Cumulative Returns vs S&P 500
Chimera Bot vs S&P 500 equity curve
Cumulative Returns vs S&P 500 Annually
Chimera Bot vs S&P 500 performance
Individual Chimera System Stacked Annual Performance %
Algorithmic trading Chimera bot individual systems annual performance bar chart from 1999 to 2020
Individual Chimera Systems Cumulative Performance %
Algorithmic Trading Chimera Bot Individual Systems Annual Performance line graph from 1999 to 2020
Individual System Performance Bar Chart
Algorithmic Trading Chimera Bot systems annual performance comparison from 1999 to 2020
Drawdown Curve
Algorithmic trading Chimera Bot Drawdown and Equity Curve graphs from 1999 to 2020
Chimera Individual System Drawdowns
Algorithmic Trading Software maximum drawdown individual systems
Number of Yearly Trades
Algo Trading Chimera Bot number of yearly trades
Number of Monthly Trades Placed
Algo Trading Chinera Robot monthly trades from 1999 to 2020
Daily Returns
Automated Trading Chimera Bot monthly returns from 1999 to 2020
Individual Chimera Systems Number of Trades Pie
Algorithmic Trading systems trades from 1999 to 2020
Individual Chimera Systems Number of Trades Bar
Automated Trading software number of yearly trades from 1999 to 2020
Trades % Scatterplot
Trades percentage scattergraph
Trades $ Scatterplot
Trades USD scattergraph
Market Crashes
Algorithmic Trading Chimera Bot vs S&P 500 performance during market crashes
Monte Carlo Analysis
Algorithmic Trading shuffled trades analysis
Maximum Drawdown graph
Algorithmic Trading Profit Factor graph
algorithmic trading max sequential wins
Quant Trading Maximum Sequential Losses graph
MetricStrategyBenchmark
% Net Profit694.48%124.10%
% Profit Factor1.631.06
Sharpe Ratio1.811.11
Drawdown %-12.53%-57.70%
Longest Drawdown Days3452740
Trading Period Months244244
Expect Daily Profits %0.14%0.02%
Expect Monthly Profits %2.85%0.51%
Expect Yearly Profits %34.15%6.10%
MTD2.90%6.90%
3M6.40%-11.46%
6M9.70%-3.90%
YTD7.90%-9.50%
1Y19.08%0.07%
3Y (annunally)29.29%12.79%
5Y (annunally)30.61%9.65%
10Y (annunally)27.30%11.60%
All-time (annually)34.15%6.10%
Best Day6.88%11.58%
Worst Day-2.85%-11.98%
Best Month18.08%10.60%
Worst Month-8.59%-15.10%
Best Year71.10%27.90%
Worst Year6.90%-42.20%
Avg Drawdown-4.5%-22.6%
Avg Drawdown Days35
Recovery Factor10.65.3
Avg Up Month5.6%
Avg Down Month-2.5%
Win %54.00%53.44%
Win Month %77.9%
Win Quarter %88.37%67.44%
Win Year %100%72.73%
Chi vs S&P Chimera BenchmarkDiff %Won
199933.90%19.10%14.80%Beat
200069.50%-6.90%76.40%Beat
200155.40%-11.60%67.00%Beat
200252.00%-24.40%76.40%Beat
200329.40%24.70%4.70%Beat
200414.60%9.60%5.00%Beat
20058.00%3.80%4.20%Beat
20066.90%13.20%-6.30%Lose
200732.00%5.00%27.00%Beat
200840.70%-42.20%82.90%Lose
200971.10%27.20%43.90%Beat
201024.30%12.70%11.60%Beat
201122.90%3.10%19.80%Beat
201229.00%11.30%17.70%Beat
201315.80%27.90%-12.10%Lose
201428.00%12.90%15.10%Beat
201533.00%0.40%32.60%Beat
201632.30%9.50%22.80%Beat
201714.60%18.00%-3.40%Lose
201855.40%-6.40%61.80%Beat
201917.80%26.70%-8.90%Lose
20207.90%-9.50%17.40%Beat
Max Drawdown %StartRecoverTrades
-12.53%22/08/200602/08/2007206
-11.67%13/12/200022/02/200141
-11.30%19/12/200715/04/200877
-10.74%01/08/200017/10/200039
-10.25%23/08/201113/01/201289
-8.49%08/06/200518/01/2006149
-7.71%29/07/200324/11/200362
-7.33%17/07/200801/10/200860
-6.90%28/02/201125/05/201171
-6.12%26/04/201816/07/201847
10 Largest Wins %Date10 Largest Losers %Date
6.88%08/11/2000-2.85%13/08/2019
6.24%10/04/2000-2.80%13/03/2001
5.92%23/03/2009-2.80%23/09/2011
5.82%24/11/2008-2.71%23/01/2009
5.62%13/10/2000-2.71%29/01/2001
5.45%30/05/2000-2.70%10/03/2009
4.77%02/02/2001-2.70%07/09/2001
4.71%03/04/2000-2.70%05/10/2011
4.67%10/07/2001-2.70%07/11/2008
4.60%13/11/2008-2.69%19/09/2000
10 Largest Wins $Date10 Largest Losers $Date
$5,906 10/04/2000 $-3,117 25/03/2020
$5,721 24/10/2018 $-3,089 20/03/2020
$5,586 25/02/2020 $-2,754 08/08/2019
$5,336 26/03/2020 $-2,704 26/02/2020
$4,966 08/11/2000 $-2,679 04/05/2018
$4,796 27/03/2018 $-2,634 26/04/2018
$4,733 26/12/2018 $-2,519 19/10/2018
$4,566 21/12/2018 $-2,464 07/04/2000
$4,516 03/04/2000 $-2,314 15/05/2019
$4,081 18/03/2020 $-2,299 17/03/2020
