Impetus is a completely mechanical daytrading system, one of the few that has been able to successfully trade the markets of the last several years. It is recommended for the e-mini Russell 2000, the German DAX, and the full-size S&P. Impetus may be purchased, or it may be leased and traded directly by the trader or through selected brokers. It was released in January, 2003 and has been traded by the developer since February of 2003. No changes to the logic have been made since release.
Impetus has only one optimizable parameter and is based on a simple equation: power+direction=trend. A single unique calculation determines the power of the market--its tendency to move decisively--and the direction of the market. Together these forces create a tradable trend. Impetus is able to capitalize on being in the market a small fraction of the time (less than 1%), trading only the late part of the day session, and averaging two trades per week. The system utilizes two separate systems to take advantage of a trend. The first is the regular trend component, which enters in the direction of the major intraday trend when price breaks out. The second system looks for a minor countertrend move within the major trend, entering after a retracement and the return of price toward the major trend. Impetus trades about twice per week on average.
All trades are entered using stops. Protective stops that adjust to price and volatility are used in all cases, and the maximum risk is always known before a trade. Both sub-systems employ a breakeven stop, which locks in a small portion of gain when a trade has advanced sufficiently.
Impetus is based on distinct time and price patterns that exhibit themselves in the equities markets. It is the result of observation, not optimization. It was originally designed for the S&P index. However, as SP/ES experienced lower volatility in 2003, Impetus was tested without modification on a completely out-of-sample market, the e-mini Russell 2000 in mid-2003, and actual trading commenced in November, 2003 (access an Excel file listing fills here). Such out-of-sample results verify the robustness of Impetus and provide a picture of what is reasonable to expect from the system. Over 3 years of actual trade results have further validated the rule-set of Impetus. In the constantly-changing environment of index trading, very few systems have been able to perform well for so long.
Impetus Trades the DAX
Using the exact same parameters as the e-mini Russell, Impetus performs very well on the German DAX. The correlation of DAX to Russell equity curves is just .20, which makes an excellent combination. For 2007, Impetus DAX was up over 15,000 EUROs per contract (60 Euro commission deducted).
Impetus Also Trades the S&P 500
Using a slight variation of the one entry parameter, Impetus also performs well on the full-size S&P 500 contract. With a low correlation of just .21 to the mini Russell, this makes an excellent combination. Impetus SP has several times been #1 or #2 in Futures Truth tables.
Lease
Impetus can be leased for $75/month/e-mini contract and traded through designated broker-assist programs or the Strategy Runner network.
Performance Information
To access an Excel file that lists and charts the actual trade fills from the developer's personal accounts, click here. To view hypothetical performance reports, click here.
