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.

Sistema Swing QMSwingCacao - Quantified Models

Operations chart

Swing system

Operate the future of Cocoa

Operable symbol

CC

Timeframe

Daily bars

Out-of-sample period

Since 2016

Swing - COCOA - QMSWINGCC

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

Curva de capital - Sistema Swing QMSwingCacao

Drawdown Curve

In this chart you can see the drawdown of this swing trading strategy expressed in dollars: QMSwingCC

Curva de Darwdown - Sistema Swing QMSwingCacao

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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.

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