- Equity
- Drawdown
Distribution
Symbol | Deals | Sell | Buy | |
---|---|---|---|---|
US2000 | 245 | |||
Short_VIX_FUT_ETF_(SVXY.N) | 234 | |||
EUSTX50 | 96 | |||
SpotBrent | 79 | |||
US500 | 76 | |||
AUDUSD | 73 | |||
USDCHF | 71 | |||
SVXY.US | 55 | |||
USDJPY | 53 | |||
NOR25 | 48 | |||
AUS200 | 41 | |||
UK100 | 38 | |||
XAUUSD | 35 | |||
CA60 | 32 | |||
SA40 | 30 | |||
Metals_&_Mining_(XME.P) | 28 | |||
NETH25 | 28 | |||
NVIDIA_Corporation_(NVDA.O) | 25 | |||
XAUJPY | 21 | |||
VIX | 20 | |||
BTCUSD | 16 | |||
Global_Energy_ETF_(IXC.P) | 14 | |||
iShares_Mexico_ETF_(EWW.P) | 14 | |||
USDX | 13 | |||
CN50 | 11 | |||
FRA40 | 11 | |||
NVDA.US | 11 | |||
EWW.US | 11 | |||
Invesco_DB_Ag_Fund_(DBA.P) | 10 | |||
XAUAUD | 10 | |||
XAGEUR | 9 | |||
AUDJPY | 9 | |||
XME.US | 8 | |||
IXC.US | 8 | |||
XOP.US | 8 | |||
XAGUSD | 7 | |||
Energy_Select_Fund_(XLE.P) | 6 | |||
India_50_ETF_(INDY.O) | 5 | |||
JPN225 | 4 | |||
GBPUSD | 4 | |||
Cocoa | 3 | |||
MSCI_Indonesia_ETF_(EIDO.P) | 3 | |||
GERTEC30 | 3 | |||
OJ | 2 | |||
EURUSD | 2 | |||
DOGEUSD | 2 | |||
Dividend_ETF_(SDY.P) | 1 | |||
SPA35 | 1 | |||
iShares_ACWI_ETF_(ACWI.OQ) | 1 | |||
SCI25 | 1 | |||
EURJPY | 1 | |||
JPYX | 1 | |||
GBPAUD | 1 | |||
AUDCHF | 1 | |||
USDCAD | 1 | |||
BTCGBP | 1 | |||
ETHAUD | 1 | |||
Crypto30 | 1 | |||
MPL.AU | 1 | |||
25
50
75
100
125
150
175
200
225
250
275
300
|
25
50
75
100
125
150
175
200
225
250
275
300
|
25
50
75
100
125
150
175
200
225
250
275
300
|
Symbol | Gross Profit, USD | Loss, USD | Profit, USD | |
---|---|---|---|---|
US2000 | 259 | |||
Short_VIX_FUT_ETF_(SVXY.N) | 305 | |||
EUSTX50 | 564 | |||
SpotBrent | 190 | |||
US500 | 552 | |||
AUDUSD | 148 | |||
USDCHF | -173 | |||
SVXY.US | -4.5K | |||
USDJPY | 226 | |||
NOR25 | 96 | |||
AUS200 | 462 | |||
UK100 | 335 | |||
XAUUSD | 444 | |||
CA60 | 814 | |||
SA40 | 178 | |||
Metals_&_Mining_(XME.P) | 360 | |||
NETH25 | -7 | |||
NVIDIA_Corporation_(NVDA.O) | 105 | |||
XAUJPY | 305 | |||
VIX | -1.7K | |||
BTCUSD | 302 | |||
Global_Energy_ETF_(IXC.P) | 717 | |||
iShares_Mexico_ETF_(EWW.P) | -164 | |||
USDX | -599 | |||
CN50 | 335 | |||
FRA40 | 188 | |||
NVDA.US | 12 | |||
EWW.US | 483 | |||
Invesco_DB_Ag_Fund_(DBA.P) | -720 | |||
XAUAUD | 1.1K | |||
XAGEUR | 261 | |||
AUDJPY | 12 | |||
XME.US | 104 | |||
IXC.US | 283 | |||
XOP.US | 228 | |||
XAGUSD | 50 | |||
Energy_Select_Fund_(XLE.P) | 123 | |||
India_50_ETF_(INDY.O) | 207 | |||
JPN225 | -33 | |||
GBPUSD | 46 | |||
Cocoa | -19 | |||
MSCI_Indonesia_ETF_(EIDO.P) | -248 | |||
GERTEC30 | 50 | |||
OJ | 80 | |||
EURUSD | -3 | |||
DOGEUSD | 347 | |||
Dividend_ETF_(SDY.P) | 47 | |||
SPA35 | 4 | |||
iShares_ACWI_ETF_(ACWI.OQ) | 24 | |||
SCI25 | 7 | |||
EURJPY | 17 | |||
JPYX | 0 | |||
GBPAUD | 68 | |||
AUDCHF | 72 | |||
USDCAD | -12 | |||
BTCGBP | 15 | |||
ETHAUD | 37 | |||
Crypto30 | 2 | |||
MPL.AU | 55 | |||
2K
4K
6K
8K
|
2K
4K
6K
8K
|
2K
4K
6K
8K
|
Symbol | Gross Profit, pips | Loss, pips | Profit, pips | |
---|---|---|---|---|
US2000 | 6.8K | |||
Short_VIX_FUT_ETF_(SVXY.N) | 515 | |||
EUSTX50 | 20K | |||
SpotBrent | 18K | |||
US500 | 11K | |||
AUDUSD | 5.6K | |||
USDCHF | -3K | |||
SVXY.US | -9.2K | |||
USDJPY | 3.2K | |||
NOR25 | 43K | |||
AUS200 | 27K | |||
UK100 | 24K | |||
XAUUSD | 995 | |||
CA60 | 38K | |||
SA40 | 1.4M | |||
Metals_&_Mining_(XME.P) | 1.5K | |||
NETH25 | 5.2K | |||
NVIDIA_Corporation_(NVDA.O) | 2.5K | |||
XAUJPY | 2.5K | |||
VIX | -981 | |||
BTCUSD | 967K | |||
Global_Energy_ETF_(IXC.P) | 1.6K | |||