Cumulative Returns vs S&P 500
Chimera Bot vs S&P 500 equity curve
Cumulative Returns vs S&P 500 Annually
Chimera Bot vs S&P 500 performance
Individual Chimera System Stacked Annual Performance %
Algorithmic trading Chimera bot individual systems annual performance bar chart from 1999 to 2020
Individual Chimera Systems Cumulative Performance %
Algorithmic Trading Chimera Bot Individual Systems Annual Performance line graph from 1999 to 2020
Individual System Performance Bar Chart
Algorithmic Trading Chimera Bot systems annual performance comparison from 1999 to 2020
Drawdown Curve
Algorithmic trading Chimera Bot Drawdown and Equity Curve graphs from 1999 to 2020
Chimera Individual System Drawdowns
Algorithmic Trading Software maximum drawdown individual systems
Number of Yearly Trades
Algo Trading Chimera Bot number of yearly trades
Number of Monthly Trades Placed
Algo Trading Chinera Robot monthly trades from 1999 to 2020
Daily Returns
Automated Trading Chimera Bot monthly returns from 1999 to 2020
Individual Chimera Systems Number of Trades Pie
Algorithmic Trading systems trades from 1999 to 2020
Individual Chimera Systems Number of Trades Bar
Automated Trading software number of yearly trades from 1999 to 2020
Trades % Scatterplot
Trades percentage scattergraph
Trades $ Scatterplot
Trades USD scattergraph
Market Crashes
Algorithmic Trading Chimera Bot vs S&P 500 performance during market crashes
Monte Carlo Analysis
Algorithmic Trading shuffled trades analysis
Maximum Drawdown graph
Algorithmic Trading Profit Factor graph
algorithmic trading max sequential wins
Quant Trading Maximum Sequential Losses graph
MetricStrategyBenchmark
% Net Profit694.48%124.10%
% Profit Factor1.631.06
Sharpe Ratio1.811.11
Drawdown %-12.53%-57.70%
Longest Drawdown Days3452740
Trading Period Months244244
Expect Daily Profits %0.14%0.02%
Expect Monthly Profits %2.85%0.51%
Expect Yearly Profits %34.15%6.10%
MTD2.90%6.90%
3M6.40%-11.46%
6M9.70%-3.90%
YTD7.90%-9.50%
1Y19.08%0.07%
3Y (annunally)29.29%12.79%
5Y (annunally)30.61%9.65%
10Y (annunally)27.30%11.60%
All-time (annually)34.15%6.10%
Best Day6.88%11.58%
Worst Day-2.85%-11.98%
Best Month18.08%10.60%
Worst Month-8.59%-15.10%
Best Year71.10%27.90%
Worst Year6.90%-42.20%
Avg Drawdown-4.5%-22.6%
Avg Drawdown Days35
Recovery Factor10.65.3
Avg Up Month5.6%
Avg Down Month-2.5%
Win %54.00%53.44%
Win Month %77.9%
Win Quarter %88.37%67.44%
Win Year %100%72.73%
Chi vs S&P Chimera BenchmarkDiff %Won
199933.90%19.10%14.80%Beat
200069.50%-6.90%76.40%Beat
200155.40%-11.60%67.00%Beat
200252.00%-24.40%76.40%Beat
200329.40%24.70%4.70%Beat
200414.60%9.60%5.00%Beat
20058.00%3.80%4.20%Beat
20066.90%13.20%-6.30%Lose
200732.00%5.00%27.00%Beat
200840.70%-42.20%82.90%Lose
200971.10%27.20%43.90%Beat
201024.30%12.70%11.60%Beat
201122.90%3.10%19.80%Beat
201229.00%11.30%17.70%Beat
201315.80%27.90%-12.10%Lose
201428.00%12.90%15.10%Beat
201533.00%0.40%32.60%Beat
201632.30%9.50%22.80%Beat
201714.60%18.00%-3.40%Lose
201855.40%-6.40%61.80%Beat
201917.80%26.70%-8.90%Lose
20207.90%-9.50%17.40%Beat
Max Drawdown %StartRecoverTrades
-12.53%22/08/200602/08/2007206
-11.67%13/12/200022/02/200141
-11.30%19/12/200715/04/200877
-10.74%01/08/200017/10/200039
-10.25%23/08/201113/01/201289
-8.49%08/06/200518/01/2006149
-7.71%29/07/200324/11/200362
-7.33%17/07/200801/10/200860
-6.90%28/02/201125/05/201171
-6.12%26/04/201816/07/201847
10 Largest Wins %Date10 Largest Losers %Date
6.88%08/11/2000-2.85%13/08/2019
6.24%10/04/2000-2.80%13/03/2001
5.92%23/03/2009-2.80%23/09/2011
5.82%24/11/2008-2.71%23/01/2009
5.62%13/10/2000-2.71%29/01/2001
5.45%30/05/2000-2.70%10/03/2009
4.77%02/02/2001-2.70%07/09/2001
4.71%03/04/2000-2.70%05/10/2011
4.67%10/07/2001-2.70%07/11/2008
4.60%13/11/2008-2.69%19/09/2000
10 Largest Wins $Date10 Largest Losers $Date
$5,906 10/04/2000 $-3,117 25/03/2020
$5,721 24/10/2018 $-3,089 20/03/2020
$5,586 25/02/2020 $-2,754 08/08/2019
$5,336 26/03/2020 $-2,704 26/02/2020
$4,966 08/11/2000 $-2,679 04/05/2018
$4,796 27/03/2018 $-2,634 26/04/2018
$4,733 26/12/2018 $-2,519 19/10/2018
$4,566 21/12/2018 $-2,464 07/04/2000
$4,516 03/04/2000 $-2,314 15/05/2019
$4,081 18/03/2020 $-2,299 17/03/2020

