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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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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%
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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
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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
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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
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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
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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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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%
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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
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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
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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
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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
[/vc_column_text][/vc_column][/vc_row][vc_row css_animation=”” row_type=”row” use_row_as_full_screen_section=”no” type=”full_width” angled_section=”no” text_align=”left” background_image_as_pattern=”without_pattern” el_id=”Reviews.co.uk banner” z_index=””][vc_column][vc_raw_html]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[/vc_raw_html][/vc_column][/vc_row][vc_row css_animation=”” row_type=”row” use_row_as_full_screen_section=”no” type=”grid” angled_section=”no” text_align=”left” background_image_as_pattern=”without_pattern” z_index=”” css=”.vc_custom_1589288432900{padding-top: 35px !important;padding-bottom: 50px !important;background-color: #ffffff !important;}”][vc_column css_animation=”fadeInLeft” width=”2/3″][vc_column_text]

 

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.

[/vc_column_text][/vc_column][vc_column css_animation=”fadeInRight” width=”3/5″ offset=”vc_hidden-sm vc_hidden-xs”][qode_advanced_tabs title_tag=”h4″][qode_advanced_tab tab_title=”Top 10 Trades $”][vc_column_text]

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
[/vc_column_text][/qode_advanced_tab][qode_advanced_tab tab_title=”Worst 10 Drawdown $”][vc_column_text]
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
[/vc_column_text][/qode_advanced_tab][/qode_advanced_tabs][/vc_column][/vc_row][vc_row css_animation=”element_from_right” row_type=”row” use_row_as_full_screen_section=”yes” type=”full_width” anchor=”day-trading-bot” angled_section=”no” text_align=”center” background_image_as_pattern=”without_pattern” background_color=”#ffffff” padding_top=”0″ padding_bottom=”0″ z_index=””][vc_column css_animation=”fadeInRight” offset=”vc_hidden-lg vc_hidden-md”][qode_advanced_tabs title_tag=”h4″][qode_advanced_tab tab_title=”Top 10 Trades $”][vc_column_text]
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
[/vc_column_text][/qode_advanced_tab][qode_advanced_tab tab_title=”Worst 10 Drawdown $”][vc_column_text]
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
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