Momentum & Covered Call Trading Strategy Video

Trading Strategy Videos

In this segment of our Algorithmic Trading Strategy videos, we walk you through the details of the Momentum & Covered Calls Swing Trading Strategy.  In this video, our lead developer reviews the details of this algorithm to include an in depth look at how it performed in the back-testing during a few key market states: Up Moving, Down Moving & Sideways Moving Markets.  Why add the covered calls you might ask? Because it helps compensate for the performance during down moving and sideways moving markets. This strategy can be traded alone – or as part of a portfolio of trading strategies as seen in the S&P Crusher Portfolio.

Trading futures involves substantial risk of loss and is not appropriate for all investors. Past performance is not necessarily indicative of futures results.

Results discussed in this video are based on back-tested models that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. This strategy utilizes Options – which introduces additional back-testing difficulties.  Estimates are used in the back-tested model for premium collected which are based on the value of the VIX at the time the trade was placed and the number of days till expiration. In addition, ES Weekly Options were not available to trade throughout the entire back-tested period.

Swing Trading Strategy: Momentum & Covered Calls

[Video Transcript] In this video I’m going to be talking about the Momentum and Covered Call strategy. This strategy is a swing trade slash option strategy that trades the S&P e-minis. It places swing trades on the S&P. And then also places covered call option trades on the long ES positions that we take. Overall this is one of the most predictable algorithms that we have, in that it does really well when the market’s going up. And also, it does well when the market goes sideways. And with the edition of the covered calls, it really doesn’t lose too much in down moving markets. So this is our number one kind of bull market algorithm. And I’ll be reviewing some of the key features of it. I’ll be looking at some of the performance in some of the up-markets we’ve recently seen. As well as sideways and down moving markets. So with that, I’ll go into our disclaimer.

Okay, so first I would like to go over our disclaimer. We are not registered with the CFTC as a Commodity Trading Advisor. We’re what’s called a third party developer. We create algorithms and we license them for use on a personal computer through Tradestation. And they can also be auto-executed through NFA registered brokers. Keep in mind that trading futures and options involves substantial risk of loss. These algorithms are really not for everyone. They should be traded with risk capital only, in our opinion. And lastly, the data that we show, unless otherwise noted is based on hypothetical back tested models. And it does have certain limitations, per the disclaimer here. So feel free to read this. You can pause the video and read it more carefully. The last comment I’ll make is the data is for educational purposes only. Again, because we’re not registered, we do not control client accounts. And also, I guess I should mention that because we’re not registered, the data that we show has not been audited by any government agencies. So just keep all that in mind, as we go through the data in this video. We’re going to be talking about performance. Again that’s based on hypothetical back-tested models, it does have limitations. At times we do mention the live returns on the website or in the video. And when we do, that is from live data. And we note it as such. When we do that, just again, keep in mind that past performance is not indicative of future results. And again, trading futures does involve risk of loss and is not for everyone.

