Momentum and Volatility Trading

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2012			(3.3%)	+9.6%	+0.1%	(0.6%)	(0.6%)	(0.6%)	(0.6%)	(0.6%)	(0.6%)	(0.6%)
2013	(0.6%)	(0.6%)	(0.6%)	(0.6%)	-

There is a substantial risk of loss when trading futures, forex, stocks, or options. Hide this

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Technical Analysis: Moving Average daysX

Instruments	Mostly Options; (some stocks)
Strategies	Technical analysis, Volatility trading, Market timing
System started	3/5/2012 (15 months ago)
System developer	Cypress Investments Limited (Last login to C2: 5/21/12 23:46) C2 Score: 506
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
3/19/12 13:30	SELL	200	SNE	SONY CORP	21.65	5/1 9:55	15.85	Low	$1,156
3/21/12 13:19	SELL	1	OC1221P36	OC Apr12 36 put (exp 04/21/2012)	0.70	4/22 9:04	0.00	Low	$69
3/13/12 12:45	SELL	100	OC	OWENS CORNING INC	35.49	4/22 9:04	36.00	Low	($53)
3/15/12 13:19	BUY	1	ORCL1221D31	ORCL Apr12 31 call (exp 04/21/2012)	0.66	4/22 9:03	0.00	Low	($67)
3/15/12 13:19	BUY	1	ORCL1221P28	ORCL Apr12 28 put (exp 04/21/2012)	0.48	4/22 9:03	0.00	Low	($49)
3/7/12 12:38	SELL	2	YHOO1221P13	YHOO Apr12 13 put (exp 04/21/2012)	0.09	4/22 9:02	0.00	Low	$16
3/7/12 12:37	BUY	2	YHOO1221P15	YHOO Apr12 15 put (exp 04/21/2012)	0.77	4/22 9:02	0.00	Low	($156)
3/7/12 11:28	BUY	10	GE1217O18	GE Mar12 18 put (exp 03/17/2012)	0.05	3/18 9:05	0.00	Low	($60)
3/5/12 10:22	BUY	10	GE1217C19	GE Mar12 19 call (exp 03/17/2012)	0.17	3/13 12:38	0.32	Low	$131
3/6/12 10:09	SELL	500	AMD	ADVANCED MICRO DEVICES	6.84	3/13 12:18	7.73	Normal	($455)
3/5/12 10:23	BUY	10	GE1217O19	GE Mar12 19 put (exp 03/17/2012)	0.34	3/6 11:10	0.59	Low	$231

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
3/19/12 13:30	SELL	200	SNE	SONY CORP	21.65	5/1 9:55	15.85	Low	$1,156
3/19/12 13:30	STO	200	SNE		21.65
5/1/12 9:55	BTC	200	SNE		15.85
3/21/12 13:19	SELL	1	OC1221P36	OC Apr12 36 put (exp 04/21/2012)	0.70	4/22 9:04	0.00	Low	$69
3/21/12 13:19	STO	1	OC1221P36		0.70
4/22/12 9:04	exp	1	OC1221P36		0.00
3/13/12 12:45	SELL	100	OC	OWENS CORNING INC	35.49	4/22 9:04	36.00	Low	($53)
3/13/12 12:45	STO	100	OC		35.49
4/22/12 9:04	BTC	100	OC		36.00
3/15/12 13:19	BUY	1	ORCL1221D31	ORCL Apr12 31 call (exp 04/21/2012)	0.66	4/22 9:03	0.00	Low	($67)
3/15/12 13:19	BTO	1	ORCL1221D31		0.66
4/22/12 9:03	exp	1	ORCL1221D31		0.00
3/15/12 13:19	BUY	1	ORCL1221P28	ORCL Apr12 28 put (exp 04/21/2012)	0.48	4/22 9:03	0.00	Low	($49)
3/15/12 13:19	BTO	1	ORCL1221P28		0.48
4/22/12 9:03	exp	1	ORCL1221P28		0.00
3/7/12 12:38	SELL	2	YHOO1221P13	YHOO Apr12 13 put (exp 04/21/2012)	0.09	4/22 9:02	0.00	Low	$16
3/7/12 12:38	STO	2	YHOO1221P13		0.09
4/22/12 9:02	exp	2	YHOO1221P13		0.00
3/7/12 12:37	BUY	2	YHOO1221P15	YHOO Apr12 15 put (exp 04/21/2012)	0.77	4/22 9:02	0.00	Low	($156)
3/7/12 12:37	BTO	2	YHOO1221P15		0.77
4/22/12 9:02	exp	2	YHOO1221P15		0.00
3/7/12 11:28	BUY	10	GE1217O18	GE Mar12 18 put (exp 03/17/2012)	0.05	3/18 9:05	0.00	Low	($60)
3/7/12 11:28	BTO	10	GE1217O18		0.05
3/18/12 9:05	exp	10	GE1217O18		0.00
3/5/12 10:22	BUY	10	GE1217C19	GE Mar12 19 call (exp 03/17/2012)	0.17	3/13 12:38	0.32	Low	$131
3/5/12 10:22	BTO	10	GE1217C19		0.17
3/13/12 12:38	STC	10	GE1217C19		0.32
3/6/12 10:09	SELL	500	AMD	ADVANCED MICRO DEVICES	6.84	3/13 12:18	7.73	Normal	($455)
3/6/12 10:09	STO	500	AMD		6.84
3/13/12 12:18	BTC	500	AMD		7.73
3/5/12 10:23	BUY	10	GE1217O19	GE Mar12 19 put (exp 03/17/2012)	0.34	3/6 11:10	0.59	Low	$231
3/5/12 10:23	BTO	10	GE1217O19		0.34
3/6/12 11:10	STC	10	GE1217O19		0.59

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	11
# Profitable	5 (45.5%)
# months tracked	15
Profitable months	2 (13.3%)
Avg trade duration	28.1 days
Annual return (compounded)	6.8%
Average win	$329
Average loss	$135
Profit factor	2.0:1
Max peak-to-valley drawdown (historical)	4.43%
drawdown period	March 06, 2012 to March 27, 2012
Correlation w/ S&P	-0.341
Sharpe ratio	2.014
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)	0.74
Average P/L per unit traded	($6.60)

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Started	$10,000
Buy Power	$10,834
Cash	$10,834
Equity	$0
Cumulative $	$834
Total System Equity	$10,834
Margined	$0
Open P/L	$0

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