The equity curve above shows the cumulative % daily returns of Nightly Patterns trading system tracked monthly.
CAGR = 128,6%
monthly max drawdown = -33,4%
daily compounded maximum drawdown = -39,5%
trade frequency = 1,5 trades per week
inception = November 1993 (live since October 2012)
Nightly Patterns exploits Emini future overnight price behavior. The backtest extends from January 2011 to present.
Here are cumulative monthly percentage returns:
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