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TradingVisions Systems, Inc. | Sedona, AZ | 928-554-4052
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Metrica WFO ES Level2; E-mini S&P, $30 slippage/commission deducted, hypothetical results. Results to the right of the red line (June 27, 2002) are out-of-sample, based on annual optimizations from the previous year.
Metrica WFO is the newest TradingVisions system, released in December, 2015. Metrica swing trades the emini S&P 500 contract (ES), as well as SPY, the S&P 500 ETF.
Unlike TradingVisions' other WFO (Walk-Forward Optimization) programs, Metrica is a counter-trend system, and as such its correlation with Delphi, AXIOM, & Sentinel is almost an ideal zero, ranging from -.15 to +.08. This makes it the perfect addition to the Vista Portfolios, where it significantly increases hypothetical profits and decreases drawdowns.
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 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 signalled by the system logic, rather than an exit stop. The maximum dollar risk is $2,000 per contract.
Metrica has two 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 three 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 showed profits of 95% of 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.
Metrica tests profitably over a wide range of parameters, indicating its robustness, and when its current 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.
Metrica was submitted to Futures Truth for third-party tracking in October of 2015.
Metrica can be leased for $50-$75/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.