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25 x 25 Bond Trading System |
Click on the Dates below to view each year in a separate window.
This system is Free to Members
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Background: The system is a long-only trend-following system designed for the Bond market which has made hypothetical profits of $53,000 over the last 10 years of historical data, with an accuracy rate of 76%. The concept behind the system is simple. We designed 25 x 25 quote to be a trend following system that will enter an uptrend during a dip in prices. To do this we will implement three entry strategies. First, there is a trend indicator to identify a strongly uptrending market. Second, there is a shorter term retracement indicator that will identify a small quote dip in the uptrend which will set up the trade. Third, we have a precise short-term entry signal which will enter the trade when the uptrend resumes. Strengths of the system: A simple twist to the exit strategy allows us to reduce the number of days in the average holding period, increase total profits, increase the accuracy to 76%, and trade more frequently. Weaknesses of the system: The system is designed for the long side only and the frequency of trading is low, about 3 times a year. The system was designed to be used in conjunction with The Big Dipper and Little Dipper Bond Trading Systems. Summary: We hope that this system as well as all our systems will be profitable in the future. There are no guarantees. Constructing systems that perform well over past data is relatively easy once you learn a few basic rules which we will explain in future Club Bulletins. In addition to showing great hypothetical performance, our goal is to develop systems that will serve our club members as valuable learning tools and hopefully produce reasonably good results over the unseen data in the future. Please give us your comments and suggestions about this system and other systems that you would like to see. Historical Results: The table below shows the historical results of trading 1 contract on the system tested over 10 years of data. For testing purposes, we used continuous back-adjusted daily data. We ignored all night sessions, and all calculations were based on day-session prices and ranges only. $100 was deducted from every trade to simulate the effects of commissions and slippage. The test period was from 1/1/88 to 1/16/98 with MaxBarsBack set to 50. MaxBarsBack refers to the number of bars of data necessary to calculate the rules in a system. System rules only begin after the MaxBarsBack period. The test period includes the MaxBarsBack period, so that no trades are taken for the first 50 trading days. |
| Performance Summary: 01/01/88 to 1/16/98 | |||
Includes $100.00 per trade deducted for slippage and Commissions |
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| Total Net Profit | $55,112.50 | Open Position P/L | $1875.00 |
| Gross Profit | $64,887.50 | Gross Loss | $-9,775.00 |
| Total # of Trades | 32 | Percent Profitable | 72% |
| # Winning Trades | 23 | Number Losing Trades | 9 |
| Largest Winning Trade | $5,181.25 | Largest Losing Trade | $-2,600.00 |
| Average Winning Trade | $2,821.20 | Average Losing Trade | $-1,086.11 |
| Ratio avg Win/ avg Loss | 2.60 | Avg Trade( Win & Loss) | $1,722.27 |
| Max Consec. Winners | 5 | Max Consec. Losers | 2 |
| Avg Bars in Winners | 26 | Avg # bars in Losers | 12 |
| Max Intraday Drawdown | $-3,381.25 | ||
| Profit Factor | 6.64 | Max Contracts Held | 1 |
| Account Size Required | $3,381.25 | Return on Account | 1,630% |
The hypothetical performance data above was generated using Omega TradeStation, with $100 deducted per trade for commissions and slippage. In our opinion, the account size required and return on account calculations may not accurately reflect the actual account size required to trade this system nor the return to be expected. Past performance is not necessarily indicative of future results.
HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LACK OF LIQUIDITY. SIMULATED 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 THOSE SHOWN.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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All contents Copyright © 2000 Chuck Le Beau's System Traders Club
Last updated on 02/24/03 05:55:02 PM