Swing Trading Strategy

So as I mentioned this strategy trades the S&P e-minis. And it places a long trade on the S&P at 3:55 p.m. EST. So, five minutes before the equity markets close is when we get into the swing trade. And at that time it will also sell a covered call that expires on Friday. However, the covered call is only placed on Monday through Thursday. And so if we get into the strategy on a Friday, then it won’t sell a covered call until the following Monday. And so, if we get out of that trade on a Monday afternoon, then it won’t place the covered call trade. However, usually when the momentum algorithm triggers, it will kind of trigger every day for a certain amount of time. And so, usually we’ll still place a covered call trade on the Monday. And then once we place that covered call trade we hold the covered call until Friday. Meanwhile, the momentum algorithm, the swing trade with the actual futures can still get, kind of, in and out of trades. So there are moments when the calls might not be 100% covered. But for the most part the calls are covered. And as I mentioned before, it performs really well in up and sideways moving markets. And with that, I’d like to just kind of review, give a real quick options primer. So that we can talk about the covered call side of this algorithm, along with the momentum trades. Okay, so before I get into the algorithm, the covered call momentum strategy actually does place option trades. So let me just talk, as quick as I can about what options are and how they relate to this algorithm. So there’s basically two different kinds of options. You have call options and you have put options. A call option, is bought when someone expects the market to go higher. And a put option, is bought when they expect the market to go lower. The strike price is the other component of an option trade. And that represents the price at which the underlying asset is to be bought or sold when the option is exercised. The expiration date is just when the option expires. So options have an expiration. And they are what’s called, wasting assets, in that their value typically goes lower, the closer to expiration. At least for out of money options. The premium is, basically, the cost of the option. And we trade options on the S&P e-minis. So the premium is in S&P points. So if we sold a call options for four points, then that would be four S&P points, which each point is $50. Meaning we would collect $200 when we sold that option. But I think the easiest way to show you is to just use an actual example. So consider this chart of the S&P 500. And the current bid ask for weekly options that expire in two days. So at the time this picture was generated, the S&P was trading at 2199, so roughly 2200. If you look here, this is the weekly options that at the time this was done, they were expiring in two days. So you can see at the strike price of 2200, the put option is trading at five points by 525 points. So I’m just showing you this so you can see that as you get more out of the money, on the put side, the price of the option goes lower. And even the 2185 put was trading at basically one point two five points times $50 is roughly about $60, someone could buy that put. And then the more in the money the put is, the more expensive the option is. Because it has a intrinsic value plus a time value. But I don’t want to go into a lot of detail on that. And let’s just look at this example of a call option being sold. So the S&P’s trading at 2199.25. So the five point out of money call option is trading at 2.3 by 2.45. And each point is $50. So if somebody bought the 2205 call that expires in two days, at the ask, they would pay $122.50. And they would be long one 2205 call option. And if somebody sold the option, and that’s what we would’ve done in this case, then we would collect $115 if we sold it at the bid. And we would be short the 2205 call option. So just keep in mind that the more volatile the market and the more time to expiration, the more expensive the option is. And the more premium we collect. So if the market is really volatile and the Vix is above 20, instead of collecting 2.3 points, we might collect six points, maybe even 10 points, if it’s sold on a Monday. And so there’s a lot of things that affect the price of the option. And what we are able to sell it at. So, using that same example, if by Friday, in two days, the ES closed above the strike price of 2205, then the option would be profitable for the person that bought it. So, for example, if ES closed at 2210, then the option would be worth five points. Because it’s five points above the 2205 strike. Which equates to $250. So the profit would be $250, what the option is worth at expiration, minus what they paid for it, $122 or basically $127. And if by Friday, the S&P closed below the strike price then the option would expire worthless. And the seller of the option would keep the premium they collected. And that’s what we want to have happen as sellers of options.

Covered Call Strategy Limitations

So, real quick, with all that in mind, I just want to talk about real quickly some of the limitations in back testing an options algorithm. Again, the momentum slash, or the momentum plus covered call strategy places swing trades on the S&P but then it sells calls against that position as well. And so we do back test the covered call strategy. And some of the limitations that back testing options algorithms has is that you have to estimate how much premium is collected. And we have a in house tool that I developed that can be run on any futures strategy that we have. That can kind of run that strategy against multiple different strike prices. In the money, out of money, it uses a look up table, based on the Vix and the amount of time until expiration, and whether it’s a call or a put, to determine how much we thought we would have been able to collect in premium. And so, because it’s a tool, it kind of adds an extra layer of uncertainty on the back testing side. Now, as we have live trade history, and as that accumulates, we do use the live trade for the data that we show on the website. But the back testing is definitely just considered to be less than perfect, I guess. We do our best to estimate on the low side and be a little bit more pessimistic. And so far it looks like we have been, based on what we’re actually able to sell the options at, versus what our tool says we thought we would have been able to. So we think we have a pretty good leaning on the side of pessimistic estimate of premium collected. And again, that’s important in back testing, because that affects the back tested results quite a bit. Because if you, if you thought you could collect four points in premium but in reality, you only could have collected two points, then that’s a $100 difference on that trade. So I just want to kind of highlight that that is one of the limitations. And also, options were not available through the entire back testing period. I don’t think that’s as big of a deal though, because what we’re showing is how we think the options, or how the covered calls would have performed if options were offered. So I don’t think that’s a huge deal. I think it’s better for us to provide more data. And back test all the way back to 03, as opposed to only back testing until 2011. I think that’s when the weekly options were offered. The good thing though, is there are things that we do know. I mean, we know what the price of the ES was at the time the trade was placed. And we also know, with pretty good certainty, what the expiration price of the ES would have been on Friday. So the big uncertainty though is the premium. And like I said, we tried to use a pessimistic model.

