Omega TF System
Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | +9.5% | +4.2% | ||||||||||
| 2012 | (12%) | (2.6%) | +6.9% | +2.0% | (19.2%) | (0.9%) | (0.9%) | (0.9%) | (1%) | (1%) | (1%) | (1%) |
| 2013 | (1%) | (1%) | (1%) | (1%) | - |
There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this
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| Instruments | Mostly Futures; (some stocks) |
|---|---|
| Strategies | Technical analysis |
| System started | 11/3/2011 (19 months ago) |
| System developer |
Systematic Signals 
(Last login to C2: 5/17/13 9:43) C2 Score: 275  Vendor has created 9 other systems. Show The name of this system has been changed 1 time. Show |
| Status | This system is no longer supported. |
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 5/14/12 11:24 | BUY | 2 | @TFSM2 | Emini Russell | 780.75 | 5/14 12:01 |
779.90 | Low | ($198) |
| 5/14/12 10:15 | SELL | 2 | @TFSM2 | Emini Russell | 777 | 5/14 11:26 |
780.75 | Normal | ($778) |
| 5/11/12 9:35 | BUY | 2 | @TFSM2 | Emini Russell | 784.55 | 5/14 10:08 |
777.50 | Normal | ($1,438) |
| 5/11/12 11:45 | SELL | 159 | IWM | ISHARES RUSSELL 2000 INDEX | 78.99 | 5/11 16:00 |
78.89 | Low | $13 |
| 5/11/12 9:35 | BUY | 159 | IWM | ISHARES RUSSELL 2000 INDEX | 78.74 | 5/11 11:45 |
79.01 | Low | $40 |
| 5/9/12 10:30 | SELL | 2 | @TFSM2 | Emini Russell | 779.30 | 5/9 11:10 |
784.60 | Normal | ($1,088) |
| 5/8/12 10:16 | SELL | 2 | @TFSM2 | Emini Russell | 784.70 | 5/8 11:49 |
785.50 | Low | ($188) |
| 5/4/12 10:49 | SELL | 2 | @TFSM2 | Emini Russell | 791.90 | 5/4 16:00 |
789.40 | Low | $472 |
| 5/2/12 10:30 | SELL | 2 | @TFSM2 | Emini Russell | 805 | 5/2 11:12 |
810.10 | Normal | ($1,048) |
| 5/1/12 10:30 | BUY | 2 | @TFSM2 | Emini Russell | 825.20 | 5/1 14:26 |
821.80 | Normal | ($708) |
| 4/20/12 10:00 | BUY | 1 | @TFSM2 | Emini Russell | 805.20 | 4/20 15:10 |
800 | Low | ($534) |
| 4/19/12 11:30 | SELL | 1 | @TFSM2 | Emini Russell | 803.90 | 4/19 11:55 |
806.70 | Low | ($294) |
| 4/19/12 10:15 | SELL | 1 | @TFSM2 | Emini Russell | 796.90 | 4/19 10:30 |
801.20 | Low | ($444) |
| 4/18/12 11:45 | SELL | 2 | @TFSM2 | Emini Russell | 799.10 | 4/18 14:25 |
802.10 | Normal | ($628) |
| 4/18/12 10:00 | BUY | 1 | @TFSM2 | Emini Russell | 805.30 | 4/18 11:15 |
798.60 | Normal | ($684) |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 61 |
| # Profitable | 27 (44.3%) |
| # months tracked | 19 |
| Profitable months | 4 (21.1%) |
| Avg trade duration | 4.5 hours |
| Annual return (compounded) | -2.0% |
| Average win | $735 |
| Average loss | $606 |
| Profit factor | 1.0:1 |
| Max peak-to-valley drawdown (historical) | 24.35% |
| drawdown period | April 17, 2012 to May 14, 2012 |
| Correlation w/ S&P | 0.133 |
| Sharpe ratio | -0.218 |
| Keep after worst-case slippage | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 5.0% |
| 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) | -0.07 |
| Average P/L per unit traded | ($8.00) |
Reviews
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System Description
By combining 3 different unique and different trading models with <.4 correlation into one program I feel gives the best chance of trading and applying a system portfolio approach for all account sizes.
Additionally before each trade a calculation of the adaptive trailing stop against the set risk gives us the chance to adapt our trading size for the current market. More contracts during tighter ranges when our risk is smaller and less contracts during volatility spikes and our risk is higher. Sometimes trades may be avoided entirely if the risk is just to high to trade. And as the market moves in our favor the adaptive trailing stop will be used to reduce our risk and if the market moves enough, protect profits.
Another feature is that the TF system also applies a monthly draw-down limit. Generally if during the month the system suffers a 10% draw-down from the months equity high it is unlikely that we will re-coup those profits/losses during the rest of the month. The system will go flat and wait for the beginning of the month when statistically the odds for larger trades are more in our favor.
Additionally before each trade a calculation of the adaptive trailing stop against the set risk gives us the chance to adapt our trading size for the current market. More contracts during tighter ranges when our risk is smaller and less contracts during volatility spikes and our risk is higher. Sometimes trades may be avoided entirely if the risk is just to high to trade. And as the market moves in our favor the adaptive trailing stop will be used to reduce our risk and if the market moves enough, protect profits.
Another feature is that the TF system also applies a monthly draw-down limit. Generally if during the month the system suffers a 10% draw-down from the months equity high it is unlikely that we will re-coup those profits/losses during the rest of the month. The system will go flat and wait for the beginning of the month when statistically the odds for larger trades are more in our favor.
- 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.
