1D | 0.6 % |
1W | 1.3 % |
2W | 4.7 % |
1M | 4.7 % |
3M | 2.8 % |
6M | 4.2 % |
9M | 7.9 % |
1Y | 3.7 % |
Alpha
5.0%
|
Beta
0.05
|
sharpe-R
0.61
|
Benchmark
SPGSCI (S&P-GSCI Commodity Index Future)
|
sharpe-R Benchmark
-0.92
|
Calculation Frequency | Daily |
Latest Valuation Time | 2024-09-16 00:31:35 |
Launch Date | 2023-01-01 00:00:00 |
First Valuation Date | 2021-01-01 00:00:00 |
Max. DrawDown | -3.46% |
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 | 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 |
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% |