S&P 500 ATA T221

Performance 8 January 2007 through 31 March 2017
S&P 500 contract information, charts and quotes
Additional S&P guides, reports and videos
Other Indices we trade ATA’s on, North America and Europe
Other Markets we trade ATA’s on, North America and Europe

Recommended Starting Balance $25,000.00
Cumulative Net Profit
$276,875.50
Maximum Drawdown
($12,457.00)
Best  Year 2015   +225.15% $56,287.50
Worst Year 2012  +3.60% $900.00
2007-2017 Average   +108.04% $27,012.25
2017   +13.95% $3,488.00

Performance is net of bid/ask spreads, exchange, brokerage and regulatory fees, no compounding of positions and withdrawing all net profits annually. A.I.M. compensation is based on a 0.00% management fee and 12.50% of net new high profits quarterly.

Monthly Performance 2007 through 2017

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This program is an Automated Trading Account (ATA)

  • We calculate entries, risk levels and profit objectives for your account
  • We place all orders and diligently oversee executions, positions and balance
  • We monitor your risk level to ensure it is within your defined guidelines
  • ATA risk levels and units traded can be modified at anytime
  • Mark-to-market positions and balance are online at any time (mobile friendly)
  • Statements are emailed daily including positions, balance, liquidating value.
  • Liquidity in portion or all 2 to 48 hours in any major currency

The S&P 500 T221 trades 5 trend following programs usingoption collarsto define risk on every trade and for the duration of every trading period.

  • 2 short-term, trade duration between 5 to 21 days
  • 2 medium-term, trade duration 21-45 days
  • 1 long-term, trade duration 45 to 90 days
  • Total margin requirements for this ATA are less than $13,000 USD or major currency equivalent per trading unit.

“Collar Trading”

  • Risk is defined on every trade and for the duration of every trading period
  • Trade frequency is defined
  • Positions cannot be stopped out regardless of market volatility
  • The only way a position can be called away is at a profit
  • If the market stays the same we are not wasting investment capital on purchasing option time premium to define risk.  We’re collecting approximately as much option time premium on the covered write (at the profit objective) as we’ve paid out on the hedge (maximum risk level)
  • Collar’s can be offset at any time locking in gains and/or modified and reestablished to capture more of the move or a trend reversal.

When opening an ATA account you are requested to establish a maintenance balance for the account

Should the account fall below the maintenance balance as of the settlement of any trading day our team will automatically liquidate all positions on or before the next close and report back to you. If we fail to liquidate on or before the next settlement we are liable for any losses from that settlement forward, more on ATA maintenance balances.

Video, 1 minute 44 seconds

Incentive and Management Fees for Automated Trading Accounts (ATA’s)

  • 0.00%  Front load
  • 0.00%  Management fee
  • 12.50% Of net new high profits quarterly, when an incentive fee is billed we request your approval prior to it being deducted from your account.

Account opening links
Video, 1 minute 29 seconds


Disclosure of trading methodology for short, medium and long term positions

We trade the contract delivery with the greatest liquidity as qualified by volume and open interest, see this page.

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Procedure for short-term trades (5 to 21 days in duration)

Identify the short-term trend using the daily chart on this page

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Confirm the trend using the overall average of the technical indicators on this page.
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Confirm the short-term trend using the short term indicator average on this page

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For short-term trades between 5 to 21 days

You would enter a short position

In this example the overall average is an 8% sell with the average of the short-term  indicators at 40% sell which generates  an order to short one contract with a trade duration of 5 to a maximum of 10 trading days.  

Trade duration and number of positions is determined by the strength of the trend as qualified by the overall and short term technical indicators.

If the overall and short-term indicator averages were 50% or higher the trade duration would be greater than 10 and less than 21 trading days.

Should the trend continue to strengthen as qualified by the overall and short term technical indicators we’ll add a second short term trade with a duration of 10 to 21 days.

Generating your maximum risk level and profit objective on short term trades

Identify the range using daily data on  this page, as of 10 April 2017 the 5 day range was 30.00 points.

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Use half the 30.00 point 5 day range (+15.00 and -15.00 points) for the trade’s maximum risk level and profit objective.

Trade structure

  • Sell one futures contract (in this example 2351)
  • Write one put with an expiration of 1 week against the short futures position 15.00 points below the market at the closet strike price collecting option time premium (2335 profit objective).
  • Buy one call with an expiration of 1 week  using the collected option time premium from the written call 15.00 points above the market at the closet strike to define risk. (2365 maximum risk)

In this example we’ve collected 9.00 points or $450 on the 2335 put written against our 2351 short futures position and paid out 7.00 points or $350 for the 2365 call to hedge our 2351 short futures contract, see this page for current futures and options quotes.

