1D | -0.4 % |
1W | 1.9 % |
2W | 1.8 % |
1M | 2.4 % |
3M | -0.3 % |
6M | -0.9 % |
9M | 6.0 % |
1Y | 2.8 % |
Alpha
3.8%
|
Beta
0.04
|
sharpe-R
0.57
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.89
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-19 00:31:45 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -4.26% |
Max. DrawDown Benchmark | -18.94% |
This Long Only strategy aims to find promising assets to invest in for a maximum holding period of 1 Month in the Commodity asset class. The maximum number of assets that can be allocated in this strategy is 5.
The assets selection in this portfolio is based on: Pattern-Driven Strategy.Try Our Peformance Checker Tool
Asset | Asset Class | Action | Weight | Entry Price | Current Price | PnL | Entry Date |
---|---|---|---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Commodity | Buy | 19.96% | 4.3% | 2024-08-29 | ||
NG.FUT Natural Gas Future | Commodity | Buy | 20.69% | 8.13% | 2024-08-30 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 19.59% | -0.09% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 19.6% | 0% | 2024-08-30 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 19.6% | 0% | 2024-08-29 |
Asset | Action | Perf % |
---|---|---|
ZO.FUT | Sell All | -1.78% |
KC.FUT | Sell All | -6.99% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KC.FUT Coffee Future | Buy | 19.12% | -3.91% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 20.1% | 1.01% | 2024-07-19 |
Asset | Action | Perf % |
---|---|---|
SI.FUT | Sell All | -4.66% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 19.14% | -3.62% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 19.26% | -3.02% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 19.87% | 0% | 2024-07-19 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 19.71% | 0.72% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 19.57% | 0% | 2024-07-10 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 19.6% | 0% | 2024-07-04 |
Asset | Action | Perf % |
---|---|---|
KE.FUT | Sell All | -6.38% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 19.6% | 0% | 2024-05-14 |
Asset | Action | Perf % |
---|---|---|
KE.FUT | Sell All | -1.03% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 19.48% | 0.9% | 2024-03-20 |
Asset | Action | Perf % |
---|---|---|
BZ.FUT | Sell All | 7.38% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
BZ.FUT Crude Oil Brent | Buy | 20.1% | 3.71% | 2024-03-14 |
KE.FUT KC HRW Wheat Front Future | Buy | 19.48% | 0% | 2024-03-20 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
BZ.FUT Crude Oil Brent | Buy | 19.76% | 1.54% | 2024-03-14 |
Asset | Action | Perf % |
---|---|---|
OJ.FUT | Sell All | 2.12% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
OJ.FUT Orange Juice Future | Buy | 19.69% | 0.57% | 2024-02-16 |
BZ.FUT Crude Oil Brent | Buy | 19.58% | 0% | 2024-03-14 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
OJ.FUT Orange Juice Future | Buy | 19.6% | 0% | 2024-02-16 |