Overview

This system trades four major Indices, namely the S&P 500, S&P Midcap, Nasdaq 100 and Russell 2000. Trades are only initiated after the respective index had a quick and severe decline (crash).  Based on a simple, but effective trend filter, the system will either go long expecting a rebound, or sell short expecting further declines. This is a medium term trading systems, with average trade length about 20 days. The system is very robust and profitable over a wide range of parameters. The same parameters are used for all four Indices, a further indication 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.  We have several variations of exits for the system which will be included with the system purchase. The results displayed below are based on one variaton.

Performance

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

CTS Crash 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 = $27,095

The Equity Curve for the combined markets can be seen below

The TradeStation Equity Curves for the Individual markets are below

S&P 500

Russell 2000

Nasdaq 100

S&P Midcap