CTS CLC System |
What it trades: Futures
Hypothetical Monthly Results
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | - | - | - |
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.)
Strategy Description
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.com
- This overview was provided by the system developer. Collective2 has not verified it.
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 since | 3/9/2005 (61 months ago) |
|---|---|
| Trades | 83 |
| # Profitable | 52 (62.7%) |
| # months tracked | 60 |
| Profitable months | 29 (48.3%) |
| Avg trade duration | 7.4 days |
| Annual return (compounded) | 16.9% |
| Average win | $4,107 |
| Average loss | $3,019 |
| Profit factor | 2.3:1 |
| Max peak-to-valley drawdown (historical) | 25.23% |
| drawdown period | May 17, 2006 to Jan 22, 2008 |
| Correlation w/ S&P | 0.248 |
| Sharpe ratio | 0.584 |
C2Realism Factor  | 99% |
| Keep after worst-case slippage | 96.3% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 63.4% |
| Chance of 20% account loss | 19.0% |
| Chance of 30% account loss | 7.1% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| 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 was provided by the system developer. Collective2 has not verified it.
