Overview

This system trades 2 major Indices, namely the S&P 500 and Nasdaq 100. This is a breadth based system making use of the NYSE Advancing and Declining Issues, combined with a simple, but effective pattern recognition. This is a long only system and due to the effective filters, the system performed very well during the severe bear market of 2000 to 2002. This is a medium term trading systems, with average trade length about 10 days. The system is very robust and profitable over a wide range of parameters and the same parameters are used for both indices, a further confirmation of robustness.

Orders are generated based on the regular trading hours full size contracts and the trades are executed during regular market hours on the e-mini contracts.   Orders are generated each evening for the next day and can be placed at any time before the market open and no daytrading is involved.  

Performance

The system is independently verified by Collective2.  For real time independently verified results, please follow the link below

CTS BrB System at Collective2

Results are based on one contract traded and $75 was deducted from each trade for slippage and commission.

Annual backtested results since end of 1996 can be seen below.

(Results up to 3/31/2006)

Individual Markets Performance Statistics

(e-mini performance simulated on full contracts)

Yearly totals* can be seen below

 *Include open trades

Average Yearly return = $15,926

Monthly Results

Average Monthly return = $1,564

The Equity Curve for the combined markets can be seen below

The TradeStation Equity Curves for the Individual markets are below

S&P500

Nasdaq 100