Duet WFO ES (e-mini S&P), $30 slippage/commission deducted, hypothetical results. Results to the right of the red line (1/1/2002) are out-of-sample, based on annual optimizations from the previous period.
Duet WFO, TradingVisions newest system, was released April 8, 2017. It is our simplest system, designed to swing trade the emini S&P and the emini 10-Year T-Note, It looks for pullbacks from the main trend and trades long only.
Because stocks and bonds have almost zero correlation over time, ES and TY provide an ideal trading combination. Particularly when fear due to an economic or political crises dominates the news, stocks will nosedive, while bonds become a refuge. Similarly, strong economic news will buoy stocks, while bonds weaken. The two equity curves have almost no correlation at .03, and their correlation with the other TradingVisions systems averages .08, indicating a very low propensity to move in the same direction. It's therefore an excellent duo or components in the Vista Portfolios, helping to significantly increase hypothetical profits and decrease drawdowns.
In hypothetical out-of-sample performance, Duet ES wins over 86% of the time, and its average trade exceeds $740, after slippage and commission. It is in the market about 13% of the time, with the average trade lasting a about 6.6 days. The maximum dollar risk is $3,000 per contract, a stop that allows time for market recovery and is only hit an average of once in more than two years.
Duet TY wins over 67% of the time, and its average trade exceeds $117, after slippage and commission. It is in the market about 18% of the time, with the average trade lasting a about 3.4 days. The maximum dollar risk is $1,000 per contract.
As with the other WFO systems, Duet's main parameters are re-optimized on an annual basis, and the best values are used for the next year. Because the latest year's data is added to the entire body of prior data, parameters tend to be stable but adaptable to market changes. As can be seen below, the out-of-sample period compares very favorably to the in-sample study period, demonstrating that the strategy is not overly curve-fitted to the study data and was performing close to its ideal, a promising sign for real-time trading.
Duet has just three optimizable entry parameters and two optimizable exit parameters, which helps to avoid curvefitting.
Recommended account size to trade Duet WFO ES is $14,500, TY is $16,000, and both together is $18,500.
Duet was submitted to Futures Truth for third-party tracking upon its release in early April, 2017 .
Duet can be leased for $19-$65 per month per e-mini contract (3-month minimum) and traded through designated broker-assist programs or directly through TradeStation.
To view hypothetical performance reports, click here.
Duet WFO TY (e-mini T-Notes), $30 slippage/commission deducted, hypothetical results. Results to the right of the red line (3/5/2005) are out-of-sample, based on annual optimizations from the previous period.
Duet WFO ES & TY, $30 slippage/commission deducted, hypothetical results. Results to the right of the red line (3/5/2005) are out-of-sample, based on annual optimizations from the previous period.
Futures trading systems and commodity trading bear a high degree of risk. People can and do lose money. Hypothetical results have many inherent limitations. Past performance does not guarantee future results. Please read thedisclosures & disclaimerspage.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL PERFORMANCE TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OF THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
No representation is being made that any account will achieve similar results to any actual account numbers or hypothetical numbers cited herein or at the TradingVisions site. Results can vary significantly from brokerage to brokerage, depending upon many factors not under the control of TradingVisions. The contents of this e-mail are provided for informational purposes only, and this is not an offer or solicitation to buy or sell any securities. While the information contained herein is believed to be reliable, we cannot guarantee its completeness or accuracy.
Unless otherwise stated, hypothetical results reported by TradingVisions are those generated by the latest version of the systems and recommended portfolios, including the specific rules and parameter settings. It is therefore not advisable, nor is it the intended purpose, to use these hypothetical results as a guide to what past results should have been achieved by utilizing the version of the systems or recommended portfolio in effect at a past time. In some cases, slightly different entry and exit times and prices may be used in leased and/or purchased copies of the trading systems, in an attempt to lessen the impact of multiple orders reaching the market at or close to the same time. While over time and an extended number of trades these differences have in the past tended to be small and immaterial, they may in fact prove to have a material impact or over shorter timeframes have a material impact. Portfolio recommendations may change without notice, and TradingVisions has neither the right nor responsibility to change what is traded in client accounts.
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