STC Piranha S & P Trading System

Background: The Piranha S&P System is swift to enter and swift to exit. Much like its notorious namesake, the intent of the Piranha System is to quickly take numerous bites out of the S&P market. The system trades aggressively both long and short, buying on dips and selling short on rallies and is very capable of producing excellent profits on both sides of the market. The system uses the direction of interest rates to help determine whether the odds favor going long or short.

Strengths of the System: Using the reduced $250 S&P point value throughout our historical test period and trading no more than one contract at a time the system has produced more than $300,000 in hypothetical profits in ten years and ten months of trading. The system is unusually accurate with 76% percent winning trades (119 winners out of 156 trades). There were 16 consecutive winners and the maximum consecutive losers was only 2. After adding $150 to every loser and subtracting $150 from every winner to allow for slippage and commissions the average trade (win and loss) was a very healthy $1,955.37. The largest winning trade was $15,475 which accounted for only 5% of the total net profit. The system has a solid profit factor (gross profit divided by gross loss) of 3.33.

Weaknesses: Although the average losing trade is $3,537, the $10,000 money management stop exposes us to the potential of very large losses if our other exits do not kick in sooner.

Summary: We are very enthused about the potential of this innovative system and there are many features that we like. The use of interest rates as a forecaster of stock index prices has been well tested by many technicians and appears to be a valid approach. We like buying the S&P after dips and selling short after rallies. We like the frequency of trading which also allowed us to obtain a large sample of trades in our historical testing. The simple exits are quick to lock in profits and also keep most of our winning trades from turning into losers. The results of this system on both the long and short side are the best that we have achieved in any of our stock index systems. The Piranha system has performed particularly well in the difficult markets in 1999.

Performance Summary: 6/15/88 to 10/29/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$305,037.50	Open Position P/L	$ 0.00
Gross Profit	$435,850.00	Gross Loss	$-130,812.50

Total # of Trades	156	Percent Profitable	76%
# Winning Trades	119	Number Losing Trades	37

Largest Winning Trade	$15,475.00	Largest Losing Trade	$-12,425.00
Average Winning Trade	$3,662.61	Average Losing Trade	$3,535.47
Ratio avg Win/ avg Loss	1.04	Avg Trade( Win & Loss)	$1,955.37

Max Consec. Winners	16	Max Consec. Losers	2
Avg Bars in Winners	12	Avg # bars in Losers	9

Max Intraday Drawdown	$-21,850.00
Profit Factor	3.33	Max Contracts Held	1
Account Size Required	$21,850.00	Return on Account	1396%

Performance Summary: Long Trades 6/15/88 to 10/29/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$214,337.50	Open Position P/L	$0.00
Gross Profit	$333,587.50	Gross Loss	$-119,250.00

Total # of Trades	127	Percent Profitable	75%
# Winning Trades	95	Number Losing Trades	32

Largest Winning Trade	$15,475.00	Largest Losing Trade	$-12,425.00
Average Winning Trade	$3,511.45	Average Losing Trade	$-3,726.56
Ratio avg Win/ avg Loss	0.94	Avg Trade( Win & Loss)	$1,687.70

Max Consec. Winners	12	Max Consec. Losers	2
Avg Bars in Winners	12	Avg # bars in Losers	9

Max Intraday Drawdown	$-21,850.00
Profit Factor	2.8	Max Contracts Held	1
Account Size Required	$21,850.00	Return on Account	981%

Average Losing Trade

Performance Summary: Short Trades 6/15/88 to 10/29/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$90,700.00	Open Position P/L	$-2700.00
Gross Profit	$102,262.50	Gross Loss	$-11,562.50

Total # of Trades	29	Percent Profitable	83%
# Winning Trades	24	Number Losing Trades	5

Largest Winning Trade	$10,225.00	Largest Losing Trade	$-3,775.00
Average Winning Trade	$4,260.94	$-2,312.50
Ratio Avg Win/Avg Loss	1.84	Avg Trade( Win & Loss)	$3,127.59

Max Consec. Winners	9	Max Consec. Losers	2
Avg Bars in Winners	11	Avg # bars in Losers	13

Max Intraday Drawdown	$-4,825.00
Profit Factor	8.84	Max Contracts Held	1
Account Size Required	$4,825.00	Return on Account	1880%

The hypothetical performance data above was generated using Omega TradeStation, with $150 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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