Russell 2000 price multiplier change

Posted December 5th, 2016 by Trendfinder and filed in Articles / Announcements

Starting today the ICE US exchange reduced the contract value from $100 per point to $50 per point. To maintain the original leverage that clients subscribed to, starting today all trades for the TF will be 2 contracts. The exchange reduced fees in half, and most brokers will likely reduce their commissions. However, the FCM’s may not reduce the per contract fee that they charge brokers. To account for this (and to be conservative), the total per trade round-turn commission and slippage cost for the TF used in this blog and website will be increased from $70 to $80 ($40 per contract).

Because of this change, my main focus right now is to determine whether to change the market used for the intraday systems and/or to start using partial entries/exits since we will be trading 2 contracts per trade. Another possibility is for trading multiple markets intraday. This change brings up many possibilities, and I anticipate working much longer hours this month!

There is nothing that clients need to do – just know that the number of contracts on the Russell 2000 will be twice as much as you’ve been used to.

FedSwing II walk-forward update

Posted September 22nd, 2016 by Trendfinder and filed in Articles / Announcements

Now that we have had almost 2 years of post-QE Fed activity (US quantitative easing ended in October 2014), I looked at how FedSwing II has matched with the Fed’s actions and impact on markets. When I created FedSwing II in November 2014, I attempted to design the system to best fit the FOMC’s stated policies going forward. There were two methods of analyzing their actions I found to perform well, and I chose the more conservative version to use in the strategy. Now that we have almost 2 years of data to analyze (plus back to 2006), I find that version to be too conservative, and that the other method is a better fit. This is a fairly minor adjustment, but it has shown to provide much better trading results.

Starting 9/23/16, FedSwing II will use the updated method of analyzing the FOMC’s actions. This will be applied as a walk-forward update to the system. In the future, if the FOMC changes policies/guidance, then I may make future walk-forward updates at that time. To show comparative performance results of the method being used going forward, I am showing summaries below for ES and TF along with full performance reports for all markets.

Past performance is not necessarily indicative of future results.

 

FedSwing II ES old (version ending today):

fedswing-ii-es-old

FedSwing II ES new (version starting tomorrow):

fedswing-ii-es-new

FedSwing II TF old (version ending today):

fedswing-ii-tf-old

FedSwing II TF new (version starting tomorrow):

fedswing-ii-tf-new

Link to zip file containing full hypothetical performance reports for all markets: http://bit.ly/2cV5YPl

Increased costs for commission and slippage

Posted August 17th, 2016 by Trendfinder and filed in Articles / Announcements

A subscriber notified me last week that his actual returns were less than what I show on the website and blog. I researched this with his broker and one other, and I found that slippage had increased and, in some cases, commissions had increased. To better match actual client results, I am adjusting what I estimate for commission and slippage going forward. I am now using $50 roundturn for ES, $70 roundturn for EMD & TF, and $40 roundturn for NQ & YM (before 8/1/16, for intraday systems, $50 per roundtrip trade had been deducted to account for commission and slippage, and for swing systems, $20 roundtrip commission and 1 tick slippage each side had been deducted from each trade).

Based on account performance provided to me, the new commission and slippage estimates probably slightly understate the actual slippage for the original version of the portfolios, however they probably overstate the actual slippage for the A & B versions. To keep things manageable, I’m using the same estimates for all versions.

Starting now, the blog and “since release” results will be using these new values. I will update the website performance reports with the new values when I update results after this month ends. For a quick comparison of the effect, below is the performance summary for the Index Trader V Portfolio with the previous and updated estimate of commission and slippage. Past performance is not necessarily indicative of future returns.

Index Trader V Portfolio – Previous estimate for commission and slippage:

Index Trader V PerformanceSummary

Index Trader V Portfolio – Updated estimate for commission and slippage:

Index Trader V PerformanceSummary NEW

New intraday system – Lion III Vol

Posted February 22nd, 2016 by Trendfinder and filed in Articles / Announcements

Lion III Vol has been sent to brokers for trading starting tomorrow. It replaces Lion Vol in the Index Trader IV and V portfolios. Lion Vol had a severe drawdown starting at the end of August which far exceeded its previous maximum drawdown. Therefore Lion Vol is being retired, and Lion III Vol will be used going forward. The primary differences for Lion III Vol in comparison to Lion Vol: filtering for days to trade was greatly simplified, and a filter was added which attempts to detect choppy days.

Below is backtest performance for Lion III Vol. Past performance is not necessarily indicative of future results. Commission and slippage included. See Disclosures/Disclaimers for more info.

Hypothetical Performance 1/1/2008-current (based on a $15,000 account not compounded):

For the full performance report, please click here.

Lion III Vol PerformanceSummary

Lion III Vol ClosedTradeEquity

Update for Futures Truth rankings

Posted January 14th, 2016 by Trendfinder and filed in Articles / Announcements

I received the latest Futures Truth magazine today, and realized I haven’t posted an update here in a year. FedSwing and MeanSwing II continue to be at the top of the multi-market systems since release date.

