Portfolio Analysis

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Cumulative Returns vs S&P 500

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Cumulative Returns vs S&P 500 Annually

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Individual Chimera System Stacked Annual Performance %

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Individual Chimera Systems Cumulative Performance %

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Individual System Performance Bar Chart

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Drawdown Curve

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Chimera Individual System Drawdowns

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Number of Yearly Trades

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Number of Monthly Trades Placed

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Daily Returns

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Individual Chimera Systems Number of Trades Pie

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Individual Chimera Systems Number of Trades Bar

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Trades % Scatterplot

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Trades $ Scatterplot

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Market Crashes

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Monte Carlo Analysis

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Metric	Strategy	Benchmark
% Net Profit	694.48%	124.10%
% Profit Factor	1.63	1.06
Sharpe Ratio	1.81	1.11

Drawdown %	-12.53%	-57.70%
Longest Drawdown Days	345	2740
Trading Period Months	244	244
Expect Daily Profits %	0.14%	0.02%
Expect Monthly Profits %	2.85%	0.51%
Expect Yearly Profits %	34.15%	6.10%

MTD	2.90%	6.90%
3M	6.40%	-11.46%
6M	9.70%	-3.90%
YTD	7.90%	-9.50%
1Y	19.08%	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 Day	6.88%	11.58%
Worst Day	-2.85%	-11.98%
Best Month	18.08%	10.60%
Worst Month	-8.59%	-15.10%
Best Year	71.10%	27.90%
Worst Year	6.90%	-42.20%

Avg Drawdown	-4.5%	-22.6%
Avg Drawdown Days	35
Recovery Factor	10.6	5.3

Avg Up Month	5.6%
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%

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Chi vs S&P	Chimera	Benchmark	Diff %	Won
1999	33.90%	19.10%	14.80%	Beat
2000	69.50%	-6.90%	76.40%	Beat
2001	55.40%	-11.60%	67.00%	Beat
2002	52.00%	-24.40%	76.40%	Beat
2003	29.40%	24.70%	4.70%	Beat
2004	14.60%	9.60%	5.00%	Beat
2005	8.00%	3.80%	4.20%	Beat
2006	6.90%	13.20%	-6.30%	Lose
2007	32.00%	5.00%	27.00%	Beat
2008	40.70%	-42.20%	82.90%	Lose
2009	71.10%	27.20%	43.90%	Beat
2010	24.30%	12.70%	11.60%	Beat
2011	22.90%	3.10%	19.80%	Beat
2012	29.00%	11.30%	17.70%	Beat
2013	15.80%	27.90%	-12.10%	Lose
2014	28.00%	12.90%	15.10%	Beat
2015	33.00%	0.40%	32.60%	Beat
2016	32.30%	9.50%	22.80%	Beat
2017	14.60%	18.00%	-3.40%	Lose
2018	55.40%	-6.40%	61.80%	Beat
2019	17.80%	26.70%	-8.90%	Lose
2020	7.90%	-9.50%	17.40%	Beat

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Max Drawdown %	Start	Recover	Trades
-12.53%	22/08/2006	02/08/2007	206
-11.67%	13/12/2000	22/02/2001	41
-11.30%	19/12/2007	15/04/2008	77
-10.74%	01/08/2000	17/10/2000	39
-10.25%	23/08/2011	13/01/2012	89
-8.49%	08/06/2005	18/01/2006	149
-7.71%	29/07/2003	24/11/2003	62
-7.33%	17/07/2008	01/10/2008	60
-6.90%	28/02/2011	25/05/2011	71
-6.12%	26/04/2018	16/07/2018	47

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10 Largest Wins %	Date	10 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

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10 Largest Wins $	Date	10 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

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Cumulative Returns vs S&P 500

Cumulative Returns vs S&P 500 Annually

Individual Chimera System Stacked Annual Performance %

Individual Chimera Systems Cumulative Performance %

Individual System Performance Bar Chart

Drawdown Curve

Chimera Individual System Drawdowns

Number of Yearly Trades

Number of Monthly Trades Placed

Daily Returns

Individual Chimera Systems Number of Trades Pie

Individual Chimera Systems Number of Trades Bar

Trades % Scatterplot

Trades $ Scatterplot

Market Crashes

Monte Carlo Analysis

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Metric	Strategy	Benchmark
% Net Profit	694.48%	124.10%
% Profit Factor	1.63	1.06
Sharpe Ratio	1.81	1.11

Drawdown %	-12.53%	-57.70%
Longest Drawdown Days	345	2740
Trading Period Months	244	244
Expect Daily Profits %	0.14%	0.02%
Expect Monthly Profits %	2.85%	0.51%
Expect Yearly Profits %	34.15%	6.10%

MTD	2.90%	6.90%
3M	6.40%	-11.46%
6M	9.70%	-3.90%
YTD	7.90%	-9.50%
1Y	19.08%	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 Day	6.88%	11.58%
Worst Day	-2.85%	-11.98%
Best Month	18.08%	10.60%
Worst Month	-8.59%	-15.10%
Best Year	71.10%	27.90%
Worst Year	6.90%	-42.20%

