1D | 0.0 % |
1W | 0.0 % |
2W | 0.0 % |
1M | 0.0 % |
3M | 17.5 % |
6M | 14.3 % |
9M | 20.0 % |
1Y | 20.0 % |
Alpha
19.6%
|
Beta
0.07
|
sharpe-R
1.74
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.35
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-11-05 00:31:50 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -3.46% |
Max. DrawDown Benchmark | -16.49% |
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 | Action | Perf % |
---|---|---|
NG.FUT | Sell All | 36.43% |
KE.FUT | Sell All | 3.5% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 13.62% | 3.41% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 49.33% | 22.84% | 2024-08-30 |
Asset | Action | Weight |
---|---|---|
NG.FUT | Sell | -1.58% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 13.87% | 1.48% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 49.33% | 14.71% | 2024-08-30 |
Asset | Action | Weight |
---|---|---|
NG.FUT | Sell | -1.39% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KE.FUT KC HRW Wheat Front Future | Buy | 14.69% | 5.83% | 2024-08-29 |
NG.FUT Natural Gas Future | Buy | 49.33% | 9.81% | 2024-08-30 |
Asset | Action | Weight |
---|---|---|
NG.FUT | Sell | -1.02% |
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 |