Markets and Strategies

1) Spreadsheet – Top 50,000 allocations
2) Spreadsheet – Allocation master
3) Daily Orders
4) Resorting the top 50,000 allocations using your criteria
5) Creating your own allocation
6) 1992-2016 InterBank Performance Summary

  • Full disclosure of trading methodology  (bottom)
  • Daily open, high, low, close data, vertical columns B-E
  • Every order generated, vertical columns K-N
  • Every trade entry, offset, net profit or loss, vertical columns F-H
  • Cumulative net profit vertical column I
  • Mark-to-market drawdown vertical column J
  • All volatility calculations used for order generation P-Q

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7) Eur016t-data-orders-trades-1992-2016 Net profit trading 1 lots =$135,627 Greatest Drawdown = -$7,593. Strategy type = Trend trading, volatility period days, slope 24 days, slope filter 34 ticks, slope multiplier 0.10, volatility multiplier 0.74, high filter 320, low filter 0, stop $2,450, objective $1,500, contract size 62,500 (EUR).

8) Eur028t-data-orders-trades-1992-2016 Net profit trading 1 lots =$125,165 Greatest Drawdown = -$8,343. Strategy type = Trend trading, volatility period days, slope 30 days, slope filter 13 ticks, slope multiplier 0.19, volatility multiplier 0.39, high filter 460, low filter 0, trailing stop $2,250, objective $2,050, contract size 62,500 (EUR).

9) Eur005t-data-orders-trades-1992-2016 Net profit trading 1 lots =$103,336 Greatest Drawdown = -$9,187. Strategy type =Trend trading, volatility period 3 days, slope 30 days, slope filter 30 ticks, slope multiplier 0.18, volatility multiplier 0.79, high filter 180, low filter 0, trailing stop $2,350, objective $6,625, contract size 62,500 (EUR).

10) Eur015t-data-orders-trades-1992-2016 Net profit trading 1 lots =$109,016 Greatest Drawdown = -$9,993. Strategy type = Trend trading, volatility period days, no slope, volatility multiplier 1.15, high filter 180, low filter 0, stop $2,350, objective $6,625, contract size 62,500 (EUR).

11) Eur016t-data-orders-trades-1992-2016 Net profit trading 1 lots =$135,627 Greatest Drawdown = -$7,593. Strategy type = Trend trading, volatility period days, no slope, volatility multiplier 0.74, high filter 320, low filter 0, trail stop $2,250, objective $2,050, contract size 62,500 (EUR).

12) Eur002r-data-orders-trades-1992-2016 Net profit trading 1 lots =$62,169 Greatest Drawdown = -$8,442. Strategy type = Range trading, volatility period 2 days, no slope, volatility multiplier 0.38, low filter floor 234, trailing stop $2,300, objective $7,500, contract size 62,500 (EUR).

13) Eur006r-data-orders-trades-1992-2016 Net profit trading 1 lots =$52,506 Greatest Drawdown = -$8,456. Strategy type = Range trading, volatility period 1 day, no slope, volatility multiplier 0.43, low filter normal 174, trailing stop $2,350, objective $7,500, contract size 62,500 (EUR).

14) Eur004r-data-orders-trades-1992-2016  Net profit trading 1 lots =$57,937 Greatest Drawdown = -$8,643. Strategy type = Range trading, volatility period 2 days, no slope, volatility multiplier 0.37, low filter floor 210, trailing stop $1,950, objective $7,500, contract size 62,500 (EUR).

15) Eur003r-data-orders-trades-1992-2016  Net profit trading 1 lots =$50,531 Greatest Drawdown = -$8,993. Strategy type = Range trading, volatility period 1 day, no slope, volatility multiplier 0.43, low filter normal 174, trailing stop $2,350, objective $3,500, contract size 62,500 (EUR).

16)  Chf005t-data-orders-trades-1992-2016 Net profit trading 1 lots =$92,000 Greatest Drawdown = -$8,778. Strategy type = Trend trading, volatility period days, slope  11 days, slope filter 100 ticks, slope multiplier 0.12, volatility multiplier 1.31, high filter 110, low filter 0, trailing stop $2,500, objective $2,400, contract size 62,500 (CHF).

