Optimum Systems
- hypothetical · Annual Return (Compounded)
- -1.8%
- Max Drawdown
- —
- Trades
- 385
- Win Trades
- 41.8%
- Profit Factor
- 1.10
- Win Months
- 6.6%
About this strategy
Optimum Systems is an End of Day methodology, where securities are identified overnight and traded soon after market open (within the first hour).
Most other timing systems simply use indicators based on price and volume, such as moving averages, MACD, STO, Bollinger bands. Our system is different in that it uses proprietary indicators that incorporate both technical and fundamental information not just for the broad market, but also for almost every stock traded on the US exchanges.
We have two timers: trend following and counter trend. The trend-following timer reacts to whether the general market direction is up (Long Term Up, or LTUp) or down (Long Term Down, or LTDn). During LTUp periods, we are long the market, and during LTDn periods we are short the market. It works in bull and bear markets.
The counter trend timer is a leading indicator that predicts when a correction is about to occur within the general market direction. When a correction is predicted during a LTDn (a bounce), we change direction and go long. This is called our Bottom Feeder Up (BFUp). Sometimes BFUp goes into cash when market conditions are unclear. When a correction is predicted during a LTUp (a reversal), we change direction and go short. This is called our Top Feeder Down (TFDn). The average length of a signal is three to four weeks.
Using these timers, we are almost always in the market. We keep our money working whenever we can. Each signal has different types of stock selections associated with it. During the trend following periods, we use stocks that are trending in the general market direction. During BFUp, we use stocks that have been beaten up or oversold. During TFDn, we use stocks that are over bought.
There are a number of methods Optimum Systems uses to manage risk.
1) Security stops: Optimum Systems has a predefined EOD stop loss and profit stop for each security. These stops mechanically defined during market entry.
2) Signal stops: Optimum Systems has predefined EOD stop loss for each timer signal. HPS will go to cash if a timer/signal is determined to be "broken".
3) Portfolio stops: This is a catastrophic stop where HPS will go to cash if the draw reaches a predetermined limit. Trading will continue when the market returns to
Most other timing systems simply use indicators based on price and volume, such as moving averages, MACD, STO, Bollinger bands. Our system is different in that it uses proprietary indicators that incorporate both technical and fundamental information not just for the broad market, but also for almost every stock traded on the US exchanges.
We have two timers: trend following and counter trend. The trend-following timer reacts to whether the general market direction is up (Long Term Up, or LTUp) or down (Long Term Down, or LTDn). During LTUp periods, we are long the market, and during LTDn periods we are short the market. It works in bull and bear markets.
The counter trend timer is a leading indicator that predicts when a correction is about to occur within the general market direction. When a correction is predicted during a LTDn (a bounce), we change direction and go long. This is called our Bottom Feeder Up (BFUp). Sometimes BFUp goes into cash when market conditions are unclear. When a correction is predicted during a LTUp (a reversal), we change direction and go short. This is called our Top Feeder Down (TFDn). The average length of a signal is three to four weeks.
Using these timers, we are almost always in the market. We keep our money working whenever we can. Each signal has different types of stock selections associated with it. During the trend following periods, we use stocks that are trending in the general market direction. During BFUp, we use stocks that have been beaten up or oversold. During TFDn, we use stocks that are over bought.
There are a number of methods Optimum Systems uses to manage risk.
1) Security stops: Optimum Systems has a predefined EOD stop loss and profit stop for each security. These stops mechanically defined during market entry.
2) Signal stops: Optimum Systems has predefined EOD stop loss for each timer signal. HPS will go to cash if a timer/signal is determined to be "broken".
