Trading Systems Research & Development
In a recent issue of Futures Magazine (June 2001) the independent evaluator Futures Truth rated its "Top 10 Systems". Unfortunately, Checkmate had not been tracked by Futures Truth long enough to be considered. However, we ran a test of Checkmate across the same 16 markets and using the same Excalibur testing software that Futures Truth does and over the same time frame as the Futures Truth test. We also used $100 slippage and commissions, while the Futures Truth test only used $75. (Feel free to contact Futures Truth for verification).
Our results were Excellent! Checkmate produced a smoother equity curve
than most and had comparable profits. However, the biggest difference was
Risk-to-Reward!*
Checkmate had the best of any of the systems and also had the LOWEST
DRAWDOWN.
(* We computed risk to reward by dividing the net profits by the maximum
drawdown)
|
Markets |
Checkmate |
Basis-II |
Aberration |
Trend Channel |
Golden SX |
Grand Caymen |
DCS-II |
Dynamic Breakout |
|
T-Bonds |
39400.00 |
67830.00 |
42240.00 |
27160.00 |
29210.00 |
53060.00 |
14490.00 |
19860.00 |
|
T-notes |
13130.00 |
61790.00 |
36870.00 |
38900.00 |
29610.00 |
44860.00 |
25690.00 |
28580.00 |
|
Pound |
43175.00 |
50263.00 |
33250.00 |
15025.00 |
32981.00 |
14488.00 |
21669.00 |
20619.00 |
|
Yen |
82750.00 |
126650.00 |
122688.00 |
132125.00 |
86925.00 |
120300.00 |
122925.00 |
151975.00 |
|
Swiss Franc |
46375.00 |
99663.00 |
55988.00 |
69025.00 |
51600.00 |
22500.00 |
48950.00 |
74683.00 |
|
Euro |
106088.00 |
121900.00 |
99550.00 |
99075.00 |
80775.00 |
86413.00 |
96888.00 |
62138.00 |
|
Soybeans |
9020.00 |
(5875.00) |
(24615.00) |
(19655.00) |
(26910.00) |
(2205.00) |
(23105.00) |
(24875.00) |
|
Cotton |
25650.00 |
78255.00 |
59675.00 |
45110.00 |
65785.00 |
74620.00 |
57560.00 |
46560.00 |
|
Live Cattle |
(7564.00) |
(12604.00) |
(3648.00) |
(11464.00) |
4324.00 |
(4264.00) |
(6200.00) |
(6628.00) |
|
Copper |
3400.00 |
11063.00 |
5263.00 |
(263.00) |
5400.00 |
(7675.00) |
(1938.00) |
4025.00 |
|
Sugar |
370.00 |
2778.00 |
2878.00 |
(6843.00) |
(6194.00) |
4950.00 |
(6888.00) |
(14370.00) |
|
Orange Juice |
4514.00 |
(2498.00) |
(2595.00) |
(8535.00) |
8625.00 |
13710.00 |
18510.00 |
2828.00 |
|
Heating Oil |
25523.00 |
47137.00 |
50026.00 |
21407.00 |
(4284.00) |
(2041.00) |
(20513.00) |
(9723.00) |
|
Crude Oil |
23160.00 |
45060.00 |
59930.00 |
36190.00 |
45060.00 |
48570.00 |
40000.00 |
32330.00 |
|
Natural Gas |
60170.00 |
84640.00 |
63550.00 |
78340.00 |
84200.00 |
79810.00 |
77470.00 |
36490.00 |
|
Silver |
(33415.00) |
(2760.00) |
(18770.00) |
(29990.00) |
(27780.00) |
(23780.00) |
(17665.00) |
(26495.00) |
|
S&P |
||||||||
|
Net Profit |
441746.00 |
773292.00 |
582280.00 |
485607.00 |
459327.00 |
523316.00 |
447843.00 |
397997.00 |
|
Max Drawdown |
27024.00 |
54191.00 |
52466.00 |
56218.00 |
54445.00 |
92222.00 |
79780.00 |
74734.00 |
|
Ratio |
16.3 |
14.3 |
11.1 |
8.6 |
8.4 |
5.7 |
5.6 |
5.3 |
Here you can see that Checkmate's risk-to-reward ratio was the best of the above. Checkmate also had the lowest drawdown by a LARGE margin.
Futures Truth tests systems on either a contract-by-contract basis OR with
continuous backadjusted contracts (whichever is
requested by the system vendor at the time of the system's submission). Contract-by-contract and continuous
backadjusted contracts can produce somewhat different results. Checkmate was tested and is tracked by Futures Truth with continuous
backadjusted contracts. For consistency we also recommend customers trade the system with the
same backadjusted contracts. For an excellent PDF article on
continuous contracts
CLICK HERE
Risk Disclosures
COMMODITY TRADING involves high risks and you can lose a significant amount of money. Commodity trading is not suitable for many investors. Any performance results listed in all marketing materials represents simulated computer results over past historical data, and not the results of an actual account. All opinions expressed anywhere on this website are only opinions of the author. The information contained here was gathered from sources deemed reliable, however, no claim is made as to its accuracy or content. Different testing platforms can produce slightly different results. Our systems are only recommended for well capitalized and experienced futures traders.
CFTC REQUIRED RISK DISCLOSURE
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.
ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.