17) Chf009t-data-orders-trades-1992-2016 Net profit trading 1 lots =$80,560 Greatest Drawdown = -$8,553. Strategy type = Trend trading, volatility period 6 days, slope  22 days, slope filter 32 ticks, slope multiplier 0.19, volatility multiplier 0.50, high filter 285, low filter 0, trailing stop $2,050, objective $2,250, contract size 62,500 (CHF).

18) Chf017t-data-orders-trades-1992-2016  Net profit trading 1 lots =$76,315 Greatest Drawdown = -$8,606. Strategy type = Trend trading, volatility period days, slope  47 days, slope filter 23 ticks, slope multiplier 0.12, volatility multiplier 1.11, high filter 110, low filter 0, trailing stop $1,950, objective $2,500, contract size 62,500 (CHF)

19)  Chf010t-data-orders-trades-1992-2016 Net profit trading 1 lots =$75,220 Greatest Drawdown = -$9,351 Strategy type = Trend trading, volatility period 2 days, slope  10 days, slope filter 100 ticks, slope multiplier 0.11, volatility multiplier 1.39, high filter 480, low filter 0, trailing stop $2,500, objective $2,450, contract size 62,500 (CHF).

20) Chf023t-data-orders-trades-1992-2016 Net profit trading 1 lots =$73,129 Greatest Drawdown = -$11,284. Strategy type = Trend trading, volatility period days, slope  21 days, slope multiplier 0.10, volatility multiplier 0.59, high filter 270, low filter 0, trailing stop $2,500, objective $1,950, contract size 62,500  (CHF).

21) Chf012r-data-orders-trades-1992-2016 Net profit trading 1 lots =$69,147 Greatest Drawdown = -$10,887. Strategy type = Range trading, volatility period days, no slope, volatility multiplier 0.81, no high filter, low filter normal 234, trailing stop $2,200, objective $7,500, contract size 62,500 (CHF).

22) Chf005r-data-orders-trades-1992-2016 Net profit trading 1 lots =$63,521 Greatest Drawdown = -$11,493. Strategy type = Range trading, volatility period 6 days, no slope, volatility multiplier 0.53, no high filter, low filter floor 142, trailing stop $1,250, objective $4,500, contract size 62,500 (CHF).

23) Chf007r-data-orders-trades-1992-2016  Net profit trading 1 lots =$51,906 Greatest Drawdown = -$9,529. Strategy type = Range trading, volatility period 13 days, no slope, volatility multiplier 0.88, no high filter, low filter floor 84, trailing stop $1,250, objective $5,500, contract size 62,500.

24) Chf006r-data-orders-trades-1992-2016 Net profit trading 1 lots =$57,502 Greatest Drawdown = -$11,695. Strategy type = Range trading, volatility period 14 days, no slope, volatility multiplier 0.74, no high filter, low filter floor 136, trailing stop $2,100, objective $7,500, contract size 62,500 (CHF).

25) Jpy009t-data-orders-trades-1992-2016 Net profit trading 1 lots =$53,645 Greatest Drawdown = -$7,051. Strategy type = Trend trading, volatility period days, slope  16 days, slope filter 64 ticks, slope multiplier 0.11, volatility multiplier 0.45, high filter 150, low filter 0, trailing stop $2,500, objective $2,500, contract size 6,250,000 (JPY).

26) Jpy029t-data-orders-trades-1992-2016  Net profit trading 1 lots =$72,593 Greatest Drawdown = -$10,496. Strategy type = Trend trading, volatility period days, slope  47 days, slope filter 23 ticks, slope multiplier 0.12, volatility multiplier 1.11, high filter 110, low filter 0, trailing stop $1,950, objective $2,500, contract size 6,250,000 (JPY).

27) Jpy019t-data-orders-trades-1992-2016 Net profit trading 1 lots =$54,314 Greatest Drawdown = -$8,081. Strategy type = Trend trading, volatility period 7 days, slope  14 days, slope filter 96 ticks, slope multiplier 0.10, volatility multiplier 0.45, high filter 240, low filter 0, trailing stop $1,850, objective $950, contract size 6,250,000 (JPY).

28) Jpy06t-data-orders-trades-1992-2016 Net profit trading 1 lots =$61,683 Greatest Drawdown = -$9,436. Strategy type = Trend trading, volatility period 5 days, slope  10 days, slope filter 18 ticks, slope multiplier 0.11, volatility multiplier 0.63, high filter 240, low filter 0, trailing stop $2,300, objective $1,450, contract size 6,250,000 (JPY).

