Theta SPY Swing System

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2012					+0.4%	+5.2%	+1.4%	(0.5%)	+0.2%	+2.4%	(0.1%)	(0.1%)
2013	(0.1%)	(0.1%)	(0.1%)	(0.1%)	(0.1%)

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Technical Analysis: Moving Average daysX

Instruments

Stocks

Strategies

Buy undervalue, Sell overvalue, Technical analysis

System started

5/8/2012 (13 months ago)

System developer

Systematic Signals

(Last login to C2: 5/20/13 22:54)
C2 Score: 275

Vendor has created 9 other systems. Show
The name of this system has been changed 1 time. Show

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Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
11/8/12 10:12	BUY	1,493	SPY	STANDARD & POOR'S DEPOSITARY	139.70	11/26 9:30	138.62	High	($1,641)
10/22/12 9:31	BUY	1,439	SPY	STANDARD & POOR'S DEPOSITARY	143.15	11/2 9:30	143.48	Normal	$448
10/16/12 9:31	SELL	1,434	SPY	STANDARD & POOR'S DEPOSITARY	144.76	10/22 9:31	143.15	Normal	$2,279
10/10/12 9:30	BUY	1,470	SPY	STANDARD & POOR'S DEPOSITARY	144.18	10/16 9:31	144.76	Normal	$823
9/24/12 9:43	BUY	698	SPY	STANDARD & POOR'S DEPOSITARY	145.33	10/4 10:46	145.97	Low	$433
9/13/12 9:31	SELL	751	SPY	STANDARD & POOR'S DEPOSITARY	144.30	9/24 9:43	145.34	Normal	($797)
9/13/12 9:30	SELL	819	SPY	STANDARD & POOR'S DEPOSITARY	144.37	9/13 9:30	144.29	n/a	$50
8/24/12 10:49	BUY	711	SPY	STANDARD & POOR'S DEPOSITARY	140.87	9/7 9:30	144.01	Low	$2,219
7/27/12 9:31	SELL	782	SPY	STANDARD & POOR'S DEPOSITARY	136.89	8/3 9:30	138.56	Normal	($1,322)
7/24/12 9:31	BUY	2,352	SPY	STANDARD & POOR'S DEPOSITARY	135.19	7/27 9:31	135.56	Low	$815
7/16/12 9:30	SELL	1,556	SPY	STANDARD & POOR'S DEPOSITARY	135.44	7/24 9:30	135.22	Normal	$311
7/2/12 9:32	SELL	772	SPY	STANDARD & POOR'S DEPOSITARY	136.48	7/9 9:37	135.38	Low	$832
6/22/12 9:31	BUY	772	SPY	STANDARD & POOR'S DEPOSITARY	133.13	7/2 9:32	136.48	Low	$2,571
6/19/12 9:30	SELL	764	SPY	STANDARD & POOR'S DEPOSITARY	135.08	6/22 9:30	133.13	Low	$1,475
5/31/12 9:35	BUY	764	SPY	STANDARD & POOR'S DEPOSITARY	131.77	6/7 9:31	133.47	Normal	$1,282

