Saturday, August 7, 2010

RVS System Reference Performance Data for major index futures

For reference, below are a few of primary trading m3 vehicles and their performance analysis and allocation mapping. The systems are based on $100,000 max trade size though we are trading them with very large allocations. These systems are designed to trade very large position sizes without negative effects from slippage or prohibitive execution costs. We have factored excessive slippage and execution costs into the performance results for these systems with almost indiscernible effects on the final results - this is due not only to the high win rates but also the high win dollar ratios and high point gains of the trades. For example, the average win on the ES Swing System is nearly 25 ES points. Factoring 2 to 3 points of slippage (which is highly improbable for this market) does not impact the system's ability to trade profitably nor does  factoring in transaction costs of $20 per contract impact the systems ability to trade profitably.

The SSO Swing system for example uses an average trade size of $29,600. This same system runs with 94% accuracy on the SPY since its inception nearly 20 years ago. We will be enhancing the reports and updating them monthly as the new performance data is generated. These links will remain valid will automatically update to reflect the incoming data as it is added.

 
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