position Sizing Bot we would expect a decrease in the number of contracts being traded during a volatile period anyway which should allievate most margin increase concerns).

Interactive Brokers Individual accounts day trading margin is very high:

  • 1 Emini NQ: $17,723
  • 1 Emini ES: $12,838
  • 1 Emini YM: $9,598

TradeStation:

  • 1 Emini NQ: $4,400
  • 1 Emini ES: $3,300
  • 1 Emini YM: $2,613

Under very rare circumstances for a User not using the Position Sizing Bot and a fixed 1 Emini contract per trade, a day in which we have max 8 Correlated Long Positions across the three different markets can look like: 2 NQ, 2ES and 4 YM for Interactive Brokers you will need margin: $35,446 (NQ trades), $25,676 (ES  trades), $38,392 (NQ trades) = total $99,514 (we recommend $125k for 1 Emini trades in a day which should provide you with over $25k spare margin on a very rare day with 8 correlated positions).

Are the Chimera Bot Systems included in the Alpha Equivalence portoflio?

The AE bots are a total of 19 subsystems trading on the NQ, ES and YM. Some of the best performing bots from the Chimera systems have been included in the AE portfolio and have been permitted to trade more than one market e.g. the Chimera 2 NQ bot now has imperceptibly modified versions that can trade the ES and YM as well as the NQ in the new AE portfolio. There are also a number of new systems included in the portfolio.

The goal is to have many systems trading with medium to low correlation across different markets and placing trades with smaller bets. Using the Position Sizing Bot we can balance performance across different assets and trade volatile markets whilst remaining well within our defined risk parameters. With a Position Sizing Bot trading a volatile market will not induce much more stress than trading a low to moderate volatility market.

How can I set the inputs: Initial Capital and % Risk Per Trade for the Position Sizing Bot?

The Position Sizing Calculator can give guidance on position size recommendations.

There will be a guide on your server on how to input your settings which is simply changing the inputs on the charts for the loaded systems. Alternatively, our technical support can adjust inputs for you at your request.

Overnight trading or day trading only?

Overnight trading is substantially riskier as trading a very large pooled number of contracts (large trading size) makes almost impracticable to exit positions during the very low liquidity overnight future markets. It means that if you were to exit a large position overnight, you would suffer extensive slippage on markets such as Nasdaq Futures and Dow Jones Futures.

Quant Savvy algo systems are day trading only, as holding overnight negates the initial positive expectancy on the entry and exit. The longer the trade, the more trivial the entry become and the ability to have a large trade sample is greatly diminished when creating the initial system.

System providers who display overnight systems have often never traded a large position size and often create only backtests based on highly liquid scenarios which are misleading and distorted in reality.

Who is responsible for logging inot the broker software on the server?

Only you are responsible for logging into the broker software on the server. We do not need your broker credentials, so please keep them safe and do not share them.

Market orders or Limit orders?

The current portfolio uses market orders because the number of pooled contracts is large and it would be detrimental to show this order on the visible trade book, other competing algo systems will always target large resting limit orders for liquidity purposes. There is also a tradeoff between more slippage with market orders but the guarantee of entry. Limit orders might have no slippage but you are not always certain to be filled, we have a large pooled order which would most certainly lead to partial fills for many users in most markets.

We work on a tick by tick basis and limiting slippage and fast execution is always our priority. We work on this constantly and we are monitoring every metric to ensure slippage is checked. The systems will seek liquidity and fire orders when the right liquidity conditions are met, they will attempt to achieve positive slippage in certain trades. Slippage and transaction costs are the number one reason why we don’t trade more frequently during the day session, liquidity and scalability is paramount when running a large number of pooled contracts.

On the ES you will rarely get more than 1 tick per trade and that is on over 300 lots/contracts. Someone trading 1 lot/contract with the right execution should get close to zero slippage on the ES,NQ and YM. On the NQ and YM with a large market order you might get 2 to 3 ticks slippage on entry and exit as an average over 100 trades, this is one of the challenges when trading a large contract size and not one lot/contract.

Is the AE performance live or backtested?

The AE Portfolio has only been live a couple of months. It does include the best performing systems from the Chimera portfolio which can now trade across different markets. We will continue to track the live performance over the coming months.

There will be no issues trading the portfolio from a technical standpoint and things should be a lot easier than trading the current Chimera portfolio as all NQ, ES and YM systems will trade from a single chart.

