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Commodity Trader I'm Keith Fitschen. My Commodity Trader is a unique commodity futures trading strategy for domestic commodities and stock indices. It is a trend-following strategy that uses the exact same logic and parameter values across all commodities. This approach minimizes curve-fitting and provides an extremely robust trading solution. The strategy wins about 55 percent of it’s trades, nets an average profit of about $160 per trade, and averages over $62,000 per year since 1980. Commodity Trader is only available through subscription. Commodity Futures Trading: Commodity Trader Details The trend-following logic enters a trade in the direction of a strong trend during a short-term pull-back. Signals are given when CSI end-of-day data becomes available, between 8:30 and 9:00 PM EST. To trade the strategy, we recommend an initial stop loss of $2,000 be used. The logic includes a volatility filter to measure the recent volatility of each commodity. If a minimum threshold is not reached, or volatility is well above the norm, we stand aside. Commodity Futures Trading: Commodity Trader Performance by Commodity The following tables show the strategies’ trade results from 1980 through February 2011. These figures were generated using continuous, back-adjusted contracts. No deduction was taken for commission.
These hypothetical results span about 31 years, but the majority of the commodities have not traded that long.
These results were generated using back-adjusted continuous contracts. No slippage or commission deduction was made. The following CFTC notice on hypothetical results should be noted.
Commodity Futures Trading: Trading the Strategy The strategy works across the commodity groups. A way to use this characteristic is to trade a diversified portfolio of commodities with multi-group representation that suits your account size. Instead of just trading the “best” commodities, trade the “best” commodities in each group. This strategy minimizes exposure in correlated commodities which tend to make winning trades at the same time, and losing trades. Diversification smooths the equity curve which results in lower drawdowns. Since risk management should be the primary aim of every trader, diversification is an investment tool that should be used where possible. The following portfolios were constructed with risk in mind. The least volatile commodities in each group were selected for the smallest portfolio, and added to in each larger portfolio. The prospective trader should examine the yearly max drawdowns to determine if the risk is suitable for his trading temperament. Commodity Futures Trading : Starter Portfolio The Starter Portfolio is suited for accounts in the $20,000 to $40,000 range. The portfolio is diversified across the commodity groups to gain exposure in uncorrelated markets. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Soybeans, Lean Hogs, Sugar, Copper, mini Natural Gas, the Euro-Currency, and Ten-Year Notes. The following graph shows equity buildup when one contract is traded at each signal.
Commodity Trader: Starter Portfolio As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 1993.
The table shows that each year was profitable, with and average annual profit of $18,966.. Max annual drawdowns ranged from $4,123 to $12,771, with an average annual max drawdown of $7,656 for the period 1980 through March 2011. Commodity Futures Trading : Mid-Size Portfolio The Mid-Size Portfolio is suited for accounts in the $40,000 to $60,000 range. The portfolio is diversified across the commodity groups to gain exposure in uncorrelated markets. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Soybeans, Rough Rice, Lean Hogs, Feeder Cattle, Sugar, Lumber, Copper, Gold, mini Natural Gas, Crude Oil, the Euro-Currency, the Australian Dollar, Ten-Year Notes, Five-Year Notes, and the Nikkei. The following graph shows equity buildup when one contract is traded at each signal.
Commodity Trader:Mid-Size Portfolio As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 1993.
The table shows that each year was profitable with an average profit per year of $37,290. Max annual drawdowns ranged from $6,883 to $19,321, with an average annual max drawdown of $9,617. Commodity Futures Trading : Full-Size Portfolio The Full-Size Portfolio is suited for accounts in the $60,000 to $100,000 range. The portfolio is diversified across the commodity groups to gain exposure in uncorrelated markets. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Soybeans, Rough Rice, KC Wheat, Lean Hogs, Feeder Cattle, Sugar, Lumber, Coffee, Copper, Gold, Palladium, mini Natural Gas, Crude Oil, Reformulated Gas, the Euro-Currency, the Australian Dollar, the Dollar Index, Ten-Year Notes, Five-Year Notes, 30-Year Notes, the Nikkei, and the mini Russell. The following graph shows equity buildup when one contract is traded at each signal.
Commodity Trader: Full-Size Portfolio As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 1993.
The table shows that each year was profitable with an average profit per year of $60,852. Max annual drawdowns ranged from $8,244 to $25,048, with an average annual max drawdown of $15,440. Commodity Futures Trading : All Commodities All 45 domestic commodities can be traded with account sizes greater than $100,000. The following graph shows equity buildup when one contract is traded at each signal.
Commodity Trader: All Commodities As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 1993.
The table shows that each year was profitable with an average profit per year of $99,240. Max annual drawdowns ranged from $14,083 to $60,693 with an average annual max drawdown of $38,150. Subscription Signals The Commodity Trader signals are only available through subscription. If you subscribe, you will select a user name and password. Each day you login to this website to see the signals. The following table shows the actual signals for July 10, 2008, based on closing data from July 9, 2008. Each of the 45 commodities is listed, along with it’s current contract month, position, and any new orders. It’s very simple to trade: all entries and exits are stop orders, so the orders can be placed as soon as they are posted. Once you’ve placed the orders, you’re done til the next day.
Subscription Cost If you trade the strategy yourself, the price for a subscription is $149 per month. Payment is made via credit card and auto-billed each month until you decide to stop. Broker-Assist You can also opt to have one of our “preferred brokers” trade the strategy for you. They take all the work out of the trading: managing entry, exit, and rollovers. If you trade the strategy through one of the brokers below, the price for a subscription is $99 per month, on a one-contract per signal basis. Payment is deducted from your trading account each month. Preferred Brokers:
TradeSystem, Inc.
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