1D | 0.9 % |
1W | 1.2 % |
2W | 3.3 % |
1M | 3.2 % |
3M | 1.9 % |
6M | 0.1 % |
9M | 1.6 % |
1Y | -2.6 % |
Alpha
-0.8%
|
Beta
0.02
|
sharpe-R
-0.26
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.92
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-16 00:31:28 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -4.24% |
Max. DrawDown Benchmark | -19.03% |
This Long Only strategy aims to find promising assets to invest in for a maximum holding period of 2 Weeks 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 | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 19.6% | 0% | 2024-09-13 |
Asset | Action | Perf % |
---|---|---|
NG.FUT | Sell All | 9.81% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
NG.FUT Natural Gas Future | Buy | 20.43% | 6.63% | 2024-08-30 |
Asset | Action | Perf % |
---|---|---|
KE.FUT | Sell All | 5.02% |
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% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
ZO.FUT Oat Front Future | Buy | 20.41% | 4.26% | 2024-07-19 |
Asset | Action | Perf % |
---|---|---|
KC.FUT | Sell All | -3.69% |