Momentum Swing Trading

Okay, now that I’ve talked about the options side of the covered calls, basically what they are, let me go into some of the details about the momentum plus covered call options algorithm. So in a lot of these strategy videos, that we’re doing you see this chart here, which is, I’ll just quickly explain what it is. If you want to know more details, about how we get all this data here, then I recommend you watch the video on our design methodology, where I kind of focus in on this chart. And define kind of what the up sideways and down conditions are. But basically, for any given month the S&P closes up by 30 points or more, we consider that an up month. Sideways is between negative four points and positive 30 points. And then down would be any month where the S&P closes down by four points or more. And what these categories do is they separate the entire back testing period of about 150 months, into thirds. So 1/3 of the time the market closes up. A 1/3 of the time sideways, and 1/3 of the time down. And then what we do is we compare each strategy to each one of these market conditions to see how much it averages with all the trades in that month, for that market condition. And we do that because our methodology is pretty straightforward. We acknowledge that we can’t predict the market direction with 100% certainty. So what we do instead is we take a market direction agnostic position. Meaning we don’t really care if the market goes up, sideways, or down. As long as we have algorithms that do good for each market condition. And then don’t lose a lot in the contrary market conditions. And so when you look at the momentum algorithm as a standalone algorithm, it averages $1,600 per month when the S&P closes up 30 point or more. So if this was in the S&P Crusher, that would be $1,600. And the S&P Crusher trades on $30,000 units. And so, that would be a gain of about 5% in the up market condition. If this strategy traded alone, without any other algorithm, then the unit size would be about 20,000. And so the $1,600 gain would be closer to about a 10% gain but not quite. The momentum algorithm, and the momentum side is the long futures side. It also does pretty good in sideways markets. It doesn’t lose a lot, it actually gains about 378 on average. But you’ll see that in down market conditions, it does take losses. And so that’s one reason why most people wouldn’t want to trade this algorithm alone. Because it does good in up. It does okay in sideways. But then when you have the down markets it averages losses. But when you combine this algorithm with the covered calls, that’s where it starts looking quite a bit better. And so the covered call side of the algorithm does okay in up market conditions. At least it doesn’t lose. And so we consider that, actually, pretty good. It does the best in sideways market conditions. And that’s because in these sideways conditions, this algorithm will trade more. And so, and because it’s sideways, it’s not really, the S&P’s not closing up by a lot in that month. And so, in kind of the four weeks, more than likely are going to have a few of the covered call trades finish, close out 100% in the money. And then maybe another one with a slight gain. And then maybe only one with a loss. And so it has a decent average in the sideways. And then does good in the down market. So if you kind of add these ones together, then you have about 1,700, 1,754 in the up condition. And then here you have about $900 on the sideways. And then on the down you only have a loss of about 500. And that’s, that’s helpful to show, I think. Because it shows what value the covered calls add. They help give us a buffer in the down market conditions. Because we’re selling calls if the market closes down. Then we might takes losses on the futures trades. We might get stopped out of a few. But the covered calls will help offset those losses because those will expire, more than likely 100% out of the money, with a full profit for us. And kind of the same with the sideways. But then if you add these two strategies to something like the S&P Crusher, which trades all seven strategies, then you have, you still have, positive gains in the down conditions. Because these four algorithms do well. And then you only have two that take losses. And I believe this one that is kind of hard to see is basically a breakeven. But in the sideways conditions it does really well, because you add all these together. And then in the up it does really well, as well. And that’s where this strategy really shines is in the up conditions and the sideways. And so in the entire suite, in the S&P Crusher, this is our algorithm that is designed to do well when the market goes higher. Keep in mind, this is all based on the back testing. And so, this is kind of the standard back testing disclaimer that we use.