Avg Drawdown	-4.5%	-22.6%
Avg Drawdown Days	35
Recovery Factor	10.6	5.3

Avg Up Month	5.6%
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%

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Chi vs S&P	Chimera	Benchmark	Diff %	Won
1999	33.90%	19.10%	14.80%	Beat
2000	69.50%	-6.90%	76.40%	Beat
2001	55.40%	-11.60%	67.00%	Beat
2002	52.00%	-24.40%	76.40%	Beat
2003	29.40%	24.70%	4.70%	Beat
2004	14.60%	9.60%	5.00%	Beat
2005	8.00%	3.80%	4.20%	Beat
2006	6.90%	13.20%	-6.30%	Lose
2007	32.00%	5.00%	27.00%	Beat
2008	40.70%	-42.20%	82.90%	Lose
2009	71.10%	27.20%	43.90%	Beat
2010	24.30%	12.70%	11.60%	Beat
2011	22.90%	3.10%	19.80%	Beat
2012	29.00%	11.30%	17.70%	Beat
2013	15.80%	27.90%	-12.10%	Lose
2014	28.00%	12.90%	15.10%	Beat
2015	33.00%	0.40%	32.60%	Beat
2016	32.30%	9.50%	22.80%	Beat
2017	14.60%	18.00%	-3.40%	Lose
2018	55.40%	-6.40%	61.80%	Beat
2019	17.80%	26.70%	-8.90%	Lose
2020	7.90%	-9.50%	17.40%	Beat

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Max Drawdown %	Start	Recover	Trades
-12.53%	22/08/2006	02/08/2007	206
-11.67%	13/12/2000	22/02/2001	41
-11.30%	19/12/2007	15/04/2008	77
-10.74%	01/08/2000	17/10/2000	39
-10.25%	23/08/2011	13/01/2012	89
-8.49%	08/06/2005	18/01/2006	149
-7.71%	29/07/2003	24/11/2003	62
-7.33%	17/07/2008	01/10/2008	60
-6.90%	28/02/2011	25/05/2011	71
-6.12%	26/04/2018	16/07/2018	47

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10 Largest Wins %	Date	10 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

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10 Largest Wins $	Date	10 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

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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. [/vc_column_text][/vc_column][vc_column css_animation=”fadeInRight” width=”1/3″ css=”.vc_custom_1588678628683{background-color: #f7f7f7 !important;}”][vc_column_text css=”.vc_custom_1588679916455{padding-bottom: 30px !important;padding-left: 50px !important;}”]Process normalising past trades to current market price[/vc_column_text][icon_text box_type=”normal” icon_type=”normal” icon_position=”left” icon_size=”fa-lg” use_custom_icon_size=”no” title=”1. Convert dollars to points” title_tag=”h6″ separator=”no” text=”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” image=”16367″][icon_text box_type=”normal” icon_type=”normal” icon_position=”left” icon_size=”fa-lg” use_custom_icon_size=”no” title=”2. Convert points to percentage” title_tag=”h6″ separator=”no” text=”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.” image=”16366″][icon_text box_type=”normal” icon_type=”normal” icon_position=”left” icon_size=”fa-lg” use_custom_icon_size=”no” title=”3. Normalise to market price” title_tag=”h6″ separator=”no” text=”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.” image=”16371″][/vc_column][/vc_row][vc_row css_animation=”element_from_fade” row_type=”row” use_row_as_full_screen_section=”yes” type=”full_width” angled_section=”no” text_align=”left” background_image_as_pattern=”without_pattern” z_index=”” css=”.vc_custom_1588592050253{background-color: #ffffff !important;}”][vc_column width=”1/3″][vc_column_text]

NORMALISED TRADES $

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Normalised Annual and Cumulative Profits $

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Normalised Drawdown $

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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.

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10 Big Wins $	Date	10 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

[/vc_column_text][/qode_advanced_tab][qode_advanced_tab tab_title=”Worst 10 Drawdown $”][vc_column_text]

Max Drawdown $	Max Draw Date	Started	Recovered	Trades	Days
$-17,361	01/03/2007	28/06/2006	21/08/2007	255	300
$-16,445	31/01/2001	13/12/2000	22/02/2001	41	52
$-15,451	05/03/2008	19/12/2007	15/04/2008	77	85
$-13,486	27/09/2000	01/08/2000	12/10/2000	39	53
$-11,830	15/09/2008	17/07/2008	01/10/2008	61	55
$-10,223	13/10/2005	08/06/2005	18/01/2006	149	161
$-10,072	15/09/2003	29/07/2003	24/11/2003	62	85
$-8,468	19/02/2009	22/01/2009	02/03/2009	25	28
$-7,993	05/10/2011	23/08/2011	08/12/2011	71	78
$-7,684	02/07/2010	10/05/2010	27/08/2010	79	80

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10 Big Wins $	Date	10 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

[/vc_column_text][/qode_advanced_tab][qode_advanced_tab tab_title=”Worst 10 Drawdown $”][vc_column_text]

Max Drawdown $	Max Draw Date	Started	Recovered	Trades	Days
$-17,361	01/03/2007	28/06/2006	21/08/2007	255	300
$-16,445	31/01/2001	13/12/2000	22/02/2001	41	52
$-15,451	05/03/2008	19/12/2007	15/04/2008	77	85
$-13,486	27/09/2000	01/08/2000	12/10/2000	39	53
$-11,830	15/09/2008	17/07/2008	01/10/2008	61	55
$-10,223	13/10/2005	08/06/2005	18/01/2006	149	161
$-10,072	15/09/2003	29/07/2003	24/11/2003	62	85
$-8,468	19/02/2009	22/01/2009	02/03/2009	25	28
$-7,993	05/10/2011	23/08/2011	08/12/2011	71	78
$-7,684	02/07/2010	10/05/2010	27/08/2010	79	80

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