ETF Basket-Trader (Closed)
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | (8.1%) | (2.8%) | +0.1% | (0.7%) | (1.2%) | - | ||||||
| 2008 | +0.4% | +7.5% | (0.1%) | (0.2%) | (0.2%) | (5.2%) | +15.6% | (0.5%) | (19.6%) | (4.4%) | (3.3%) | +2.4% |
| 2009 | (1%) | (1.5%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) |
| 2010 | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | +0.5% |
| 2011 | (0.6%) | - | (0.3%) | (0.3%) | (0.6%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) |
| 2012 | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) | (0.3%) |
| 2013 | (0.3%) | (0.3%) | (0.3%) | - | (0.3%) |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Stocks, Futures |
|---|---|
| Strategies | Technical analysis |
| System started | 7/6/2007 (72 months ago) |
| System developer |
Keith Fitschen 
(Last login to C2: 3/9/13 15:36) C2 Score: 986  Vendor has created 13 other systems. Show The name of this system has been changed 1 time. Show |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 11/28/08 9:46 | SELL | 177 | WDFC | WD-40 CO | 27.96 | 12/1 9:52 |
27.64 | Low | $53 |
| 11/28/08 9:42 | BUY | 254 | WCN | WASTE CONNECTIONS | 19.68 | 12/1 9:52 |
18.53 | Low | ($299) |
| 11/28/08 9:43 | BUY | 80 | TECH | TECHNE CORP | 62.34 | 12/1 9:52 |
60.97 | Low | ($112) |
| 11/28/08 9:43 | BUY | 313 | SNPS | SYNOPSYS INC | 15.79 | 12/1 9:52 |
15.52 | Low | ($91) |
| 11/28/08 9:45 | BUY | 370 | SHLM | A. SCHULMAN INC | 13.27 | 12/1 9:51 |
14.14 | Low | $315 |
| 11/28/08 9:45 | BUY | 281 | SAI | SAIC INC | 17.87 | 12/1 9:51 |
17.55 | Low | ($96) |
| 11/28/08 9:46 | SELL | 314 | RCII | RENT A CENTER INC | 15.87 | 12/1 9:51 |
15.53 | Low | $101 |
| 11/28/08 9:45 | BUY | 178 | RCI | ROGERS COMMUNICATION B NON-V | 26.93 | 12/1 9:51 |
27.87 | Low | $163 |
| 11/28/08 9:42 | BUY | 14 | QID | Proshares UltraShort QQQ ETF 2x | 370.85 | 12/1 9:50 |
395.10 | Low | $338 |
| 11/28/08 9:48 | SELL | 123 | PH | PARKER HANNIFIN CORP | 40.65 | 12/1 9:50 |
38.18 | Low | $302 |
| 11/28/08 9:43 | BUY | 309 | ORCL | ORACLE CORP | 15.96 | 12/1 9:50 |
15.54 | Low | ($136) |
| 11/28/08 9:33 | SELL | 275 | NXY | NEXEN INC | 19.05 | 12/1 9:50 |
19.13 | Low | ($28) |
| 11/28/08 9:46 | SELL | 216 | NFX | NEWFIELD EXPLORATION | 22.94 | 12/1 9:49 |
20.85 | Low | $447 |
| 11/28/08 9:37 | SELL | 546 | MAS | MASCO CORP | 9.20 | 12/1 9:49 |
9.07 | Low | $60 |
| 11/28/08 9:49 | SELL | 241 | KOP | KOPPERS HOLDINGS | 20.61 | 12/1 9:49 |
19.93 | Low | $159 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 1,556 |
| # Profitable | 716 (46.0%) |
| # months tracked | 71 |
| Profitable months | 6 (8.5%) |
| Avg trade duration | 3.4 days |
| Annual return (compounded) | -1.1% |
| Average win | $418 |
| Average loss | $365 |
| Profit factor | 1.0:1 |
| Max peak-to-valley drawdown (historical) | 31.45% |
| drawdown period | Aug 15, 2008 to Nov 20, 2008 |
| Correlation w/ S&P | 0.097 |
| Sharpe ratio | -0.17 |
| 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 | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | -0.01 |
| Average P/L per unit traded | ($4.76) |
| Sum of dividends and cash expir. in model account | $891 |
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System Description
I am registered with the CFTC as a publishing CTA. All performance numbers that follow are hypothetical. The following CFTC disclaimer concerning hypothetical performance should be read and understood:
"HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALOS, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECTUED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN."
This strategy was developed on a basket of 143 Exchange Traded Funds (ETFs) using data from the year 2000 on.
Across these markets, the strategy has had the following stats from Jan. 2000 through May 2007:
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
15,527 8,450 149.6 0.62
Long Breakout
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
10,893 5,457 90.5 .55
Short Breakout
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
4,894 3,130 61.1 .76
Through May 2007, the strategy averaged 10 long trades and 2.5 short trades per day in 2007. In C2, each position will be opened with approximately $5,000 of stock. The account will be traded at 1.4 times equity (40 percent margin) and all short signals will be taken, unless the total of shorts would be greater than have the positions. The goal is to hedge with short positions as much as possible. Each day as positions close they will be replaced.
All trades will be signalled before the open of trading for execution on the open, the most liquid time of the day. There will be no "adding to losers".
This strategy is easily used on smaller accounts, either with, or without the use of margin. Just compute a "bet size" (Im using $5,000 here) and take as many shorts as possible, up to half the number of positions. Caution: dont make your "betsize" too small. You need to be able to comfortably cover transaction costs (slippage and commission) and make a profit. With a $5,000 betsize, and an average profit-per-trade of 0.62 percent, the average return on a position should be about $31. If your commission is low, and you execute on the open to minimize slippage, then transaction costs on that trade should be less than $6; your return ($25) to transaction cost ($6) ratio is large (over 4 to 1). But if you use a betsize of $1,000, your return per position is $6 with almost all of that is eaten away by transaction costs.
"HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALOS, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECTUED, THE RESULTS MAY HAVE UNDER- OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN."
This strategy was developed on a basket of 143 Exchange Traded Funds (ETFs) using data from the year 2000 on.
Across these markets, the strategy has had the following stats from Jan. 2000 through May 2007:
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
15,527 8,450 149.6 0.62
Long Breakout
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
10,893 5,457 90.5 .55
Short Breakout
Winning Trades: Losing Trades: Profit (Percent): Percent Profit Per trade
4,894 3,130 61.1 .76
Through May 2007, the strategy averaged 10 long trades and 2.5 short trades per day in 2007. In C2, each position will be opened with approximately $5,000 of stock. The account will be traded at 1.4 times equity (40 percent margin) and all short signals will be taken, unless the total of shorts would be greater than have the positions. The goal is to hedge with short positions as much as possible. Each day as positions close they will be replaced.
All trades will be signalled before the open of trading for execution on the open, the most liquid time of the day. There will be no "adding to losers".
This strategy is easily used on smaller accounts, either with, or without the use of margin. Just compute a "bet size" (Im using $5,000 here) and take as many shorts as possible, up to half the number of positions. Caution: dont make your "betsize" too small. You need to be able to comfortably cover transaction costs (slippage and commission) and make a profit. With a $5,000 betsize, and an average profit-per-trade of 0.62 percent, the average return on a position should be about $31. If your commission is low, and you execute on the open to minimize slippage, then transaction costs on that trade should be less than $6; your return ($25) to transaction cost ($6) ratio is large (over 4 to 1). But if you use a betsize of $1,000, your return per position is $6 with almost all of that is eaten away by transaction costs.
- 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.
