1D | 1.7 % |
1W | 2.4 % |
2W | 5.8 % |
1M | 5.8 % |
3M | 4.8 % |
6M | 3.8 % |
9M | 5.6 % |
1Y | 0.9 % |
Alpha
2.2%
|
Beta
0.04
|
sharpe-R
0.24
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.92
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-16 00:31:31 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -3.78% |
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 | 14.67% | 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 | 49.68% | 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 | 14.94% | 5.25% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 49.33% | 5.23% | 2024-08-30 |
Asset | Action | Weight |
---|---|---|
NG.FUT | Sell | -0.89% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 14.66% | -0.09% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 49.33% | 0% | 2024-08-30 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 14.67% | 0% | 2024-08-29 |
Asset | Action | Perf % |
---|---|---|
ZO.FUT | Sell All | -1.78% |