Chip Street Capital · Trading report
Derivatives trading
91 trades, one contract at a time, judged by what they risked as much as what they made.
01 / Strategy
From discretionary observations to systematic rules.
The work combines daily futures market observation with strategy development: identifying setups, documenting outcomes, avoiding weak conditions, and translating the strongest patterns into logic that can be tested and automated.
Not trading is part of the strategy. Across 225 possible sessions the log records 91 trades, so more than half were passed: FOMC days, holidays, and setups that failed the filters. The filter is what keeps a bad week from becoming a bad month.
02 / Contract and execution
One contract, intraday, flat into the close.
Results are quoted in points and dollars per contract rather than as a percentage return, because a percentage depends on how the account is margined and the log does not record that.
- Instrument
- E-mini S&P 500 (ES), CME
- Contract multiplier
- $50 per index point
- Minimum tick
- 0.25 pt = $12.50
- Notional per contract
- Index level × $50
- Size
- 1 contract per trade, no scaling
- Holding period
- Intraday only, flat into the close
- Days not traded
- FOMC days, holidays, setups that fail the filters
03 / Performance
$22,449 over 45 weeks, every month positive.
Equity curve
Realised P&L in USD, 1 ES contract per trade · January to September 2026Month by month
Realised P&L in USD · bars scaled to the strongest month04 / Risk analysis
Losses stayed small and short.
Week level statistics from the same log. They show how the result was reached: how often weeks lost, how large the losses were, and how long recovery took.
| Winning / losing / flat weeks | 30 / 9 / 6 |
|---|---|
| Average winning week | $907 |
| Average losing week | −$529 |
| Gains in winning weeks ÷ losses in losing weeks | 5.7x |
| Best week | $2,539 (July W2) |
| Worst week | −$1,092 (February W3) |
| Longest run of losing weeks | 2 weeks |
| Longest run without a losing week | 12 weeks |
| Largest drawdown | −$1,684, February W1 to February W3 |
| New equity high after drawdown | March W1, 3 weeks after the low |
| Largest single trade loss | −$1,600 |
The largest drawdown, −$1,684, is 7.5% of the period's net profit, and the curve made a new high 3 weeks after the low. Losing weeks never ran longer than 2 in a row.
05 / Return per contract
What one contract earned.
Expectancy is net P&L divided by trades taken. The drawdown ratio divides net P&L by the largest peak to trough decline on the weekly equity curve.
06 / Limitations and next steps