S&P 500 E-Mini (ES) Performance Jan 2007-Dec 2016

Start Balance $35,000.00
Cumulative Net Profit $334,125.00
Largest Drawdown ($14,362.50)
Best Year 2015   +182.29% $63,800.00
Worst Year 2012  (10.21%) ($3,575.00)
2007-2016 Average   +95.46% $33,595.00
30 December 2016   +111.04% $40,687.50

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This S&P program trades 2 trend following and 2 range trade strategies. Cumulative net gain is calculated trading 1 contract per strategy, no compounding of positions and withdrawing all net profits annually. Greatest net drawdown is calculated from highest high to lowest low marked to the market daily prior to recovery and a new high.

Below are links to full disclosure of all 4 trading methodologies. I’ve included all supporting historical price data, every order generated 2007-2016, every trade entry, offset, gain or loss enabling you to verify past performance and monitor trades moving forward.

Trend Trade Strategies Average Annual Largest Drawdown Cumulative Net Gain Net Profit 2016
es01t $6,958.75 ($14,750.00) $69,587.50 $6,537.50
es02t $6,065.00 ($18,537.50) $60,650.00 ($8,512.50)
Range Trade Strategies Average Annual Largest Drawdown Cumulative Net Gain Net Profit 2016
es01t $6,958.75 ($14,750.00) $69,587.50 $6,537.50
es02t $6,065.00 ($18,537.50) $60,650.00 ($8,512.50)

This study takes the daily “out of sample” performance for the 4 systems traded in this market then ranks the 15 possible combinations by life of program reward on risk. (reward on risk = life of program total net profit divided by maximum life of program drawdown)

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Quotes and charts

Margin Requirement = $4,750

Contract size = 50 times the index price

Why I trade multiple systems

By using a “basket” of momentum and range trade strategies I’ve increased my return on risk and smoothed out my overall equity curve.

I am an advocate of diversifying the markets I trade and the way I trade each market. I assume that I don’t know what strategy will perform best over the next 12 months or at any point in the future.

If you have any questions or would like additional information  contact us

Disclosure

Published by

Asset Investment Management

Family Office, Advisors

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