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Strategy #1 – "JET"
Bond Intraday
Institutional Only

Strategy #2 "JET" Euro Currency Intraday
Institutional Only

Strategy #3 "SIB
Bond" Daily
Institutional Only

Strategy #4 Trend & Cycle
S&P 500 Daily

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Trend and Cycle Trading Strategy

T&C is a mechanical automated trading system for the SP 500 & SP 500 e-mini futures contracts. The outstanding feature of this strategy is that it has a position in the market long or short about 75% of the time. This characteristic alone makes it virtually impossible to over optimize or curve fit the trading rules. It also means it is exceedingly rare that any market move can occur without this strategy trying to take advantage of it. And because the system is in the market almost all the time, position sizing can be small and still yield outsized absolute dollar results.

T&C uses end of day data only--- no intraday monitoring is required. The strategy does better when markets are more active as the equity curve illustrates. The worst year in historical testing for this strategy was still a gross return of +53.2%, not a bad “off year” for any stock market trader.

The T&C strategy wins on approximately 2 out of every 3 trades and the average win is almost 50% larger then the average loss. The Profit Factor is 2.6 (total dollars won/ total dollars lost) which is outstanding for any system and especially one that requires no intraday monitoring. The historical drawdown is very low and compares favorably to any SP system or S&P managed account program.

Summary

Results from January 1, 1997 thru Dec 1, 2008
1 S&P 500 E-Mini Contract

Average Trade: $361

Winning Percentage: 65%

Total Profits: +$255,805

Average # Trades per Year: 59

Average Profit per Year:  +$21,299

Results by Year

1997: +$21,790
1998: +$21,170
1999: +$33,400
2000: +$35,500
2001: +$29,965
2002: +$31,450
2003: +$10,195
2004: +$7,390
2005: +$5,325
2006: +$8,915
2007: +$14,665
2008: +$36,595

PLEASE READ THE FOLLOWING:
THERE IS A SIGNIFICANT RISK OF LOSS IN FUTURES TRADING. HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. IN ADDITION, SINCE SOME OR ALL TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS FAST MARKET CONDITIONS OR LACK OF LIQUIDITY AMONG THEM.

No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Only risk capital should be used for futures trading due to the high risk of loss.
Simulated trading programs in general are designed 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 (and incur account draw downs) or to adhere to a particular trading program in spite of trading loses are important issues 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 trading program, method, strategy, or system, which cannot be completely taken into consideration with hypothetical performance results and will affect trading results and Customer’s Profit or loss.