| Contents |
|---|
|
1. Invitation 2. Compliance 3. Data required for each system 4. TradeStation Reports 5. Checking your data on Futures Examiner |
We need monthly results data - both actual-trade and hypothetical - for trading systems for commodity futures, single-stock futures, and Forex contracts. Results from stock-trading systems would also be of interest. Please note that we publish NET results on a single-contract basis; the profit-or-loss for each month includes slippage, commission, and cost of the system.
If you are a system developer or vendor, your hypothetical data would be of interest: both a 6-year backtest, and ongoing monthly results. If your system(s) are being traded, then the actual-trade results would be of particular interest, and would be eligible for inclusion in the Top Gainers and Smoothies tables. You can send us account statements, or if the results are published on a system-assist broker's website that would be an even better source of data. Please note that we do not need your code, so you do not need to worry about code piracy. We ask that system vendors provide a link to Futures Examiner on their website.
If you are a system-assist broker, your actual-trade data would be of interest, particularly for systems for which you have a year or more of data, and for systems for which we publish hypothetical data. We would be particularly interested in results from systems that we do not currently publish.
If you can provide us with results data (or suggest a system that you would like to see results for), please contact us.
If a system that we track begins losing money and/or is no longer being traded or reported, we prefer to continue reporting the results that we have, even if no further results are available. The results will "age" into the "*All OutOfDate..." baskets after a few months. Particularly for systems that have placed in the Top Gainers and Smoothies tables, it is helpful to keep their results available even when they are not being updated.
This policy is also in keeping with the spirit of the requirement that CTAs "must disclose the actual performance of all accounts directed by the commodity trading advisor...". This requirement is given in CFTC Regulation 4.35: Performance disclosures for Commodity Trading Advisors. See (b) Performance to be disclosed, near the end.
If a system developer requests that a poorly-performing system be removed, we reserve the right to remove all of that developer's systems from our website.
Results are reported on a single-contract basis. In other words, results are not compounded. Some trading systems provide money management guidelines, which recommend an increase or decrease in the number of contracts traded as the account size gets larger or smaller. However, in keeping with the approach used by Futures Truth and by many brokers and developers, we report results on a single-contract basis. The following information is needed:
We usually receive hypothetical results as TradeStation® Performance reports. (The TradeStation software platform is used by many system developers.) Table 1 contains guidelines to facilitate consistency when these reports are prepared.
| Table 1: Pages to include in TradeStation Report | |||
| No. | Page | Data we use | Importance |
| 1 | Performance Summary | We get the historical average number of trades per year, percentage of time in the market, and can determine the slippage & commission allowances that were used. | Essential |
| 2 | Monthly | This is where we get the number of trades for each month, and the profit-or-loss in dollars. Please provide 72 months of results if possible (see "Display Periods" setting in Table 2 below). | Essential |
| 3 | Trades | This page is used (a) to double-check the number of trades each month (the Monthly numbers sometimes have an extra trade for swing or position traders), and (b) to estimate slippage by comparing with Actual fills. | Desirable |
| 4 | Settings | We can see the slippage and commission allowances directly, and can also check subsequent reports (for monthly updates) to verify that the same settings were used. Note: we do NOT publish the settings. | Desirable |
When minis are usually traded in the field, it is preferable to provide TradeStation reports using minis. Then the hypothetical results should track the actuals more closely. Unfortunately the mini-Russell and Midcap only go back to about 2002-Jan, so reports that use these minis are limited to about 50-some months.
| Table 2: Settings Guidelines for TradeStation Reports | ||
| No. | Setting / Topic | Guideline |
| 1 | Commission and slippage allowances | Should be realistic, so that the maximum drawdown values are realistic. (When too little commission & slippage are used, the maximum drawdown will be understated.) |
| 2 | Display periods | Please set to 72, to provide 72 full months of data (the maximum that we display). Display Periods is set to 40 in many reports, so even when trades go back 6 years, only the most recent 40 months are summarized on the Monthly page. |
| 3 | Start date | The start date should be early enough to include all the display periods desired. |
| 4 | Multi-commodity systems | Please use realistic slippage and commission in the TradeStation report for every commodity. It is confusing when some reports use realistic values and others use zero. |
| 5 | Monthly updates | Please use the same settings for monthly updates that were used for the original reports. That is, unless different settings are now being used in the field, in which case please use the field settings and let us know. |
After the data for your company and/or system(s) has been posted to Futures Examiner, please check it for accuracy and completeness. The following checklist is provided as a guide.
| Table 3: How to check your data on Futures Examiner | |||
| Step | Item | How to display it | What to check |
| 1 | Company listing | Click "System Vendors" or "System Assist Brokers" on the "Trading Systems" drop-down menu. | Check the entries in all the columns: Systems, Name and Address, Contact, and Comments. |
| 2 | System description(s) | Click "Systems We Track" on the "Trading Systems" drop-down menu. | Check the entries in all the columns: System name, Type, Commodities or Currency Pairs, Developer link, Cost, and Comments. |
| 3 | In preparation for the remaining steps, display the Results page for the "*All Current Actuals and Hypotheticals" basket as follows: | (a) Click "Results" on the Home page, which will launch a new window with the results disclaimer; (b) In the new window, click "I understand and agree...", which will bring up the Results page. | From the resulting display, you can click "Summary", "Monthly", or "Statistics" to view the results for each of your components (system-contract-datatype), as described in the following steps. |
| 4 | Monthly page | Select Scaling = "Dollars" and then click "Monthly", which will display each month's profit-or-loss in dollars, for each component in the basket. | For each of your components, verify that the profit/loss for each month is correct. Please note that the Profit/Loss numbers take into account slippage, commissions & fees, and cost of the system. |
| 5 | Summary Results page | Click the "Summary" button, which will display summary information for each component. | In the resulting display, check the row of data for each of your components. There are about 10 columns of data; check that the value in each column is correct. |
| 6 | Component Information page | For each of your components, click the component name, e.g. "MesaBonds-US-Hyp", which will launch the Component Information page in a new window. | In the resulting display, check the data in the "System", "Results Data", and "General Information" sections. Verify that the equity chart is accurate. |
| 7 | Single-Chart for each of your components | In the Summary Results page, click the Single-Chart icon, which will launch a chart of this component in a new window. | Ensure that the equity curve is correct. The chart can be displayed in either Dollars or Percent. |
| 8 | Multi-Chart that includes some or all of your components | In the Summary Results page (a) Select up to 10 components in the "Multi-Chart" column; these should include your component(s), plus any others that would provide a helpful comparison; then (b) click the Multi-Chart icon to launch a chart showing the selected components. | Ensure that the equity curves for all of your components look correct. The chart can be displayed in either Dollars or Percent, and the number of years can be selected for the best display. |
| 9 | Top Gainers and Smoothies tables | (a) On the Home page, click "Top Gainers and Smoothies", which will launch the Actuals disclaimer in a new window; (b) click "I understand...", which will display the Top Gainers and Smoothies tables. | See if any of your Actual components are listed. If so, ensure that the data corresponds with the data on the Summary Results page (displayed in step 5). And if you feel that any of your components should be listed but are missing, please let us know. |