Gen 3 - Mini S&P Only is a strategy which trades Futures.
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- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified the Overview text above. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
Hypothetical Monthly Returns (using typical broker commissions)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | (1.7%) | (0.7%) | +2.4% | |||||||||
| 2010 | +2.9% | (5.9%) | +1.1% | (6%) | +8.0% | +2.4% | (4.5%) | +0.3% | (8.8%) | - | - | - |
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2012 | - |
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| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 9/28/10 10:32 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1134.50 | 9/28 16:07 |
1142.50 | Normal | ($414) |
| 9/28/10 9:55 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1133.00 | 9/28 10:26 |
1134.25 | Low | ($77) |
| 9/27/10 9:54 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1141.25 | 9/27 16:05 |
1137.75 | Low | $161 |
| 9/22/10 9:55 | BUY | 1 | @ESZ0 | E-MINI S&P 500 | 1137.25 | 9/22 16:05 |
1130.00 | Normal | ($377) |
| 9/21/10 9:52 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1136.25 | 9/21 16:05 |
1135.00 | Normal | $49 |
| 9/20/10 9:49 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1122.50 | 9/20 16:05 |
1137.75 | Normal | ($777) |
| 9/17/10 10:15 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1118.75 | 9/17 16:05 |
1120.00 | Low | ($77) |
| 9/16/10 9:54 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1116.50 | 9/16 16:05 |
1121.50 | Low | ($264) |
| 9/15/10 9:50 | SELL | 1 | @ESZ0 | E-MINI S&P 500 | 1111.75 | 9/15 16:05 |
1121.00 | Normal | ($477) |
| 9/14/10 9:35 | BUY | 1 | @ESZ0 | E-MINI S&P 500 | 1113.25 | 9/14 16:05 |
1117.00 | Low | $174 |
| 9/13/10 9:51 | BUY | 1 | @ESZ0 | E-MINI S&P 500 | 1115.25 | 9/13 16:05 |
1116.75 | Low | $61 |
| 9/8/10 9:58 | BUY | 1 | @ESU0 | E-MINI S&P 500 | 1097.75 | 9/8 16:05 |
1099.50 | Low | $74 |
| 9/3/10 9:54 | BUY | 1 | @ESU0 | E-MINI S&P 500 | 1103.25 | 9/3 16:07 |
1104.00 | Normal | $24 |
| 9/2/10 9:45 | SELL | 1 | @ESU0 | E-MINI S&P 500 | 1080.00 | 9/2 16:05 |
1090.25 | Normal | ($527) |
| 9/1/10 9:44 | BUY | 2 | @ESU0 | E-MINI S&P 500 | 1070.12 | 9/1 16:05 |
1081.38 | Low | $1,097 |
Reviews
Agree with the other review - a knowledgeable trader running the system and a good back test but the reality has been very disappointing. Does some rather odd things like going short after a large gap down in a raging bull market - that makes no sense and even the most junior trader would not do such a thing. Had high hopes but rapidly losing confidence in this system.
A great trader, a fully automatized system, with good backtest results: so what is the problem? Look at the equity curve and then you know: it does not work [actually I am relying here also on experience from Gen2]. Very positive market and the system is unsuccessful. - Not even break-even, let alone, recovering the fee. Based on the simulations the system might be good, but it does not seem to work in real life. [While writing this, we are down $600 for the day and ~$1000 for the week.... Let alone the fees I paid for Gen3 and Gen2.. much money went wasted.. Even, if the trader is award-winning, the systems here certainly are not..
Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 165 |
| # Profitable | 85 (51.5%) |
| # months tracked | 28 |
| Profitable months | 6 (21.4%) |
| Avg trade duration | 6.0 hours |
| Annual return (compounded) | 0.4% |
| Average win | $354 |
| Average loss | $374 |
| Profit factor | 1.0:1 |
| Max peak-to-valley drawdown (historical) | 21.15% |
| drawdown period | Feb 09, 2010 to May 24, 2010 |
| Correlation w/ S&P | 0.044 |
| Sharpe ratio | -0.033 |
Keep after worst-case slippage  | 100.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 62.5% |
| Chance of 20% account loss | 58.8% |
| Chance of 30% account loss | 17.6% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.03 |
| Average P/L per unit traded | ($25.77) |
System Description
- This System Description text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
