Schulenberg 2X-Hedged IWM (^IWM2)
Hypothetical Monthly Returns (includes typical commissions and system fees)
|System started||12/8/2010 (30 months ago)|
Schulenberg and Associates
(Last login to C2: 5/22/13 20:12)
C2 Score: 992
Vendor has created 7 other systems. Show
The name of this system has been changed 5 times. Show
System creator requested that closed trades data below be delayed by seven days.
|Hypothetical Trading Results|
|5/9/13 9:31||BUY||365||SKF||ULTRASHORT FINANCIALS PROSHA||23.53||5/10
|5/6/13 9:31||BUY||365||SKF||ULTRASHORT FINANCIALS PROSHA||24.47||5/8
|4/2/13 9:30||BUY||318||SKF||ULTRASHORT FINANCIALS PROSHA||26.57||4/3
|12/3/12 9:30||BUY||200||SKF||ULTRASHORT FINANCIALS PROSHA||36.23||1/3/13 9:30||32.06||High||($838)|
|11/12/12 9:30||BUY||360||UWM||ULTRA RUSSELL2000 PROSHARES||40.21||11/23
|11/2/12 9:31||BUY||360||UWM||ULTRA RUSSELL2000 PROSHARES||43.56||11/9
|11/1/12 9:31||BUY||575||TWM||ULTRASHORT RUSSELL2000 PROSH||27.89||11/2
|10/26/12 9:31||BUY||360||UWM||ULTRA RUSSELL2000 PROSHARES||42.13||11/1
|10/24/12 9:30||BUY||500||TWM||ULTRASHORT RUSSELL2000 PROSH||27.88||10/26
|10/23/12 9:30||BUY||360||UWM||ULTRA RUSSELL2000 PROSHARES||41.80||10/24
|10/22/12 9:32||BUY||500||TWM||ULTRASHORT RUSSELL2000 PROSH||27.86||10/23
|10/16/12 9:30||BUY||360||UWM||ULTRA RUSSELL2000 PROSHARES||43.82||10/22
|6/25/12 9:30||BUY||540||UWM||ULTRA RUSSELL2000 PROSHARES||37.87||10/15
|8/7/12 11:00||BUY||180||UWN||NEVADA GOLD & CASINOS||1.05||8/8
|6/22/12 9:31||BUY||390||TWM||ULTRASHORT RUSSELL2000 PROSH||32.97||6/25
|Chance of 50% account loss||0.0%|
|Chance of 100% account loss||0.0%|
|Average Profit to Drawdown (APD)||0.22|
|Average P/L per unit traded||$0.08|
|Sum of dividends and cash expir. in model account||$3|
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When there is a divergence between our IWM signal and our DIA, SPY, or XLF signals, then the IWM holding will be cut in half and one of those other equities will be Shorted (if IWM is a BUY) or bought (if IWM is a Short). This should result in an approximately market-neutral situation during choppy (and therefore less predictable) market phases.
This actual performance of this IWM signal has been independently tracked by TimerTrac since 9/4/08, and has resulted in large confirmed gains over that period. If this signal had been used to trade QQQQ, then the gains would have been even greater. Our IWM signal has evolved over this period, however, and the most recent trade history suggests that future actual performance should be even better. Actual performance data since 9/4/08 can be viewed at http://www.schulenberg.com, and additional details about our modeling approach are available there as well.
Based upon 9 years of back-testing results, this signal should be Long (UWM) about 66% of the time, Short (TWM) for about 31% of the time, and in Cash for the remaining 3% of the time. No Stops are used, and it is assumed that all trades are made at the market Open, and using Market Orders. This is a high-performance trading system that is extremely simple to implement; manual trading is quite feasible, saving the fees that would be needed for GEN3 autotrading.
Our back-testing analysis shows that trade accuracies can 'theoretically' be as high as 84%, and that maximum drawdown could be as low as 5.7%. Using the 2x ETFs (UWM, TWM), of course, will double potential gains (as well as doubling the drawdown).
Our market timing algorithms are based upon the calculation of an effective temperature for the stock market. This basic MTI (Market Timing/Temperature Indicator) is obtained by modeling the stock market as though it were a gas -- except that special kinds of stock portfolios (with rather exotic buy/sell rules) are used instead of partitioning gas molecules into groups possessing the same momentum. The calculation of the MTI is thus analogous to determining the temperature of a gas by using the Maxwell-Boltzmann equation. Final models utilize the MTI, but also a wide variety of technical indicators, neural networks, and a proprietary generalization of Japanese Candlesticks. This latter method is fully numeric, and not graphical. It does, however automatically find all candlestick patterns that have reliable predictive power.
One thing is certain: the signals generated by this model will be unique. To the best of our knowledge there are no other algorithms like these in existence -- and the predictive capabilities provide a distinct advantage. But, of course, time will tell...
- 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.