Overview

This system trades the 30 Year Bonds and 10 Year Note contracts traded on the CBOT and trade long and short.  The initial money management stop is based on recent volatility and ranges.

A few years after starting to trade the system, we decided to test the system on the Long Gilt traded on the LIFFE and EuroBund traded on the EUREX.  Since these are markets never "seen" by the system, this represent the ultimate out of market test. Although accuracy and profit factors were lower, the results were highly profitable and tradable which is further indication of the robustness of the system.  The TradeStation results and equity charts can be seen below.

The system is executed on the regular trading hour contracts and the orders are placed for the same. However, the electronic markets can be used as long as the orders are not executed outside the regular market hours.

Performance

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

CTS Treasury Trader at Collective2

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

Annual backtested results since 1983 can be seen below.

(Results up to 03/31/2006)

Individual Markets Performance Statistics

Yearly combined totals for both markets

Average Yearly return  = $12,309

Monthly  Results

Average Monthly return = $1020

The equity curve for the system based on the backtested results can be seen below.  The equity curve is smooth with no significant spikes up and down.

Created by TradersStudio

The TradeStation Equity Curves for the Individual markets are below

Treasury Bonds

Treasury Notes

Out of Market Test on Long Gilt and Eurobund since 1990

(Results up to 3/31/06)