This strategy combines "sharp Sharpe ES" and "sharp Sharpe NQ". The position size is fine-tuned using Micro E-Mini futures. The strategy is intraday and long-only.
This strategy has been effective since January 2023, the period in 2022 was for testing purposes and is not relevant.
In December 2024, the strategy can hold positions overnight.
In December 2024, currencies and gold futures were added.
The following curve represents the backtest of the strategy *:
* Backtest based on 1/2 tick fees per trade to account for slippage and commissions
The associated statistics are summarized in the table below:
Drawdown analysis provides a comprehensive overview of the distribution of drawdowns within the backtest. The histograms are designed to illustrate both the magnitude and frequency of these drawdowns, whether in terms of their value or duration.