Keith's Mini Russell Trader
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | (1.4%) | (6.5%) | (1.1%) | (1.1%) | ||||||||
| 2010 | (1.1%) | (1.1%) | (1.1%) | (1.2%) | (1.2%) | (1.2%) | (1.2%) | (1.2%) | (1.2%) | (1.2%) | (1.3%) | (1.3%) |
| 2011 | (1.3%) | (1.3%) | (1.3%) | (1.3%) | (1.4%) | (1.4%) | (1.4%) | (1.4%) | (1.4%) | (2.9%) | (1.5%) | (1.5%) |
| 2012 | (1.6%) | (1.6%) | (1.6%) | (1.6%) | (1.7%) | (1.7%) | (1.7%) | (1.7%) | (1.8%) | (1.8%) | (1.8%) | (1.9%) |
| 2013 | (1.9%) | (1.9%) | (2%) | (2%) | - |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Futures |
|---|---|
| Strategies | Market timing |
| System started | 9/10/2009 (45 months ago) |
| System developer |
Keith Fitschen 
(Last login to C2: 3/9/13 15:36) C2 Score: 987  Vendor has created 13 other systems. Show The name of this system has been changed 1 time. Show |
System creator requested that closed trades data below be delayed by one day.
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 10/21/09 9:48 | BUY | 1 | @TFSZ9 | Emini Russell | 617.20 | 10/22 9:58 |
597.90 | High | ($1,944) |
| 10/13/09 9:56 | SELL | 1 | @TFSZ9 | Emini Russell | 608 | 10/21 9:47 |
617.20 | Normal | ($934) |
| 10/1/09 9:43 | SELL | 1 | @TFSZ9 | Emini Russell | 595.90 | 10/1 16:02 |
582.90 | Low | $1,286 |
| 9/30/09 9:49 | SELL | 1 | @TFSZ9 | Emini Russell | 599.70 | 9/30 20:04 |
602.40 | Normal | ($284) |
| 9/29/09 10:55 | BUY | 1 | @TFSZ9 | Emini Russell | 611 | 9/30 9:08 |
609.80 | Low | ($134) |
| 9/28/09 9:46 | BUY | 1 | @TFSZ9 | Emini Russell | 605.10 | 9/28 16:00 |
610.50 | Low | $526 |
| 9/24/09 9:57 | SELL | 1 | @TFSZ9 | Emini Russell | 611.20 | 9/24 16:02 |
600.50 | Low | $1,056 |
| 9/21/09 10:10 | BUY | 1 | @TFSZ9 | Emini Russell | 609.60 | 9/21 15:52 |
612.90 | Low | $316 |
| 9/16/09 9:45 | SELL | 1 | @TFSZ9 | Emini Russell | 603.60 | 9/16 12:23 |
612.20 | Normal | ($874) |
| 9/15/09 9:36 | BUY | 1 | @TFSZ9 | Emini Russell | 598 | 9/15 15:45 |
601.60 | Low | $346 |
| 9/14/09 8:19 | BUY | 2 | @TFSZ9 | Emini Russell | 585.90 | 9/14 15:29 |
590.10 | Low | $812 |
| 9/11/09 9:55 | BUY | 2 | @TFSU9 | Emini Russell | 596.85 | 9/11 12:48 |
591.10 | Normal | ($1,178) |
| 9/10/09 9:48 | SELL | 2 | @TFSU9 | Emini Russell | 582.80 | 9/10 11:48 |
587.85 | Normal | ($1,038) |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 13 |
| # Profitable | 6 (46.2%) |
| # months tracked | 45 |
| Profitable months | |
| Avg trade duration | 22.6 hours |
| Annual return (compounded) | -1.7% |
| Average win | $740 |
| Average loss | $894 |
| Profit factor | 0.7:1 |
| Max peak-to-valley drawdown (historical) | 9.54% |
| drawdown period | Oct 13, 2009 to Jan 10, 2010 |
| Correlation w/ S&P | -0.030 |
| Sharpe ratio | -0.439 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 46.7% |
| 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) | -0.19 |
| Average P/L per unit traded | ($89.23) |
Reviews
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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. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, 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 Tradestations continuous TF contract. Over the past two years (9 Sep 2007 to 9 Sep 2009), it has hypothetically had 296 winning trades, 183 losing trades for a total profit of $95,710. The profit-per-trade was $199 and the max intraday drawdown over the period was $5,790. No slippage/commission deductions have been made.
If you opt to trade this strategy, I recommend a minimum of $30,000 per contract. More is better. It is my experience that most traders will quit a strategy with a 20 percent drawdown. There is potentially plenty of profit in this strategy. Dont get forced from the game because you under-funded it.
- 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.
