Friday, April 30, 2010

ES RVS Income System from inception to present compounded

I received a request to post compounded returns for the ES RVS Swing and Income systems with 50% reinvestment as a comment to the previous post regarding the systems. In live trading, I do not like to apply very high compounding rates and additionally, if I were to, there are rational dollar/size limits to certain markets like the TF that need to be taken into account. However in this case, I will post the results because, though they may be amazing looking, they are realistic and actually are achievable. They go with the large size trades and results that I am currently executing in these markets.

This is the compounded ES swing system:

This system started with an initial investment of at risk capital of c. $48,000. The allocation is for an account with $100,000. Typically, I would use an allocation of 33% for futures accounts. In any case, the returns for a compounded account for the last 11 years or so are 95000% return based on the 100K account and 180,000% based on at risk capital for the swing system, For the income system, the results are 93,000% on the allocated capital and 185,500% on at risk capital of $55,000. Believe it or not these results are achievable in the markets. However, these types of investments should only reflect 1/3 of liquid networth at anytime and therefore should not show outrageous numbers like this if those relationships are appropriately managed. However, there ES market supports enough depth to achieve these results without much slippage.

Below is the Income system:

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