Futures Trader Daily
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | +8.0% | +32.4% | +31.5% | +28.2% | ||||||||
| 2011 | +0.3% | +8.0% | (3.3%) | +18.6% | (4.1%) | (0.8%) | +1.6% | +1.6% | +3.7% | (15.4%) | (12.1%) | +2.3% |
| 2012 | (10.1%) | +15.9% | (6.8%) | +1.8% | +25.4% | (3.5%) | +19.2% | (3.7%) | (11.4%) | (14.3%) | (16.9%) | (1.9%) |
| 2013 | +5.0% | (13%) | +2.0% | +3.9% | (4.2%) |
Loading Chart...
| Instruments | Futures |
|---|---|
| Strategies | Market timing |
| System started | 9/8/2010 (33 months ago) |
| System developer |
David Aronow 
(Last login to C2: 5/22/13 21:46) C2 Score: 998  Vendor has created 3 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 12 hours.
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 5/10/13 13:25 | BUY | 5 | @RSN3 | Canola | 617 | 5/2314:14 | 640.50 | Low | $2,213 |
| 5/22/13 9:36 | SELL | 3 | @RRN3 | Rough Rice | 15.150 | 5/2310:31 | 15.495 | Normal | ($2,112) |
| 5/17/13 11:44 | BUY | 1 | @SMN3 | SOYBEAN MEAL | 419.0 | 5/229:30 | 435.0 | Low | $1,586 |
| 5/9/13 14:58 | SELL | 1 | @YGM3 | Mini Gold NYSE Liffe | 1454.40 | 5/2012:05 | 1389.20 | Low | $2,151 |
| 5/7/13 2:40 | SELL | 1 | @YIN3 | Mini Silver NYSE Liffe | 23.56 | 5/2012:04 | 22.77 | Low | $777 |
| 5/15/13 3:33 | SELL | 1 | QPLN3 | PLATINUM | 1491.50 | 5/2012:04 | 1491.50 | Low | ($14) |
| 5/15/13 10:30 | SELL | 1 | QRBN3 | RBOB Gasoline | 2.7944 | 5/179:04 | 2.9038 | Normal | ($4,609) |
| 5/7/13 11:24 | SELL | 4 | QWQ3 | Liffe Sugar White | 491.10 | 5/175:36 | 479.70 | Low | $2,224 |
| 5/10/13 10:38 | SELL | 2 | @BON3 | SOYBEAN OIL | 48.75 | 5/1313:09 | 49.84 | Low | ($1,336) |
| 5/7/13 8:06 | SELL | 4 | LRCN3 | Coffee Robusta Liffe | 2003 | 5/98:54 | 2020 | Low | ($736) |
| 5/6/13 21:09 | SELL | 1 | QPAM3 | PALLADIUM | 691.30 | 5/810:56 | 693.80 | Low | ($264) |
| 5/7/13 2:49 | SELL | 1 | @YGM3 | Mini Gold NYSE Liffe | 1457.50 | 5/88:17 | 1468.50 | Low | ($379) |
| 4/28/13 21:00 | BUY | 5 | @RSN3 | Canola | 620 | 5/710:31 | 590.90 | Normal | ($2,964) |
| 3/27/13 16:31 | BUY | 5 | @TUM3 | US T-NOTE 2 YR | 110 30/128 | 5/310:07 | 110 38/128 | Low | $555 |
| 4/26/13 5:26 | BUY | 3 | @TYM3 | US T-NOTE 10 YR | 133 16/64 | 5/38:30 | 133 25/64 | Low | $380 |
Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 1,153 |
| # Profitable | 512 (44.4%) |
| # months tracked | 33 |
| Profitable months | 18 (54.5%) |
| Avg trade duration | 5.3 days |
| Annual return (compounded) | 40.9% |
| Average win | $1,218 |
| Average loss | $882 |
| Profit factor | 1.1:1 |
| Max peak-to-valley drawdown (historical) | 42.08% |
| drawdown period | July 23, 2012 to Jan 14, 2013 |
| Correlation w/ S&P | -0.038 |
| Sharpe ratio | 1.029 |
| Keep after worst-case slippage | 53.8% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 55.5% |
| Chance of 20% account loss | 27.0% |
| Chance of 30% account loss | 11.5% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.03 |
| Average P/L per unit traded | $102.30 |
Reviews
The last review was too harsh. The system might be at a crossroads though. PL has fallen to 1:3 and sharpe has fallen below 3. The system is essentially flat since April. Over the last several months the system has done a lot of churning with not much result. I just dont know....
