© 2015 by Emini Futures Day Trader. 

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Trading Futures, Options on Futures, and retail off-exchange foreign currency transactions involves substantial risk of loss and is not suitable for all investors. You should carefully consider whether trading is suitable for you in light of your circumstances, knowledge, and financial resources.  You may lose all or more of your initial investment. Opinions, market data, and recommendations are subject to change at any time.  Past performance is not indicative of future results.  Low daytrade margins are a double edged sword, as lower margins mean you have higher leverage and therefore higher risk.   

E-Mini S&P 500 Futures Contract - Daily Chart Delayed

EminiES System Prediction Envelope

Prediction Envelope

Date: October 16, 2019

Look Back Period: One Year

The green envelope shows the range of possible equity curves generated by Monte Carlo analysis by sampling from the trades prior to the last N trades in the sequence. As with the other type of Monte Carlo analysis, this analysis generates three curves: the high confidence is the user-chosen confidence level, the low confidence level is 100 minus the entered confidence level, and the middle curve represents 50% confidence (i.e., the median result). The green envelope is the region between the high and low confidence bands.

 

This envelope represents a prediction for the equity curve over the last N trades. The trades that actually took place are shown overlaid on the prediction envelope. By comparing the actual trades to the prediction envelope, this analysis can be used to determine if the trading strategy is still performing within expected bounds. For example, if the last trade (Red Arrow) in the historical sequence of trades falls outside the lower boundary of the envelope, the trading strategy may need to be re-optimized, or it may be prudent to stop trading the strategy. 

Number of Optimizations Since Inception: NONE

S&P 500 Drawdowns