CTS Strategy

E-mini S&P 500 Futures (ES.D)

5-Year Overview

ES Possible Entries Daily from 10:00 AM - 3:10 PM (EST)

About E-mini S&P 500
An electronically traded futures contract one fifth the size of standard S&P futures, E-mini S&P 500 futures and options are based on the underlying Standard & Poor’s 500 stock index. Made up of 500 individual stocks representing the market capitalizations of large companies, the S&P 500 Index is a leading indicator of large-cap U.S. equities.

CTS is a fully automated trading system developed for use on the S&P 500 E-mini (ES.D) contract with a 5 minute chart of the “day session”. Symbols must included the “.D” suffix. This strategy uses the NYSE Advancing Issues , the NYSE Declining Issues, the NYSE Traders Arms index, as well as the CBOE Volatility Index to calculate trade entry points. This day trading strategy uses several different broad market indices along with a daily price comparison to establish trade entries. Trades only occur once per day during a time window beginning 60 minutes past the session staring time and ending 150 minutes minutes before the session ending time. Trades are entered using market orders.

The strategy employs a profit target exit when a profit of $500 per contract is reached at any point during the trade. All trades will be closed at 20 minutes before the end of the session, or if a protective stop loss of $250 is reached.

Performance* All Trades
Total Net Profit $10,900.00
Gross Profit $24,587.50
Gross Loss $(13,687.50)
Profit Factor 1.80
Max. Drawdown $(2,150.00)
   
Start Date 4/1/2013
End Date 4/30/2018
   
Total # of Trades 114
Percent Profitable 58.77%
   
# of Winning Trades 67
# of Losing Trades 40
# of Even Trades 7
   
Average Winning Trade $366.98
Average Losing Trade $(342.19)
Ratio avg. Win/Loss 1.07
   
Max. conseq. Winners 12
Max. conseq. Losers 3
Largest Winning Trade $1,000.00
Largest Losing Trade $(500.00)

CTS 5yr Chart

 

CTS 5yr Chart

*Performance results are obtained through hypothetical backtesting taking simulated slippage and spread into effect.
Due to the range of commission fees experienced, they are not factored in these results.

CTS Strategy

E-mini S&P Midcap 400 Futures (EMD.D)

5-Year Overview

EMD Possible Entries Daily from 10:00 AM - 3:10 PM (EST)

About E-mini S&P Midcap 400 Futures
This Standard & Poor’s index serves as a barometer for the U.S. mid-cap equities sector and is the most widely followed mid-cap index in existence. To be included in the index, a stock must have a total market capitalization that ranges from roughly $750 million to $3 billion dollars. Stocks in this index represent household names from all major industries including energy, technology, healthcare, financial and manufacturing.

CTS is a fully automated trading system developed for use on the E-mini S&P Midcap 400 Futures (EMD.D) contract with a 5 minute chart of the “day session”. Symbols must included the “.D” suffix. This strategy uses the NYSE Advancing Issues , the NYSE Declining Issues, the NYSE Traders Arms index, as well as the CBOE Volatility Index to calculate trade entry points. This day trading strategy uses several different broad market indices along with a daily price comparison to establish trade entries. Trades only occur once per day during a time window beginning 60 minutes past the session staring time and ending 150 minutes minutes before the session ending time. Trades are entered using market orders.

The strategy employs a profit target exit when a profit of $500 per contract is reached at any point during the trade. All trades will be closed at 20 minutes before the end of the session, or if a protective stop loss of $250 is reached.

Performance* All Trades
Total Net Profit $10,640.00
Gross Profit $29,040.00
Gross Loss $(18,400.00)
Profit Factor 1.58
Max. Drawdown $(2,230.00)
   
Start Date 4/1/2013
End Date 4/30/2018
   
Total # of Trades 110
Percent Profitable 50.91%
   
# of Winning Trades 56
# of Losing Trades 51
# of Even Trades 3
   
Average Winning Trade $518.57
Average Losing Trade $(3460.78)
Ratio avg. Win/Loss 1.44
   
Max. conseq. Winners 8
Max. conseq. Losers 5
Largest Winning Trade $1,000.00
Largest Losing Trade $(500.00)

CTS 5yr Chart

 

CTS 5yr Chart

*Performance results are obtained through hypothetical backtesting taking simulated slippage and spread into effect.
Due to the range of commission fees experienced, they are not factored in these results.

CTS Strategy

E-mini NASDAQ-100 Futures (NQ.D)

5-Year Overview

NQ Possible Entries Daily from 10:00 AM - 3:10 PM (EST)

About NASDAQ-100 Futures
The Nasdaq-100 Index includes 100 of the largest domestic and international non-financial companies listed on The Nasdaq Stock Market based on market capitalization. The Index reflects companies across major industry groups including computer hardware and software, telecommunications, retail/wholesale trade and biotechnology. It does not contain securities of financial companies including investment firms.

CTS is a fully automated trading system developed for use on the NASDAQ-100 Futures (NQ.D) contract with a 5 minute chart of the “day session”. Symbols must included the “.D” suffix. This strategy uses the NYSE Advancing Issues , the NYSE Declining Issues, the NYSE Traders Arms index, as well as the CBOE Volatility Index to calculate trade entry points. This day trading strategy uses several different broad market indices along with a daily price comparison to establish trade entries. Trades only occur once per day during a time window beginning 60 minutes past the session staring time and ending 150 minutes minutes before the session ending time. Trades are entered using market orders.

The strategy employs a profit target exit when a profit of $500 per contract is reached at any point during the trade. All trades will be closed at 20 minutes before the end of the session, or if a protective stop loss of $250 is reached.

Performance* All Trades
Total Net Profit $10,590.00
Gross Profit $24,445.00
Gross Loss $(13,855.00)
Profit Factor 1.76
Max. Drawdown $(1,745.00)
   
Start Date 4/1/2013
End Date 4/30/2018
   
Total # of Trades 112
Percent Profitable 60.71%
   
# of Winning Trades 68
# of Losing Trades 39
# of Even Trades 5
   
Average Winning Trade $359.49
Average Losing Trade $(355.26)
Ratio avg. Win/Loss 1.01
   
Max. conseq. Winners 9
Max. conseq. Losers 3
Largest Winning Trade $1,000.00
Largest Losing Trade $(500.00)

CTS 5yr Chart

 

CTS 5yr Chart

*Performance results are obtained through hypothetical backtesting taking simulated slippage and spread into effect.
Due to the range of commission fees experienced, they are not factored in these results.

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