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
11/8/12 10:12	BUY	1,493	SPY	STANDARD & POOR'S DEPOSITARY	139.70	11/26 9:30	138.62	High	($1,641)
11/8/12 10:12	BTO	747	SPY		139.70
11/8/12 10:22	BTO	746	SPY		139.70
11/20/12 9:35	STC	746	SPY		138.62
11/20/12 9:36	STC	746	SPY		138.62
11/26/12 9:30	STC	1	SPY		140.65
10/22/12 9:31	BUY	1,439	SPY	STANDARD & POOR'S DEPOSITARY	143.15	11/2 9:30	143.48	Normal	$448
10/22/12 9:31	BTO	713	SPY		143.15
10/22/12 9:32	BTO	726	SPY		143.15
10/22/12 11:51	STC	714	SPY		143.28
11/2/12 9:30	STC	725	SPY		143.68
10/16/12 9:31	SELL	1,434	SPY	STANDARD & POOR'S DEPOSITARY	144.76	10/22 9:31	143.15	Normal	$2,279
10/16/12 9:31	STO	717	SPY		144.76
10/16/12 9:31	STO	717	SPY		144.76
10/22/12 9:30	BTC	711	SPY		143.15
10/22/12 9:31	BTC	711	SPY		143.15
10/22/12 9:31	BTC	12	SPY		143.15
10/10/12 9:30	BUY	1,470	SPY	STANDARD & POOR'S DEPOSITARY	144.18	10/16 9:31	144.76	Normal	$823
10/10/12 9:30	BTO	735	SPY		144.18
10/10/12 9:30	BTO	735	SPY		144.18
10/16/12 9:30	STC	717	SPY		144.76
10/16/12 9:30	STC	717	SPY		144.76
10/16/12 9:31	STC	36	SPY		144.76
9/24/12 9:43	BUY	698	SPY	STANDARD & POOR'S DEPOSITARY	145.33	10/4 10:46	145.97	Low	$433
9/24/12 9:43	BTO	698	SPY		145.33
10/4/12 10:46	STC	698	SPY		145.97
9/13/12 9:31	SELL	751	SPY	STANDARD & POOR'S DEPOSITARY	144.30	9/24 9:43	145.34	Normal	($797)
9/13/12 9:31	STO	751	SPY		144.30
9/24/12 9:42	BTC	732	SPY		145.34
9/24/12 9:43	BTC	19	SPY		145.33
9/13/12 9:30	SELL	819	SPY	STANDARD & POOR'S DEPOSITARY	144.37	9/13 9:30	144.29	n/a	$50
9/13/12 9:30	STO	819	SPY		144.37
9/13/12 9:30	BTC	819	SPY		144.29
8/24/12 10:49	BUY	711	SPY	STANDARD & POOR'S DEPOSITARY	140.87	9/7 9:30	144.01	Low	$2,219
8/24/12 10:49	BTO	711	SPY		140.87
9/7/12 9:30	STC	711	SPY		144.01
7/27/12 9:31	SELL	782	SPY	STANDARD & POOR'S DEPOSITARY	136.89	8/3 9:30	138.56	Normal	($1,322)
7/27/12 9:31	STO	782	SPY		136.89
8/3/12 9:30	BTC	782	SPY		138.56
7/24/12 9:31	BUY	2,352	SPY	STANDARD & POOR'S DEPOSITARY	135.19	7/27 9:31	135.56	Low	$815
7/24/12 9:31	BTO	784	SPY		135.19
7/24/12 9:31	BTO	784	SPY		135.19
7/24/12 9:31	BTO	784	SPY		135.19
7/24/12 9:39	STC	1,568	SPY		134.89
7/27/12 9:31	STC	784	SPY		136.89
7/16/12 9:30	SELL	1,556	SPY	STANDARD & POOR'S DEPOSITARY	135.44	7/24 9:30	135.22	Normal	$311
7/16/12 9:30	STO	778	SPY		135.44
7/16/12 9:30	STO	778	SPY		135.44
7/16/12 9:43	BTC	778	SPY		135.25
7/24/12 9:30	BTC	778	SPY		135.19
7/2/12 9:32	SELL	772	SPY	STANDARD & POOR'S DEPOSITARY	136.48	7/9 9:37	135.38	Low	$832
7/2/12 9:32	STO	768	SPY		136.48
7/2/12 9:36	STO	4	SPY		136.43
7/9/12 9:30	BTC	768	SPY		135.38
7/9/12 9:37	BTC	4	SPY		135.48
6/22/12 9:31	BUY	772	SPY	STANDARD & POOR'S DEPOSITARY	133.13	7/2 9:32	136.48	Low	$2,571
6/22/12 9:31	BTO	772	SPY		133.13
7/2/12 9:32	STC	772	SPY		136.48
6/19/12 9:30	SELL	764	SPY	STANDARD & POOR'S DEPOSITARY	135.08	6/22 9:30	133.13	Low	$1,475
6/19/12 9:30	STO	764	SPY		135.08
6/22/12 9:30	BTC	764	SPY		133.13
5/31/12 9:35	BUY	764	SPY	STANDARD & POOR'S DEPOSITARY	131.77	6/7 9:31	133.47	Normal	$1,282
5/31/12 9:35	BTO	756	SPY		131.77
5/31/12 9:36	BTO	8	SPY		131.83
6/7/12 9:31	STC	764	SPY		133.47

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	16
# Profitable	13 (81.2%)
# months tracked	13
Profitable months	5 (38.5%)
Avg trade duration	8.0 days
Annual return (compounded)	9.8%
Average win	$1,112
Average loss	$1,232
Profit factor	4.5:1
Max peak-to-valley drawdown (historical)	6.24%
drawdown period	Oct 22, 2012 to Nov 16, 2012
Correlation w/ S&P	0.205
Sharpe ratio	1.072
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)	0.32
Average P/L per unit traded	$0.76

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Dividends Itemized
Started	$100,000
Buy Power	$110,178
Cash	$110,178
Equity	$0
Cumulative $*	$10,178
Total System Equity	$110,178
Margined	$0
Open P/L	$0

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