CTS SnapBack System
- hypothetical · Annual Return (Compounded)
- 24.0%
- Max Drawdown
- 39.6%
- Trades
- 304
- Win Trades
- 58.6%
- Profit Factor
- 1.60
- Win Months
- 14.0%
About this strategy
We charge per profitable quarter. This means that effectively subscribers have a free 3 month trial period before they get charged and can unsubscribe anytime during the 3 months without getting charged.
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Markets traded:
- e-mini S&P futures
- e-mini Nasdaq futures
- e-mini S&P Midcap futures
- 10 Year Treasury Notes futures
- 30 Year Treasury Bonds futures
Orders Used:
Stop and Market. No limit orders. Orders are placed in the evening for the next trading day. You do not need to be available during the trading day to place orders.
This is not a daytrading system and positions are held on average around 5 to 10 days. There will also not be trades every day.
The system is a combination of three completely mechanical systems:
System 1
Trades the e-mini indices above.
Entries:
Enter at the open of the next day with a market order after a signal is generated.
There are two types of singals, meaning two units can be opened at the same time. Both entries could be signaled at the same day, or on different days. This mean when position 1 is opened, this is possible that another one is entered a few days later.
Stops:
Stop losses are based on recent volatility and is wider if volatility is higher and lower when volatility is low. In general initial stops are fairly wide, but generally will not be more than about 5% away from intial entry. Stops are not set intraday, but instead each night a check is made to see if price exceeded the stop threshold and a order to close is placed for the open of the next day with a market, or stop order.
Profits are handled the same way. Each night a check is made to see if the system have snapped back according to our indicators and an order to close is placed for the open of the next day with a market order.
System 2
Trades the e-mini indices above.
Entries:
Enter at the open of the next day with a market order after a signal is generated.
There are 5 types of singals, meaning 5 positions can be opened at the same time. All entries could be signaled at the same day, or on different days. This mean when only some positions are opened on day 1, more positions can be opened a few days later.
Stops:
Stop losses are based on recent volatility and is wider if volatility is high and lower when volatility is low. In general, initial stops are fairly wide, but generally will not be more than about 5% away from intial entry. Stops are not set intraday, but instead each night a check is made to see if price exceeded the stop threshold and a order to close is placed for the open of the next day with a market, or stop order.
Profits are handled the same way. Each night a check is made to see if the system have snapped back according to our indicators and an order to close is placed for the open of the next day with a market order.
System 3
Trades the Treasury Contracts mentioned above and trades 2 units for the Bonds for each one of the Notes.
Entries:
Valid for the day session only and are based on stop orders. Orders are entered the evening before for the next day with a stop order to be triggered when price exeeds a certain threshold.
Stops:
Stops are placed for the next day also on stop orders, or at the open of the next day with a market order after a profit threshold has been exceeded.
How to trade the system:
If one contract per signal is traded, up to 7 contracts per e-mini market and up to three for the treasury markets can be open at the same time. Although this is rare that all signals will be active at the same time, this is possible.
For smaller accounts this might not be feasible to trade all signals.
What we suggest for smaller accounts is to trade one contract for each day there is a signal.
For example, if on day 1, we enter 3 contracts for the open of the next day, this mean three different signals were triggered and someone with a smaller account should open only 1 contract. If on day 2, more trades are triggered, a small account again should open only 1 additional contract.
How we will trade the system:
For now, we will trade one e-mini contract per signal, two contracts for Bonds and one for Notes.
When multiple signals are triggered at the same day, this mean position size will be larger, which increase risk and profit. This could also indicate a higher odds trade, since more indicators agree.
