Bond Portfolio E9
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Hypothetical Monthly Returns (using typical broker commissions)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | +0.6% | +1.8% | +2.2% | +9.4% | (3%) | |||||||
| 2010 | +9.3% | +6.9% | (0.8%) | +3.0% | +9.2% | +2.8% | +5.2% | +4.8% | (2.2%) | +0.8% | (2.8%) | +0.3% |
| 2011 | (4.2%) | (3.3%) | (1.2%) | +0.5% | (1.7%) | (2.9%) | +6.8% | +7.5% | - | - | - | - |
| 2012 | - | - |
Loading Chart...
| Instruments | Futures |
|---|---|
| Strategies | Technical analysis |
| System started | 8/5/2009 (30 months ago) |
| System developer |
Bond Futures Investors 
(Last login to C2: 8/23/11 4:43) C2 Score: 986  |
System creator requested that closed trades data below be delayed by seven days.
Live brokerage trade data is available for this system. Show broker data?
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 5/30/11 2:01 | BUY | 6 | EZU1 | EUREX SCHATZ | 107.81 | 8/23 2:01 |
109.16 | Low | $11,528 |
| 6/1/11 2:27 | BUY | 7 | @EDU1 | EURODOLLAR | 99.6750 | 8/22 23:04 |
99.5971 | Low | ($1,461) |
| 6/1/11 20:01 | BUY | 4 | @TUU1 | US T-NOTE 2 YR | 109 97/128 | 8/22 23:01 |
110 35/128 | Low | $4,050 |
| 6/26/11 20:00 | BUY | 3 | IEU1 | Euribor | 98.33 | 8/22 23:00 |
98.51 | Low | $1,918 |
| 5/29/11 20:00 | BUY | 2 | IEU1 | Euribor | 98.32 | 6/21 20:37 |
98.28 | Low | ($315) |
| 3/1/11 8:10 | BUY | 9 | @EDM1 | EURODOLLAR | 99.6400 | 6/1 2:26 |
99.7083 | Low | $1,412 |
| 3/3/11 2:02 | SELL | 8 | EZM1 | EUREX SCHATZ | 107.31 | 5/30 2:01 |
107.57 | Normal | ($3,185) |
| 3/28/11 2:00 | SELL | 2 | IEM1 | Euribor | 98.45 | 5/26 20:00 |
98.51 | Low | ($470) |
| 3/8/11 2:00 | SELL | 2 | IEM1 | Euribor | 98.42 | 3/22 3:00 |
98.49 | Low | ($544) |
| 2/23/11 2:00 | BUY | 1 | IEM1 | Euribor | 98.53 | 3/7 2:00 |
98.40 | Low | ($451) |
| 1/20/11 2:04 | SELL | 3 | EZH1 | EUREX SCHATZ | 108.35 | 3/3 2:01 |
107.97 | Low | $1,538 |
| 12/1/10 8:10 | BUY | 9 | @EDH1 | EURODOLLAR | 99.5079 | 3/1/11 8:08 | 99.6850 | Low | $3,858 |
| 2/23/11 8:08 | SELL | 2 | @TUM1 | US T-NOTE 2 YR | 108 119/128 | 2/24 8:08 |
109 4/128 | Low | ($432) |
| 2/10/11 2:01 | BUY | 1 | IEH1 | Euribor | 98.84 | 2/24 2:00 |
98.83 | Low | ($31) |
| 2/11/11 8:11 | SELL | 2 | @TUH1 | US T-NOTE 2 YR | 109 13/128 | 2/23 8:07 |
109 41/128 | Low | ($900) |
icons. This will pop up a window showing you who is trading this in a live brokerage account, at what trade size, and what prices the trader received. This will allow you to compare broker data to the hypothetical results you see below.
Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 41 |
| # Profitable | 23 (56.1%) |
| # months tracked | 31 |
| Profitable months | 16 (51.6%) |
| Avg trade duration | 60.5 days |
| Annual return (compounded) | 21.4% |
| Average win | $4,193 |
| Average loss | $1,889 |
| Profit factor | 2.8:1 |
| Max peak-to-valley drawdown (historical) | 15.92% |
| drawdown period | Aug 24, 2010 to July 04, 2011 |
| Correlation w/ S&P | -0.303 |
| Sharpe ratio | 1.858 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 2.4% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 1.12 |
| Average P/L per unit traded | $238.14 |
Reviews
I cant say this is a bad system-it may be a fine one-but it is highly leveraged. Thats how it can return 44+ percent trading short term bond futures. Currently long 8 ED X $2,500 multiplier @ 99.618 = $1,992,360 of exposure to Eurodollars in a $158,641 model account. Current total leverage is about 20:1, and has been higher. It has recently broken its steady uptrend. System may have gotten a one time boost from falling interest rates this year.
I stumbled into this gem and luckily started autotrading almost exactly at the recent bottom of the equity curve. So only 1 month later I have an open profit of almost 10K! Luck aside, I hope the system continues with its stellar record of low frequency trading and high $ profit per trade.
System Description
Portfolio investing in USD- and Euro-denominated short-term interest rate (bond) futures. Some of its features are:
*** Aiming at low-risk steady performance;
*** Adaptive approach;
*** Diversified: a combination of long- and short-term holding subsystems; And,
*** Investing in USD- and Euro-denominated short-term interest rate (bond) futures, TU (CBOT), ED (CME), SCHATZ (Eurex) and Euribor (LIFFE, London) (ii).
*Recommended Capital Size: USD 100,000
The System has 9 subsystems, which invest in 4 futures, Euribor, SCHATZ, ED and TU.
Notes: (i) Collective2 Codes
T-Note 2 Year TU - @TU
Eurodollar ED - @ED
Euribor - IE
SCHATZ - EZ
(ii) Euribor was not handled on the Collective2 platform till July 6, 2010. The performance from Euribor trades was not included in the overall performance till then. Also, please trade Euribor on the LIFFE but not on the Eurex, where its volume is very thin. And,
(iii) Bond Portfolio E9 does not trade frequently. It sometimes keeps its positions without any new trades for many weeks.
- 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.
