CTS Treasury Trader |
What it trades: Futures
Hypothetical Monthly Results
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | - | +11.7% | +9.3% | +1.3% | (7.5%) | +2.3% | (6.6%) | +1.5% | (1.5%) | +0.5% | ||
| 2006 | (1.8%) | +0.3% | +1.0% | +1.0% | +1.9% | (0.4%) | (0.5%) | +2.1% | +1.0% | (2.1%) | +1.9% | (2.9%) |
| 2007 | (0.6%) | (1.8%) | (1.9%) | (2.5%) | - | (0.1%) | +2.2% | +2.8% | (0.8%) | +2.3% | +3.5% | +2.4% |
| 2008 | +5.6% | (0.8%) | +2.1% | (4.5%) | (1.2%) | (1.7%) | +0.1% | +1.6% | +0.8% | (1.2%) | +17.1% | +13.1% |
| 2009 | +7.3% | +0.8% | (0.6%) | +1.0% | +1.5% | (1.6%) | +0.9% | (0.8%) | (0.4%) | (2.3%) | +0.2% | (0.6%) |
| 2010 | (1.6%) | (1.1%) | +1.5% |
Subscription Terms
| $90 per quarter, only if profitable (Details) |
This is a pay-for-performance system. Subscriptions cost $90 at the end of each quarter, but only if the system has made profitable recommendations for the period.
To determine profitability, we do not look at your brokerage account, nor do we take into consideration whether you actually placed the trades recommended here. We simply measure the system's hypothetical track record here on the Collective2 Web site, without factoring fees or commissions. You will not be charged unless the sum of the trades during the period was profitable.
Strategy Description
System trading US Bonds and 10 year notes. Trade about once a month, but is highly accurate.
Futher information and backtested results can be seen at: http://www.creativetradingsystems.com
- This overview was provided by the system developer. Collective2 has not verified it.
Recently Closed Trades
Details| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
|---|---|---|---|---|---|---|---|---|---|
| 2/17/10 13:04 | SELL | 1 | @USH0 | US T-BOND | 117 6/32 | 2/23 13:07 | 117 29/32 | Low | ($717) |
| 2/10/10 10:00 | BUY | 1 | @TYH0 | US T-NOTE 10 YR | 118 12/64 | 2/17 13:15 | 117 54/64 | Low | ($344) |
| 2/4/10 8:30 | BUY | 1 | @USH0 | US T-BOND | 117 29/32 | 2/17 13:03 | 117 6/32 | Low | ($717) |
| 1/19/10 8:21 | SELL | 1 | @USH0 | US T-BOND | 117 3/32 | 1/20 8:31 | 117 28/32 | Low | ($781) |
| 1/11/10 9:51 | SELL | 1 | @TYH0 | US T-NOTE 10 YR | 116 10/64 | 1/14 13:07 | 116 58/64 | Low | ($750) |
| 1/13/10 13:21 | SELL | 1 | @USH0 | US T-BOND | 116 1/32 | 1/14 13:02 | 116 26/32 | Low | ($781) |
| 12/31/09 8:20 | SELL | 1 | @TYH0 | US T-NOTE 10 YR | 115 43/64 | 1/7/10 8:20 | 115 45/64 | Low | ($31) |
| 12/31/09 8:20 | SELL | 1 | @USH0 | US T-BOND | 115 22/32 | 1/7/10 8:20 | 115 1/32 | Low | $657 |
| 12/3/09 8:20 | BUY | 1 | @TYH0 | US T-NOTE 10 YR | 118 47/64 | 12/4 8:30 | 118 1/64 | Low | ($718) |
| 12/2/09 10:46 | BUY | 1 | @USH0 | US T-BOND | 121 13/32 | 12/3 9:19 | 120 7/32 | Low | ($1,187) |
| 11/12/09 8:20 | SELL | 1 | @USZ9 | US T-BOND | 118 20/32 | 11/16 8:20 | 119 30/32 | Low | ($1,313) |
| 10/16/09 8:20 | BUY | 1 | @TYZ9 | US T-NOTE 10 YR | 117 54/64 | 11/12 8:26 | 118 42/64 | Low | $812 |
| 11/3/09 10:48 | SELL | 1 | @USZ9 | US T-BOND | 119 22/32 | 11/5 8:43 | 118 | Low | $1,688 |
| 10/29/09 8:33 | SELL | 1 | @USZ9 | US T-BOND | 119 8/32 | 10/30 14:59 | 120 6/32 | Low | ($938) |
| 10/9/09 8:53 | BUY | 1 | @USZ9 | US T-BOND | 121 22/32 | 10/26 10:27 | 117 27/32 | Normal | ($3,844) |
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Statistics
Analytics| System has been audited since | 3/9/2005 (61 months ago) |
|---|---|
| Trades | 155 |
| # Profitable | 74 (47.7%) |
| # months tracked | 60 |
| Profitable months | 32 (53.3%) |
| Avg trade duration | 10.8 days |
| Annual return (compounded) | 10.1% |
| Average win | $1,939 |
| Average loss | $1,004 |
| Profit factor | 1.8:1 |
| Max peak-to-valley drawdown (historical) | 21.19% |
| drawdown period | June 03, 2005 to June 26, 2007 |
| Correlation w/ S&P | -0.123 |
| Sharpe ratio | 0.741 |
C2Realism Factor  | 100% |
| Keep after worst-case slippage | 91.0% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 12.2% |
| Chance of 20% account loss | 2.4% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.47 |
| Average P/L per unit traded | $364.86 |
System Description
Trading the US 30 Year Treasury Bonds Futures and 10 Year Notes. This is a medium term trading systems, holding trades from about 5 to 20 days. Generally there is at least one trade a month, but there can be no trades in certain months. Since the system come with a profitability guarantee, there are not charge for months like that. Please see our website for the month to month results.
The system trade only during the day session and signals are generated in the evenings for the next day. This is not a daytrading system. Trades can be either made on the open outcry contracts (US, TY), or the electronically traded contracts (ZB, ZN) as long as the trades are only valid during the day session. Many online brokers allow orders to be triggered at a certain time, which allow one, even on the electronically traded contracts to park the order until the day session open.
Entries and exits are both made with stop, or limit orders. All orders are placed the evening before and is valid for the whole next day, which in general should allow similar fills in real accounts than on C2.
Please review the historical trades and notice that we trade a realistic number of contracts and do not trades dozens of contracts, or 10000s of stocks for only a few ticks of profits. Our system is longer term, which make slippage much less of a problem and real trades will be very close to what you see on here.
Futher information and backtested results since 1983 can be seen at: http://www.creativetradingsystems.com
The system trade only during the day session and signals are generated in the evenings for the next day. This is not a daytrading system. Trades can be either made on the open outcry contracts (US, TY), or the electronically traded contracts (ZB, ZN) as long as the trades are only valid during the day session. Many online brokers allow orders to be triggered at a certain time, which allow one, even on the electronically traded contracts to park the order until the day session open.
Entries and exits are both made with stop, or limit orders. All orders are placed the evening before and is valid for the whole next day, which in general should allow similar fills in real accounts than on C2.
Please review the historical trades and notice that we trade a realistic number of contracts and do not trades dozens of contracts, or 10000s of stocks for only a few ticks of profits. Our system is longer term, which make slippage much less of a problem and real trades will be very close to what you see on here.
Futher information and backtested results since 1983 can be seen at: http://www.creativetradingsystems.com
- This system description was provided by the system developer. Collective2 has not verified it.