Position  Price Premium (paid) or collected
Buy a 1 week 2365 call 7.00 ($350.00)
Short ESM17 futures position 2351.00
Write a 1 week 2335 put 9.00 $450.00

Potential outcomes for this trade

Market stays the same ($50.00) net of all costs

Position Net point (loss) or gain Net USD (loss) or gain
Buy the 1 week 2365 call (7.00) ($400.00)
Short ESM17 at 2351.00 0.00 ($50.00)
Write the 1 week 2335 put 9.00 $400.00
Total loss including all costs ($50.00)

Market rallies against the short position to 3000 over the next week ($750.00) net of all costs

Position Net point (loss) or gain Net USD (loss) or gain
Buy the 1 week 2365 call 628.00 $31,350.00
Short ESM17 at 2351.00 -649.00 ($32,500.00)
Write the 1 week 2335 put 9.00 $400.00
Total loss including all costs ($750.00)

Market sells off to 1000 over the next week +$750.00 net of all costs

Position Net point (loss) or gain Net USD (loss) or gain
Buy the 1 week 2365 call (7.00) ($400.00)
Short ESM17 at 2351.00 1351.00 $67,500.00
Write the 1 week 2335 put -1326.00 ($66,350.00)
Total loss including all costs $750.00

Medium-term trades 21 to 45 days in duration

For medium term trades with a duration between 21 and 45 days we’re following the same procedure as the short term trades but using weekly data rather than the daily data.

Identify the medium-term trend using the weekly chart on this page.

In this example the chart is telling us the medium term up trend is stalling with a potential break on deck to the downside.

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Confirm the trend using the overall average of the technical indicators  on this page
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Confirm the trend using the average of the medium term technical indicators on this page.

In this example the medium-term indicators are generating a hold.
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In this example using the weekly data

No trade

The weekly chart is telling us to get ready to short, the medium term indicators are neutral, both are contrary to the overall average of the technical indicators which is an 8% sell.

If the weekly chart, overall average and medium term average all agreed you’d enter a short position.

In order to establish a medium term short position we need a deeper break though the red line on the weekly chart the overall average to increase to greater than 20% and the medium term average to increase to greater than 25%.

When a trade is generated we calculate risk level and profit objectives for the medium term trades using the one month range on this page using half of this monthly range + or – for the risk level and profit objective.

Trade duration and number of contracts traded is dependent of the strength of the trend.

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Long-term trades 45 to 90 days in duration

For long term trades with a duration between 45 and 90 days we’re following the same procedure as the short term trades but using monthly data rather than the daily data.

Identify the long-term trend using the monthly chart on this page.

In this example the chart is telling us the long-term up trend is still higher

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Confirm the trend using the overall average on this page with the overall average at 8% sell contrary to what the chart is telling us we’d stand aside.
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If the monthly chart and overall average were consistent we’d confirm the long-term trend using the average of the long-term indicators on this page.

In this example the long-term indicators are still generating a buy.

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In this example using the weekly data

Procedure

  • If you are neutral stand aside
  • If you are already long maintain your position

The only time we enter a long-term trade is when the long-term chart, overall average and short, medium and long-term averages of the technical indicators all agree on market direction.

When a trade is generated the risk level and profit objective for the long-term trades uses half the 3 month range on this page  + or – for the risk level and profit objective. Trade duration is dependent on the strength of the trend.

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Disclosure of changes made to this program since 2007

February 2013 risk levels and profit objectives began being calculated using the same number of days as the trade duration (if the trade duration is 41 days we use half of the range from the previous 41 days + or minus to calculate the risk level and profit objective)  see this page for range data.

January 2014 we implemented turning point analysis for additional confirmation on trend and trend reversals. See this page for key turning points

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January 2016 we raised the fee structure for new accounts from 10.00% of net new high profits quarterly to 12.50% of net new high profits quarterly. Accounts opened prior to January 2016 remained on the old fee structure of 10.00% of net new high profits quarterly.

If you’d like to review this and/or other programs/markets schedule an online review using this link, we’ll answers your questions and provide you with all supporting links for additional information and/or  verification.

Regards,
Peter Knight Advisor
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Disclosure

Published by

Peter Knight Advisor

Family Office, Advisor