Swing Trading Example

What I want to do now though is look at a few months in the recent trade history, to kind of show you why, in my opinion, this is the most predictable algorithm we have. Meaning, we say it does good in the up market conditions. I believe the number’s about 85% of the time it’s correct. So it has a really high correlation to doing well when the S&P closes up 30 points or more for any given month. So first, let’s look at the month of November in 2016. And at the time of this video, we were just about to close out the month. So this here is a chart of the S&P for November 2016. So you see November down here. And you see each day. And then today is the 25th of November. So really there’s a couple more days left in the month. But I thought I’d use this example. Because it’s a pretty good example that shows kind of what I mean. So now you’re looking at the Tradestation platform. And this, again, is a chart of the S&P 500. And so I’ve just kind of zoomed out. Go all the way back to February over here. July is over here. August, September, October, and then November right here. So what I’d like to do is I’m going to zoom in. And I’m going to go ahead and insert the strategy, or enable it. So what Tradestation’s doing right now is it’s adding all the trades from the momentum, plus covered calls algorithm. And if I zoom in, you’ll see, pretty much the entire month of November. So at the start of the month, the market sold off a little bit. You’ll see that we were not in any trades here, which is good. So the algorithm stayed on the sideline, as it should have. And then as the market starts rallying, then it starts getting in. But what you’ll see is we had a bunch of winning trades, as the market went higher. These kind of blue dotted lines, just shows that we got in right here on the 9th of November. And the time that we got in is, you basically use the time from the previous candle. That’s when this candle ended. So at 1:55, and that’s Mountain Standard. So that’s 3:55 Eastern, we bought the S&P and we held onto it overnight for one day, two days. And then the third day we got out on this gap up for a gain. And then we got right back in. We got out the next day on another gap up. We got right back in, got out the next day. And I’ll just count these up. So we add one, two, three, four, five, six, seven, and eight winning trades. This trade right here we actually just got out of, I think about an hour ago. And so you don’t see it on the slide that I have. Because it hadn’t happened yet. So that’s eight trades in a row that were winners. And that kind of highlights why this algorithm’s more predictable. When the market goes higher like this, it’s going to keep jumping in and out. And just kind of taking winning trade after winning trade. Now if the market starts going sideways then it can still be profitable. But it is a little bit more difficult because now you have to worry about maybe the market gaps lower. And you get stopped out and it rallies, things like that. But it’s still profitable in sideways market conditions. The other thing I’ll highlight is the covered calls side of this. So the little yellow line here, shows where the strike price was for the call that we sold. What you see is that, if the market’s going higher like this, then this algorithm will usually be either slightly profitable, for the call side. So it’s extremely profitable on the futures. Which is where that gain comes from. Remember that’s the one that averages $1,600 per month. On the call side the average is lower but still positive, it’s $154. And that’s because sometimes it will close above our call price. But because we’re getting in and out of the futures trades, it’s not always a one for one kind of break even, when we go above our call price. Because remember, these are covered calls. So if we’re long the S&P and the S&P trades above the strike price, then it’s basically break even for any movement above there. But there are times when we’re out of the market, so it’s not always covered. And I know it’s probably confusing. But they really are kind of two separate algorithms, that just kind of work together. But the point is, when the market’s going higher sometimes it’ll close above our strike. In this case, this was a Wednesday that we sold the call. So this is Thursday, this is Friday. So that means it closed right here below our strike. So we had 100% profitability on the call side. And then on Monday we got out of the futures trade and we’re profitable on that. But then on Monday we get back in and we sell a call. Now it’s sold at this price.

