AS OF MAR. 1ST, 2013 'ZERO' HAS BEEN REPLACED BY ITS YOUNGER, NIMBLER INTRADAY SUCCESSOR: http://www.collective2.com/cgi-perl/system69547192.



Requirements to trade ZERO:




-IB or equal commission structure brokerage account


-TWS build 906.2 or higher with CSV input capability


-15K minimum trading capital (30K+ preferred to mitigate friction costs)


-5 minutes per day of personal account oversight between 9:25-9:30AM EST



The C2 equity curve reflects a 'Flat Rate' IB commissions rate which is
not
recommended in order to realize the full extent of profits trading this system. Additionally, the percentage of C2 capital allocated to each position takes into account the deduction of commissions from the Vendor's real-life portfolio based on a �Cost Plus� Interactive Brokers commission structure. Real trading results based on a �Cost Plus� commission structure at IB fall in between the upper and lower C2 hypothetical Zero equity curve results.


The approximate monthly cost associated with trading ZERO based on current C2 capital will be ~200.00 USD:

C2 Subscription Fee: 88.00 USD (pay per profitable month, ~75% profitable months per year)
Monthly Commissions: 125.00 USD (based on ~5.4 trades per day assuming a 'Cost Plus' commission structure at IB).



General Description:



ZERO is a proprietary Excel-based EOD (End-of-Day) mechanical trading system that relies on principles of regression analysis to identify potential price aberrations in Naz-100 equities which historically precede short-term price increases with ~55% probability. The system incorporates a probabilistic algorithm which generates a daily basket of limit entry orders outside of market hours at ~8:30AM EST.



System Concept:



ZERO stands for the '0' filter, randomized nature of the algorithm that drives this trading system. Most systems rely on static conditionals that filter historical data for TA patterns which
have
preceded profitable price movements. The more specific and numerous that these filters are, the more likely that they will not correlate with future price movements due to their inflexibility to changing trends in the ever-evolving financial marketplace. ZERO does not rely on filters nor models to choose trades. It relies on basic supply/demand mechanisms that are inherent to the markets and assumes that all equities in its trading basket have an equal likelihood of profitability. Positions are chosen by future, not historical market data.



Money Management:



The system allocates no more than 9% of trading capital per position and assumes a theoretical maximum of 10 positions. Account size is recommended to be 2x total C2 equity in order to absorb 'simultaneous fills' which in extremely volatile market conditions can increase the total number of trades to as many as 2x the intended maximum. This can be avoided with the selection of 'overfill protection' in IB TWS settings. IRA accounts will automatically limit position count to 1x margin requirements. Typical capital exposure ranges between 35-55%. All positions are held for 24hrs or less. There are no intraday trades. Stoplosses are not employed given that hold-time is so short.



Trading/Maintaining ZERO:



Trading and maintenance instructions will be provided upon subscription. It is important to understand that due to the 'randomized' logic nature of ZERO, there will occasionally be days when positions in a real account will differ from those in C2.



C2 Results:



C2 results mirror a live account with ~95% accuracy due to limitations in fill simulation with respect to position management methodology. Erroneous fills are generally corrected within 24hrs. Long term performance of a live account with equivalent position sizing to C2 should have an equal probability of performing slightly better or worse.



General Notes:



*C2 tracking began 10/31/08
*APD ratio--the 'dip-buy' nature of ZERO will always render a low APD even when 'hold and hope' is relatively low given its fixed position hold-time of 24hrs max. Average profit vs. loss is a more a telling metric from a bottomline perspective. In the interest of analyzing this further, please review individual trades, whose 'Drawdown and Risk' are almost exclusively classified as 'Low'.



Disclaimer:



Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. Do not subscribe to this system if you do not intend to dedicate the specified time for manual account maintenance. It is recommended for a serious subscriber to papertrade ZERO for at least two weeks in a virtual IB account to become familiar with its idiosyncrasies before trading real money. It should be known that all fills in a virtual account will be similar but not the same as fills in a real account. Vendor does not recommend autotrading of ZERO and is not responsible for syncing problems related to Tradebullet nor Trader68.
This system is only available to individuals through C2.



Please feel free to private message me with inquiries.