February saw rising stock prices, slightly lower bond prices -- and mixed results for managed futures programs. The Middle East unrest created volatility in the energy markets. This resulted in both winning and losing trades in the energy sector, with net profits for the month in crude oil trades.
Our zFutures Diversified Program, tracked at Collective2, was slightly higher at +0.5%, while the z-Trader Short-Term Program registered a +10.6% gain.
The zFutures Diversified Program can be carved into two main sectors (Financials & Commodities). The z-Trader Financials Program gained +4.7% with profits in the currencies, bonds, and precious metals. These gains, however, were offset by losses in the z-Trader Commodities Program (with the grains and softs being the main culprits), leading to a drop of -8.3%. The Financials & Commodities Program offer good diversification to one another -- and together, will approximate the Diversified Program, at higher leverage (but offer the benefit of a lower account size).
The z-Trader Short-Term Program rode the S&P to fairly steady gains during the month.
AN INVESTMENT IN FUTURES CAN RESULT IN LOSSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
ALL RESULTS MUST BE CONSIDERED HYPOTHETICAL RESULTS, WITH MANY INHERENT LIMITATIONS.
Showing posts with label Collective2. Show all posts
Showing posts with label Collective2. Show all posts
Tuesday, March 1, 2011
Saturday, February 19, 2011
z-Trader Quant Systems & Collective2
We have used a system developer name of "z-Trader" to post the results of quant trading strategies on Collective2 (C2), a third-party tracker. We have created four programs on C2 as follows:
Please contact us for more information.
In addition, note that we have a track record and/or hypothetical results that go back to 1996. Performance on C2 must be considered hypothetical, with all of the risk disclosures associated with futures trading and hypothetical results.
AN INVESTMENT IN FUTURES MAY RESULT IN LOSSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
zFutures Diversified Program (Adamah Capital): is a fully-diversified program that trades both Commodities & Financials. The Diversified Program was posted on C2 about 8 months ago and appears on C2's leaderboard.
In order to achieve lower account sizes (as requested by several C2 users), we recently created the z-Trader Commodities and z-Trader Financials Program. On average, these two programs will combine to be a good proxy for zFutures Diversified (although with more leverage to achieve the lower account sizes). Commodities have had a few good months, while Financials (currencies in particular) have struggled the past 1-2 months. Over the long-term, we expect the two programs to have similar levels of performance. The programs offer good diversification to one another.
z-Trader Short-Term applies similar approaches as our other programs -- but with a shorter-term outlook that can be applied to large markets (and markets that exhibit volatility). The program trades markets such as the S&P, energy & metals, with a focus on the E-Mini S&P.
Please contact us for more information.
Friday, February 11, 2011
Newsletter on Trading Systems (from C2)
In case you missed this newsletter from Collective2 (C2), we thought it was an interesting look at why some trading systems ultimately fail. The recent volatility in the futures and currency markets in January and early February caused some losses for trading systems, and we recently wrote a related article. I use Collective2 as a third-party tracker for trading systems.
Here is an excerpt from the Collective2 newsletter. Please click here for the entire article.
Three trading systems that failed
and what we can learn from them
A lot of trading-system sites like to brag about how people made money on their site.
... Every now and then we review bad trading systems on our site.
Why our obsession with failure?
Because failure, more than success, is interesting. Not just in a snarky, let's-kick-people-when-they're-down kind of way. When trading systems fail, it gives investors a chance to ask questions. Were there warning signs that should have been heeded? Is there anything that these failed systems have in common?
...
Conclusion
The point of reviewing these three systems is to learn from mistakes. The best kind of mistakes to learn from are the ones that other people make. (Learning from your own mistakes, while a powerful pedagogical method, hurts like hell.)
So what did we learn today?
- Trading systems that engage in Martingale strategies can look good for a long time. But they always end the same way, and it's never pretty.
- System developers that talk about golden harmonics and astrology and bird entrails should be treated with skepticism.
- Even supposedly "low-risk" strategies have risk. There is no such thing as a free lunch.
Tuesday, February 1, 2011
A Look-Ahead at Stock Signals 2/1/11
Our stock market indicators last changed signals on January 14th. In that blog post, our intermediate stock indicators went flat (at S&P 1293) from a moderately-long position. Since that time, the stock market had grudgingly moved higher, until Friday's steep decline. With the market's bounceback yesterday -- and rise early in today's trading (S&P currently at 1301.5), our intermediate indicators have changed to very slightly bearish (not a huge signal change, but notable).
Interestingly, a look-ahead at the model's signals points to a bullish call in a few days, but that is dependent on stock market action. Keep an eye on our blog for updated information. Our long-term model remains strongly bullish. In addition, short-term market direction will help dictate our overall stock index futures position.
