QMSwingCC
Swing system to operate the future of Cocoa, which operates in daily bars.
It does long and short trades.
It has a monetary stop loss.
It has an out-of-sample period since 2016.
Operations chart
Swing system
Operate the future of Cocoa
Operable symbol
CC
Timeframe
Daily bars
Out-of-sample period
Since 2016
Price
699 €
Backtest Metrics
Performance Summary
In this report you can find the backtest metrics of this swing trading strategy: QMSwingCC
| Total Net Profit: | $268,650.00 | Max Drawdown: | ($18,350.00) | |||
| Gross Profit: | $528,520.00 | As % of Initial Equity: | 25.00% | |||
| Gross Loss: | ($259,870.00) | As % of Total Equity: | 5.36% | |||
| Profit Factor: | 2.034 | Max Drawdown Date: | 3/8/2022 | |||
| Pessimistic RR: | 1.760 | Max Intraday Drawdown: | ($18,350.00) | |||
| Open Position P/L | $0.00 | As % of Initial Equity: | 25.00% | |||
| Total Trades: | 395 | As % of Total Equity: | 5.36% | |||
| Winning Trades: | 246 | Max Intraday Drawdown Date: | 3/8/2022 | |||
| Losing Trades: | 149 | Longest Drawdown: | 321 days | |||
| Even Trades: | 0 | Recovery Factor: | 14.64 | |||
| % Profitable: | 62.28% | NP/MaxDD | 14.64 | |||
| Avg. Trade Net Profit: | $680.13 | NP/Intraday MaxDD | 14.64 | |||
| Avg. Winning Trade: | $2,148.46 | Avg. Worst 5 DD: | ($13,034.00) | |||
| Avg. Losing Trade: | ($1,744.09) | As % of Initial Equity: | 17.76% | |||
| Ratio Ave Win:Ave Loss: | 1.232 | |||||
| Max Runup: | $269,060.00 | |||||
| Largest Win: | $23,990.00, 4.54% | As % of Initial Equity: | 366.57% | |||
| Largest Loss: | ($12,860.00), -4.95% | As % of Total Equity: | 78.66% | |||
| Max Cons. Winners: | 14 | Max Runup Date: | 3/31/2022 | |||
| Max Cons. Losers: | 4 | Longest Runup: | 4871 days | |||
| Trading Period: | 4873 | Initial Capital: | $73,400.00 | |||
| 12/23/2008 – 4/26/2022 | Margin Requirements: | $57,800.00 | ||||
| Total Trading Days: | 395 | Return on Initial Capital: | 366.01% | |||
| Longest Flat Period: | 77 days | Annual Rate of Return: | 27.41% | |||
| Max Futures Contracts: | 2.0 | Avg. Monthly Return: | $1,676.88, 2.28% | |||
| Max Forex Contracts: | 0 | Std. Deviation of Monthly Return: | $6,521.40 | |||
| Max Shares: | 0 | % Profitable Months: | 69.80% | |||
| Total Systems: | 1 | |||||
| Total Commission: | $2,850.00 | Sharpe Ratio: | 0.343 | |||
| Total Slippage: | $28,500.00 | Sortino Ratio: | 0.434 | |||
| Sterling Ratio: | 0.039 | |||||
| MAR Ratio: | 0.976 | |||||
| Efficiency Factor: | 0.508 | |||||
Periodic Returns – Annual
In this table you can see the annual results that this swing trading strategy has been achieving: QMSwingCC
| Period | Net Profit | Return on IE | Return on TE | # Trades | Profit Factor | % Profitable |
| 2022 | $3,290.00 | 4.48% | 0.96% | 16 | 1.09 | 56.25% |
| 2021 | $17,255.00 | 23.51% | 5.09% | 30 | 1.67 | 63.33% |
| 2020 | $119,680.00 | 163.05% | 37.22% | 34 | 5.51 | 73.53% |
| 2019 | $2,710.00 | 3.69% | 1.34% | 25 | 1.15 | 40.00% |
| 2018 | $32,295.00 | 44.00% | 16.22% | 33 | 2.77 | 63.64% |
| 2017 | $6,030.00 | 8.22% | 3.61% | 38 | 1.33 | 63.16% |
| 2016 | $19,975.00 | 27.21% | 12.42% | 32 | 1.93 | 65.63% |
| 2015 | $14,560.00 | 19.84% | 10.34% | 20 | 1.80 | 60.00% |
| 2014 | $1,730.00 | 2.36% | 1.37% | 24 | 1.15 | 58.33% |
| 2013 | $18,960.00 | 25.83% | 15.23% | 20 | 8.92 | 85.00% |
| 2012 | $1,900.00 | 2.59% | 1.80% | 31 | 1.11 | 51.61% |
| 2011 | $10,685.00 | 14.56% | 10.31% | 38 | 1.36 | 52.63% |
| 2010 | $11,950.00 | 16.28% | 12.85% | 26 | 3.36 | 80.77% |
| 2009 | $7,260.00 | 9.89% | 8.96% | 27 | 1.81 | 59.26% |
| 2008 | $370.00 | 0.50% | 0.50% | 1 | 100.00 | 100.00% |
Capital Curve – Daily Equity
In this chart you can see the profit curve of this swing trading strategy: QMSwingCC
Drawdown Curve
In this chart you can see the drawdown of this swing trading strategy expressed in dollars: QMSwingCC
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Hypothetical performance results have many inherent limitations, some of which are described below.
No representation is being made that any account will or may make profits or losses similar to those shown. In fact, there are often large differences between hypothetical performance results and the actual results subsequently achieved by any particular trading strategy.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, counterfactual trading does not involve financial risk, and no counterfactual trading record can fully explain the impact of financial risk on actual trading.
For example, the ability to withstand losses or stick to a particular trading strategy despite trading losses are important points that can also adversely affect actual trading results. There are numerous other factors related to the markets in general or the implementation of any specific trading strategy that cannot be fully considered in the preparation of hypothetical performance results and all of which may adversely affect actual trading results.