Metrica WFO II ES Level1; E-mini S&P, $30 slippage/commission deducted, hypothetical results. Results are entirely out-of-sample, and based on annual optimizations from the previous years.
Metrica II WFO
Metrica WFO was released in December, 2015. The original version of Metrica was designed only to swing trade the emini S&P. Metrica II, released in August of 2017, also trades TY, the emini 10-Year T-Note, as well as making some minor changes to the ES logic.
Unlike TradingVisions' other WFO (Walk-Forward Optimization) programs, Metrica II is an intermediate counter-trend system, looking for over-reactions to the larger trend, and as such its correlation with Delphi, AXIOM, Sentinel, and Duet is almost an ideal zero, ranging from -.15 to +.08.With Dues it is correlated .20 for TY and .41 for ES. This makes Metrica an excellent component of the Vista Portfolios, where it significantly increases hypothetical profits and decreases drawdowns. Additionally, because stocks and bonds have almost zero correlation over time, ES and TY are inherently a good combination, often moving in opposite directions, and their equity curves have almost no correlation at .05.
Metrica is highly selective in waiting for a unique data signal that the market is oversold, with fear dominating price action, or that the market is overbought, with complacency dominating. These two extremes have a tendency to provide excellent trading opportunities.
In hypothetical out-of-sample performance, Metrica II ES wins over 74% of the time, and its average trade exceeds $730, after slippage and commission. It is in the market about 21% of the time, with the average trade lasting a little over 6 days. A combination of protective stop and profit lock stop are used to enhance the tradability of the system, though 70% of the exits are signaled by the system logic, rather than an exit stop. The maximum dollar risk is $2,250 per contract. Metrica II TY wins about 65% of its trades, with an average profit of about $185, after slippage and commission. It is in the market about 17% of the time, with the average trade lasting a little over 4 days. A protective stop is used, and the maximum dollar risk is $2,000 per contract.
Metrica has two ES trading levels. Level1 trades a maximum of 1 contract. Level2 adds a second long contract under special circumstances that occur about 25% of the time. Level2 adds about 55% of hypothetical profit, generating more hypothetical profits than the other WFO systems and markets. Because it can trade 2 contracts, Level2 is generally recommended for only larger account sizes.
As with the other four WFO systems, Metrica'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 quite stable, though there is a useful degree of adaptability. Additionally, the out-of-sample period for ES showed profits of 95% of the in-sample study period, with TY at about 78%, 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.
Metrica for both markets tests profitably over a wide range of parameters, indicating its robustness, and when the current ES parameters were applied to the full-size S&P contract, the years prior to the introduction of the emini S&P--a completely out-of-sample period--were profitable, with winning trades 67% of the time. It has the best reward-to-risk profile of the TradingVisions systems.
The recommended account size to trade Metrica II WFO ES Level1 is $19,500, ES Level2 is $25,500, and TY is $12,000. Trading ES Level1 and TY together, the recommended account size is $20,000. ES Level2 plus TY recommended account size is $25,500.
Metrica II was submitted to Futures Truth for third-party tracking in August of 2017.
Metrica can be leased for $19-$65/month/e-mini contract (3-month minimum) and traded through designated broker-assist programs or directly through TradeStation.
To view hypothetical performance reports, click here.
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.
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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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Metrica II WFO TY; E-mini T-Notes, $30 slippage/commission deducted, hypothetical results. Results since 12/7/2006 are out-of-sample and based on annual optimizations from the previous years.
Metrica II WFO Combined ES & TY; $30 slippage/commission deducted, hypothetical results. ES results entirely out-of-sample; TY out-of-sample since 12/7/2006.