3) Portfolio stops: This is a catastrophic stop where HPS will go to cash if the draw reaches a predetermined limit. Trading will continue when the market returns to
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | 52.2 | 8.7 | 0.7 | -10.5 | 1.2 | -4.1 | 8.6 | 9.4 | -0.6 | -7.4 | 2.1 | 61.4 | |
| 2010 | -1.4 | -17.8 | -1.4 | -3.1 | -3.8 | -11.6 | 1.6 | -11.7 | -14.5 | 6.8 | 2.8 | 6.1 | -41.3 |
| 2011 | -9.9 | 8.6 | 0.0 | 0.0 | 0.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | -0.1 | 0.0 | -2.2 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.4 | 0.0 | 0.0 | -0.4 |
| 2013 | 0.0 | 0.0 | 0.0 | 1.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.3 |
| 2014 | 0.0 | 0.0 | 0.0 | -0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | 13.7 | 0.0 | 0.0 | 13.7 |
| 2016 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | -0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.9 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 2/19/2009 |
|---|---|
| Suggested Minimum Capital | $30,000 |
| Age | 214 months |
| What it trades | Stocks |
| # Trades | 385 |
| # Profitable | 161 |
| % Profitable | 41.8% |
| Avg trade duration | 13.2 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual return (compounded) | 2.2% |
| Avg win | $715 |
| Avg loss | $455 |
Ratios
| W:L ratio | 1.14 |
|---|---|
| Sharpe Ratio | -0.02 |
| Sortino Ratio | -0.05 |
| Calmar Ratio | -0.02 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 880.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -82.5% |
Return Statistics
| Ann Return (w trading costs) | -1.8% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.2% |
Slump
| Current Slump as Pcnt Equity | 69.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 75.0% |
|---|---|
| Chance of 20% account loss | 52.9% |
| Chance of 30% account loss | 44.4% |
| Chance of 40% account loss | 21.1% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $455 |
|---|---|
| Avg Win | $715 |
| # Winners | 161 |
| Sum Trade PL (losers) | $101,981 |
| Sum Trade PL (winners) | $115,066 |
| Num Months Winners | 17 |
| # Losers | 224 |
| % Winners | 41.8% |
Dividends
| Dividends Received in Model Acct | 728 |
|---|
Age
| Num Months filled monthly returns table | 212 |
|---|
Frequency
| Avg Position Time (mins) | 18936.32 |
|---|---|
| Avg Position Time (hrs) | 315.61 |
| Avg Trade Length | 13.10 |
| Last Trade Ago | 5687 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 18.31 |
| MAE:PL (avg, all trades) | 0.38 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 19.62 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 59.66 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.35 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.28 |
| Hold-and-Hope Ratio | 0.05 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | -0.08 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.05 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 366 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 105 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| MDW | long | 4536 | Jan 27, 2011 | Feb 18, 2011 | $1,519 |
| USAT | long | 2658 | Jan 27, 2011 | Feb 18, 2011 | $553 |
| SSN | long | 183 | Jan 31, 2011 | Feb 18, 2011 | $948 |
| HAFC | long | 378 | Jan 31, 2011 | Feb 17, 2011 | ($8) |
| RAD | long | 4495 | Jan 27, 2011 | Feb 17, 2011 | $714 |
| SBIB | short | 429 | Jan 24, 2011 | Jan 27, 2011 | $64 |
| JOE | short | 144 | Jan 24, 2011 | Jan 27, 2011 | ($389) |
| JKS | short | 138 | Jan 21, 2011 | Jan 27, 2011 | $273 |
| FTK | short | 666 | Jan 21, 2011 | Jan 27, 2011 | ($678) |
| NVDA | short | 177 | Jan 21, 2011 | Jan 27, 2011 | ($411) |
| USAT | long | 3160 | Jan 20, 2011 | Jan 24, 2011 | $27 |
| SIRI | long | 3166 | Dec 23, 2010 | Jan 21, 2011 | ($417) |
| ANO | long | 3324 | Dec 27, 2010 | Jan 21, 2011 | ($38) |
| IKAN | long | 362 | Dec 23, 2010 | Jan 21, 2011 | ($514) |
| AIS | long | 2981 | Dec 23, 2010 | Jan 21, 2011 | ($422) |
| BRD | long | 2686 | Dec 28, 2010 | Jan 13, 2011 | ($650) |
| JTX | long | 2945 | Dec 23, 2010 | Dec 28, 2010 | $1,556 |
| THC | short | 190 | Dec 16, 2010 | Dec 28, 2010 | ($65) |
| SFI | short | 702 | Dec 16, 2010 | Dec 27, 2010 | ($293) |
| VRGY | short | 374 | Dec 16, 2010 | Dec 23, 2010 | ($52) |
| LULU | short | 146 | Dec 16, 2010 | Dec 23, 2010 | ($266) |
| FNSR | short | 186 | Dec 16, 2010 | Dec 23, 2010 | ($385) |
| URG | long | 2500 | Nov 30, 2010 | Dec 17, 2010 | $920 |
| MRVC | long | 3098 | Nov 29, 2010 | Dec 17, 2010 | $646 |
| ACPW | long | 469 | Dec 2, 2010 | Dec 16, 2010 | $343 |
| OPWV | long | 2112 | Dec 2, 2010 | Dec 16, 2010 | ($406) |
| RTK | long | 400 | Nov 22, 2010 | Dec 16, 2010 | ($168) |
| ISLN | short | 118 | Nov 17, 2010 | Nov 22, 2010 | ($6) |
| BSDM | short | 649 | Nov 17, 2010 | Nov 22, 2010 | $274 |
| BUCY | short | 44 | Nov 17, 2010 | Nov 22, 2010 | ($3) |
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.