29) Jpy017r-data-orders-trades-1992-2016 Net profit trading 1 lots =$107,337 Greatest Drawdown = -$9,270. Strategy type = Range trading, volatility period days, no slope, volatility multiplier 0.36, no high filter, low filter normal 156, trailing stop $2,500, objective $7,500, contract size 6,250,000 (JPY).

30) Jpy007r-data-orders-trades-1992-2016  Net profit trading 1 lots =$110,261 Greatest Drawdown = -$10,487. Strategy type = Range trading, volatility period days, no slope, volatility multiplier 0.48, low filter floor 190, trailing stop $2,500, objective $7,500, contract size 6,250,000 (JPY).

31) Jpy008r-data-orders-trades-1992-2016 Net profit trading 1 lots =$111,595 Greatest Drawdown = -$11,203. Strategy type = Range trading, volatility period days, no slope, volatility multiplier 0.48, low filter floor 156, trailing stop $2,000, objective $4,500, contract size 6,250,000 (JPY).

32) Jpy010r-data-orders-trades-1992-2016  Net profit trading 1 lots =$75,230 Greatest Drawdown = -$10,234. Strategy type = Range trading, volatility period 6 days, no slope, volatility multiplier 0.42, no high filter, low filter floor 172, trailing stop $1,850, objective $7,500, contract size 6,250,000 (JPY).

If  you have any questions or need additional information  contact me

 


 

RISK DISCLOSURE STATEMENT

PROGRAM AVAILABILITY IS DEPENDENT ON YOUR COUNTRY OF RESIDENCY AND FINANCIAL STATUS

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE PERFORMANCE. THE RISK OF LOSS IN TRADING FOREX OR FUTURES CONTRACTS OR OPTIONS CAN BE SUBSTANTIAL, AND THEREFORE INVESTORS SHOULD UNDERSTAND THE RISKS INVOLVED IN TAKING LEVERAGED POSITIONS AND MUST ASSUME RESPONSIBILITY FOR THE RISKS ASSOCIATED WITH SUCH INVESTMENTS AND FOR THEIR RESULTS.

BID/ASK SPREADS, BROKERAGE COMMISSION, CLEARING, EXCHANGE AND REGULATORY FEES WILL HAVE AN ADVERSE IMPACT ON THE NET OVERALL PERFORMANCE OF YOUR ACCOUNT. PRIOR TO MAKING A DECISION TO PARTICIPATE IN ANY INVESTMENT MAKE SURE YOU FULLY UNDERSTAND THE FEES ASSOCIATED WITH TRADING.

EXAMPLES OF HISTORIC PRICE MOVES OR EXTREME MARKET CONDITIONS ARE NOT MEANT TO IMPLY THAT SUCH MOVES OR CONDITIONS ARE COMMON OCCURRENCES OR ARE LIKELY TO OCCUR.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT.

IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADE PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF THE HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

YOU SHOULD CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR CIRCUMSTANCES AND FINANCIAL RESOURCES.

THE INFORMATION PROVIDED IN THIS REPORT CONTAINS RESEARCH, MARKET COMMENTARY AND TRADE RECOMMENDATIONS. YOU MAY BE SOLICITED FOR AN ACCOUNT BY ONE OF OUR REPRESENTATIVES OR EMPLOYEES. IT SHOULD BE KNOWN THAT THE REPRESENTATIVES OF OUR FIRM MAY TRADE FUTURES AND OPTIONS FOR THEIR OWN ACCOUNTS OR THOSE OF OTHERS. DUE TO VARIOUS FACTORS (SUCH AS MARGIN REQUIREMENTS, RISK FACTORS, TRADING OBJECTIVES, TRADING INSTRUCTIONS, TRADING STRATEGIES, AND OTHER FACTORS) SUCH TRADING MAY RESULT IN THE LIQUIDATION OR INITIATION OF FUTURES OR OPTIONS POSITIONS THAT DIFFER FROM THE OPINIONS AND RECOMMENDATIONS FOUND IN THIS REPORT.

 

 

 

 

 

 

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Asset Investment Management

Family Office, Advisors

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