Ploutos V2.21 (No longer trading)

Ploutos is a trading system that employs guerilla trading techniques with a very strong emphasis on risk management facilitating a controlled exposure to precious metals, copper and oil

Ploutos uses four futures contracts and trades them in a single account. This leverages the performance exponentially producing what we consider to be excellent returns. Below are the results of the backtesting of this system, an independent analysis by Adam Landes and finally the results of the individual tests.

Ploutos uses the same algorithms as Cassandra, which has been in forward test since November 2012 on earlier versions of the system.

Guerrila Trading Rules

  • Employ a small controlled percentage of available capital for each trade
  • Reduce risk to a minimum by trading as little as possible (typical trades last  a few hours to a few weeks)
  • Spread risk and magnify gains  by using multiple instruments packaged together in a single "fund"
  • Use infinite patience and iron discipline to wait for the correct trading opportunity
  • Take profits early but keep a runner and give it  "wiggle" room
  • Any system tuning to be done on instrument character and kept to an absolute minimum
  • A maximum loss level to be used for each instrument, if breached trading stops for that season
  • To maximize the return runners should use a trailing stop with no target

Ploutos Mission Statement

Enable fund managers to have good exposure to commodities, keeping drawdown to a maximum of 15% whilst not limiting profit potential and having a minimum performance of 35% PA.

Combined Backtest Performance(logarithmic) Curve 2007-2013

 

 

System Performance

Annual Performance

 

 

 

 

 

 

 

 

 

Drawdown

The maximum drawdown of 8.95% occurred in November 2007 2010.

Various methods are used in the algorithms to control risk but during periods of low volume price tends  to chop and drawdowns are inevitable. Like all breakout systems if price breaks out then reverses there are hits to equity. Commodities will trend for long periods of time but this trading environment could change. The system is designed to perform well in both bull and bear markets but will suffer if it stagnates.

Drawdown is calculated from banked profits only, The system sets targets when a position is opened and takes profits when the targets are hit closing (75% of a full size position) this acts as insurance against reversals, the remaining 25% position is a runner managed by means of a wide trailing stop. This being the case the drawdown from unbanked profits will be much larger, the system considers unbanked profits to be working capital and is designed to maximize the return on these remaining positions not minimize drawdown. It can be uncomfortable watching a runner hit a stop for a small loss after achieving a good profit. You have been warned don't count your chickens until they are hatched!

The system will still be profitable if runner hit their stops early but the lions share of profits come from allowing the runners to shine and giving them "wiggle" room.

 

 

Monthly performance

 

Average Monthly performance

 

 

 

 

 

 

 

Foundation Forex Analysis

Version 2.20 of the Ploutos system has been independently analyzed by one of my partners Adam Landes of Foundation Forex. Adam took the raw data from the Metatrader backtests and produced his own set of data based on the combined and leveraged performance of the 4 futures contracts that constitute the Ploutos system. My analysis is geared towards checking the functionality and profitability of the system, managing risk and drawdown. Adam has brought to bear his much greater financial experience taking the analysis to a much higher level. Below are some of the results of his work. It shpould be noted that in the subsequent version 2.21 the profits were similar at 10M but the drawdown was reduced to 9%in V2.21 from 15% in V2.20

For all the instruments, the strategy traded 629 times (including partials) over the back-test period, winning 65.7% of the time. 65.0% of days were winners, with the average daily return (when trades were closed) 1.01%. Positive weekly, monthly, quarterly, and yearly instances were all very high, including 25/27 winning quarters and 7/7 winning years. Modelled maximum drawdown was capped at just under 15%.

There were 179 draw-down phases, averaging 3.3% (one standard deviation 3.6%). Drawdown skew was a very negative (-1.88), i.e. there were few relatively large drawdowns, although their impact was high. Daily (calendar) compund return was 0.19% on back-test, while weekly compund return was 1.35%, monthly compund return was 6.02%, quarterly compound return was 19.17% and finally, yearly compound return was 101.68%. All years on back-test were positive but the performance range quite large, from a high of +290.0% (2011) to a low of +41.4% (2012). During the back-test period, a 1% return was achieved every 5 days, approximately.

The strategy performs best with pronounced volatilty.
.