What data feeds will I need?

CBOT, CME

You can start with $15k initial capital all the way to 3 million. We will set up your systems with markets listed below relative to your account size. The user has the ultimate choice over the number of contracts traded. The Position Sizing Calculator can give guidance on position size recommendations.

No connection issues. Hosting with Quant Savvy means 99% uptime. User can log in as much or as little as he wants – everything will work flawlessly either way.

We ensure the software is working correctly every day. We monitor systems in realtime and provide numerous fail-safes to ensure no errors occur.

We set up everything. No hardware costs for the user. No internet costs or expensive monitoring software required. Simply log in and view your profits.

Anywhere. Anytime. Our users have access to their unique server 24/7. The server can easily be accessed via PC, Mac, Tablet or event Smartphone. The systems can be turned on and off when the user decides.

Speed. Servers we provide are fast with high spec. Strategic server locations – order fills latency can be less than 1 millisecond in many cases. We fire orders at high speed to ensure slippage costs are limited. The difference between precisely organised automated hardware and software execution relative to human trading is day and night.

TradeStation or Interactive Brokers

We recommend TradeStation as the best broker/software with Interactive Brokers being a close second place – both are excellent brokers with competitive commissions, the platforms are very stable and work well with automated trading systems. However, with all the broker combinations we use we find TradeStation gets superior trade fills.

Quant Savvy systems are compatible with numerous brokers, including OEC, Interactive Brokers, AMP, Tradestation, Dorman Trading, Futures Online etc.

See the list of other compatible brokers: Multicharts brokers.

You use your own broker so you have the complete day to day control over your own account. Don’t give away this control to an underperforming fund manager as they will often tie you up for a year or two; we believe every investor should have access to their money at any time!

Alpha Equivalence –  ES System + NQ System + YM System

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% 

Min Investment $25, 000
Avg. Monthly Gain 13.31%
Avg Monthly Gain $ $18,865
Worst Drawdown - 57.7%

Result Unit Size 1 Contract
Initial Capital $100,000
Trading Session Day Trading Only
Profit Factor 1.69

Monthly Performance %

AE BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Month
202111.84 -24.01 40.53 20.69 29.99 3.38 5. 95 23.20 111.69.3
202012.6947.93168.3417.2517.7214.1945.095.25-18.7030.45-0.9710.31349.529.1
201921.4011.462.858.2042.3317.437.9312.658.6524.201.738.34167.213.9
20189.67-6.94-23.7429.855.40-0.3414.1721.064.3788.6927.1152.47221.818.5
2017-2.751.780.947.732.955.528.7315.08-2.760.944.180.4742.793.6

Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.

Account & Fees

Acc
Backtest Period2002 - 2021
Initial Minimum Capital$25,000
Futures ExchangesCME, CBOT
Futures MarketsES, YM, NQ or MES, MYM, MNQ
Trading SessionDay Trading Only
Results Unit Size1 Emini Contract (no compound)
Monthy FeesNo Monthly Fees
Available ToUS and Worldwide
Base CurrencyUS Dollars
Method of OperationServer, Maintenance - No Cost
Subscription FrequencyAnnually

Trading

Acc
Trading Frequency54 Trade Per Month
Winning %55.25%
Win Loss Ratio1.23
Holding PeriodDay Trade Only
Decision- MakingSystematic 100%
Largest Losing Day-$10,482
Largest Winning Day$29,530
Avg Winning Trade$1,556
Avg Losing Trade-$1,135
Max Winners Row26
Max Losers in Row16

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.

TotalsESNQYM
Trades13089393942444906
Winners7232222722722733
Losers5857171219722173
Ratio Avg Win to Loss1.371.401.411.32
Win Percentage %55.3%56.5%53.5%55.71%
Avg Trades Month58181922
Avg Trades Year701211227263
Commission Paid $52,614 $15,834 $17,060 $19,722.12
Avg Winning Trade $1,556 $1,505 $2,097 $1,148
Avg Losing Trade $-1,135 $-1,071 $-1,486 $-868

Trade Series Statistics

Winning Series1234567891011
Number Winning Series245015991085714461313191129896240
Losing Series1234567891011
Number Losing Series2450140683248728316410057

