S I F Trading Systems
Trading Strategy – CTT
CTT is a counter-trend day trading strategy for trading S&P and NASDAQ e-mini contracts. This system has been under development since 2004 and is being released to the public in 2009. The basis for this trading strategy is to selectively trade on those days when the markets are most likely to exhibit sideways price movement. Anyone vaguely familiar with stock markets knows that after a period of substantial price movement there tends to be a time of retrenchment and vacillation. CTT does a look back a roughly one month’s worth of market data to decide on which days to trade and at which price points to enter or exit the market. The system will typically do one entry (short or long), one reversal of the initial trade, and then a closing trade during one trading day. There are no stops other than the end of day exit if the position is still open. CTT will trade on roughly 30% of the days when the market is open. It trades only during the regular day session (9:30 am to 3:15 pm EST).
Individuals who wish to trade this system can access CTT by establishing a futures trading account with Wisdom Financial who will then execute the trades on their computers.
Historical Performance
CTT is being released to the public in the first quarter of 2009, so there is no public track record as of this time. The results presented here reflect hypothetical performance based on the application of the trading strategy to historical market data. As with any trading or investment strategy, past performance is not a guarantee of future results. These results reflect slippage and commission costs of $30 per round turn for the S&P and $14 per round turn for the NASDAQ.
|
S&P e-mini |
|||||||||
|
Qtr |
2000 |
2001 |
2002 |
2003 |
2004 |
2005 |
2006 |
2007 |
2008 |
|
1 |
$5,070 |
$4,525 |
$3,448 |
$4,198 |
$1,708 |
$975 |
($403) |
($2,320) |
$5,298 |
|
2 |
$7,830 |
$1,453 |
$1,283 |
$1,245 |
$2,538 |
$1,260 |
($450) |
$2,455 |
$4,618 |
|
3 |
($410) |
$2,483 |
$5,728 |
$3,138 |
$1,778 |
$940 |
($285) |
$3,510 |
$1,565 |
|
4 |
$7,668 |
$6,803 |
$0 |
$2,828 |
($1,540) |
$953 |
$2,223 |
$1,505 |
$9,125 |
|
Total |
$20,158 |
$15,263 |
$10,458 |
$11,408 |
$4,483 |
$4,128 |
$1,085 |
$5,150 |
$20,605 |
|
Return on Capital |
134% |
102% |
70% |
76% |
30% |
28% |
7% |
34% |
137% |
|
Max Drawdown |
($4,333) |
($2,488) |
($3,188) |
($2,338) |
($2,303) |
($1,720) |
($3,563) |
($3,320) |
($3,883) |
|
Total Trades |
231 |
220 |
226 |
231 |
241 |
242 |
238 |
250 |
194 |
|
Percent Profitable |
71.9% |
69.6% |
71.2% |
71.4% |
68.9% |
67.4% |
63.0% |
63.2% |
74.2% |
Note: Drawdown and return on capital is based on an account size of $15,000 and trade size = 1 contract
|
NASDAQ e-mini |
|||||||||
|
Qtr |
2000 |
2001 |
2002 |
2003 |
2004 |
2005 |
2006 |
2007 |
2008 |
|
1 |
|
|
$1,931 |
$574 |
$2,615 |
$649 |
$928 |
$1,754 |
$631 |
|
2 |
|
$4,282 |
$1,068 |
$526 |
($411) |
$184 |
($335) |
$155 |
($2,099) |
|
3 |
|
$4,497 |
$2,038 |
$2,632 |
($905) |
$1,595 |
$198 |
($40) |
$2,512 |
|
4 |
|
$4,740 |
($497) |
$2,364 |
$655 |
$745 |
$691 |
($108) |
$3,379 |
|
Total |
$0 |
$13,519 |
$4,540 |
$6,096 |
$1,954 |
$3,173 |
$1,482 |
$1,761 |
$4,423 |
|
Return on Capital |
0% |
90% |
30% |
41% |
13% |
21% |
10% |
12% |
29% |
|
Max Drawdown |
($2,020) |
($2,191) |
($1,363) |
($2,366) |
($1,233) |
($2,338) |
($2,501) |
($4,439) |
|
|
Total Trades |
124 |
210 |
246 |
254 |
228 |
247 |
226 |
188 |
|
|
Percent Profitable |
79.0% |
68.6% |
73.6% |
72.1% |
71.1% |
68.0% |
67.7% |
64.4% |
Note: Drawdown and return on capital is based on an account size of $15,000 and trade size = 1 contract
Questions Answered
How can this work?
Stock markets, and stock index futures which must necessarily closely track the underlying stock market index, do not move in a straight line. The reason they don’t is that the market represents the composite actions of thousands of people, each acting on their own instincts and impulses, and each with their own particular reason for choosing when to buy or sell. The resulting market price fluctuations create trading opportunities. Examine any intraday stock market chart and you can easily see where a trading opportunity existed. CTT operates by selectively choosing the days in which to take a position against the current intraday trend.
How much optimization is involved?
There is some, but the system has very few parameters and has been demonstrated to work in time periods outside the development period as shown by the chart below. CTT has also been tested using walkforward optimization to establish proof of concept for performance outside of the optimization period.
The development of CTT is based more on a sound trading concept than some arcane statistical model which would render itself to curve fitting and excessive optimization. One of the key principles of CTT is adjusting to market volatility. One way to do this would be to look at the volatility index (VIX), but the volatility can be easily measured from market internals, which is what CTT does.
Trade Examples:
Disclaimer:
Hypothetical performance results may have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.
One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely effect actual trading results.
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