Selling Covered Calls

So we always sell the out of money calls that are usually about, between 10 and 20 points out of the money. In this case, so this is the Monday, Tuesday, Wednesday, Thursday, Friday close, right in here. Which is just barely above this strike price. But because we collected about four 1/2 points of premium on this call that we sold, and the options expired at, basically about five points above the strike, this covered call trade was actually break even. So we didn’t take any losses on this trade. But we had a bunch of gains on the futures trades. And this more recent one we sold, was at a 2205 strike price. And this one did expire, in the money. So I believe we took a small loss on this trade. But we had a bunch of gains on the futures side. So that’s kind of how they work together. But let me go back to this slide. So for November 2016, so far we’re up about $2,043 per unit traded. And that’s combining the covered calls with the swing trade with the momentum trade. That doesn’t include this recent one that we just got out of today. Which, I believe is about a $200 gain. So really, for the month of November, we’re up about 2200 right now. So now I’d like to look at another month where the S&P traded higher and that was in July of 2016. So in July it was another month where the S&P traded higher. Because this is kind of the start of July, over here. And then this is the end of July. And you can see that the S&P went up about, it looks like, about 80 points actually. Even though it doesn’t look like a huge gain. But the market rallied quite a bit. And you’ll see that, again, we had a bunch of winning trades. We had one, two, three, four, five, six, six winning trades in a row. And then this seventh trade. Actually let’s go to the chart and see how it closed. I believe that one took a loss, but let’s take a look. So we’re looking for July. Okay, here we are. Yes, so this last one ended up getting stopped out on the second of August. But for the overall total for July, if you add up all these gains, plus the covered call trades, and by the way, now you can kind of see, how the covered calls really helped out. Because on this covered call, it looks like we sold the call on Monday. So this would be Tuesday, Wednesday, Thursday, Friday, so on Friday it expired just barely above the call. So this covered call might have been profitable. Because again, we collect premiums. So it has to go above the premium we collect for it to actually be a loss. You’ll see we had one, two, three four winning futures trades. And then a covered call trade. That was also, probably a gain. And I’d have to look to see if it actually was. And I guess we can but I believe it was. Because it was 2140 and then the options expired at 2147. So it might have been a loss of maybe two points. But overall, the gain for that week would have been really good. And then if you look at the next week when the market really started going sideways, the covered calls all, the one that we sold on this Monday would have expired worthless, which is good for us. That would have been on the 22nd. And then the one sold on the following Monday at 2165, also should have been profitable. If you go to the 29th, well I guess this one might have been kind of on the edge as well. But you can kind of see though, as the market goes sideways, these covered calls typically do well. And if the market sells off they do even better. Because it almost always closes below the strike. However, you could take a loss on the futures trade. So what the covered calls do, if the futures trade is wrong, and we get stopped out of it, more than likely we’ll finish 100% out of the money on the covered call. Which then, basically, offsets the losses that we would have seen. Kind of like this slide showed here. Where, when you add the covered call on the down periods that have a gain, that help offset the losses that we see on the futures side. So that’s another example of an up moving market.

Let’s look at a sideways moving market condition now. Okay, so August 2016 was a period where at least looking at the chart it looks like the market traded sideways. Because here’s the start of August. Here’s the end of August. So it almost was exactly sideways, where the market really didn’t didn’t move one direction or another. And so in the chart though, you do have up periods and then down periods. So this is a good example of a sideways market. And what you’ll see is that the covered calls, for the most part do pretty good. This call would have expired, let’s see, so this is the 8th, the 9th, the 10h, 11th, 12th. So it would have expired right here which is below the call so it would have been fully profitable here. This one, because the market gapped up higher, and when we got into the long trade on this Monday, the strike price was actually up here. So this one definitely expired worthless, which is good for us. And so what that did is it offset the loss that we saw on the futures side. And then on this trade, kind of a similar thing where we sold the call. And then the options expired worthless on Monday the 26th. Now on this one, the futures, actually, was also profitable because it got out on this spike up. And so again, it gets a little more confusing when you have two algorithms kind of working together. But hopefully these examples show a good example where you have an algorithm that if the market would have just kept going higher, like it did here for the rest of the month, then this algorithm would have had more gains than $278 per unit traded. But the fact that it was still profitable by almost $300 for this month. And that’s on a $30K account. That’s a 1% gain, which I know doesn’t sound like a lot but considering this is an algorithm that’s designed to do good when the market goes higher. The fact that it was still profitable when the market went sideways is really good. Because a lot of momentum algorithms, if you have a chart like this, they rarely, you will take losses. Because as the market goes higher and they get back in. If they’re wrong, they get stopped out like we did here. But they don’t have the covered calls to help offset those losses. And they might have done long again here. And they might not have had a target here. So they would have maybe, taken losses instead of hitting the target. So even though the gain was $278 for August, we considered that really good, considering this is our long algorithm. Because again, if this is in a portfolio of seven strategies then hopefully the other five, or the other six, I guess five strategies, because this is really two combined, the other five would help make more gains for this period. So that this gain, on the Crusher is more than that. But again, this is an example of a sideways moving market, with a momentum and covered calls algorithm.