The stock market has been relatively quiet -- especially to the upside -- in recent weeks. The market has generally moved steadily higher, although it has hit some resistance at the 1300 level on the S&P 500. Our z-Trader Short-Term System, tracked at Collective2, applies the results of these stock market models to the S&P and/or E-Mini contracts. Because the market has had this "grudging" rise with resistance near 1300, the system has also been flattish.
The Short-Term System trades larger, more volatile, markets such as the S&P, energy, metals, and financials.
Interestingly, a look-ahead at the model's signals points to a bullish call in a few days, but that is dependent on stock market action. Keep an eye on our blog for updated information. Our long-term model remains strongly bullish. In addition, short-term market direction will help dictate our overall stock index futures position.
The stock market has been relatively quiet -- especially to the upside -- in recent weeks. The market has generally moved steadily higher, although it has hit some resistance at the 1300 level on the S&P 500. Our z-Trader Short-Term System, tracked at Collective2, applies the results of these stock market models to the S&P and/or E-Mini contracts. Because the market has had this "grudging" rise with resistance near 1300, the system has also been flattish.
The Short-Term System trades larger, more volatile, markets such as the S&P, energy, metals, and financials.
Thursday, January 20, 2011
Managed Futures Sector Report: "Caution Flag for Financials"
After several months of good returns in the managed futures and commodities arena, several futures market sectors are seeing "red" in early 2011. Many markets are seeing choppy market action and consolidation in January.
In particular, gold - which has been entrenched in a long-term bull market - has seen stiff resistance in the 1420 area and has seen a recent reversal. Today, the gold market took out recent lows and is sitting in the 1340 range.
Other related markets, such as the currencies and U.S. dollar have also seen reversals and whipsawing market action. In a nutshell, the financial and metals sectors of the futures markets have suffered losses. We have recently created a tradable Financials Program so that investors can track the performance of this managed futures sector, on third-party tracker Collective2. Note that the financials program includes metals.
On the other hand, the Commodities sector has held up relatively well during this volatile period. Various markets such as softs and cattle have yielded profits, which have offset losses in hogs and grains. The energy market has given up gains earned earlier in the month. Overall, however, the commodities sector remains slightly higher for the month. The performance of this sector can be tracked here, in our tradable Commodities Program.
Today's volatility has caused our systematic approaches to go into a slightly more "defensive mode." Risk management is one of the key elements to long-term investment success in the financial markets. The goal is to capture "profit opportunities" when they present themselves -- but to keep losses from accumulating when the markets are in a "whipsaw mode" -- and trying to "find" a "new equilibrium / price level."
Our trading models are currently signalling a "caution flag" for several markets -- and in particular, the financials sector. We do not believe that the long-term bull market in commodities is ending. However, we "try not to think" -- and instead -- follow our quantitative models that are based on many years of data and research. For now, if you are in these markets, please watch your risk levels and "stops," to prevent losses from accumulating.
The Financials Program and Commodities Program are good diversifiers to one another -- and combined, are a good proxy for a fully Diversified Managed Futures Program, which can also be tracked and traded. Please contact us for more information.
AN INVESTMENT IN FUTURES MAY RESULT IN LOSSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
In particular, gold - which has been entrenched in a long-term bull market - has seen stiff resistance in the 1420 area and has seen a recent reversal. Today, the gold market took out recent lows and is sitting in the 1340 range.
Other related markets, such as the currencies and U.S. dollar have also seen reversals and whipsawing market action. In a nutshell, the financial and metals sectors of the futures markets have suffered losses. We have recently created a tradable Financials Program so that investors can track the performance of this managed futures sector, on third-party tracker Collective2. Note that the financials program includes metals.
On the other hand, the Commodities sector has held up relatively well during this volatile period. Various markets such as softs and cattle have yielded profits, which have offset losses in hogs and grains. The energy market has given up gains earned earlier in the month. Overall, however, the commodities sector remains slightly higher for the month. The performance of this sector can be tracked here, in our tradable Commodities Program.
Today's volatility has caused our systematic approaches to go into a slightly more "defensive mode." Risk management is one of the key elements to long-term investment success in the financial markets. The goal is to capture "profit opportunities" when they present themselves -- but to keep losses from accumulating when the markets are in a "whipsaw mode" -- and trying to "find" a "new equilibrium / price level."
Our trading models are currently signalling a "caution flag" for several markets -- and in particular, the financials sector. We do not believe that the long-term bull market in commodities is ending. However, we "try not to think" -- and instead -- follow our quantitative models that are based on many years of data and research. For now, if you are in these markets, please watch your risk levels and "stops," to prevent losses from accumulating.
The Financials Program and Commodities Program are good diversifiers to one another -- and combined, are a good proxy for a fully Diversified Managed Futures Program, which can also be tracked and traded. Please contact us for more information.
