CTS Treasury Trader is a strategy which trades Futures.
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- This text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified the Overview text above. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
Hypothetical Monthly Returns (using typical broker commissions)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | - | +11.6% | +9.2% | +1.1% | (7.6%) | +2.3% | (6.6%) | +1.5% | (1.6%) | +0.5% | ||
| 2006 | (1.8%) | +0.2% | +1.0% | +1.0% | +1.8% | (0.4%) | (0.5%) | +2.1% | +1.0% | (2.2%) | +1.9% | (2.9%) |
| 2007 | (0.6%) | (1.8%) | (2%) | (2.6%) | - | (0.2%) | +2.1% | +2.7% | (0.9%) | +2.3% | +3.5% | +2.4% |
| 2008 | +5.6% | (0.9%) | +2.1% | (4.5%) | (1.2%) | (1.8%) | +0.1% | +1.6% | +0.8% | (1.2%) | +17.4% | +13.2% |
| 2009 | +7.3% | +0.8% | (0.6%) | +1.0% | +1.5% | (1.6%) | +0.9% | (0.8%) | (0.4%) | (2.4%) | +0.2% | (0.6%) |
| 2010 | (1.7%) | (1.1%) | (0.3%) | +0.7% | - | - | - | - | - | - | - | - |
| 2011 | - | - | - | - | - | - | - | - | - | - | - | - |
| 2012 | - |
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Subscribe to System
| $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.
Live brokerage trade data is available for this system. Show broker data?
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 4/1/10 8:20 | SELL | 1 | @USM0 | US T-BOND | 115 23/32 | 4/5 10:35 |
114 20/32 | Low | $1,080 |
| 3/12/10 11:05 | BUY | 1 | @TYM0 | US T-NOTE 10 YR | 116 52/64 | 3/25 12:07 |
115 50/64 | Low | ($1,045) |
| 3/11/10 9:01 | BUY | 1 | @USM0 | US T-BOND | 116 10/32 | 3/24 8:20 |
116 31/32 | Low | $643 |
| 2/17/10 13:04 | SELL | 1 | @USH0 | US T-BOND | 117 6/32 | 2/23 13:07 |
117 29/32 | Low | ($732) |
| 2/10/10 10:00 | BUY | 1 | @TYH0 | US T-NOTE 10 YR | 118 12/64 | 2/17 13:15 |
117 54/64 | Low | ($358) |
| 2/4/10 8:30 | BUY | 1 | @USH0 | US T-BOND | 117 29/32 | 2/17 13:03 |
117 6/32 | Low | ($732) |
| 1/19/10 8:21 | SELL | 1 | @USH0 | US T-BOND | 117 3/32 | 1/20 8:31 |
117 28/32 | Low | ($795) |
| 1/11/10 9:51 | SELL | 1 | @TYH0 | US T-NOTE 10 YR | 116 10/64 | 1/14 13:07 |
116 58/64 | Low | ($764) |
| 1/13/10 13:21 | SELL | 1 | @USH0 | US T-BOND | 116 1/32 | 1/14 13:02 |
116 26/32 | Low | ($796) |
| 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 | ($45) |
| 12/31/09 8:20 | SELL | 1 | @USH0 | US T-BOND | 115 22/32 | 1/7/10 8:20 | 115 1/32 | Low | $643 |
| 12/3/09 8:20 | BUY | 1 | @TYH0 | US T-NOTE 10 YR | 118 47/64 | 12/4 8:30 |
118 1/64 | Low | ($732) |
| 12/2/09 10:46 | BUY | 1 | @USH0 | US T-BOND | 121 13/32 | 12/3 9:19 |
120 7/32 | Low | ($1,201) |
| 11/12/09 8:20 | SELL | 1 | @USZ9 | US T-BOND | 118 20/32 | 11/16 8:20 |
119 30/32 | Low | ($1,327) |
| 10/16/09 8:20 | BUY | 1 | @TYZ9 | US T-NOTE 10 YR | 117 54/64 | 11/12 8:26 |
118 42/64 | Low | $798 |
icons. This will pop up a window showing you who is trading this in a live brokerage account, at what trade size, and what prices the trader received. This will allow you to compare broker data to the hypothetical results you see below.
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 156 |
| # Profitable | 74 (47.4%) |
| # months tracked | 83 |
| Profitable months | 32 (38.6%) |
| Avg trade duration | 10.9 days |
| Annual return (compounded) | 7.1% |
| Average win | $1,932 |
| Average loss | $1,004 |
| Profit factor | 1.7:1 |
| Max peak-to-valley drawdown (historical) | 21.19% |
| drawdown period | June 03, 2005 to June 26, 2007 |
| Correlation w/ S&P | -0.121 |
| Sharpe ratio | 0.821 |
Keep after worst-case slippage  | 90.6% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 25.0% |
| Chance of 20% account loss | 5.9% |
| 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) | 0.45 |
| Average P/L per unit traded | $362.43 |
System Description
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 text was submitted by the creator of this strategy. Collective2 verifies only trading signals and hypothetical trading results. We have not verified that this text above is an accurate system description. Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
