Swing Pattern System to operate the future of Live Cattle, which operates in daily bars, which makes long and short operations, and has a monetary stop loss, as well as a profit target.

It has an out-of-sample period since March 2017.

Sistema Swing QMSwingLC - Quantified Models

Operations chart

Swing system

Operates the future of Live Cattle

Operable symbol

LC

Timeframe

Daily bars

Out-of-sample period

Since March 2017

Swing - LIVE CATTLE - QMSWINGLC

Price

699 €

Backtest Metrics

Performance Summary

In this report you can find the backtest metrics of this swing trading strategy: QMSwingLC

 

Total Net Profit: $89,875.00 Max Drawdown: ($7,970.00)
Gross Profit: $185,010.00 As % of Initial Equity: 25.00%
Gross Loss: ($95,135.00) As % of Total Equity: 6.55%
Profit Factor: 1.945 Max Drawdown Date: 9/7/2021
Pessimistic RR: 1.617 Max Intraday Drawdown: ($9,385.00)
Open Position P/L $0.00 As % of Initial Equity: 29.44%
Total Trades: 241 As % of Total Equity: 7.71%
Winning Trades: 148 Max Intraday Drawdown Date: 10/1/2021
Losing Trades: 93 Longest Drawdown: 694 days
Even Trades: 0 Recovery Factor: 11.28
% Profitable: 61.41% NP/MaxDD 11.28
NP/Intraday MaxDD 9.58
Max Runup: $95,920.00
Avg. Trade Net Profit: $372.93 As % of Initial Equity: 300.88%
Avg. Winning Trade: $1,250.07 As % of Total Equity: 78.78%
Avg. Losing Trade: ($1,022.96) Max Runup Date: 4/28/2020
Ratio Ave Win:Ave Loss: 1.222 Longest Runup: 4393 days
Largest Win: $5,075.00, 2.74% Initial Capital: $31,880.00
Largest Loss: ($1,725.00), -1.81% Margin Requirements: $1,600.00
Max Cons. Winners: 10 Return on Initial Capital: 281.92%
Max Cons. Losers: 4 Annual Rate of Return: 23.04%
Avg. Monthly Return: $611.98, 1.92%
Trading Period: 4467 Std. Deviation of Monthly Return: $1,866.81
1/8/2010 – 4/1/2022 % Profitable Months: 59.12%
Total Trading Days: 241
Longest Flat Period: 77 days Sharpe Ratio: 0.037
Max Futures Contracts: 1.0 Sortino Ratio: 0.045
Max Forex Contracts: 0 Sterling Ratio: 0.007
Max Shares: 0 MAR Ratio: 0.867
Total Systems: 1 Efficiency Factor: 0.486
Total Commission: $1,205.00
Total Slippage: $4,820.00

 

Periodic Returns – Annual

In this table you can see the annual results that this swing trading strategy has been achieving: QMSwingLC

 

  Period   Net Profit   Return on IE   Return on TE   # Trades   Profit Factor   % Profitable
  2022    $1,995.00    6.26%    6.01%    5    160.67    80.00%
  2021    ($7,814.50)    (24.51%)    (19.04%)    19    0.76    52.63%
  2020    ($8,965.00)    (28.12%)    (17.93%)    24    1.48    54.17%
  2019    $34.50    0.11%    0.07%    18    1.34    50.00%
  2018    ($2,820.50)    (8.85%)    (5.34%)    19    2.02    52.63%
  2017    $1,123.00    3.52%    2.17%    26    1.93    53.85%
  2016    $5,297.50    16.62%    11.43%    15    4.12    66.67%
  2015    $2,519.50    7.90%    5.75%    17    2.19    58.82%
  2014    $8,748.00    27.44%    24.92%    23    2.47    73.91%
  2013    $1,455.00    4.56%    4.32%    20    2.20    65.00%
  2012    $200.00    0.63%    0.60%    21    1.53    71.43%
  2011    $5,917.00    18.56%    21.50%    20    4.53    80.00%
  2010    ($4,354.50)    (13.66%)    (13.66%)    23    1.28    56.52%

 

Capital Curve – Daily Equity

In this chart you can see the profit curve of this swing trading strategy: QMSwingLC

Curva de capital - Sistema Swing QMSwingLC

Drawdown Curve

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

Curva de Drawdown - Sistema Swing QMSwingLC

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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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