Futures fun

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2011						(16.1%)	(3.4%)	(1.8%)	(1.8%)	(1.8%)	(1.9%)	(1.9%)
2012	(1.9%)	(2%)	(2%)	(2%)	(2.1%)	(2.1%)	(2.2%)	(2.2%)	(2.3%)	(2.3%)	(2.4%)	(2.4%)
2013	(2.5%)	(2.6%)	(2.6%)	(2.7%)	(2.8%)	-

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Show chart: Standard | Monte Carlo
Technical Analysis: Moving Average daysX

Instruments

Futures

Strategies

Technical analysis, Market timing

System started

6/13/2011 (25 months ago)

System developer

Wang Wei

(Last login to C2: 9/29/11 5:49)
C2 Score: 126

Vendor has created 1 other system. Show
The name of this system has been changed 3 times. Show

Status

This system is no longer supported.

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Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
6/27/11 13:02	SELL	2	@ZIU1		33.46	6/27 13:49	33.54	High	($823)
6/27/11 12:10	BUY	2	@TFSU1	Emini Russell	801.50	6/27 13:01	799.40	Normal	($448)
6/27/11 11:04	SELL	1	@TFSU1	Emini Russell	800.70	6/27 12:09	801.60	Low	($104)
6/24/11 13:20	SELL	3	@NQU1	E-MINI NASDAQ 100	2213.67	6/27 12:09	2243.58	Very	($1,837)
6/24/11 13:26	SELL	1	@TFSU1	Emini Russell	794.50	6/24 16:10	793.30	Low	$106
6/24/11 12:10	SELL	2	@TFSU1	Emini Russell	794.80	6/24 13:07	793.50	Normal	$232
6/24/11 11:56	SELL	2	@TFSU1	Emini Russell	796.40	6/24 12:05	796.80	Low	($108)
6/24/11 10:06	SELL	2	@TFSU1	Emini Russell	797.05	6/24 11:23	796.60	Low	$62
6/24/11 9:58	BUY	1	@TFSU1	Emini Russell	799.60	6/24 10:04	799.60	Low	($14)
6/23/11 20:20	BUY	2	@TFSU1	Emini Russell	801.40	6/24 8:31	802.90	Normal	$272
6/23/11 15:09	BUY	2	@TFSU1	Emini Russell	799.45	6/23 20:18	801.50	High	$382
6/23/11 11:23	SELL	1	@TFSU1	Emini Russell	784	6/23 15:08	797.70	High	($1,384)
6/23/11 10:22	SELL	1	@ESU1	E-MINI S&P 500	1261.00	6/23 15:08	1273.25	Normal	($627)
6/22/11 15:48	SELL	2	@NQU1	E-MINI NASDAQ 100	2234.75	6/23 15:07	2223.12	Low	$437
6/22/11 16:46	SELL	1	@TFSU1	Emini Russell	794.60	6/23 11:22	784.10	Low	$1,036

