Parcours Reversal LT
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | +21.6% | +23.4% | (1%) | |||||||||
| 2011 | (17.4%) | +16.6% | (1.8%) | (6.3%) | +23.1% | +0.2% | +4.8% | (2.6%) | +15.1% | (4.9%) | (1.3%) | (1.6%) |
| 2012 | +11.5% | (1%) | (3.7%) | (1.7%) | +3.5% | +5.4% | +3.8% | +6.9% | (2.1%) | +4.6% | (2.1%) | +0.5% |
| 2013 | (2.1%) | +0.9% | (2.9%) | +5.2% | (12.4%) |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Futures |
|---|---|
| Strategies | Technical analysis, Market timing |
| System started | 10/11/2010 (32 months ago) |
| System developer |
Parcours Investments 
(Last login to C2: 5/20/13 18:14) C2 Score: 999  Vendor has created 3 other systems. Show |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 5/15/13 8:11 | SELL | 3 | EXM3 | DJ EURO STOXX 50 | 2784 | 5/16 7:53 |
2797 | Low | ($544) |
| 5/10/13 4:17 | SELL | 3 | EXM3 | DJ EURO STOXX 50 | 2773 | 5/14 4:03 |
2745 | Low | $1,050 |
| 5/7/13 10:30 | SELL | 6 | EXM3 | DJ EURO STOXX 50 | 2732 | 5/10 3:06 |
2766.50 | Normal | ($2,783) |
| 5/2/13 8:55 | SELL | 3 | EXM3 | DJ EURO STOXX 50 | 2668 | 5/3 11:10 |
2730 | Normal | ($2,481) |
| 4/29/13 2:30 | SELL | 2 | EXM3 | DJ EURO STOXX 50 | 2647 | 5/2 8:37 |
2702 | Normal | ($1,481) |
| 4/25/13 11:13 | SELL | 2 | EXM3 | DJ EURO STOXX 50 | 2652 | 4/26 5:11 |
2627 | Low | $623 |
| 4/25/13 8:06 | SELL | 2 | EXM3 | DJ EURO STOXX 50 | 2651 | 4/25 8:31 |
2657 | Low | ($185) |
| 4/22/13 2:00 | BUY | 2 | EXM3 | DJ EURO STOXX 50 | 2534 | 4/23 3:25 |
2552 | Low | $443 |
| 4/19/13 2:00 | BUY | 4 | EXM3 | DJ EURO STOXX 50 | 2507 | 4/19 6:09 |
2523 | Low | $782 |
| 4/10/13 3:20 | BUY | 2 | EXM3 | DJ EURO STOXX 50 | 2549 | 4/10 11:06 |
2600 | Low | $1,306 |
| 3/27/13 5:00 | BUY | 3 | EXM3 | DJ EURO STOXX 50 | 2572 | 3/27 6:26 |
2540 | Normal | ($1,270) |
| 3/26/13 3:29 | BUY | 3 | EXM3 | DJ EURO STOXX 50 | 2597 | 3/27 4:26 |
2560 | Normal | ($1,465) |
| 3/18/13 9:51 | BUY | 3 | EXM3 | DJ EURO STOXX 50 | 2621 | 3/19 12:05 |
2605 | Low | ($661) |
| 3/18/13 5:30 | BUY | 3 | EXM3 | DJ EURO STOXX 50 | 2628 | 3/18 9:11 |
2615 | Low | ($546) |
| 3/14/13 8:37 | SELL | 3 | EXM3 | DJ EURO STOXX 50 | 2673 | 3/18 3:00 |
2586 | Low | $3,326 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 156 |
| # Profitable | 93 (59.6%) |
| # months tracked | 32 |
| Profitable months | 16 (50.0%) |
| Avg trade duration | 1.4 days |
| Annual return (compounded) | 41.2% |
| Average win | $987 |
| Average loss | $993 |
| Profit factor | 1.5:1 |
| Max peak-to-valley drawdown (historical) | 18% |
| drawdown period | Dec 30, 2010 to Feb 09, 2011 |
| Correlation w/ S&P | -0.090 |
| Sharpe ratio | 1.53 |
| Keep after worst-case slippage | 99.9% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 33.5% |
| Chance of 20% account loss | 8.5% |
| Chance of 30% account loss | 0.5% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.29 |
| Average P/L per unit traded | $78.01 |
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System Description
The Reversal LT is a trend exhaustion trading strategy. It goes long or short Euro Stoxx 50 and/or E-mini Dow futures when it recognize that a multiday trend is about to end. It uses a combination of several in house contrarian indicators. Once a position is open a fix profit target and a stop loss target are inserted in the market.
The Parcours Reversal LT has no correlation with the underlying future price, on the contrary, it is positively correlated to an increase in volatility of the underlying future. An increase in volatility of the underlying future would mean that bigger returns should be expected. By consequence a decrease in volatility will return smaller profits.
The Parcours Reversal LT has no correlation with the underlying future price, on the contrary, it is positively correlated to an increase in volatility of the underlying future. An increase in volatility of the underlying future would mean that bigger returns should be expected. By consequence a decrease in volatility will return smaller profits.
- 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.
