ATS - Neutral only
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | - | (1.1%) | +5.4% | +0.4% | (1.2%) | |||||||
| 2012 | +0.6% | +1.0% | +1.1% | (1.3%) | +1.7% | +2.3% | +1.2% | +1.3% | (0.5%) | +0.3% | +0.4% | (1.4%) |
| 2013 | +2.2% | (2%) | (3.6%) | +3.1% | (2.7%) |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Stocks |
|---|---|
| Strategies | Spreads |
| System started | 8/30/2011 (21 months ago) |
| System developer |
Amplitude Trading Systems 
(Last login to C2: 5/25/13 2:54) C2 Score: 991  Vendor has created 8 other systems. Show The name of this system has been changed 1 time. Show |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 4/9/13 9:30 | BUY | 2,334 | JNS | JANUS CAPITAL GROUP INC | 9.02 | 5/22 9:31 |
8.57 | Low | ($1,093) |
| 4/9/13 9:30 | SELL | 1,011 | BX | BLACKSTONE GROUP LP | 20.90 | 5/22 9:30 |
23.32 | Normal | ($2,468) |
| 5/8/13 9:30 | BUY | 1,040 | ANR | ALPHA NATURAL RESOURCES | 6.67 | 5/21 9:31 |
7.33 | Low | $665 |
| 5/3/13 9:31 | BUY | 451 | NLY | ANNALY CAPITAL MGMNT INC | 15.43 | 5/21 9:31 |
14.80 | Low | ($293) |
| 5/3/13 9:30 | SELL | 751 | MFA | MFA FINANCIAL | 9.28 | 5/21 9:30 |
9.27 | Low | ($7) |
| 5/8/13 9:31 | SELL | 100 | BHP | BHP BILLITON ADR | 69.51 | 5/21 9:30 |
68.95 | Low | $54 |
| 5/13/13 9:30 | SELL | 197 | MW | MEN'S WEARHOUSE | 35.10 | 5/21 9:30 |
34.62 | Low | $91 |
| 5/13/13 9:31 | BUY | 135 | LTD | LIMITED BRANDS INC | 51.50 | 5/21 9:30 |
51.84 | Low | $43 |
| 5/15/13 9:31 | SELL | 910 | HBAN | HUNTINGTON BANCSHARES | 7.68 | 5/17 9:30 |
7.68 | Low | ($18) |
| 5/15/13 9:30 | BUY | 390 | FITB | FIFTH THIRD BANCORP | 17.91 | 5/17 9:30 |
18.17 | Low | $93 |
| 5/7/13 9:30 | SELL | 98 | MAA | MID AMERICA APARTMENT | 69.82 | 5/13 9:32 |
72.10 | Low | ($225) |
| 5/7/13 9:30 | BUY | 45 | ESS | ESSEX PROPERTY TRUST INC | 154.81 | 5/13 9:30 |
161.98 | n/a | $321 |
| 4/24/13 9:30 | SELL | 473 | JBT | JOHN BEAN TECHNOLOGIES | 20.50 | 5/9 9:30 |
20.54 | Low | ($30) |
| 4/24/13 9:30 | BUY | 62 | FLS | FLOWSERVE CORP | 156.01 | 5/9 9:30 |
162.73 | Low | $414 |
| 4/23/13 9:31 | BUY | 157 | ADBE | ADOBE SYSTEMS INC | 44.84 | 5/9 9:30 |
45.22 | Low | $57 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 1,095 |
| # Profitable | 592 (54.1%) |
| # months tracked | 22 |
| Profitable months | 13 (59.1%) |
| Avg trade duration | 14.4 days |
| Annual return (compounded) | 9.8% |
| Average win | $258 |
| Average loss | $267 |
| Profit factor | 1.2:1 |
| Max peak-to-valley drawdown (historical) | 9.54% |
| drawdown period | Feb 01, 2013 to April 02, 2013 |
| Correlation w/ S&P | 0.099 |
| Sharpe ratio | 0.952 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 20.5% |
| Chance of 20% account loss | 1.0% |
| 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) | 0.04 |
| Average P/L per unit traded | $0.12 |
Reviews
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System Description
FREE during introductory period
------------------------------------------------------------------------------------------ Backtesting results under:
https://sites.google.com/site/amplitudetradingsystems/
------------------------------------------------------------------------------------------
Capital preservation has top priority!!!
This system is a stock trading strategy that attempts to be market neutral and capture the spread between two correlated stocks as they return to the mean price. The system is buying stock A and at the same time short selling a correlated stock B when they diverge away from each other more than normal, then exiting the long and short position when the two stocks converge again.
As you are always long and short two similar stocks at the same time, your risk is significantly reduced and youre not dependent on market direction for profits.
This market neutral approach allows you to sleep very well at night knowing that you have minimized your trading risk.
Amplitude Trading Systems describes the approach:
-100% mechanical, no discretion, orders are generated by Wealth-Lab
- Only quantitative analysis with pure statistical methods
- Position size: each long and short position about 5% of equity
- US stocks exclusively
- Market-On-Open orders only
- All orders are delivered long before markets open
- Particular successful in volatile markets
------------------------------------------------------------------------------------------ Backtesting results under:
https://sites.google.com/site/amplitudetradingsystems/
------------------------------------------------------------------------------------------
Capital preservation has top priority!!!
This system is a stock trading strategy that attempts to be market neutral and capture the spread between two correlated stocks as they return to the mean price. The system is buying stock A and at the same time short selling a correlated stock B when they diverge away from each other more than normal, then exiting the long and short position when the two stocks converge again.
As you are always long and short two similar stocks at the same time, your risk is significantly reduced and youre not dependent on market direction for profits.
This market neutral approach allows you to sleep very well at night knowing that you have minimized your trading risk.
Amplitude Trading Systems describes the approach:
-100% mechanical, no discretion, orders are generated by Wealth-Lab
- Only quantitative analysis with pure statistical methods
- Position size: each long and short position about 5% of equity
- US stocks exclusively
- Market-On-Open orders only
- All orders are delivered long before markets open
- Particular successful in volatile markets
- 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.