iShares_Mexico_ETF_(EWW.P) | 481 | |||
USDX | -5K | |||
CN50 | 33K | |||
FRA40 | 8.2K | |||
NVDA.US | -18 | |||
EWW.US | 1.7K | |||
Invesco_DB_Ag_Fund_(DBA.P) | -157 | |||
XAUAUD | 80K | |||
XAGEUR | 4.6K | |||
AUDJPY | 523 | |||
XME.US | 425 | |||
IXC.US | 547 | |||
XOP.US | 2.3K | |||
XAGUSD | 222 | |||
Energy_Select_Fund_(XLE.P) | 502 | |||
India_50_ETF_(INDY.O) | 190 | |||
JPN225 | -2.9K | |||
GBPUSD | 127 | |||
Cocoa | -108 | |||
MSCI_Indonesia_ETF_(EIDO.P) | -286 | |||
GERTEC30 | 14K | |||
OJ | 266 | |||
EURUSD | -9 | |||
DOGEUSD | 2.3K | |||
Dividend_ETF_(SDY.P) | 300 | |||
SPA35 | 341 | |||
iShares_ACWI_ETF_(ACWI.OQ) | 131 | |||
SCI25 | 45 | |||
EURJPY | 221 | |||
JPYX | -26 | |||
GBPAUD | 455 | |||
AUDCHF | 192 | |||
USDCAD | -8 | |||
BTCGBP | 9.8K | |||
ETHAUD | 4.9K | |||
Crypto30 | 173 | |||
MPL.AU | 60 | |||
1M
2M
3M
4M
5M
|
1M
2M
3M
4M
5M
|
1M
2M
3M
4M
5M
|
- Deposit load
- Drawdown
The average slippage based on execution statistics on real accounts of various brokers is specified in pips. It depends on the difference between the provider's quotes from "Pepperstone-MT5-Live01" and the subscriber's quotes, as well as on order execution delays. Lower values mean better quality of copying.
Tradeview-Live
|
0.00 × 1 | |
TickmillUK-Live
|
0.00 × 2 | |
ICMarketsSC-MT5-4
|
0.00 × 9 | |
ICMarketsEU-MT5
|
0.23 × 35 | |
Exness-MT5Real3
|
0.31 × 345 | |
PacificUnionLLC-Live
|
0.48 × 46 | |
FXPIG-Server
|
0.60 × 200 | |
ICMarketsEU-MT5-2
|
0.74 × 27 | |
ActivTradesCorp-Server
|
0.75 × 4 | |
Tickmill-Live
|
0.85 × 176 | |
AdmiralsGroup-Live
|
1.00 × 1 | |
ICTrading-MT5-4
|
1.00 × 4 | |
EvolveMarkets-MT5 Live Server
|
1.00 × 5 | |
TitanFX-MT5-01
|
1.12 × 69 | |
Exness-MT5Real9
|
1.13 × 8 | |
Darwinex-Live
|
1.13 × 113 | |
Eightcap-Live
|
1.19 × 254 | |
ICMarketsSC-MT5
|
1.33 × 1706 | |
ICMarketsSC-MT5-2
|
1.41 × 28883 | |
Exness-MT5Real7
|
1.42 × 389 | |
PepperstoneUK-Live
|
1.50 × 88 | |
Alpari-MT5
|
1.59 × 114 | |
ForexTimeFXTM-Live01
|
1.60 × 5 | |
ICMarkets-MT5
|
1.76 × 235 | |
VantageFX-Live
|
1.84 × 94 | |
This system is designed to produce above average returns by trading stock market indicies, the VIX, and some commodities in a grid fashion with leverage. There is a dynamic position sizing system based mostly on account size, and there is NO MARTINGALE used in this strategy.
The idea behind the strategy is that since stock markets have an expected return above zero over the long term, then a grid strategy that is long-only would also have a positive expected return. The returns are amplified with leverage. The VIX is inversely correlated with stock market movements, meaning that going long on the VIX is a hedge against a stock market downturn. This protects against fast market crashes.
Commodities are uncorrelated with both the stock market and the VIX, adding diversification into the system.
Backtesting has been optimised and is calculated in a pessimistic environment, where all symbols pay swaps. In reality, some symbols will earn overnight swaps, but parameters were picked assuming that swaps are always paid rather than earned. Backtesting results shows (with paying swaps):
- Monthly Returns = 6%
- Sharpe Ratio = 2.11
- Sortino Ratio = 3.17
- Max Drawdown = 14.75%
- Gini Coefficient (equality of profits across symbols) = 0.2
It is exceedingly unlikely that this account blows up, with a max DD of < 15% occuring over a 2 year period that includes major stock market declines.