Loading historical trade record for CTS CLC System...




CTS CLC System is a strategy which trades Futures.

This system goes long after a sharp sell off when our indicators shows that a turnaround is likely. Does not trade very frequently, but is very accurate and fit the mold of slow and steady. Futher information and backtested results can be seen at: http://www.creativetradingsystems.comread more...

- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that text above is an accurate Strategy Description. (Contact System Developer)

Hypothetical Monthly Results

 JanFebMarAprMayJunJulAugSepOctNovDec
2005              +2.8%+1.3%  -  +0.7%+0.6%  -  +0.5%(1.4%)+1.9%(1.5%)
2006+6.4%  -  +9.6%+1.2%(7.8%)(1.6%)(5.5%)+9.6%  -  +1.8%  -  (0.8%)
2007(1%)(0.2%)(10.7%)+2.5%  -  +5.3%+1.7%  -    -    -  +3.1%  -  
2008+4.1%+3.7%+3.3%+9.5%+0.5%+3.6%+2.8%(0.9%)(10%)+41.5%(1.8%)+0.5%
2009(0.2%)(8.2%)+10.8%  -    -  (0.4%)+4.2%  -  +4.0%+0.4%+4.8%  -  
2010  -    -    -    -    -    -    -    -    -                    

 
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Subscription Terms

90-day free trial, then $0 per month (Details)

There is a free trial period of 90 days before you are charged. You may cancel at any time before this (we send you an email at least a day before, to remind you, so there are no surprises.)

Then, after the trial, you will be charged $0 per month. (That is, we will charge you every 30 days - not when the month name on the calendar changes. So it's okay to sign up towards the end of a calendar month. You'll still get a full 30 days.)





Recently Closed Trades

Details

Opened ET B/S # Symbol   Price Closed Price Risk P/L
10/28/09 9:30 BUY 2 @NQZ9 E-MINI NASDAQ 100 1711.25 11/12 15:38 1769.50 Low $2,330
10/28/09 9:31 BUY 2 @ESZ9 E-MINI S&P 500 1056.00 11/12 11:11 1091.00 Low $3,500
10/2/09 9:30 BUY 2 @ESZ9 E-MINI S&P 500 1016.25 10/13 9:42 1068.25 Low $5,200
9/10/09 9:33 BUY 2 @NQZ9 E-MINI NASDAQ 100 1666.25 9/14 9:38 1672.00 Low $230
9/10/09 9:33 BUY 2 @ESZ9 E-MINI S&P 500 1026.75 9/14 9:37 1033.00 Low $625
9/2/09 9:30 BUY 2 @ESU9 E-MINI S&P 500 992.50 9/10 9:32 1030.75 Low $3,825
9/3/09 10:23 BUY 2 @NQU9 E-MINI NASDAQ 100 1585.00 9/10 9:32 1667.75 n/a $3,310
7/8/09 11:01 BUY 2 @NQU9 E-MINI NASDAQ 100 1400.50 7/31 10:01 1603.00 Low $8,100
6/16/09 14:30 BUY 2 @NQU9 E-MINI NASDAQ 100 1442.50 6/23 9:44 1421.00 Low ($860)
3/12/09 9:32 BUY 6 @ESM9 E-MINI S&P 500 716.75 3/17 9:39 749.50 Low $9,825
3/2/09 9:30 BUY 6 @ESH9 E-MINI S&P 500 705.17 3/12 9:32 721.00 High $4,750
3/2/09 9:30 BUY 6 @NQH9 E-MINI NASDAQ 100 1081.83 3/11 9:30 1117.50 Normal $4,280
2/19/09 12:14 BUY 6 @NQH9 E-MINI NASDAQ 100 1162.33 2/27 9:30 1115.25 Normal ($5,650)
2/19/09 15:17 BUY 6 @ESH9 E-MINI S&P 500 769.00 2/27 9:30 736.00 High ($9,900)
1/14/09 9:31 BUY 5 @NQH9 E-MINI NASDAQ 100 1160.30 1/23 9:30 1146.00 Low ($1,430)

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Statistics

Analytics  
System has been audited since3/9/2005 (67 months ago)
Trades83
# Profitable52 (62.7%)
# months tracked67
Profitable months29 (43.3%)
Avg trade duration8.2 days
Annual return (compounded)15.3%
Average win$4,107
Average loss$3,019
Profit factor2.3:1
Max peak-to-valley drawdown (historical)25.23%
drawdown periodMay 17, 2006 to Jan 22, 2008
Correlation w/ S&P0.246
Sharpe ratio0.641
C2Realism Factor 0%
Keep after worst-case slippage 96.3%
Probabilities of future account loss  
Chance of 10% account loss62.5%
Chance of 20% account loss11.8%
Chance of 30% account loss0.0%
Chance of 50% account loss0.0%
Chance of 100% account loss0.0%
Average Profit to Drawdown (APD)0.30
Average P/L per unit traded$486.79


System Description



This is a long only system trading the e-mini S&P and Nasdaq 100 Index futures. It only trade during daytime market hours. Trade between 1 and 1.5 time a month and sometimes will average down when when the indicators indicate a turn around is still possible. There are two type of signals and one average down signal, for a total of up to 3 units traded. Currently we trade 2 contracts per signal.

For the first few days, there is a fairly wide stop. This is really just for people who is uncomfortable trading without stops during the day. There is also a stop in place on closing basis, i.e. when the index close below a certain level, an exit for the open of the next day will be put in place. After a few days, however all stops firm up quickly and if the trade is countertrend, we exit quickly with a limit order to take quick profits.

The system use limit orders to enter, which is placed the evening before with plenty of notice, so except in rare cases when the price is touched, real time fills should be very close to C2s fills, especially since trades are valid for the whole trade session.

We are trading the system very conservatively on C2. With smaller accounts, or higher leverage, much bigger annualize returns than on C2 is easily achievable.

Futher information and backtested results can be seen at: http://www.creativetradingsystems.com

- 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.