Our Mission:
to promote understanding of Futures
Trading Systems by providing (1) Unbiased descriptive material,
(2) Results net of all costs, and (3) INTERACTIVE tools to compare
systems and to design portfolios.
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January Summary.
During January the S&P 500 index (miniSP) rose 1.9%, and more
of the systems that we track made profits than in the previous month.
In the one-month Top Gainers table (actual results, including
commissions and cost of system), the average one-month profit was 7% of
conservative account size, with 9 components producing profit this
month. BounceMDRL took the top spot, and Delphi came a
close second. The middle spots were held by Turbo
Trader, AdaptiveSP, SeasonalST (with two spots), and
Axiom Index. The table was rounded out by Delphi (again) and
Compass. Awards for 2005: Top Gainers & Smoothies.
In this issue of our newsletter, we are pleased to introduce our
annual awards for Top Gainers and Smoothies. These awards are presented
for those systems that placed in the long-term and one-year Top Gainers
and Top Smoothies tables for results to the end of 2005-Dec. These
systems are summarized in the table below. Please refer to the
Top Tables on our website for details. We offer our
congratulations to the system developers and brokers for
their accomplishments. Please note that these awards are based on
Actual results, but do not allow for financial risk or
trader's (emotional) behaviour so they should be considered
hypothetical.
Top Gainers and Smoothies: Positions for 2005 (Actual results)
System
Top Gainer
Top Smoothie
Long-term
One-year
Long-term
One-year
AdaptiveSP-miniSP
2
-
1
2
AxiomIndex-miniMD
n/a
1
n/a
n/a
BounceMDRL-2miniRL
n/a
10
n/a
n/a
BWT.Apex-SP
n/a
6
n/a
n/a
Compass-SP
3
5
2
1
FreqTrdEBird-miniMD
n/a
4
n/a
n/a
FreqTrdEBird-miniRL
n/a
2
n/a
n/a
FreqTrdVarB-miniRL
n/a
9
n/a
n/a
Impetus-miniRL
5
-
n/a
n/a
KnockKnockP-EuroC
1
-
n/a
n/a
RMesa5-SP
4
-
3
-
SeasonalST-miniSP
n/a
7
n/a
n/a
ShockWave-miniRL
n/a
3
n/a
n/a
TurboTrd-miniRL
n/a
8
n/a
n/a
Notes:
1. The numbers indicate the system's position in the Top Gainers
and Smoothies tables for results to the end of 2005-Dec;
"1" = top position, etc.
2. The notation "-" indicates that the system did not place in this
table.
3. The notation "n/a" indicates that there was not enough data for
inclusion in this table. Long-term Top Gainers require 18 months
of results, and Top Smoothies require 24 months of results.
We recently interviewed Mr. Index Trader,
a trading system developer whose systems have frequently appeared in
the Top Gainers tables on Futures Examiner. His systems include
Frequent Trader, Flash, and the newly released Turbo Trader. In this
interview he shares some of his insights about trading systems, and
some of his future plans. Please
visit our websiteto read the interview. Chart of the month: Actuals vs. Hypotheticals.
The hypothetical equity curves look great for some systems, but
how well do the actual results compare? On Futures Examiner we
present both actuals and hypotheticals, and the MultiChart
feature provides a convenient way to make comparisons. As an example,
the chart below shows both actuals and hypotheticals for two
contracts that are traded by the Axiom Index system from Trading
Visions: the miniMD and the miniND. The chart covers 2 years, which
shows all 18 months for which we have actual results. (If you cannot
see the chart, please paste the following link into your browser:
www.futuresexaminer.com/newsletters/n200602a.png .)
For the miniMD contract (the red and blue curves), it is readily
apparent that the actuals (red) and hypotheticals (blue) have pretty
much the same shape, although there is an offset between them
(because there are no actual results for the first 6 months). This
shows that there is generally good agreement between the actuals and
the hypotheticals. This suggests that the same algorithm is being used
in the actuals and the hypotheticals (as you would expect!), and that
the allowance for slippage and commissions used for the hypotheticals
is realistic.
However, you may have noticed that some of the one-month changes
go in opposite directions. Why is this? These discrepancies result,
to a large extent, because Axiom Index can hold a position for days or
weeks, and open equity is included in the hypotheticals but not in
the actuals. For example the results displayed for 2005-Jul are
quite different, and so are those for the following month. The main
reason is that there were two losing trades in early July (for a loss
of about $900), followed by a big winner (about $2,200) on a trade
initiated on Jul-07 but not closed until Aug-08. In the TradeStation
(r) report (hypothetical), most of this winner is attributed to July,
but for the actuals it is all attributed to August.