AN INVESTMENT IN FUTURES MAY RESULT IN LOSSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Sunday, January 16, 2011
Managed Futures Program and Risk
Our managed futures program, zFutures, has been appearing on the leaderboards at Collective2 for a while. There seems to be a glitch, but the program is still appearing on their System Finder filter:
zFutures averages more than 2 weeks per trade, which helps its "realism," "slippage" stats -- as well as longer-term performance with respect to commissions. zFutures' components (z-Trader Financials and z-Trader Commodities) will have similar results in the long-term -- although this month, commodities have been profitable while financials have been consolidating / reversing.
With the recent volatility in financials, there has been a lot of chatter about risk management. We like Collective2's analytical tools. We note that zFutures has "Low" (or na) risk in every single trade it has made - except one, which was "Normal." In addition, the less-diversified Commodities & Financial components have "Low" to "Normal" risk levels. These programs are slightly more aggressive to achieve lower account sizes, but use the same trading approach.
Risk management and preventing losses from accumulating are key parts of all of our programs -- and are key to "surviving volatility" and good long-term performance.
AN INVESTMENT IN FUTURES MAY RESULT IN LOSSES.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THESE RESULTS SHOULD BE CONSIDERED HYPOTHETICAL, WHICH CARRIES MANY INHERENT LIMITATIONS.
Tuesday, January 11, 2011
Intermediate Stock Indicators - Moderately Long
As the market nears the close, our intermediate-term stock market indicators are moving to an increasingly bullish position -- going from a slightly-long reading to a moderately-long position. Our long-term indicators remain strongly bullish.
We do not post indications from our short-term indicators, but our overall S&P positions are dictated by the combination of all time frames. Our S&P models are part of a z-Trader Short-Term System monitored at Collective2.
We also use Collective2 to track our Diversified Futures program, zFutures.
Wednesday, January 5, 2011
Trading Systems: Managing the Ebb & Flow of Futures Markets
Here are some excerpts from an article Carlton Chin of Adamah Capital wrote at SeekingAlpha on the recent sharp reversals in the futures markets -- and how trading systems need to find balance between profit opportunities, risk management, and potential losses (drawdown).
...The futures markets (both financials and commodities) -- and in particular, currencies, metals, energy, agriculture, and several softs -- have presented profit opportunities to futures traders. However, after a strong December, early January has seen some sharp reversals in the future markets....Back in November, we wrote about the sharp reversal in the futures markets. At the time, we saw severe reversals even sharper than this week's moves... However, at the time (back in November), traders had to manage their risk -- and protect profits from potentially severe drops....Managing the Ebb & Flow of MarketsThere is a trade-off between "potential profit opportunities" versus losses -- and a "decline or drawdown" for any trading strategy. In a nutshell, traders must "surf" the waves of the markets -- and manage their positions and strategies through the inevitable "ebbs and flows" of the markets....There are always risk and return trade-offs, but good research can help traders and investors capture profit opportunities in the financial markets. We have studied and developed trading methodologies that attempt to capture profits while managing risk. Please check out the results in this FX/Forex trading challenge (top few percent). In addition, several of our trading strategies can be tracked at this third-party tracker, Collective2.We will follow our trading methodologies and continue to monitor and research the markets. Ongoing research and a systematic, disciplined, approach can help put the numbers -- and market action -- on your side.__________
Monday, January 3, 2011
Recent Market Action; Near Top in FX (Forex) Trading Challenge
This continues to be a good period for many markets. Stocks continue to reach recent highs. In addition, the markets we focus on -- futures and commodities -- continue to trend. In particular, the currencies, metals, energies, and agriculturals -- have led to profitable trades. Our trading approaches won't always work -- but we should capture the profit opportunities that present themselves in the futures markets.
We entered a Forex (FX) contest -- and currently rank # 46 out of well over 1000 entrants. The contest has an interesting slant -- and ranks traders by risk-adjusted performance (return / daily standard deviation).
Please click here for a look at the leaderboard:
In addition, several of our programs are tracked on Collective2 as a third-party tracker:
http://www.collective2.com/cgi-perl/system56282350 -- z-Trader Financials
Happy New Year!
Friday, December 31, 2010
Intermediate Stock Indicators Turn Slightly Bullish; A Bit on Time-Frames
Our intermediate-term stock indicators flipped from slightly bearish to slightly bullish at the close of trading for 2010. Our long-term indicators remain strongly bullish, as they have been for a while. As a result, our stock trading will be biased to the bullish side, with short-term trends -- and stock index movements, completing the picture.
Our trading strategies are diversified in terms of time-frame as well as technical trend-following approaches. Our typical approach focuses on the intermediate and long-term, with short-term approaches used for diversification.
Our Short-Term Program also uses the various time-frames, with a stronger emphasis on short-term research. Because of the focus on shorter-term systems -- this program targets liquid markets that show volatility -- such as financials and energy (with a focus on the S&P 500).
Adamah Capital uses Collective2 as a third-party tracker of trading strategies developed by Carlton Chin and George Parr.
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