CTS CLC

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Overview

This system trade the e-mini S&P 500 and e-mini Nasdaq 100 futures contracts traded on the CME. This is a long only system and does not trade very frequently, but is highly accurate. Even though this is a long only system, the bear market from 2000-2002 was some of the best years for the system.

The system is executed on the regular trading hours full size contracts and the trades are executed during regular market hours on the e-mini contracts. The orders are generated each evening for the next day which 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 CLC 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)

Market	Net Profit	Percent Profitable	Average Trade	Profit Factor	Max Drawdown
Nasdaq 100	$105,275	78.63%	$900	4.20	$8,760
S&P	$64,363	68.52%	$596	2.5	$6,150

Yearly combined totals for both markets

Year	Trades	Winning Trades	Percent Profitable	Net Profit
1996	1	1	100.00%	1,013
1997	12	9	75.00%	10,613
1998	18	11	61.11%	7,935
1999	23	20	86.96%	28,900
2000	29	22	75.86%	54,578
2001	22	14	63.64%	7,585
2002	46	35	76.09%	23,853
2003	19	16	84.21%	10,480
2004	21	16	76.19%	7,673
2005	27	16	59.26%	1,238
2006	7	6	85.71%	7235

Summary	225	166	73.78%	169,638

Average Yearly return = $16,240

Monthly Results

Year	Jan	Feb	March	April	May	June	July	Aug	Sept	Oct	Nov	Dec
1996	-	-	-	-	-	-	-	-	-	-	-	1013
1997	1023	-123	1063	3553	1160	-	-	-988	2175	1748	2365	-1350
1998	1970	-	-	-	118	-11	-1750	-5109	6811	2868	3075	-
1999	-	925	9029	7330	2602	5897	-3450	2723	270	-70	-703	6273
2000	4013	9125	30207	-8847	4090	13228	2838	1450	1115	3580	6748	-450
2001	-	3615	-	2030	748	-1655	-	-4703	-1978	900	2235	-225
2002	-1250	3948	1735	940	3453	-1970	9450	1045	-628	9390	-	-1548
2003	-2598	938	-150	1400	-	-320	3075	3430	-58	4095	630	-
2004	-	2243	2430	388	-430	2480	-928	213	810	235	-	245
2005	-1123	1038	903	798	-25	735	285	-	-18	-875	775	-1280
2006	3838	-	3398

Average Monthly return = $1,511

The equity curve for the system based on the backtested results can be seen below.

Created by TradersStudio

The TradeStation Equity Curves for the Individual markets are below

Nasdaq 100

S&P 500

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