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Commodity Trader, Counter-Trend I'm Keith Fitschen. My Commodity Trader, Counter-Trend system is a unique commodity futures trading strategy for world-wide 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 60 percent of it’s trades, nets an average profit of about $240 per trade, and averages over $90,000 per year since 1980. These hypothetical performance figures are based on CSI continuous contracts, and they include a $25 slippage and commission deduction from each trade. Commodity Trader, Counter-Trend is only available through subscription. Commodity Futures Trading: Commodity Trader, Counter-Trend Details The trend-following logic enters a trade in the direction of a strong trend on a price 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, Counter-Trend Performance by Commodity The following tables show the strategies’ trade results from 1980 through Ausgust 2011. These figures were generated using continuous, back-adjusted contracts. A $25 slippage and commission deduction was taken from each trade.
These hypothetical results span about 32 years, but the majority of the commodities have not traded that long.
These results were generated using back-adjusted continuous contracts. A $25 slippage and 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 and losing trades at the same time. 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 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 by trading the "first N in a group strategy". In this strategy only N commodities in each group are traded at a time. If you are in trades in N commodities in the group and another in that group is signaled, you bypass that trade. For this portfolio the number for N is 1: only 1 trade in each group is taken at a time. The following graph shows equity buildup when one contract is traded at each signal. A slippage and commission deduction of $25 has been taken from each trade.
Commodity Trader, Counter-Trend: Starter Portfolio As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 2000.
The table shows that each year since the year 2000 was profitable, with an average annual profit of $38,180. Max annual drawdowns ranged from $9,333 to $22,431, with an average annual max drawdown of $15,695 over the period 2000 through August 2011. For the entire period (1980 through August 2011), the average profit per year was $23,520 and the average max drawdown was $13,731. The reason the years preceeding 2000 had less profit and drawdown is because many of the commodities in the basket hadn't started trading yet. Commodity Futures Trading : Mid-Size Portfolio The Mid-Size Portfolio is suited for accounts in the $40,000 to $70,000 range. The portfolio is diversified across the commodity groups by trading the "first N in a group strategy". In this strategy, only N commodities in each group are traded at a time. If you are in trades in N commodities in the group and another in that group is signaled, you bypass that trade. For this portfolio the number for N is 2: only 2 trades in each group are taken at a time. The following graph shows equity buildup when one contract is traded at each signal. A slippage and commission deduction of $25 has been taken from each trade.
Commodity Trader, Counter-Trend:Mid-Size Portfolio As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 2000.
The table shows that each year since the year 2000 was profitable, with an average annual profit of $65,931. Max annual drawdowns ranged from $15,016 to $36,302, with an average annual max drawdown of $21,798 over the period 2000 through August 2011. For the entire period (1980 through August 2011), the average profit per year was $42,348 and the average max drawdown was $18,647. The reason the years preceeding 2000 had less profit and drawdown is because many of the commodities in the basket hadn't started trading yet. Commodity Futures Trading : Full-Size Portfolio The Starter Portfolio is suited for accounts in the $70,000 to $100,000 range. The portfolio is diversified across the commodity groups by trading the "first N in a group strategy". In this strategy only N commodities in each group are traded at a time. If you are in trades in N commodities in the group and another in that group is signaled, you bypass that trade. For this portfolio the number for N is 3: only 3 trades in each group are taken at a time. The following graph shows equity buildup when one contract is traded at each signal. A slippage and commission deduction of $25 has been taken from each trade.
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 2000.
The table shows that each year since the year 2000 was profitable, with an average annual profit of $87,893. Max annual drawdowns ranged from $13,867 to $44,451, with an average annual max drawdown of $26,759 over the period 2000 through August 2011. For the entire period (1980 through August 2011), the average profit per year was $53,717 and the average max drawdown was $22,862. The reason the years preceeding 2000 had less profit and drawdown is because many of the commodities in the basket hadn't started trading yet. Commodity Futures Trading : All Commodities All 55 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, Counter-Trend: All Commodities As the graph shows, equity buildup is fairly smooth and consistent. The following table shows portfolio performance for each year since 2000.
The table shows that each year since the year 2000 was profitable, with an average annual profit of $115,788. Max annual drawdowns ranged from $17,328 to $52,596, with an average annual max drawdown of $31,219 over the period 2000 through August 2011. For the entire period (1980 through August 2011), the average profit per year was $71,096 and the average max drawdown was $26,001. The reason the years preceeding 2000 had less profit and drawdown is because many of the commodities in the basket hadn't started trading yet. Subscription Signals The Commodity Trader, Counter-Trend 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 August 22, 2011, based on closing data from August 19, 2011. 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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