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Sample Seasonal Trading System #4 |
Short Apr Feeder Cattle & Long Jan Feeder Cattle Spread (Entry Jul 4-6/Exit Sep 10-12)
The following trading rule was developed with the Blue Forest Seasonal Trader's Lab 2000
Ô in less than 5 minutes. You can get your own copy by downloading the FREE trial version or ordering the full version.Seasonal Trading Rule
Short Apr Feeder Cattle & Long Jan Feeder Cattle / Entry Jul 4-6 / Exit Sep 10-12 / Stop Loss 1 points or $500
Summary
There were 16 trades total, 15 winners and 1 loser. The single loser was not due to the stop loss and was .12 points or $60.
The hypothetical account below started with a balance of $30,000 on July 6, 1977. If the account holder had traded one contract and had placed a spread order on the last close of the period July 4 through 6 and exited the position on the last close of the period September 10 through 12, the account would have grown to $35,590 (assuming order executions at the closing prices).
Optimal F would dramatically improve the results and would require the trader hold the maximum amount of contracts allowed with current margin requirements.
These hypothetical results were obtained by only being in the market an average of 68 calendar days per year.
|
Year |
Entry Date |
Entry Price |
Exit Date |
Exit Price |
Profit |
Cum Profit |
Total Profits |
Equity $ 1 Contract |
|
1977 |
7/6/77 |
$ 0.25 |
9/12/77 |
$ 0.37 |
$ (0.12) |
$ (0.12) |
$ (60.00) |
$ 29,940.00 |
|
1978 |
7/6/78 |
$ 2.08 |
9/12/78 |
$ 1.14 |
$ 0.94 |
$ 0.82 |
$ 470.00 |
$ 30,410.00 |
|
1979 |
7/6/79 |
$ 1.84 |
9/12/79 |
$ 1.15 |
$ 0.69 |
$ 1.51 |
$ 345.00 |
$ 30,755.00 |
|
1981 |
7/6/81 |
$ 0.59 |
9/11/81 |
$ (0.25) |
$ 0.84 |
$ 2.35 |
$ 420.00 |
$ 31,175.00 |
|
1982 |
7/6/82 |
$ - |
9/10/82 |
$ (0.70) |
$ 0.70 |
$ 3.05 |
$ 350.00 |
$ 31,525.00 |
|
1984 |
7/6/84 |
$ 0.79 |
9/12/84 |
$ 0.20 |
$ 0.59 |
$ 3.64 |
$ 295.00 |
$ 31,820.00 |
|
1985 |
7/5/85 |
$ 0.25 |
9/12/85 |
$ (0.27) |
$ 0.52 |
$ 4.16 |
$ 260.00 |
$ 32,080.00 |
|
1987 |
7/6/87 |
$ (0.75) |
9/11/87 |
$ (1.44) |
$ 0.69 |
$ 4.85 |
$ 345.00 |
$ 32,425.00 |
|
1988 |
7/6/88 |
$ (0.71) |
9/12/88 |
$ (0.84) |
$ 0.13 |
$ 4.98 |
$ 65.00 |
$ 32,490.00 |
|
1989 |
7/6/89 |
$ (0.79) |
9/12/89 |
$ (2.13) |
$ 1.34 |
$ 6.32 |
$ 670.00 |
$ 33,160.00 |
|
1990 |
7/6/90 |
$ (1.67) |
9/12/90 |
$ (2.62) |
$ 0.95 |
$ 7.27 |
$ 475.00 |
$ 33,635.00 |
|
1992 |
7/6/92 |
$ (1.50) |
9/11/92 |
$ (2.75) |
$ 1.25 |
$ 8.52 |
$ 625.00 |
$ 34,260.00 |
|
1993 |
7/6/93 |
$ (1.55) |
9/10/93 |
$ (2.67) |
$ 1.12 |
$ 9.64 |
$ 560.00 |
$ 34,820.00 |
|
1994 |
7/6/94 |
$ (1.22) |
9/12/94 |
$ (1.45) |
$ 0.23 |
$ 9.87 |
$ 115.00 |
$ 34,935.00 |
|
1995 |
7/6/95 |
$ (1.10) |
9/12/95 |
$ (2.10) |
$ 1.00 |
$ 10.87 |
$ 500.00 |
$ 35,435.00 |
|
1996 |
7/5/96 |
$ (0.29) |
9/12/96 |
$ (0.60) |
$ 0.31 |
$ 11.18 |
$ 155.00 |
$ 35,590.00 |
Performance Statistics
16 Total Trades / 93.75% Profitable Trades / 94.17 Gain To Loss Ratio / 68 Days Avg Trade Length / .70 Avg Profit Per Trade / .75 Avg Gain on Profitable Trades / .12 Avg Loss on Unprofitable Trades / 1.34 Largest Gain / .12 Largest Loss / 11.18 Total Profits
Money Management Statistics
Single Contract - $5,650 Total Gains / $60 Total Losses /$5.590 Total Profits
Applying Optimal F 92% (Trade 1 Contract Per $65.22 Equity) yielded a geometric average return per trade of 367.38% or approximately 1 trade quadruples account equity.
Important Note
Blue Forest Software makes no recommendations with regards to any financial transactions and users who undertake any financial transactions do so at their own risk. The sample above is simply an analysis developed with the benefit of hindsight. In addition, while every effort is made to insure the accuracy of data, such accuracy cannot be guaranteed. Blue Forest Software shall be held harmless for any damages, which result in connection with the information, provided by the software or its accuracy. PLEASE REMEMBER THAT THERE IS RISK OF LOSS IN FUTURES TRADING.
With respect to all systems, we agree with the Commodity Futures Trading Commission that: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE 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.
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