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Daily - Fuel Matrix

Futures · Started Feb 2006

hypothetical · Annual Return (Compounded)
-0.6%
Max Drawdown
46.9%
Trades
119
Win Trades
54.6%
Profit Factor
1
Win Months
2.0%

About this strategy

NOTE: This system was put into a month long drawdown on purpose to test the integrity and robust performance that can be achieved in the worst senerio. If you will view the system "Fuel Matrix" which was an intra-day system, it was also put into a month long drawdown for testing purposes also. Of course in both instances the systems had no subscribers during the testing periods.

Buy and Sell signals issued after the close for the next trading day and during market hours as necessary. ITM highly recommended for trade signals and commentary during the day session. On average, positions are closed within 2 days.

Profit Targets can be reached in overnight access trading by using limit orders.

A word about overnight trading. I always put in a Limit order to take profits at the PT. You never know what might happen to give you the profits during the overnight session AND the market not give it to you during open outcry, a total reversal and loss on the trade. Yes, this does not happen often but I do not take the chance. If I can get the PT overnight, I take it!

If the PT is hit in the overnight session: For those who do not want to trade the overnight session and because C2 does not track overnight prices, I will change the order entry to a limit if necessary before open outcry. Basically you want to be filled at or near the entry price as the signal states. If this happens, ITM must be utilized in order to get the trade signal immediately or just realize that you may need to cancel your entry stop and place a limit order if the signal price has already been passed through in overnight trading.

What about slippage? Come on folks, this is the real world. There will be slippage on stop orders from the prices posted here on C2 but not enough to consistently make a nice profit on the trade when the PT is hit. You CAN place a stop limit which I will do if the market is moving fast and I dont want to be clipped for 30 to 50 points on a fill. Here, this is at the traders discretion wether or not place a stop or a stop limit and take the chance of not getting filled at all.

What about the eminis? I do not trade the mini contracts but if they line up closely tick for tick with the full contracts then go for it, price movement should be very consistant.

I have been trading the NYMEX for almost 10 years and this system has been developed from my trading experience.

If you can stomach trading one of the most volitale markets in the world, then I welcome you aboard. With volitility also comes the chance to make some nice profits. Use the 14 day FREE trial period to see the action for yourself.

Thanks for the look!!

Note: Past performance is not indicative of future results. All investing has risk of loss. Trading may not be suitable for all investors.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20062.56.69.716.0-5.6-0.82.0-24.9-1.8-2.90.0-4.9
20070.00.00.00.0-0.00.00.00.00.00.00.00.0-0.0
20080.00.00.00.00.00.00.00.00.00.00.00.00.0
20090.00.00.00.00.00.00.00.00.0-0.00.00.0-0.0
20100.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20190.00.00.00.00.00.00.00.00.00.00.0
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 began2/2/2006
Suggested Minimum Capital$100,000
Age251 months
What it tradesFutures
# Trades119
# Profitable65
% Profitable54.6%
Avg trade duration1.9 days
Max peak-to-valley drawdown46.9%
drawdown periodJune 09, 2006 - Oct 12, 2006
Annual return (compounded)0.0%
Avg win$1,749
Avg loss$2,113

Ratios

W:L ratio1
Sharpe Ratio-0.22
Sortino Ratio-0.33
Calmar Ratio0

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life499.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-36.2%

Return Statistics

Ann Return (w trading costs)-0.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.0%

Slump

Current Slump as Pcnt Equity51.4%
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$2,113
Avg Win$1,749
# Winners65
Sum Trade PL (losers)$114,100
Sum Trade PL (winners)$113,700
Num Months Winners6
# Losers54
% Winners54.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table248

Frequency

Avg Position Time (mins)2666.52
Avg Position Time (hrs)44.44
Avg Trade Length1.90
Last Trade Ago7243

Regression

Alpha-0.01
Beta0
Treynor Index26.20

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0.04
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 trades-29.99
MAE:PL (avg, all trades)0.14
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats11.05
MAE:PL - Winning Trades - this strat Percentile of All Strats31.21
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.51
Avg(MAE) / Avg(PL) - Losing trades-1.17
Hold-and-Hope Ratio-0.03

RATIO STATISTICS

a (intercept, estimate of alpha)0.10
VAR (95 Confidence Intrvl)0.04

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)125
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 14 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
CL Z6long1Nov 6, 2006Nov 16, 2006($3,508)
HO Z6long1Nov 3, 2006Nov 7, 2006$832
HU X6long3Oct 9, 2006Oct 30, 2006$144
CL Z6long2Oct 24, 2006Oct 30, 2006$1,084
HO X6long2Oct 24, 2006Oct 27, 2006$866
NG X6long1Oct 16, 2006Oct 27, 2006$15,242
CL X6long1Oct 9, 2006Oct 20, 2006($2,258)
HO X6long1Oct 9, 2006Oct 18, 2006$958
NG X6long1Oct 9, 2006Oct 12, 2006($8,208)
CL X6short2Oct 6, 2006Oct 9, 2006($2,916)
HO X6short2Oct 6, 2006Oct 9, 2006($4,804)
HU X6short2Oct 6, 2006Oct 6, 2006$803
CL X6long2Sep 27, 2006Oct 2, 2006($1,516)
HO X6long2Sep 27, 2006Oct 2, 2006($1,402)
HO V6short2Sep 27, 2006Sep 27, 2006($4,384)
HU V6short2Sep 27, 2006Sep 27, 2006($4,048)
CL X6short2Sep 27, 2006Sep 27, 2006($5,316)
HO V6long2Sep 25, 2006Sep 27, 2006($1,360)
HU V6long2Sep 25, 2006Sep 27, 2006($3,040)
CL V6long2Sep 25, 2006Sep 27, 2006($16)
HO V6short2Sep 25, 2006Sep 25, 2006($3,838)
HU V6short2Sep 20, 2006Sep 25, 2006($4,258)
CL V6short2Sep 25, 2006Sep 25, 2006($16)
CL X6long2Sep 18, 2006Sep 18, 2006$784
HU V6long2Sep 18, 2006Sep 18, 2006$1,034
CL V6short2Sep 13, 2006Sep 15, 2006$2,184
CL V6short2Sep 13, 2006Sep 13, 2006($2,016)
HO V6long2Aug 31, 2006Sep 5, 2006($3,586)
CL V6long2Aug 31, 2006Sep 5, 2006($3,116)
HU U6long2Aug 30, 2006Aug 31, 2006($16)

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.