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25_ES

A trend-following strategy for the ES/MES that leverages VIX-based indicators and moving averages alongside ATR-based risk management to identify and capitalize on market trends. The strategy takes long and short positions. It operates on daily bars and incorporates risk controls to manage drawdowns and optimize returns.

This document will be updated as the strategy is developed, deployed (live or simulation), or distributed. Once discontinued, it will be noted here. The change log can be used to track adjustments and improvements over time.

Strategy 25_ES

Strategy Features:

  • VIX-Based Trend-Following
  • Trades ES/MES
  • Utilizes ATR for Risk Management
  • Daily Bar Size
  • Commissions & Slippage Included in Backtest

Key Metrics
From latest backtest covering 1/2/2015 – 12/27/2024

  • Rate of Return (ROR): 13.28%
  • Max Historical Drawdown: -14.53%
  • Expectancy Per Trade: 1.18%
  • Win Rate: 81.03%
  • Profit Factor: 5.59
  • Sharpe Ratio: 1.08
  • MAR Ratio: 0.91

Settings

Setting Value
Bar Size Daily
Account Size Start $100,000
Data Source RealTest Data File
Universe ESNQ
Date Range 01/02/2015 to 12/27/2024
Platform/Engine RealTest
Use Available Bars False

Summary Stats (Strategy 25_ES)

strategy_25_long strategy_25_short Combined
Periods 2,514 1,734 2,514
NetProfit $101,810 $30,711 $132,522
Comp False False False
ROR 10.20% 4.46% 13.28%
MaxDD -15.37% -1.24% -14.53%
MAR 0.66 3.60 0.91
Trades 51 7 58
PctWins 80.39% 85.71% 81.03%
AvgWin 1.56% 3.40% 1.79%
AvgLoss 1.48% 0.87% 1.43%
Expectancy 0.96% 2.79% 1.18%
TradeLen 4.94 0.00 4.34
ProfitFactor 4.69 25.78 5.59
Sharpe 0.89 0.73 1.08
Volatility 11.41% 6.08% 12.35%
Skew 0.24632 26.11176 2.27045
Sortino 1.40 9.45 1.84
Skipped 53.64% 0.00% 50.43%
AvgExp 19.72% 0.00% 19.72%
MaxExp 304.90% 0.00% 304.90%
AvgUse 19.72% 0.63% 20.16%
MaxUse 301.80% 174.07% 347.56%

Combined Monthly Percent Gains (Strategy 25_ES)

YEAR Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec TOTAL MaxDD
2015 -0.0% 2.6% 2.0% 0.4% 0.0% -0.0% 3.7% 0.0% 0.0% 0.0% 1.5% 0.0% 10.2% -2.6%
2016 0.0% 0.0% 0.0% 0.0% 0.0% 3.1% -0.2% 0.0% 0.4% 0.0% 0.0% 0.0% 3.3% -0.8%
2017 0.0% 0.0% 0.7% 0.0% 1.6% 0.0% 0.0% 1.8% 0.0% 0.0% 0.0% 0.0% 4.1% -0.6%
2018 -0.0% -7.5% -3.0% 2.7% 0.0% 0.8% 2.0% 0.0% 0.0% 1.8% 0.0% 0.0% -3.1% -13.9%
2019 0.0% 0.0% 0.0% 0.0% 0.5% 0.0% 0.0% 1.7% 0.0% 1.1% 0.0% 0.0% 3.3% -6.4%
2020 -0.8% -8.0% 37.8% 0.0% 0.0% 5.1% 0.0% 0.0% 3.8% -0.7% 9.1% 0.0% 46.4% -13.6%
2021 0.0% 0.0% 0.0% 0.0% 5.2% 0.0% 5.4% 0.0% 2.3% 4.6% 0.0% 12.8% 30.4% -4.0%
2022 -1.3% 3.0% -0.0% 3.5% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 5.2% -13.0%
2023 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% -1.5% -2.3% 2.1% 0.0% 0.0% -1.6% -8.7%
2024 2.9% 0.0% 0.0% 1.6% 0.0% 0.0% -0.3% 6.9% 2.2% 0.0% 13.4% 7.7% 34.4% -8.5%
AVG 0.1% -1.0% 3.7% 0.8% 0.7% 0.9% 1.1% 0.9% 0.7% 0.9% 2.4% 2.1% 13.3% -7.2%

Strategy Correlations

Returns

RETURNS strategy_25_long strategy_25_short Combined
strategy_25_long 1.00 -0.03 0.91
strategy_25_short -0.03 1.00 0.38
Combined 0.91 0.38 1.00

Drawdowns

DRAWDOWNS strategy_25_long strategy_25_short Combined
strategy_25_long 1.00 0.04 0.93
strategy_25_short 0.04 1.00 0.00
Combined 0.93 0.00 1.00

Visualizations

Equity
Drawdown
Daily
Monthly

Trade Plots

Plot 0
Plot 1
Plot 2

Monte Carlo Analysis (Strategy 25_ES)

Percentile Net Profit AAR Max Drawdown
1% $80,534 $8,069 ($19,020)
5% $89,846 $9,003 ($15,874)
10% $97,522 $9,772 ($14,146)
20% $108,634 $10,885 ($12,214)
50% $132,522 $13,278 ($14,533)
80% $155,446 $15,576 ($5,744)
90% $167,684 $16,802 ($5,714)
95% $180,459 $18,082 ($4,252)
99% $195,296 $19,568 ($3,040)
backtest $132,522 $13,278 ($14,533)

MCPT Profit
MCPT Excursion


Generated by RealTest. These results are subject to change based on parameter adjustments or further development.