TREC – PORTFOLIO

TREC PORTFOLIO_Equity Curve
ANALYTICS AND DOWNLOADS
    • 25 LONG & 24 SHORT Time Frames
    • More than 800 MODEL instances
    • Low number of TRADING RULES

OVERVIEWMONTE CARLOMONTHLY PERFORMANCECORRELATIONTREC vs NEWEDGE

PORTFOLIO OF ALL MODEL INSTANCES_ 14 INSTRUMENTS Futures

Performance

 

Total Net Profit 90,445,793
Recommended Margin Capital 10,248,155
Return on Recommended Capital 882.56%
Return on Recommended Capital(Annualized) 87.50%
No of Trades 753,935
No of LONG Trades 480,672
No of SHORT Trades 273,263
Start Date 1/2/2002
End Date 2/3/2012
Sharpe Ratio 5.8069

Equity Curve (Back-test 2002-2012)

 
General
No of Time Frames 27
No of Model Instances >800
Commission per Contract depends on instrument
Slippage per Contract depends on instrument
Interest Rate 2.00%

1 contract per model instance.

No reinvestment.

Back-test performed using Intra-day 1 minute data with Look-Inside-Bar resolution. Commission and slippage kept constant.

PORTFOLIO OF ALL MODEL INSTANCES_ 14 INSTRUMENTS Futures

Statistics (Trading Day in $)

 

Mean 34,881.06
Standard Deviation 96,367.87
Variance 9286765904
Skewness 1.76
Kurtosis 7.07
Mode 1732.00
Minimum -254,448.00
Maximum 945,989.00
Range 1,200,437.00
Distribution Histogram of Daily Returns
 
Advanced Statistics (Trading Day in $)

 

Mean Abs. Deviation 67,896.72
SemiVariance 2,891,108,335.95
SemiDeviation 53,769.03
Value at Risk 95% 223,123.00
Cond. Value at Risk 95% 20,150.49
Mean Confidence 95% 1,888.78
Std. Dev. Confidence 95% 2,844.57
Coefficient of Variation 2.76
Standard Error 963.63
Expected Loss -15,829.99
Expected Loss Ratio 0.2379
Expected Gain 50,711.05
Expected Gain Ratio 0.7621
Expected Value Margin 0.5242

 

As we have a reasonably large number of observations of past performance of the variable, we have used the past data itself for Monte Carlo simulation trials. Above distribution is simulated using 10,000 trials.

 

For Monte Carlo simulation we used past data of all available TREC model instances for concrete instrument. Past data excludes weekends, holidays and no trading days.

CONTACT US

Contact our sales department by leaving us a message or call today at +370-698-80738 for more information on our trend following model TREC.

 

TREC
FULLY AUTOMATED

Comments are closed.