FT #4-2015 Multi-Market

Results above are through October 31, 2015. Futures Truth hypothetical percentage returns are based on “Min. Req. Cap.” which they calculate as 5 times Margin. Returns include $25 round turn for commission and slippage per trade. Please see Futures Truth magazine for more information.

Backtest results now for all past data

Posted August 5th, 2015 by Trendfinder and filed in Articles / Announcements

The hypothetical backtest results on the website have always gone back 5 years from the current month. This was to provide consistency when comparing systems and portfolios and to focus on more recent results. A common request received is how performance would have been in 2008. To answer that request and to provide as much historical data as possible (full transparency), all performance results have been updated to go back as far as possible. Results now go back to 2008 for the Index Trader portfolios, 2006 for the FedSwing systems and Index Swing portfolios, 2003 for MeanSwing II EMD & TF and 1999 for MeanSwing II ES.

To see these updated results, please go to http://trendfindertrading.com/.

Want to develop your own trading systems?

Posted April 27th, 2015 by Trendfinder and filed in Articles / Announcements

Would you like to develop your own trading systems? Trendfinder provides fully automated trading systems for your use, and I know that some of you also use your own trading strategies (or would like to create your own). If you have attempted to develop trading systems and trade them in real-time, you likely know how difficult it is to create systems that make profits in real time with real money. Just as you would go to college and/or get training to be successful in your career, you need to do the same to be successful in trading. Someone I recommend for this training is Alex Krishtop.

Alex Krishtop runs Edgesense Solutions, a boutique firm that specializes in consulting, development of trading strategies and education. Although I have not taken any of his courses or used his trading programs, I very much respect his work based on what I have seen through presentations and his contributions in LinkedIn discussion groups.

For beginners to system development the GoSystematic course covers all the basics of systematic trading. More information about it can be found at http://gosystematic.com.

For more extensive education there is a unique program which covers all stages of research and development – from exhaustive market analysis through understanding of the reasons why market prices move to simple algorithms that can be used right away with many popular trading platforms including TradeStation and MultiCharts. You can read more about this program at http://edgesense.net/education. This program is also the ideal choice for those that they may want to work on any topic as much time as required, and therefore it takes from 4 to 6 months depending on the student’s desire to learn any topic in-depth.

Besides education Edgesense Solutions offer ready made trading programs, mostly for currencies (forex), but also for some futures. You can use them as templates for your own strategies or just trade them as is. Also they offer Edgesense Research Frameworks – a unique development technology to semi-automatically create portfolios of trading strategies. More information can be found at http://edgesense.net/products and http://edgesense.net/research.

Please feel free contact Alex through the links above (let him know I referred you) or contact me for any questions you have!

FedSwing EMD no longer being reported

Posted April 2nd, 2015 by Trendfinder and filed in Articles / Announcements

Since the end of November 2014 FedSwing EMD has not been used in any portfolios. Since FedSwing EMD has not been offered for individual subscription since the summer of 2014, it is no longer in any portfolios, and FedSwing II offers a better system (in my opinion of course), performance results for FedSwing EMD will no longer be posted. For those still trading FedSwing EMD I recommend switching to FedSwing II ES/NQ/TF.

Futures Truth Rankings Update

Posted December 19th, 2014 by Trendfinder and filed in Articles / Announcements

I received the latest issue of Futures Truth Magazine today. FedSwing continues to have the #1 ranking and MeanSwing II is #3 for multi-market systems since release date. Even with the drawdown these systems have had they are still the top ranked systems.

FT #4-2014 Multi-Market

Results above are through October 31, 2014. Futures Truth hypothetical percentage returns are based on “Min. Req. Cap.” which they calculate as 5 times Margin. Returns include $25 round turn for commission and slippage per trade. Please see the current Futures Truth magazine for more information.

FedSwing II

Posted December 5th, 2014 by Trendfinder and filed in Articles / Announcements

FedSwing II subscriptions are available for trading in the ES (S&P 500), NQ (Nasdaq 100) and TF (Russell 2000) futures. In comparison to FedSwing, FedSwing II incorporates the Fed’s open market account holdings and adds a break-even type of stop.

The website has been updated to include FedSwing II ES, FedSwing II NQ and FedSwing II TF. Due to low liquidity of the EMD (S&P MidCap 400), FedSwing II EMD will not be available as an individual system (allotments are reserved for the larger portfolios). The same applies to FedSwing II YM (Dow). FedSwing II NQ has been added as an individual system because the NQ has great liquidity.

All portfolios now use FedSwing II instead of FedSwing. This is because I think FedSwing II much better tracks the activity of the FOMC and will therefore provide better performance going forward. For comparisons of FedSwing to FedSwing II please see this blog post.