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CTS SnapBack System

Futures · Started Mar 2005

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

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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)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2005-3.51.1-0.1-0.12.21.97.36.2-0.03.119.1
20065.52.37.99.9-9.315.02.03.12.8-1.410.71.059.0
20075.00.11.3-0.1-1.013.2-3.3-4.0-1.91.0-0.7-1.17.6
2008-12.90.22.1-2.34.9-4.2-11.33.3-3.437.58.54.320.5
20091.8-7.4-5.1-3.76.6-1.6-0.35.39.4-5.75.93.97.7
2010-5.32.7-1.1-0.41.9-0.60.00.00.00.00.0-0.0-3.0
20110.00.00.00.00.00.00.00.00.00.00.00.00.0
20120.00.00.00.00.00.00.00.00.00.00.00.00.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.00.00.00.00.0
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began3/9/2005
Suggested Minimum Capital$100,000
Age262 months
What it tradesFutures
# Trades304
# Profitable178
% Profitable58.6%
Avg trade duration6.7 days
Max peak-to-valley drawdown39.6%
drawdown periodJuly 09, 2007 - Oct 10, 2008
Annual return (compounded)4.7%
Avg win$2,530
Avg loss$2,239

Ratios

W:L ratio1.60
Sharpe Ratio0.22
Sortino Ratio0.34
Calmar Ratio0.08

CORRELATION STATISTICS

Correlation to SP5000.10
Return Percent SP500 (cumu) during strategy life532.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)125.5%

Return Statistics

Ann Return (w trading costs)24.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)4.7%

Slump

Current Slump as Pcnt Equity5.4%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss56.2%
Chance of 20% account loss17.6%
Chance of 30% account loss5.6%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$2,239
Avg Win$2,530
# Winners178
Sum Trade PL (losers)$282,094
Sum Trade PL (winners)$450,273
Num Months Winners38
# Losers126
% Winners58.5%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table259

Frequency

Avg Position Time (mins)9681.82
Avg Position Time (hrs)161.36
Avg Trade Length6.70
Last Trade Ago5924

Regression

Alpha0.01
Beta0.06
Treynor Index0.14

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades5.24
MAE:PL (avg, all trades)0.28
MAE:PL (avg, losing trades)
MAE:PL - Losing Trades - this strat Percentile of All Strats52.12
MAE:PL - Winning Trades - this strat Percentile of All Strats60.89
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.73
Avg(MAE) / Avg(PL) - Losing trades-1.56
Hold-and-Hope Ratio0.19

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 Negative0.0%

Trading record

Placed 310 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
ES M0short1Mar 19, 2010Jun 18, 2010$2,242
TY M0long1Mar 9, 2010Mar 25, 2010($1,258)
ES H0short1Mar 8, 2010Mar 18, 2010($1,421)
TY M0long1Feb 25, 2010Mar 1, 2010$336
TY H0long1Feb 12, 2010Feb 25, 2010$320
US H0long2Feb 12, 2010Feb 18, 2010($2,516)
ES H0long3Jan 22, 2010Feb 16, 2010($874)
EMD H0long5Jan 25, 2010Feb 12, 2010($5,580)
NQ H0long5Jan 25, 2010Feb 12, 2010($2,985)
US H0long2Jan 29, 2010Feb 11, 2010($2,516)
TY H0long1Feb 4, 2010Feb 8, 2010$867
TY H0long1Jan 15, 2010Jan 22, 2010$929
US H0long2Jan 15, 2010Jan 22, 2010$3,548
TY H0short1Jan 13, 2010Jan 14, 2010($242)
US H0short2Jan 13, 2010Jan 14, 2010($328)
TY H0short1Jan 6, 2010Jan 8, 2010($55)
US H0short2Jan 6, 2010Jan 8, 2010$484
EMD H0long2Jan 4, 2010Jan 6, 2010$1,184
ES H0long1Jan 4, 2010Jan 5, 2010$405
TY H0short1Dec 18, 2009Dec 22, 2009$1,507
US H0short2Dec 18, 2009Dec 22, 2009$4,358
TY H0long1Dec 7, 2009Dec 18, 2009($352)
EMD Z9long3Nov 23, 2009Dec 3, 2009$1,066
US Z9short2Nov 12, 2009Nov 16, 2009($2,642)
EMD Z9long5Oct 28, 2009Nov 6, 2009($2,540)
ES Z9long3Oct 28, 2009Nov 6, 2009$839
NQ Z9long5Oct 28, 2009Nov 6, 2009$105
TY Z9short1Nov 4, 2009Nov 5, 2009($243)
US Z9short4Nov 2, 2009Nov 5, 2009$3,966
US Z9short2Oct 29, 2009Oct 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.