There is a similar discrepancy for the last month displayed (06-Jan),
but in this case the main reason is that the hypothetical results
cover only the first half of January, which was quite
profitable, whereas the actuals show the whole month, which ended with
a significant loss.
The system release date (or modification dates) may be
significant when actuals are compared with hypotheticals. Sometimes the
hypotheticals for post-release months don't look as good as those for
pre-release months. Since Axiom Index was released in 2004-Apr, and was
not updated during the 18 months of actuals, the hypothetical results
for this entire 18 months constitute walk-forward testing. Therefore
the system release date is not a factor in our comparison. (If you look
at a chart of the hypotheticals for their full 45 months, you can see
how the post-release results compare with the pre-release results. Go
to the Results page, click Summary, and in the resulting
display click the Chart icon for this component.)
The above discussion relates to the Axiom Index miniMD component. The
chart also shows the miniND component, where you can make your own
comparisons. From the Futures Examiner Summary results page,
you can compare actuals with hypotheticals for many other
systems. Enjoy! Helpful Hints: How to launch a MultiChart.
We consider the MultiChart to be one of the most useful
features of Futures Examiner, because it lets you compare the
equity curves of several systems on one chart. We know of no other
website that provides this capability!
Multicharts are launched from the Summary results display, an
example (simplified) of which is shown below. To get this display,
click "Results" on the Home page; select a basket to Show
(or use the default, which contains all the current actuals and
hypotheticals); and click "Summary" to produce the display.
You can launch a Multichart as follows. (1) Select the
components that you want on the chart, by clicking the
corresponding checkboxes in the MultiChart column. If no boxes are
checked, then the first 10 components will be charted. (2) Click the
MultiChart icon at the top of the Multichart column, which will
launch the chart in a new window. (3) You can also select the
chart Scaling (default = Percent), Years (default = To
fit), and Reference Line (default = 30% /year), either before
and/or after you launch the chart; for simplicity these controls are
not shown here.
If you look carefully at the Summary display below, you will
notice that some but not all of the checkboxes are checked. Do
the checks correspond with the MultiChart given above?
Although you can plot up to 10 components on one chart, you may find
that the chart is difficult to read if there are more than about five.
From the same Summary results display, you can launch a number of
different multicharts, by changing the checkbox selections and
clicking the MultiChart icon for each chart. Note that for your custom
baskets (as shown in the example below), you can chart the Basket
Total, and compare it with the individual components.
The Reference Line can be used as a guide to gauge the slope
of the equity curves. It also provides a helpful reference when you
are comparing several different charts.
Summary Results for basket= Actuals vs Hypos Help for this display FuturesExaminer.com
Component Name: System-Contract-Data (or Basket)
Account size $K: (Vendor) Conserv-ative
Months of data /gap
Average trades /year
Long-term, One-year data:
Multi Chart
Chart
Average $Profit-or-Loss /trade
Profit or Loss: average %/year
Figure of Merit
AxiomIndx-miniMD-Actual
(15) 15
18
48
$193, $141
62, 45
-
AxiomIndx-miniND-Actual
(15) 18
18
64
$14, $53
5, 18
-
AxiomIndx-miniRL-Actual
(15) 15
20
31
$2, $6
0, 1
-
AxiomIndx-miniMD-Hypoth
(15) 15
45
48
$185, $205
59, 65
82, 95
AxiomIndx-miniND-Hypoth
(15) 18
58
70
$39, $30
14, 11
10, 0
AxiomIndx-miniRL-Hypoth
(15) 15
46
29
$157, $14
30, 3
36, 0
Basket Total: Actuals vs Hypos
(90, 97) 97
18
290
$62, $37
18, 11
-
We hope that you found this newsletter interesting and
informative. If you liked it, please forward it to a friend!
And please send us your
comments,
along with suggestions for any other topics that you would
like us to address!
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Caution: Commodity trading involves substantial risk of
LOSS, and is not appropriate for everyone. Do not trade with
funds you can not afford to LOSE!! ACTUAL results should
be viewed with caution, because PAST PERFORMANCE IS NOT
NECESSARILY INDICATIVE OF FUTURE RESULTS.
