Thursday June 25, 2015  


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  I don't understand your performance tables. How do they work?
  What is leverage or margin trading?
  What is the 'Constant market exposure' you refer to?
  What maximum loss / draw down I should expect?
  What is the win / lose ratio of your trades?

     I don't understand your performance tables. How do they work? top

The monthly table represents the trading signals day by day for recent weeks. These are the signals exactly as they are issued, without consideration for collateral costs such as commissions and execution fees. All trades are organized in pairs, to show the opening and the close of each transaction, together with the corresponding results which are presented both in S&P 'points' as well as in percentage of the investment. Depending on which contract is traded, you must apply the adequate value to each 'point' to find out the USD profit or loss of each trade.

The yearly table represents the performance month after month going back to January 1998 when we started our service. These numbers are net of (ie: after) execution costs of about 0.1%per round-trip transaction. Winning months are marked with a (+), and losing months with a (-). Results are given both in S&P points as well as percentage of the investment. Represented performance is without leverage.

     What is leverage or margin trading? top

Rather than depositing the full value of his investment, a participant to the market can deposit only a fraction of such value: the initial margin.  The minimum requirements are set by the exchange and / or the broker, and can be 7 % or less of the value of the investment (contract).

The ratio of the initial deposit divided by value of the contract is called the margin, and the inverse of the margin is called the leverage. To illustrate, assuming a 7 % margin, a contract valued at USD 40,000 can be traded by depositing only USD 2,800, in which case the leverage would be (1/.07) 14.28.

Trading without margin would imply matching the value of the investment dollar for dollar, which means depositing USD 40,000 for an investment (contract) valued at USD 40,000. The higher the leverage, the higher the risk as well as the reward.

     What is the 'Constant market exposure' you refer to? top
     Exposure to the market relates to the number of traded contracts. Because no-one knows in advance which trade will end up being profitable, it is essential that exposure to the market be constant for a consecutive 12 months of trading, no matter what the accumulated profits or losses may be. Scale trading (or adding to) an existing losing or winning position is not recommended and is actually against our system's methodology.

     What maximum loss / draw down I should expect? top
     The maximum loss incurred by our trading methodology since 1995 is smaller than 10% of exposure, and happened in the period November-December 2000.

     What is the win / lose ratio of your trades? top
     The yearly proportion of win / lose trades is stable at about 65 % winning trades vs. 35 % losing trades. Gains and losses in USD terms vary greatly over time, so their average would not mean much.

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