1D | 1.4 % |
1W | 3.4 % |
2W | 3.4 % |
1M | 3.4 % |
3M | 1.6 % |
6M | 4.5 % |
9M | 9.0 % |
1Y | 4.7 % |
Alpha
4.7%
|
Beta
0.05
|
sharpe-R
0.72
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.88
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-07 00:31:44 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -4.08% |
Max. DrawDown Benchmark | -16.41% |
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 | 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% |
KC.FUT | Sell All | -6.99% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
KC.FUT Coffee Future | Buy | 14.23% | -3.91% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 15.15% | 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 | 9.39% | -3.62% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 14.35% | -3.02% | 2024-07-10 |
ZO.FUT Oat Front Future | Buy | 14.99% | 0% | 2024-07-19 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 9.73% | 0.72% | 2024-07-04 |
KC.FUT Coffee Future | Buy | 14.67% | 0% | 2024-07-10 |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
SI.FUT Silver Future | Buy | 9.67% | 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 | 14.67% | 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 | 14.53% | 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 | 49.33% | 6.07% | 2024-03-14 |
KE.FUT KC HRW Wheat Front Future | Buy | 13.96% | -4.33% | 2024-03-20 |
Asset | Action | Weight |
---|---|---|
BZ.FUT | Sell | -0.88% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
BZ.FUT Crude Oil Brent | Buy | 49.33% | 3.71% | 2024-03-14 |
KE.FUT KC HRW Wheat Front Future | Buy | 14.67% | 0% | 2024-03-20 |
Asset | Action | Weight |
---|---|---|
BZ.FUT | Sell | -0.8% |
Asset | Action | Weight | PnL | Entry Date |
---|---|---|---|---|
BZ.FUT Crude Oil Brent | Buy | 49.6% | 1.54% | 2024-03-14 |
Asset | Action | Perf % |
---|---|---|
OJ.FUT | Sell All | 2.12% |