DEFINITIONS OF COLUMNS HEADINGS AND CRITERIA TO BE INCLUDED IN AUTO-TRADE FOCUS LIST:
SUGGESTED CAPITAL – SUGGESTED CAPITAL IS A CALCULATED VALUE WHICH USES THE SYSTEM’S WORSE HISTORICAL DRAWDOWN AND VOLATILITY TO TARGET A FUTURE DRAWDOWN LESS THAN -33%. NO GUARANTEE CAN BE MADE THAT THE SYSTEM WILL NOT LOSE SIGNIFICANTLY MORE THAN 33% OF THE SUGGESTED CAPITAL AMOUNT.
MARKET TRADED – MARKET TRADED IS THE FUTURES MARKET THAT THE PROGRAM TRADES.
DEVELOPER – DEVELOPER SHOWS THE NAME OF THE DEVELOPER THAT CREATED THE PROGRAM.
START DATE – START DATE IS THE DATE THAT THE PROGRAM’S HYPOTHETICAL TRACK-RECORD BEGAN.
TOTAL P/L – THE TOTAL PROFIT OR LOSS (P/L) OVER THE ANALYZED PERIOD, NET OF COMMISSIONS, SLIPPAGE AND LICENSE COSTS.
WORST DRAWDOWN – THE WORST PEAK TO VALLEY LOSS OF THE SYSTEM, AS MEASURED ON AN END OF SESSION BASIS, WITH THE DATE OF THE LOW POINT LISTED.
WINNING SESSIONS – THE NUMBER OF TRADING SESSIONS IN THE PERIOD WITH RETURNS GREATER THAN 0.
PROFIT FACTOR – THE PROFIT FACTOR IS THE RATIO BETWEEN PROFITS AND LOSSES, AND ITS CALCULATED BY DIVIDING THE SUM OF PROFITS OVER THE SUM OF LOSSES.
ANNUAL ROI – THE TOTAL RETURN DIVIDED BY THE NUMBER OF YEARS IN THE PERIOD (TOTAL RETURN = NET PROFIT/LOSS DIVIDED BY SUGGESTED CAPITAL).
BEST SESSION – THE TOTAL RETURN DIVIDED BY THE NUMBER OF YEARS IN THE PERIOD (TOTAL RETURN = NET PROFIT/LOSS DIVIDED BY SUGGESTED CAPITAL).
WORST SESSION – THE LOWEST RETURN IN A SINGLE SESSION OVER THE PERIOD ANALYZED.
CRITERIA TO BE INCLUDED IN AUTO-TRADE FOCUS LIST:
ALL OF THE FOLLOWING MUST BE PRESENT AT THE TIME OF FILTERING:
1.) SHARPE RATIO GREATER THAN 1.5
2.) SORTINO RATIO GREATER THAN 3.0
3.) STERLING RATIO GREATER THAN 1.0
4.) MAR RATIO GREATER THAN 0.5
HYPOTHETICAL MODEL ACCOUNT PERFORMANCE DISCLAIMER:
The statistics on this page are calculated via the combination of three hypothetical data sets:
1. Backtested, 2. Tracked, and where available 3. Live.
Backtested performance is calculated by running a trading system backwards in time, and seeing what trades would have been done in the past when applied to backadjusted data. Tracked performance is calculated by running the trading system forwards on data each and every day, and logging the trades as they happen in real time day after day. Live performance is calculated by running the trading system on live tick data for actual clients and tracking the actual buy and sell prices those clients trading the system receive in their account.
We use Live results to calculate monthly returns for any month in which clients were trading for the entire month, Tracked fills for those months in which there are no client fills for the entire month, and computer generated fills for those months occurring before we loaded the system onto our trade servers. The results are hypothetical in that they represent returns in a model account. The model account rises or falls by the single contract profit and loss achieved by the system in whichever data set is available. The hypothetical model account begins with the Sugested Capital listed, and is reset to that amount each month. The percentage returns reflect inclusion of commissions, fees, slippage, and the cost of the system. The commission, slippage, fees, and monthly system costs are subtracted from the net profit/loss prior to calculating the percentage return.
Please note that the method of resetting the model account to the initial value at the start of each month creates a track record which is representative of the simple returns for each time period, but that it does not, by definition, show how returns would compound over time. Should an investor following said program trade a single contract indefinitely without also resetting their account to the initial capital amount each month, their performance will differ from the performance detailed herein.
AGT FUTURES DOES NOT RECOMMEND OR ENDORSE ANY PROGRAMS, INCLUDING THE ABOVE PROGRAMS WITHIN THE AUTO-TRADE FOCUS LIST.