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
6/27/11 13:02	SELL	2	@ZIU1		33.46	6/27 13:49	33.54	High	($823)
6/27/11 13:02	STO	1	@ZIU1		33.46
6/27/11 13:03	STO	1	@ZIU1		33.47
6/27/11 13:49	BTC	2	@ZIU1		33.54
6/27/11 12:10	BUY	2	@TFSU1	Emini Russell	801.50	6/27 13:01	799.40	Normal	($448)
6/27/11 12:10	BTO	2	@TFSU1		801.50
6/27/11 13:01	STC	2	@TFSU1		799.40
6/27/11 11:04	SELL	1	@TFSU1	Emini Russell	800.70	6/27 12:09	801.60	Low	($104)
6/27/11 11:04	STO	1	@TFSU1		800.70
6/27/11 12:09	BTC	1	@TFSU1		801.60
Auto Close: 6/27/11 (12:09)
6/24/11 13:20	SELL	3	@NQU1	E-MINI NASDAQ 100	2213.67	6/27 12:09	2243.58	Very	($1,837)
6/24/11 13:20	STO	1	@NQU1		2216.50
6/24/11 13:22	STO	1	@NQU1		2216.25
6/24/11 16:12	STO	1	@NQU1		2208.25
6/27/11 11:04	BTC	1	@NQU1		2238.75
6/27/11 12:09	BTC	2	@NQU1		2246.00
Auto Close: 6/27/11 (12:09)
6/24/11 13:26	SELL	1	@TFSU1	Emini Russell	794.50	6/24 16:10	793.30	Low	$106
6/24/11 13:26	STO	1	@TFSU1		794.50
6/24/11 16:10	BTC	1	@TFSU1		793.30
6/24/11 12:10	SELL	2	@TFSU1	Emini Russell	794.80	6/24 13:07	793.50	Normal	$232
6/24/11 12:10	STO	1	@TFSU1		794.70
6/24/11 12:23	STO	1	@TFSU1		794.90
6/24/11 13:07	BTC	2	@TFSU1		793.50
6/24/11 11:56	SELL	2	@TFSU1	Emini Russell	796.40	6/24 12:05	796.80	Low	($108)
6/24/11 11:56	STO	2	@TFSU1		796.40
6/24/11 12:05	BTC	2	@TFSU1		796.80
6/24/11 10:06	SELL	2	@TFSU1	Emini Russell	797.05	6/24 11:23	796.60	Low	$62
6/24/11 10:06	STO	1	@TFSU1		797.70
6/24/11 10:11	STO	1	@TFSU1		796.40
6/24/11 11:23	BTC	2	@TFSU1		796.60
6/24/11 9:58	BUY	1	@TFSU1	Emini Russell	799.60	6/24 10:04	799.60	Low	($14)
6/24/11 9:58	BTO	1	@TFSU1		799.60
6/24/11 10:04	STC	1	@TFSU1		799.60
6/23/11 20:20	BUY	2	@TFSU1	Emini Russell	801.40	6/24 8:31	802.90	Normal	$272
6/23/11 20:20	BTO	2	@TFSU1		801.40
6/24/11 8:31	STC	2	@TFSU1		802.90
6/23/11 15:09	BUY	2	@TFSU1	Emini Russell	799.45	6/23 20:18	801.50	High	$382
6/23/11 15:09	BTO	1	@TFSU1		799.10
6/23/11 15:16	BTO	1	@TFSU1		799.80
6/23/11 20:18	STC	2	@TFSU1		801.50
6/23/11 11:23	SELL	1	@TFSU1	Emini Russell	784	6/23 15:08	797.70	High	($1,384)
6/23/11 11:23	STO	1	@TFSU1		784
6/23/11 15:08	BTC	1	@TFSU1		797.70
Auto Close: 6/23/11 (15:08)
6/23/11 10:22	SELL	1	@ESU1	E-MINI S&P 500	1261.00	6/23 15:08	1273.25	Normal	($627)
6/23/11 10:22	STO	1	@ESU1		1261.00
6/23/11 15:08	BTC	1	@ESU1		1273.25
Auto Close: 6/23/11 (15:08)
6/22/11 15:48	SELL	2	@NQU1	E-MINI NASDAQ 100	2234.75	6/23 15:07	2223.12	Low	$437
6/22/11 15:48	STO	2	@NQU1		2234.75
6/23/11 10:22	BTC	1	@NQU1		2209.25
6/23/11 15:07	BTC	1	@NQU1		2237.00
6/22/11 16:46	SELL	1	@TFSU1	Emini Russell	794.60	6/23 11:22	784.10	Low	$1,036
6/22/11 16:46	STO	1	@TFSU1		794.60
6/23/11 11:22	BTC	1	@TFSU1		784.10

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	35
# Profitable	21 (60.0%)
# months tracked	25
Profitable months
Avg trade duration	8.9 hours
Annual return (compounded)	-5.3%
Average win	$294
Average loss	$538
Profit factor	0.8:1
Max peak-to-valley drawdown (historical)	27.34%
drawdown period	June 23, 2011 to July 01, 2011
Correlation w/ S&P	-0.125
Sharpe ratio	-0.501
Keep after worst-case slippage	100.0%
Probabilities of future account loss
Chance of 10% account loss	0.0%
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)	-0.10
Average P/L per unit traded	($47.70)

Reviews

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Started	$13,000
Buy Power	$11,647
Cash	$11,647
Equity	$0
Cumulative $	($1,352)
Total System Equity	$11,647
Margined	$0
Open P/L	$0

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