 

Normalising trades for expected dollar values

Drawdown metrics can be misleading when analysing system performance. Every investor wants to know what they can potentially lose or what a system has lost in the past, this way the investor has some expectation going forwards. This is a measure of risk and survivability, especially when you consider margins (futures are traded heavily on margin).

Drawdown percentage depends entirely on the starting capital. Most systems backtest reports are run with the assumption of starting $100k capital trading 1 contract with no compounding of returns. However, some developers will then inform investors that the system can be run with as little as $10k and still have the same performance.

Let’s assume the backtest report stated a 10% drawdown on $100k right of the start of trading = $10k drawdown.

Traders starting this with $35k the dollar value drawdown will be -$8211 trading 1 futures contract. Percentage drawdown is 23.46%.

Futures are traded only in 1 contract increments. Markets move in percentages and price has risen remarkably over the last decade. It is better to normalise the trade data to the current market price to get a more accurate figure for a trades expected dollar value.

After adjusting and normalising the data for historical trades we achieve expected dollar performance at today’s market prices. The same trades would be made but after adjusting for a much higher current market price we get greater dollar values per trade.

Process normalising past trades to current market price

14
1. Convert dollars to points

Each trades profit/loss dollar value will be converted to points for their respective markets e.g. $50 = 1 Point ES Market, $20 = 1 Point NQ, $5 = 1 Point YM

13
2. Convert points to percentage

Convert points to a percentage at that current time and market price e.g NQ trade in March 2007 (market trading at 1763.75 price) with $175.98 profitable trade = 8.8 Nasdaq points = 0.5% market move.