Here’s an example of a down moving market. So this is September 1st is over here. And it looks like the S&P closed below 2150. So the loss was more than four points. So this would be considered a down market in that comparison that we do. But you’ll see that we did get out of whatever trade we were in at the end of August, with a profit. We sold the calls. The calls would have been profitable here. But then we got stopped out of this trade. And so, when you add up these three trades together, you still have a gain of $20. Which is basically flat. But again, considering this algorithm is not designed to do well in down moving markets, the fact that it didn’t lose a lot, and it actually was barely profitable, is really good. Because what that means is, if you can have an algorithm that does predictably very well when the market goes higher. And also pretty good when it goes sideways. And doesn’t lose a lot or maybe even has a small gain when the market goes lower, then that’s a pretty good algorithm, as long as it’s trading in a suite of algorithms that do do good when the market goes lower. So this is a great example of how our methodology is a really good one. Is because we don’t, we’re not trying to create the Holy Grail with one algorithm where it does good in all market conditions. That’s extremely hard to do. Because when you tweak it so that it does good when the market goes lower, usually you take away from gains when it goes higher. And so you end up with just a, a really sloppy algorithm that has a ton of different indicators in it. And usually the more indicators, the worse the algorithm is, because when you do the walk forward it usually will have a really bad expectation for positive walk forward returns. I don’t want to get into walk forward. I do plan on doing that in another video. But basically, this month of September we considered this algorithm to have done really well. Because it didn’t lose anything. In fact, it actually made a little bit.

Swing Trading Algorithm

I would like to look at the performance data for this swing trading algorithm that we have on the website. And then we’ll conclude the video. So on the website, if you go to and then you go to strategies, you can see the covered call and momentum trading strategy right here. So I’m going to click on that. And that take you to the strategy page for this strategy. And again, we do have the portfolios here which combine the strategies. But we’re kind of looking at just this strategy right now. So let me scroll down to show you the kind of back tested performance reports. So with the trading strategy, if somebody only traded this strategy, not any of the other ones, so just this strategy, not one of the portfolios, then we have the per unit trade size set at 20,000. And based on a $20,000 account, based on the back testing which does have limitations, the average gain per year is about 40% or about $8000. And then we have the monthly gain. The monthly win rate is about 66%. Which is pretty good, considering this is a long slash sideways biased algorithm. The total number of trades in the back testing is 1,573. So this one does have a lot of trades in the history. The trades with bigger than a 5% loss, and that’s 5% of 20K which would be $500, is 35. So that’s, I’m sorry, that’d be $1,000. So only 35 trades out of 1,573 had a loss of $1,000 or more, which is pretty good. That means that this algorithm, even though we’re selling calls doesn’t have a lot of months where it takes big losses. Or a lot of trades where it takes big losses. In fact, it’s only about 2% of the time in the back testing. The per trade win rate is 78%, which is really good. So that means, of all these trades 78% in the back testing, were profitable. You probably noticed that that’s higher than the monthly win rate. And what that suggests is that the, even though it has the per trade win rate is higher, some of the trades where it loses are going to be a little bit bigger. Such that the monthly win rate is a little bit lower. Because the monthly combines all of them. All of the trades in that month and whether or not the month was profitable. But it’s still really good. And here we show what portfolios trade the momentum. Plus covered calls, you’ll see that the Crusher does. The ES and TY futures does. And then the bearish trader only trades the covered calls. And because it’s not trading the momentum algorithm, then really it’s just shorting the calls. If I go here, you’ll see kind of the monthly returns of this algorithm alone. You’ll see November, up $2,043 so far. And like I said, it’s actually another $200 more now because we got out of a trade today. You’ll see July, where it did really well. March it did really well. February it did really well. And if you’ve been trading the market this year, then you probably know that February the market sold off for part of the month but then went higher. March, the market rallied. July the market rallied. In November the market rallied. So it really, it really does, for the most part, do well when the market goes higher. And you’ll see a big loss here in April on this algorithm. And we’d have to look at that to see why, but it probably got stopped out of a few trades, as there was some volatility throughout here. But when you average it all together, it’s done really well this year. And then lastly, you do have the trade list here. So this shows the break down of every trade in the back testing. And if you see a slippage of zero, that just means that we took the actual fill from the account, as opposed to the hypothetical account. So I think that covers everything that I wanted to talk about with the momentum algorithm. But just to kind of summarize, this algorithm does great in up moving markets. And it also does really good in sideways. And then it really doesn’t lose too much in the down moving market conditions. It trades best as part of a portfolio of strategies, in other words with other strategies that do well when the market goes lower. And that don’t lose a lot when it goes higher. So when you kind of overlay them on top of each other, then it kind of smooths out the equity curve.

