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C2Star Strategy TRADE FUTURES NOW C2Star Certified Hypothetical

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future-pro

By Ilan_vanGelder

Futures · Started Oct 2005

hypothetical · Annual Return (Compounded)
-4.9%
Max Drawdown
56.1%
Trades
1439
Win Trades
39.3%
Profit Factor
1.10
Win Months
11.1%

About this strategy

future-pro is a trendfollowing intraday future trading system. It looks for intraday trends with momentum on the eurobund, dax, Euro FX, e-mini dow jones and T-bond future. This system never takes positions overnight, so the risks are limited. All orders are market orders so the realism is high. In other words: If you trade the system you will get the same results.

The system is designed by me, a futuretrader with years of experience trading for own account AND trading for different companys.

For more info on the system go to

http://members.chello.nl/i.gelder1/future-pro.htm

Summary:

- No overnight positions
- Always A fixed amount of futures per trade(20 eurobund, 10 dax, 20 dow, 10 Euro and 10 Tbond), smaller acounts can trade 10X smaller.
- All orders are market orders. So it will never happen that You dont get filled if you trade automatic with TB
- An amazing trackrecord on different markets with the same system with almost no drawdowns or even losing months. The drawdown in december 2005 is the biggest in 4 years of testing
- Most of the time not in the market. To much market exposure can be dangerous
- top notch risk management build in the system (cut losers and let winners run)
- Mechanical trading system so no emotional decisions.
- System is designed by a professional trader who traded not only for own account but also for a couple of companys.
- C2 statistics: high realism factor, low sharpe ratio. An average of 2,5 trades a day. Already a lots of trades so the statistics are reliable.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
200543.01.7-23.611.0
2006-44.70.316.46.5109.372.619.61.9-10.1-17.59.1-22.589.7
20071.41.4-24.6-19.3-43.3-11.70.00.00.00.00.00.0-68.7
20080.00.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.00.20.00.00.2
20100.00.00.00.00.0-0.20.2-0.20.00.00.0-0.0-0.2
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.030.5-0.61.2-2.50.2-2.9-2.1-5.6-2.0-0.9-3.57.8
2015-11.4-1.3-6.15.3-1.81.9-2.03.80.1-3.1-6.56.1-15.2
2016-2.21.35.72.3-4.4-0.90.11.30.9-5.20.00.0-1.4
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/16/2005
Suggested Minimum Capital$100,000
Age255 months
What it tradesFutures
# Trades1439
# Profitable566
% Profitable39.3%
Avg trade duration3.7 hours
Max peak-to-valley drawdown56.1%
drawdown periodNov 15, 2005 - Feb 27, 2006
Annual return (compounded)6.1%
Avg win$3,815
Avg loss$2,195

Ratios

W:L ratio1.13
Sharpe Ratio0.03
Sortino Ratio0.06
Calmar Ratio-0.05

CORRELATION STATISTICS

Correlation to SP500-0.01
Return Percent SP500 (cumu) during strategy life544.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)206.7%

Return Statistics

Ann Return (w trading costs)-4.9%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)6.1%

Slump

Current Slump as Pcnt Equity513.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,195
Avg Win$3,815
# Winners566
Sum Trade PL (losers)$1,916,041
Sum Trade PL (winners)$2,159,313
Num Months Winners29
# Losers873
% Winners39.3%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table252

Frequency

Avg Position Time (mins)223.12
Avg Position Time (hrs)3.72
Avg Trade Length0.20
Last Trade Ago7041

Regression

Alpha0
Beta-0.02
Treynor Index-0.26

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades15.27
MAE:PL (avg, all trades)-0.51
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats16.17
MAE:PL - Winning Trades - this strat Percentile of All Strats20.54
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.37
Avg(MAE) / Avg(PL) - Losing trades-1.24
Hold-and-Hope Ratio0.07

RATIO STATISTICS

a (intercept, estimate of alpha)0.81
VAR (95 Confidence Intrvl)0.14

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)104
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 1035 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EU M7long60Jun 6, 2007Jun 6, 2007($1,230)
EU M7short70May 24, 2007Jun 6, 2007($16,810)
YM M7short20Jun 6, 2007Jun 6, 2007$8,040
BD M7short20Jun 6, 2007Jun 6, 2007($160)
YM M7long20Jun 5, 2007Jun 5, 2007$40
YM M7short20Jun 5, 2007Jun 5, 2007($1,860)
YM M7short20Jun 5, 2007Jun 5, 2007($2,960)
XG M7short10Jun 5, 2007Jun 5, 2007$2,506
YM M7long20May 30, 2007May 30, 2007$6,940
XG M7long10May 30, 2007May 30, 2007$8,358
YM M7long20May 30, 2007May 30, 2007($3,760)
YM M7short20May 29, 2007May 30, 2007$940
XG M7short10May 30, 2007May 30, 2007($216)
YM M7long20May 29, 2007May 29, 2007($3,760)
XG M7long10May 25, 2007May 25, 2007$5,500
XG M7short10May 25, 2007May 25, 2007($352)
XG M7long10May 25, 2007May 25, 2007($7,838)
XG M7short10May 24, 2007May 25, 2007$873
XG M7short10May 24, 2007May 24, 2007($5,796)
YM M7short20May 24, 2007May 24, 2007($1,360)
EU M7short20May 24, 2007May 24, 2007($1,910)
EU M7short20May 23, 2007May 23, 2007($2,285)
EU M7long20May 23, 2007May 23, 2007($4,535)
BD M7short40May 18, 2007May 18, 2007($2,062)
XG M7long20May 16, 2007May 16, 2007$14,130
EU M7short20May 16, 2007May 16, 2007$4,340
EU M7long20May 15, 2007May 15, 2007$13,715
XG M7short20May 15, 2007May 15, 2007($22,616)
XG M7long20May 15, 2007May 15, 2007($4,379)
XG M7long20May 15, 2007May 15, 2007($9,687)

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.