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Not Favorite MagicBreak Mini S&P 15' v2

Developer
Joel Galí
Product
E-mini S&P future
System Type
Intraday
Cost
USD 45 / monthly
Account:
Guest
Status:
Not Active See more
THE FOLLOWING IS HYPOTHETICAL MODEL ACCOUNT PERFORMANCE
Total P/L
since 01/17/2001
Tracked P/L
since 09/24/2014
Live P/L
since 10/31/2014
Worst
Drawdown
Suggested
Capital
Required
Capital
$76,303 (+3.68%) ($25,439) ($4,034) ($40,584) $110,000 $3,500
Analyzed Sessions 4876 Winning Sessions
54.7%
Worst Drawdown ($40,584) (12/21/2018)
Total P/L $76,303 Current Run-up since DD low $3,502 Current Drawdown ($37,082) (05/26/2015)
Annual ROI +3.68% Best Session $5,285 (12/26/2018) Worst Session ($2,813) (08/24/2015)
Profit Factor 1.29 Winning Session Average $558.38 Losing Session Average ($522.27)
Comm. per side $7.50 % Time with Open Position 8.25% Slippage per side -0.1546 ($7.73)
TM Rating TM Rating 0 0/3 Sharpe / Sortino Ratios 0.6509 / 1.0897 Sterling / MAR Ratios -0.4053 / 0.0769
It is a composite system that combines multiple methods to generate incoming signals. If the conditions are right, operates by opening the position for the first few minutes of the session and remains open until the end of the day or until it hit the stop loss.

The system attempts to find the days on which the market will have greater movement in the same direction, operating only when the chances of success are high. The usual frequency of operations is 1 to 2 per week.

As an intraday system works best in periods that there is strong trend and/or high volatility, so they can better take advantage of a single day movements. In lateral and very low volatility periods can be expected to underperform.

This is the second version with some improvements and, in general, should be more robust in the lateral periods and suffer minor drawdowns.
  Backtested  
  Tracked  
  Live Trading
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Total %
2019 $1,770 $3,068 ($3,459) $1,622 ($4,528) $1,075 $1,107 ($990) $462 ($1,057) ($176) - ($1,106) -1.0%
2018 ($1,125) ($4,889) ($3,421) $5,556 $2,734 ($943) ($1,173) ($1,717) ($1,366) $2,071 ($4,734) ($7,698) ($16,704) -15.2%
2017 $964 $164 ($2,487) ($1,415) ($323) $1,292 ($1,744) ($1,262) ($1,006) $179 $280 ($1,576) ($6,934) -6.3%
2016 ($7,075) $2,133 $2,918 $1,363 ($685) ($895) $780 $853 $1,425 $750 $1,173 $120 $2,857 2.6%
2015 $155 $1,598 $1,724 $1,587 $1,961 ($4,094) ($2,919) ($5,471) ($3,203) $1,232 $883 ($986) ($7,534) -6.9%
2014 ($2,390) $4,142 $282 $96 $594 ($326) $436 $1,315 $2,041 ($21) $727 $1,215 $8,111 7.4%
2013 $665 ($830) $1,691 ($187) ($1,112) $2,307 ($230) $655 ($1,393) $2,201 $543 $787 $5,097 4.6%
2012 $721 $1,266 $35 $3,195 ($1,199) $839 $553 ($11) $2,085 $127 $1,313 $379 $9,304 8.4%
2011 $1,453 ($104) $1,294 $16 ($1,482) $1,586 $2,179 $4,317 $3,347 $6,254 $1,432 ($3,464) $16,829 15.3%
2010 ($465) $1,058 $903 ($98) $2,147 $1,616 $140 $415 ($129) $363 ($174) $996 $6,772 6.1%
2009 $618 ($808) $843 $2,643 ($20) $1,405 ($20) $118 $1,305 $1,230 $155 $443 $7,910 7.2%
2008 $4,168 ($883) $4,180 ($2,095) $143 $618 ($658) $380 $4,493 $2,343 $9,480 $2,593 $24,760 22.5%
2007 $80 $593 ($95) ($20) $393 $968 $505 ($1,408) $305 $355 $1,743 ($1,283) $2,135 1.9%
2006 $705 $943 $768 ($295) ($195) $1,155 $868 $305 ($333) ($708) ($745) $805 $3,273 3.0%
2005 ($745) $255 ($58) ($858) $55 $305 $918 ($220) ($20) $230 ($258) $718 $323 0.3%
2004 $343 ($620) ($320) $230 $793 $118 ($320) ($270) ($70) ($95) $580 $980 $1,348 1.2%
2003 $1,255 ($333) ($770) ($1,033) $868 ($458) $643 $293 $68 $880 ($295) $618 $1,735 1.6%
2002 $393 ($808) $130 $705 $318 $2,543 $5,355 $1,180 ($1,470) $2,005 $718 $780 $11,848 10.7%
2001 $238 $1,080 ($1,858) $2,105 $280 $768 $580 $380 $2,405 ($495) ($233) $1,030 $6,280 5.7%
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