I think that summarizes everything. So if you have any questions, feel free to call us. You can email us. And if you would like a live demo, myself or one of the sales people would be happy to give a demo for you and kind of share the screen like I did and look in more detail with any other period you’d like to look at. Just keep in mind that most of the data that we show is based on back testing, which has limitations. And trading in futures and options, involves substantial risk of loss. It’s not appropriate for all investors. So these algorithms should be traded with risk capital. But if you’re looking for an automated strategy to kind of take your emotions out of trading, or at least minimize emotions from trading. And we feel that our methodology’s really good. We feel that the combination of the seven strategies that we offer, when traded together worked out really well. And we’d love to show you, kind of, all the data that we have and answer any questions. So I think that’s it. Have a great day. provides trading algorithms based on a computerized system, which is also available for use on a personal computer. All customers receive the same signals within any given algorithm package. All advice is impersonal and not tailored to any specific individual's unique situation., and its principles, are not required to register with the NFA as a CTA and are publicly claiming this exemption. Information posted online or distributed through email has NOT been reviewed by any government agencies — this includes but is not limited to back-tested reports, statements and any other marketing materials. Carefully consider this prior to purchasing our algorithms. For more information on the exemption we are claiming, please visit the NFA website: If you are in need of professional advice unique to your situation, please consult with a licensed broker/CTA.

DISCLAIMER: Commodity Futures Trading Commission Futures trading has large potential rewards, but also large potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures markets. Don't trade with money you can't afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website or on any reports. The past performance of any trading system or methodology is not necessarily indicative of future results.


With the exception of the statements posted from live accounts on Tradestation and/or Gain Capital, all results, graphs and claims made on this website and in any video blogs and/or newsletter emails are from the result of back-testing our algorithms during the dates indicated. These results are not from live accounts trading our algorithms. They are from hypothetical accounts which have limitations (see CFTC RULE 4.14 below and Hypothetical performance disclaimer above). Actual results do vary given that simulated results could under — or over — compensate the impact of certain market factors. Furthermore, our algorithms use back-testing to generate trade lists and reports which does have the benefit of hind-sight. While back-tested results might have spectacular returns, once slippage, commission and licensing fees are taken into account, actual returns will vary. Posted maximum draw downs are measured on a closing month to closing month basis. Furthermore, they are based on back-tested data (refer to limitations of back-testing below). Actual draw downs could exceed these levels when traded on live accounts.

CFTC RULE 4.41 - Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under — or over — compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profit or losses similar to those shown.

Statements posted from our actual customers trading the algorithms (algos) include slippage and commission. Statements posted are not fully audited or verified and should be considered as customer testimonials. Individual results do vary. They are real statements from real people trading our algorithms on auto-pilot and as far as we know, do NOT include any discretionary trades. Tradelists posted on this site also include slippage and commission.

This strictly is for demonstration/educational purposes. does not make buy, sell or hold recommendations. Unique experiences and past performances do not guarantee future results. You should speak with your CTA or financial representative, broker dealer, or financial analyst to ensure that the software/strategy that you utilize is suitable for your investment profile before trading in a live brokerage account. All advice and/or suggestions given here are intended for running automated software in simulation mode only. Trading futures is not for everyone and does carry a high level of risk., nor any of its principles, is NOT registered as an investment advisor. All advice given is impersonal and not tailored to any specific individual.

* Published percentage per month is based on back-tested results (see limitations on back-testing above) using the corresponding package. This includes reasonable slippage and commission. This does NOT include fees we charge for licensing the algorithms which varies based on account size. Refer to our license agreement for full risk disclosure.