1D | 0.6 % |
1W | 0.8 % |
2W | 2.9 % |
1M | 2.9 % |
3M | 0.2 % |
6M | -0.2 % |
9M | 3.8 % |
1Y | 0.3 % |
Alpha
1.8%
|
Beta
0.02
|
sharpe-R
0.31
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.92
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-16 00:31:32 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -4.03% |
Max. DrawDown Benchmark | -19.03% |
This Long Only strategy aims to find promising assets to invest in for a maximum holding period of 3 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 | Asset Class | Action | Weight | Entry Price | Current Price | PnL | Entry Date |
---|---|---|---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Commodity | Buy | 20.5% | 7.62% | 2024-08-29 | ||
NG.FUT Natural Gas Future | Commodity | Buy | 20.41% | 7.15% | 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 |