I lasted about 7 days and that is all I could take. Every trade began as a negative trade and of those, I believe that one actually turned out to be a mildly profitable trade. He keeps positions over the weekend which in my opinion, is not a good idea, He trades on big news days or has positions outstanding on those days which in my opinion, is not a good idea. I would not use this system at all. I suppose for not so faint of heart, it is OK, but not for me.
One of the best features of C2 is that everything in a system's history is visible for all to see. You don't need to pay up front to see a system's track record -- it's all public information. Your comment that you do not think my system should hold over weekends or trade on news days means you did not properly research my system before subscribing and placing your money at risk. Holding over weekends and trading on news days turned out poorly over the last week, but there are dozens of times it has not, and judging a system that more than doubled in a year based on one losing week tells me that you have unreasonable expectations for my system and would continue to be disappointed no matter what kinds of returns there are going forward. I have done my best in comments and forum postings to maintain reasonable expectations and make it clear my system is NOT the holy grail, but if people choose to ignore that and expect every trade to be a winner there's unfortunately nothing I can do.
Looking at the historical equity chart it's very clear this system can encounter a large amount of volatility periodically, so again this should not come as a surprise. I wish you success in trading at C2 or elsewhere but please do yourself a favor and do more research before risking your hard earned money so you know what you are getting yourself into.
Regards,
Dave
Although a fairly consistent strategy, the developer seems to be more worried about collecting $349 from his subscribers every month rather than limit the number of subscribers to reduce slippage on fills.
Please see the discussion forum for a discussion of the review:
http://collective2.com/cgi-perl/board.mpl?want=listmsgs&boardid=54778971&threadhilite=9979&message=61482631#msgdirect61482631
There are circumstances when it can be justified to start trading a new system even if it has only a short history on C2, for example, when the developer has been trading the system or a substantially similar system for several years with good results in his own account and provides good documentation as in this case. Confidence is further enhanced by knowing that he uses the same signals he sends to C2 for his own and family accounts. In addition, support for any questions and inquiries has been excellent. Naturally, the system has benefitted from the recent volatility of commodity prices but still has avoided sharp give-backs of the profits and has outperformed any other commodity system during its history on C2.
System Description
If you are looking for a smaller allocation, Futures Trader Daily Mini is designed for a $50K account and uses the same signals as this system (with modifications to position sizing for the smaller account).
Futures Trader Daily executes daily trades, meaning there will be at most one signal per day per futures contract. Trades will normally last from 2 days up to 7 days, although highly profitable trades may last longer than 7 days. Additionally a few contracts (such as short-term bonds) that tend to move very slowly may have trades lasting weeks (even months in some cases).
Position sizes assume an initial account size of $100,000 to trade Futures Trader Daily. Even though the model account equity is higher trades are still entered assuming $100,000 account size.
Futures Trader Daily alerts will be entered generally between 8 and 9 PM EST and will often be active immediately (for composite contracts). Trades are entered from my trade tracking application and are parked for 3 minutes to allow manual review of the trades to make sure they are correct (better safe than sorry).
Given that there may be as many as 20-25 alerts on a given day (although usually around 10-15) this system is mainly geared towards autotrading. The orders can be entered manually and basically just once per day but managing 15 orders a day can be tedious.
Futures Trader Daily uses stops to enter and exit trades. EVERY trade is exited via a stop (except for rare cases involving rollovers or other external events). This means ALL winning trades will give back some of their profits before they exit. Remember the goal is to capture as much profit as possible but also keep risk down.
Historical trading information on futures trader daily is available from:
http://aronowsoftware.com/futurestraderdaily.pdf
(3.5 MB PDF)
The following contracts are traded on a weekly basis, entered via GTC orders and will not have an exit stop entered until the week following entry. The $5K standard stop loss always applies however.
British Pound, Swiss Franc, Japanese Yen, NYBOT Cocoa, Liffe Cocoa, Liffe Euribor, Liffe Euroswiss, Five Year Bond
Please PM me if you have more questions.
- 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.