Asset 1
3. Normalise to market price

The 0.5% move is now normalised to this year's market price, NQ trading at 7711, this now equates to a $769.37 dollar value.

NORMALISED TRADES $
Quant Savvy normalised trades data
Normalised Annual and Cumulative Profits $
Quant Savvy Normalised Drawdown $ Equity Curve and Annual Returns
Normalised Drawdown $
Quant Savvy Normalised Drawdown $

TOP TEN NORMALISED

Biggest winners and losers, ten Largest drawdowns

The data tables show Chimera trades normalised to the current market price, this highlights that dollar drawdown on the tested period will be larger if normalised to the current market price. This is close to close drawdown so intraday dollar drawdown value will be higher.

Monte Carlo analysis will show drawdown values can be exceeded without impacting the statistical expectancy of the system. Users should trade a position size relative to the worst-case Monte Carlo analysis – this is currently $16,948 per contract.

10 Big Wins $Date10 Big Losers $Date
$9,638.67 08/11/2000 $-3,914.32 13/03/2001
$8,733.89 10/04/2000 $-3,797.56 23/01/2009
$7,861.77 13/10/2000 $-3,794.26 29/01/2001
$7,632.84 30/05/2000 $-3,784.44 10/03/2009
$6,673.10 02/02/2001 $-3,781.80 07/09/2001
$6,595.42 03/04/2000 $-3,776.95 05/10/2011
$6,533.26 10/07/2001 $-3,775.27 07/11/2008
$6,445.97 13/11/2008 $-3,762.76 19/09/2000
$6,230.42 26/04/2002 $-3,758.62 19/12/2000
$6,171.08 08/05/2002 $-3,757.15 16/08/2001
Max Drawdown $Max Draw DateStartedRecoveredTradesDays
$-17,361 01/03/200728/06/200621/08/2007255300
$-16,445 31/01/200113/12/200022/02/20014152
$-15,451 05/03/200819/12/200715/04/20087785
$-13,486 27/09/200001/08/200012/10/20003953
$-11,830 15/09/200817/07/200801/10/20086155
$-10,223 13/10/200508/06/200518/01/2006149161
$-10,072 15/09/200329/07/200324/11/20036285
$-8,468 19/02/200922/01/200902/03/20092528
$-7,993 05/10/201123/08/201108/12/20117178
$-7,684 02/07/201010/05/201027/08/20107980
10 Big Wins $Date10 Big Losers $Date
$9,638.67 08/11/2000 $-3,914.32 13/03/2001
$8,733.89 10/04/2000 $-3,797.56 23/01/2009
$7,861.77 13/10/2000 $-3,794.26 29/01/2001
$7,632.84 30/05/2000 $-3,784.44 10/03/2009
$6,673.10 02/02/2001 $-3,781.80 07/09/2001
$6,595.42 03/04/2000 $-3,776.95 05/10/2011
$6,533.26 10/07/2001 $-3,775.27 07/11/2008
$6,445.97 13/11/2008 $-3,762.76 19/09/2000
$6,230.42 26/04/2002 $-3,758.62 19/12/2000
$6,171.08 08/05/2002 $-3,757.15 16/08/2001
Max Drawdown $Max Draw DateStartedRecoveredTradesDays
$-17,361 01/03/200728/06/200621/08/2007255300
$-16,445 31/01/200113/12/200022/02/20014152
$-15,451 05/03/200819/12/200715/04/20087785
$-13,486 27/09/200001/08/200012/10/20003953
$-11,830 15/09/200817/07/200801/10/20086155
$-10,223 13/10/200508/06/200518/01/2006149161
$-10,072 15/09/200329/07/200324/11/20036285
$-8,468 19/02/200922/01/200902/03/20092528
$-7,993 05/10/201123/08/201108/12/20117178
$-7,684 02/07/201010/05/201027/08/20107980

Contact us Now

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Office

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    Contact us Now

    We will email you pricing and more information about our algorithmic trading systems. Our CEO will contact you personally.


      Office

      Kemp House, City Road
      London,
      United Kingdom, EC1V 2NX

       

      Contact Us

      Email: info@quantsavvy.com

      US/Canada Toll Free: 1-800-820-3275

      Rest of World: 0203 005 5238