Drawdown Analysis

Max Drawdown %Max Drawdown DateStartedRecoveredDays
-57.70%03/02/200930/01/200921/02/200916
-56.61%17/09/200222/07/200202/10/200253
-56.55%23/03/201805/03/201825/04/201838
-54.53%26/01/201011/12/200907/05/2010106
-46.17%21/11/200221/10/200210/12/200237
-45.31%04/03/200810/01/200812/03/200845
-41.69%25/02/202124/02/202118/03/202117
-40.12%13/10/200504/10/200522/11/200536
-39.98%12/09/200827/08/200818/09/200817
-39.89%11/03/200406/02/200416/04/200451

Top 10 Trades %

Top 10 Largest Wins %DateTop 10 Largest Losses %Date
29.53%13/11/2008-10.48%10/03/2009
25.78%13/11/2008-10.23%15/10/2008
21.69%09/10/2008-10.13%19/03/2020
21.16%21/11/2008-8.95%08/08/2011
21.11%21/11/2008-8.67%05/10/2011
20.30%28/10/2008-8.65%10/11/2008
19.93%28/10/2008-8.38%29/09/2008
18.80%09/10/2008-8.36%23/01/2008
18.48%07/10/2008-8.22%07/04/2003
17.69%07/10/2008-8.21%30/07/2002

Top 10 Trades $

Top 10 Largest Wins $DateTop 10 Largest Losses $Date
$29,530.71 13/11/2008 $-10,482.66 10/03/2009
$25,778.76 13/11/2008 $-10,233.69 15/10/2008
$21,689.04 09/10/2008 $-10,125.88 19/03/2020
$21,155.07 21/11/2008 $-8,951.64 08/08/2011
$21,112.52 21/11/2008 $-8,669.36 05/10/2011
$20,300.70 28/10/2008 $-8,648.45 10/11/2008
$19,933.85 28/10/2008 $-8,376.63 29/09/2008
$18,795.83 09/10/2008 $-8,355.83 23/01/2008
$18,477.38 07/10/2008 $-8,221.09 07/04/2003
$17,686.90 07/10/2008 $-8,207.29 30/07/2002

Alpha Equivalence –  ES System + NQ System + YM System

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% 

Min Investment $25, 000
Avg. Monthly Gain 13.31%
Avg Monthly Gain $ $18,865
Worst Drawdown - 57.7%
Result Unit Size 1 Contract
Initial Capital $100,000
Trading Session Day Trading Only
Profit Factor 1.69

Monthly Performance %

AE BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Month
202111.84 -24.01 40.53 20.69 29.99 3.38 5. 95 23.20 111.69.3
202012.6947.93168.3417.2517.7214.1945.095.25-18.7030.45-0.9710.31349.529.1
201921.4011.462.858.2042.3317.437.9312.658.6524.201.738.34167.213.9
20189.67-6.94-23.7429.855.40-0.3414.1721.064.3788.6927.1152.47221.818.5
2017-2.751.780.947.732.955.528.7315.08-2.760.944.180.4742.793.6

Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.

Account & Fees

Acc
Backtest Period2002 - 2021
Initial Minimum Capital$25,000
Futures ExchangesCME, CBOT
Futures MarketsES, YM, NQ or MES, MYM, MNQ
Trading SessionDay Trading Only
Results Unit Size1 Emini Contract (no compound)
Monthy FeesNo Monthly Fees
Available ToUS and Worldwide
Base CurrencyUS Dollars
Method of OperationServer, Maintenance - No Cost
Subscription FrequencyAnnually

Trading

Acc
Trading Frequency54 Trade Per Month
Winning %55.25%
Win Loss Ratio1.23
Holding PeriodDay Trade Only
Decision- MakingSystematic 100%
Largest Losing Day-$10,482
Largest Winning Day$29,530
Avg Winning Trade$1,556
Avg Losing Trade-$1,135
Max Winners Row26
Max Losers in Row16

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.

