Seleukos Intraday Currency System
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | (9.4%) | +11.7% | +7.9% | +0.6% | +5.3% | (9.5%) | +14.2% | +5.1% | (1%) | +1.9% | ||
| 2007 | (1.1%) | (3.7%) | (1.4%) | (11.5%) | (17.7%) | (16.7%) | (20.5%) | (9.9%) | (2.9%) | (2.4%) | (4.7%) | +6.8% |
| 2008 | +0.5% | +32.5% | (16.6%) | (23%) | (22.2%) | (23.9%) | (84.3%) | +634.2% | +47.4% | (44.9%) | (86.1%) | (512%) |
| 2009 | (33%) | (51.3%) | (19.9%) | (66.5%) | (27.9%) | (36.1%) | (36.4%) | (9.5%) | (5.6%) | (7.3%) | (7.5%) | (4%) |
| 2010 | (0.1%) | (4.6%) | (6.4%) | (4.9%) | (13.4%) | (5.5%) | (0.3%) | (0.4%) | (0.1%) | - | (0.1%) | (0.1%) |
| 2011 | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) |
| 2012 | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) |
| 2013 | (0.1%) | (0.1%) | (0.1%) | (0.1%) | (0.1%) |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Forex |
|---|---|
| Strategies | Market timing, Unclassified |
| System started | 3/7/2006 (88 months ago) |
| System developer |
Seleukos Srl 
(Last login to C2: 10/6/10 12:15) C2 Score: 967  Vendor has created 6 other systems. Show |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 6/14/10 9:00 | SELL | 10 | USD/JPY | 91.843 | 6/14 14:05 |
91.764 | Low | $76 | |
| 6/14/10 10:10 | SELL | 10 | USD/CHF | 1.13699 | 6/14 13:02 |
1.14040 | Low | ($309) | |
| 6/14/10 10:10 | SELL | 10 | EUR/USD | 1.22421 | 6/14 10:22 |
1.22670 | Low | ($259) | |
| 6/14/10 3:55 | SELL | 10 | USD/JPY | 91.868 | 6/14 8:20 |
91.802 | Low | $62 | |
| 6/14/10 3:55 | BUY | 10 | EUR/USD | 1.21708 | 6/14 5:54 |
1.22560 | Low | $842 | |
| 6/14/10 3:55 | SELL | 10 | USD/CHF | 1.14173 | 6/14 5:02 |
1.13600 | Low | $494 | |
| 6/11/10 10:10 | BUY | 10 | USD/CHF | 1.14946 | 6/11 11:23 |
1.15410 | Low | $393 | |
| 6/11/10 10:10 | SELL | 10 | EUR/USD | 1.21201 | 6/11 11:08 |
1.20720 | Low | $471 | |
| 6/11/10 9:03 | SELL | 10 | USD/JPY | 91.309 | 6/11 9:56 |
91.583 | Low | ($309) | |
| 6/11/10 3:55 | SELL | 10 | USD/CHF | 1.14278 | 6/11 8:20 |
1.14593 | Low | ($285) | |
| 6/11/10 3:55 | BUY | 10 | EUR/USD | 1.21136 | 6/11 8:20 |
1.21283 | Low | $137 | |
| 6/10/10 10:11 | BUY | 10 | USD/CHF | 1.14195 | 6/10 15:45 |
1.14280 | Low | $64 | |
| 6/10/10 10:11 | SELL | 10 | EUR/USD | 1.21077 | 6/10 15:45 |
1.21268 | Low | ($201) | |
| 6/10/10 9:00 | SELL | 10 | USD/JPY | 91.228 | 6/10 14:28 |
91.224 | Low | ($6) | |
| 6/10/10 3:55 | BUY | 10 | EUR/USD | 1.20228 | 6/10 8:20 |
1.20446 | Low | $208 | |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 5,894 |
| # Profitable | 2,731 (46.3%) |
| # months tracked | 87 |
| Profitable months | 12 (13.8%) |
| Avg trade duration | 4.0 hours |
| Annual return (compounded) | -0.2% |
| Average win | $594 |
| Average loss | $513 |
| Profit factor | 1.0:1 |
| Max peak-to-valley drawdown (historical) | 51.54% |
| drawdown period | March 07, 2007 to July 30, 2009 |
| Correlation w/ S&P | 0.028 |
| Sharpe ratio | -0.06 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 100.0% |
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 50% account loss | 1.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | -0.01 |
| Average P/L per unit traded | ($13.00) |
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System Description
Seleukos Intraday Currency System is an intraday completely systematic and never discretionary trading system developed for regular gains and reduced draw down.
It trades 5 currency pairs: USD/CHF, USD/JPY, EUR/USD, EUR/JPY and CHF/JPY. Each pair may be split into two independent subsystems specialized for morning and afternoon trading (according to European time). Each subsystem can trade or not and each trading signal comes with pre-calculated stop loss and take profit levels. Please note that what is extremely important to the system is the time of entry and exit (if not stopped either side) signals. For example, a typical trading signal may be: "buy to open EUR/USD at 10:10 EST time (16:10 CET), stop loss 0.8%, take profit 0.5%. In every case sell to close EUR/USD at 15:45 EST time (21:45 CET)".
This approach can be very interesting because the algorithm does not make decisions in real time, making it possible to advise customers in advance in order to minimize slippage issues. Moreover, trades last about 4.5 hours, hence there are no overnight positions.
The system is based on ad hoc revised fractal math which uses daily and intraday (minutes) market data. In addition, custom made averages co-operate with the core algorithm in making decisions. Of course, entry and exit time are dictated by the algorithm itself. Models are rebalanced every few months following a pre-determined calendar. Tests have been conducted over market data from august 2001 using a strategy we call "fully blind": we look for the algorithms parameters which have worked best in the last, say, three months and we apply them to the coming ones. Hence to the system there is no difference between test and real time.
See also the other Seleukos Intraday Currency2 System, created for diversification purposes.
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