Contact info@creativetradingsystems.com, or send a private message if you have any questions.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | -3.5 | 1.1 | -0.1 | -0.1 | 2.2 | 1.9 | 7.3 | 6.2 | -0.0 | 3.1 | 19.1 | ||
| 2006 | 5.5 | 2.3 | 7.9 | 9.9 | -9.3 | 15.0 | 2.0 | 3.1 | 2.8 | -1.4 | 10.7 | 1.0 | 59.0 |
| 2007 | 5.0 | 0.1 | 1.3 | -0.1 | -1.0 | 13.2 | -3.3 | -4.0 | -1.9 | 1.0 | -0.7 | -1.1 | 7.6 |
| 2008 | -12.9 | 0.2 | 2.1 | -2.3 | 4.9 | -4.2 | -11.3 | 3.3 | -3.4 | 37.5 | 8.5 | 4.3 | 20.5 |
| 2009 | 1.8 | -7.4 | -5.1 | -3.7 | 6.6 | -1.6 | -0.3 | 5.3 | 9.4 | -5.7 | 5.9 | 3.9 | 7.7 |
| 2010 | -5.3 | 2.7 | -1.1 | -0.4 | 1.9 | -0.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 | -3.0 |
| 2011 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2012 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2013 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 3/9/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 262 months |
| What it trades | Futures |
| # Trades | 304 |
| # Profitable | 178 |
| % Profitable | 58.6% |
| Avg trade duration | 6.7 days |
| Max peak-to-valley drawdown | 39.6% |
| drawdown period | July 09, 2007 - Oct 10, 2008 |
| Annual return (compounded) | 4.7% |
| Avg win | $2,530 |
| Avg loss | $2,239 |
Ratios
| W:L ratio | 1.60 |
|---|---|
| Sharpe Ratio | 0.22 |
| Sortino Ratio | 0.34 |
| Calmar Ratio | 0.08 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.10 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 532.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 125.5% |
Return Statistics
| Ann Return (w trading costs) | 24.0% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 4.7% |
Slump
| Current Slump as Pcnt Equity | 5.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 56.2% |
|---|---|
| Chance of 20% account loss | 17.6% |
| Chance of 30% account loss | 5.6% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,239 |
|---|---|
| Avg Win | $2,530 |
| # Winners | 178 |
| Sum Trade PL (losers) | $282,094 |
| Sum Trade PL (winners) | $450,273 |
| Num Months Winners | 38 |
| # Losers | 126 |
| % Winners | 58.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 259 |
|---|
Frequency
| Avg Position Time (mins) | 9681.82 |
|---|---|
| Avg Position Time (hrs) | 161.36 |
| Avg Trade Length | 6.70 |
| Last Trade Ago | 5924 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.06 |
| Treynor Index | 0.14 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 5.24 |
| MAE:PL (avg, all trades) | 0.28 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 52.12 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 60.89 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.73 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.56 |
| Hold-and-Hope Ratio | 0.19 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.38 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.10 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 459 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.0% |
Trading record
Placed 310 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES M0 | short | 1 | Mar 19, 2010 | Jun 18, 2010 | $2,242 |
| TY M0 | long | 1 | Mar 9, 2010 | Mar 25, 2010 | ($1,258) |
| ES H0 | short | 1 | Mar 8, 2010 | Mar 18, 2010 | ($1,421) |
| TY M0 | long | 1 | Feb 25, 2010 | Mar 1, 2010 | $336 |
| TY H0 | long | 1 | Feb 12, 2010 | Feb 25, 2010 | $320 |
| US H0 | long | 2 | Feb 12, 2010 | Feb 18, 2010 | ($2,516) |
| ES H0 | long | 3 | Jan 22, 2010 | Feb 16, 2010 | ($874) |
| EMD H0 | long | 5 | Jan 25, 2010 | Feb 12, 2010 | ($5,580) |
| NQ H0 | long | 5 | Jan 25, 2010 | Feb 12, 2010 | ($2,985) |
| US H0 | long | 2 | Jan 29, 2010 | Feb 11, 2010 | ($2,516) |
| TY H0 | long | 1 | Feb 4, 2010 | Feb 8, 2010 | $867 |
| TY H0 | long | 1 | Jan 15, 2010 | Jan 22, 2010 | $929 |
| US H0 | long | 2 | Jan 15, 2010 | Jan 22, 2010 | $3,548 |
| TY H0 | short | 1 | Jan 13, 2010 | Jan 14, 2010 | ($242) |
| US H0 | short | 2 | Jan 13, 2010 | Jan 14, 2010 | ($328) |
| TY H0 | short | 1 | Jan 6, 2010 | Jan 8, 2010 | ($55) |
| US H0 | short | 2 | Jan 6, 2010 | Jan 8, 2010 | $484 |
| EMD H0 | long | 2 | Jan 4, 2010 | Jan 6, 2010 | $1,184 |
| ES H0 | long | 1 | Jan 4, 2010 | Jan 5, 2010 | $405 |
| TY H0 | short | 1 | Dec 18, 2009 | Dec 22, 2009 | $1,507 |
| US H0 | short | 2 | Dec 18, 2009 | Dec 22, 2009 | $4,358 |
| TY H0 | long | 1 | Dec 7, 2009 | Dec 18, 2009 | ($352) |
| EMD Z9 | long | 3 | Nov 23, 2009 | Dec 3, 2009 | $1,066 |
| US Z9 | short | 2 | Nov 12, 2009 | Nov 16, 2009 | ($2,642) |
| EMD Z9 | long | 5 | Oct 28, 2009 | Nov 6, 2009 | ($2,540) |
| ES Z9 | long | 3 | Oct 28, 2009 | Nov 6, 2009 | $839 |
| NQ Z9 | long | 5 | Oct 28, 2009 | Nov 6, 2009 | $105 |
| TY Z9 | short | 1 | Nov 4, 2009 | Nov 5, 2009 | ($243) |
| US Z9 | short | 4 | Nov 2, 2009 | Nov 5, 2009 | $3,966 |
| US Z9 | short | 2 | Oct 29, 2009 | Oct 30, 2009 | ($516) |
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.