TotalsESNQYM
Trades13089393942444906
Winners7232222722722733
Losers5857171219722173
Ratio Avg Win to Loss1.371.401.411.32
Win Percentage %55.3%56.5%53.5%55.71%
Avg Trades Month58181922
Avg Trades Year701211227263
Commission Paid $52,614 $15,834 $17,060 $19,722.12
Avg Winning Trade $1,556 $1,505 $2,097 $1,148
Avg Losing Trade $-1,135 $-1,071 $-1,486 $-868

Trade Series Statistics

Winning Series1234567891011
Number Winning Series245015991085714461313191129896240
Losing Series1234567891011
Number Losing Series2450140683248728316410057

Drawdown Analysis

Max Drawdown %Max Drawdown DateStartedRecoveredDays
-57.70%03/02/200930/01/200921/02/200916
-56.61%17/09/200222/07/200202/10/200253
-56.55%23/03/201805/03/201825/04/201838
-54.53%26/01/201011/12/200907/05/2010106
-46.17%21/11/200221/10/200210/12/200237
-45.31%04/03/200810/01/200812/03/200845
-41.69%25/02/202124/02/202118/03/202117
-40.12%13/10/200504/10/200522/11/200536
-39.98%12/09/200827/08/200818/09/200817
-39.89%11/03/200406/02/200416/04/200451

Top 10 Trades %

Top 10 Largest Wins %DateTop 10 Largest Losses %Date
29.53%13/11/2008-10.48%10/03/2009
25.78%13/11/2008-10.23%15/10/2008
21.69%09/10/2008-10.13%19/03/2020
21.16%21/11/2008-8.95%08/08/2011
21.11%21/11/2008-8.67%05/10/2011
20.30%28/10/2008-8.65%10/11/2008
19.93%28/10/2008-8.38%29/09/2008
18.80%09/10/2008-8.36%23/01/2008
18.48%07/10/2008-8.22%07/04/2003
17.69%07/10/2008-8.21%30/07/2002

Top 10 Trades $

Top 10 Largest Wins $DateTop 10 Largest Losses $Date
$29,530.71 13/11/2008 $-10,482.66 10/03/2009
$25,778.76 13/11/2008 $-10,233.69 15/10/2008
$21,689.04 09/10/2008 $-10,125.88 19/03/2020
$21,155.07 21/11/2008 $-8,951.64 08/08/2011
$21,112.52 21/11/2008 $-8,669.36 05/10/2011
$20,300.70 28/10/2008 $-8,648.45 10/11/2008
$19,933.85 28/10/2008 $-8,376.63 29/09/2008
$18,795.83 09/10/2008 $-8,355.83 23/01/2008
$18,477.38 07/10/2008 $-8,221.09 07/04/2003
$17,686.90 07/10/2008 $-8,207.29 30/07/2002

Position Sizing Bot + Alpha Equivalence –  ES System + NQ System + YM System

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% 

Min Investment $20, 000
Avg. Monthly Gain 8.36%
Avg Monthly Gain $ $7,923
Worst Drawdown - 33.21%

Result Unit Size Varies
Initial Capital $100,000
Trading Session Day Trading Only
Profit Factor 1.64

Monthly Performance %

Pos BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Monthly
20210.4%-14.0%12.7%19.1%16.4%1.5%4.6%16.4%57.2%7.15%
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%

Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.

Account & Fees

Acc
Backtest Period2002 - 2021
Initial Minimum Capital$20,000
Profit Factor1.64
Futures ExchangesCME, CBOT
Trading Frequency54 Trade Per Month
Futures MarketsES, YM, NQ or MES, MYM, MNQ
Decision- MakingSystematic 100%
Trading SessionDay Trading Only
Results Unit SizeVary based on Volatility + Mrkt Price
Monthy FeesNo Monthly Fees
Available ToUS and Worldwide
Base CurrencyUS Dollars
Method of OperationServer, Maintenance - No Cost
Subscription FrequencyAnnually

Trading

Acc
Winning %55.25%
Win Loss Ratio1.23
Avg. Monthly Gain8.36 %
Risk Per Trade2 %
Avg Monthly Gain $$ 7,923
Worst Drawdown-33.21 %
Largest Losing Trade-$ 4,081
Largest Winning Trade$ 7,008
Largest Losing Day-$ 10,453
Largest Winning Day$ 16,740
Avg Winning Day$ 1645.2 or 1.64 %
Avg Losing Day-$ 1312.3 or -1.31 %
Avg Winning Trade$ 784.9 or 0.78 %
Avg Losing Trade-$ 639.2 or -0.63 %

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.