PLOUTUS BACK-TEST ANALYSIS 2007-2013    
     
Return Analysis    
Initial Deposit $100,000.00  
Profit $10,033,477.21  
Final Balance $10,133,477.21  
Total Return 10033.48%  
Daily Compound Return 0.192%  
Weekly Compound Return 1.353%  
Monthly Compound Return 6.020%  
Quarterly Compound Return 19.170%  
Yearly Compound Return 101.684%  
     
     
Trading Analysis    
Trades 629  
Win Ratio 65.66%  
Profit Factor 2.88x  
Average Win $31,973.77  
Average Loss -$18,966.24  
     
     
Risk Analysis    
Absolute Drawdown (Balance) $0.00  
Percent 0.00%  
Maximum Drawdown (Balance) -$460,439.28  
Percent -6.94%  
Maximum Relative Drawdown (Balance) -$145,689.22  
Percent -14.75%  
Days at Maximum Balance 1,012  
Percent 42.08%  
Days in Drawdown 1,393  
Percent 57.92%  
Drawdown Episodes 179  
Average Drawdown -3.32%  
Standard Deviation 3.56%  
Profitability Analysis          
  Days Weeks Months Quarters Years*
Profitable 308 185 78 25 7
Percentage (of periods with closed trades) 64.98% 69.03% 79.49% 92.59% 100.00%
Max Return 17.70% 28.72% 36.61% 71.20% 289.99%
Min Return -4.01% -7.47% -10.57% -1.74% 41.37%
Average Return 1.01% 1.80% 6.29% 20.67% 113.70%
Standard Deviation 2.53% 3.77% 8.16% 17.78% 79.97%
Skew 2.27 2.72 1.35 1.48 1.68
* 2013 is annualised based on results through end July, 2013.          

 

The full version of Adams Ploutos analysis can be found here

Constituent  Back tests 2007-2013

Every effort has been made to make the backtests as realistic as possible, the tests were conducted between 16:00 GMT and 19:00 GMT on 29th July 2013 using a standard retail Alpari UK account and trading CFD instruments. The account was live and the spread used was whatever Alpari had set at the time. Alpari do not make transaction charges.

 

Inividual Leveraged Performance

3,896,551 832,595 3,639,070 2,281,009
GC SI HG CL

Alpari Commodity CFD product and contract specs

Commodity contracts for difference (CFDs) are contracts that mirror the performance of the underlying commodity with the profit or loss calculated as the difference between the purchase price and the selling price.

Trading hours

Market trading hours are an important factor when trading CFDs every effort has been made to control risk but some slippage is inevitable which has not been accounted for in the backtests. The greatest risk of slippage occurrs when the market is closed for an extended period of time and then re-opens, any news events that have occurred whilst the market was closed will manifest in the price at the open. This could mean a position being closed at a price beyond the specified stop. Each position is relatively small but potentially slippage can have a detrimental effect on  returns. For all the commodities traded the opening hours are 00:15-01:00 Monday-Friday

 

   Copper

Light sweet crude (WTI)

     Gold     

Silver

 

Abbreviation Alpari/exchange

HG./HG CL. GC. SI.

Type

Future Future Future Future

Country

US US US US

Currency

USD USD USD USD

Exchange

CME Comex (Base) Nymex CME Comex (Precious) CME Comex (Precious)

Spread from

50 3 0.3 0.02

Increment

(10 increments) (3 increments) (3 Increments) (4 Increments)

Increment value

0.0005 0.01 0.1 0.005

 

USD12.50 USD10.00 USD10.00 USD25.00

Margin

USD2,000 USD1,000 USD1,000 USD1,000

Contract unit

25,000 lbs 1,000 barrels 100 troy oz 5,000 troy oz

Duration

Monthly Monthly Monthly Monthly

Trading hours*

01:00-00:15 MetaTrader/EET 01:00-00:15 MetaTrader/EET 01:00-00:15 MetaTrader/EET 01:00-00:15 MetaTrader/EET

Quoted months

All (not all months are liquid) All All (not all months are liquid) All (not all months are liquid)

 

 

Individual Securities Backtests

Each of the Ploutos instruments was back-tested using a starting equity of 100k. These tests were conducted using Metatrader 4.00 Build 509. the individual back-test drawdown ranged between 7% and 9% and the PF was between 2 and 4. The algorithms have failsafe mechanisms whereby each instrument will discontinue trading for a season if 3 simultaneous losses occur in that instrument. As previously mentioned the risk for each trade is limited to 2% the results may not reflect this as any profits made by a trade are not included in this maximum risk factor. IE if a trade makes a 2% profit without reaching a target then goes on to hit a 'stop' the drawdown will be 4%.

 

The charts below are the PL curves for each of the 4 Ploutos instruments as in the final results the starting equity for each test was 100k.