TotalsESNQYM
Trades13089393942444906
Winners7232222722722733
Losers5857171219722173
Win Loss Ratio1.231.221.301.26
Win Percentage %55.3%56.5%53.52%55.71%
Avg Trades Month58181920
Avg Trades Year701211227241
Commission Paid $52,614 $15,834 $17,060 $19,722.12
Avg Winning Trade $785 $791 $830 $743
Avg Losing Trade $-639 $-650 $-638 $-632

Trade Series Statistics

Winning Series1234567891011
Number Winning Series245015991085714461313191129896240
Losing Series1234567891011
Number Losing Series2450140683248728316410057

Drawdown Analysis

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 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 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

Position Sizing Bot + Alpha Equivalence –  ES System + NQ System + YM System

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% 

Min Investment $20, 000
Avg. Monthly Gain 8.36%
Avg Monthly Gain $ $7,923
Worst Drawdown - 33.21%

Result Unit Size Varies
Initial Capital $100,000
Trading Session Day Trading Only
Profit Factor 1.64

Monthly Performance %

Pos BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Monthly
20210.4%-14.0%12.7%19.1%16.4%1.5%4.6%16.4%57.2%7.15%
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%

Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.

Account & Fees

Acc
Backtest Period2002 - 2021
Initial Minimum Capital$20,000
Profit Factor1.64
Futures ExchangesCME, CBOT
Trading Frequency54 Trade Per Month
Futures MarketsES, YM, NQ or MES, MYM, MNQ
Decision- MakingSystematic 100%
Trading SessionDay Trading Only
Results Unit SizeVary based on Volatility + Mrkt Price
Monthy FeesNo Monthly Fees
Available ToUS and Worldwide
Base CurrencyUS Dollars
Method of OperationServer, Maintenance - No Cost
Subscription FrequencyAnnually

Trading

Acc
Winning %55.25%
Win Loss Ratio1.23
Avg. Monthly Gain8.36 %
Risk Per Trade2 %
Avg Monthly Gain $$ 7,923
Worst Drawdown-33.21 %
Largest Losing Trade-$ 4,081
Largest Winning Trade$ 7,008
Largest Losing Day-$ 10,453
Largest Winning Day$ 16,740
Avg Winning Day$ 1645.2 or 1.64 %
Avg Losing Day-$ 1312.3 or -1.31 %
Avg Winning Trade$ 784.9 or 0.78 %
Avg Losing Trade-$ 639.2 or -0.63 %

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.

TotalsESNQYM
Trades13089393942444906
Winners7232222722722733
Losers5857171219722173
Win Loss Ratio1.231.221.301.26
Win Percentage %55.3%56.5%53.52%55.71%
Avg Trades Month58181920
Avg Trades Year701211227241
Commission Paid $52,614 $15,834 $17,060 $19,722.12
Avg Winning Trade $785 $791 $830 $743
Avg Losing Trade $-639 $-650 $-638 $-632

Trade Series Statistics

Winning Series1234567891011
Number Winning Series245015991085714461313191129896240
Losing Series1234567891011
Number Losing Series2450140683248728316410057

Drawdown Analysis

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 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 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

Technology – NQ System

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.

YEAR-TO-DATE

+ 81.37%

2020 Return   +137.62% 

Min Investment $15, 000
Avg. Monthly Gain 8.19%
Avg Monthly Gain $ $8,187
Worst Drawdown -37.5 %

Result Unit Size 1 Contract
Initial Capital $100,000
Trading Session Day Trading Only
Profit Factor 1.63

Monthly Performance %

NQ BotJanFebMarAprMayJunJulAugSepOctNovDecYearAvg Monthly
202110.3%-9.7%34.1%11.8%17.0%4.0%5.6%8.3%81.4%10.2%
20207.4%23.6%41.8%-0.3%-4.3%7.0%25.0%7.9%17.5%11.1%-7.0%7.9%137.6%11.5%
201910.3%1.1%0.4%5.1%30.9%8.2%6.6%-8.9%3.5%3.1%1.6%2.1%64.0%5.3%
20186.8%1.9%-7.4%18.7%-7.1%-1.2%10.6%18.1%-1.4%53.7%6.0%24.3%122.8%10.2%
2017-1.6%1.4%4.9%1.4%2.1%4.5%4.0%13.8%-3.2%0.2%0.1%6.1%33.8%2.8%

Past performance is not necessarily indicative of future results. The risk of loss in trading futures is substantial.