(These
are hypothetical trading results)
Hypothetical Risk Disclosure
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 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 OR TO 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 RESULT
Before you begin reviewing this historical track record, please let me
explain what you will be looking at. First and foremost, none of this data is curve
fitted in any way, shape, or form. For those of you unclear on what curve
fitting is, please let me explain. You may have received brochures in the mail
about system's that claim to have unbelievable track records. I've received
the same mail myself. There is little doubt that these are just what they
claim
UNBELIEVABLE. A recent brochure claimed to
have a system which over the past 3 years has had 300 winners and 2 losing trades. First, one must ask, if
someone actually had a system this powerful, would they be practically giving
it away for peanuts? The answer is certainly not. In order to achieve such a
phenomenal track record, the author or publisher of such a system uses a technique called "curve fitting" to produce the extraordinary misleading
results. Curve fitting is designing a system around a fixed data-set with the intention of
producing extraordinary results. A curve fitted system is designed around historical
price data to purposely achieve maximum results on old data with the benefit of
hindsight. In other words, the system is designed using the historical data to
determine what would have been the best approach, and what would yield the best results.
Certainly in hindsight, it is easy to say I would have bought here at the bottom, sold
here at the top, and so forth. In hindsight, tops and bottoms are obvious. The bottom
line is that these systems never perform anywhere near what the publisher claims and in fact,
almost all of them lose money. The obvious ones are those with big bold letters
stating "HUGE PROFITS! REQUIRES ONLY 10 MINUTES
A DAY! TRADING IS
EASY! MAKE MILLIONS IN JUST A FEW MONTHS!"
None of this of course is true, but these brochures continue to fill my mailboxes almost
on a daily basis, and Why? Because sadly, the public, in their greedy and lazy
ways, continues to insist on believing there must be a magical key or code that can unlock the secrets of
the markets providing them with the goose that lays golden eggs. In reality, such a
system is nothing more than a fairy tale. This business, like any other
business, requires hard work, dedication, time and skill to master. Please remember that.
My Historical Trading Summary
(Back tested results via computerized back testing)
I have compiled a complete history of the past trades from 1993 - 1998 based on
my core indicator only, (IMPA Analysis) and a simple trend following approach.
My secondary leading indicator and filtering methods were not included in this study
because they could not be accurately taught to the computer. As of 1998, we are
unable to teach a computer to reason, and fortunately, we can't teach one to think, not
yet anyhow. These additional methods aid in accuracy and significantly enhance overall
performance. Please understand that they were not included in this study because they could not be
accurately quantified for the computer testing. However, based on the core indicator
alone, the system performed very well and was able to turn a $300,000+ profit in the last 5
years (based on a computerized study). Back testing of the proprietary core indicator alone, along with a simple trend following
approach, showed a net "hypothetical"
gain of $305,554 over a 5 year testing period
based on 1 contract per trade. The average "hypothetical"
loss per trade during this period was $574 while
the average "hypothetical"
profit was $1605. The net average gain on profitable trades versus the
net average loss on losing trades taking into account the actual number of winning trades versus losing trades was
2:1 over the tested time period. If you calculate the Profit to Loss ratio based solely
on winning dollars versus losing dollars per trade during the testing
period, the ratio is 2.8:1. * The testing period occurred
using data (virgin data) that was outside of the development period.
In other words, the results were not curve fitted to the data.
In position trading, one expects more losers than winners and that is acceptable as long as the profit to loss ratio is positive.
Ours
clearly is. Discipline is a key independent component required to keep losses under control.
A disciplined trader following this system will have large winning trades, and multiple small losing
trades. The system is designed so that the winning trades will be large enough to pay for the
smaller losing trades and provide the trader with a modest profit over time. In order to
get a measurement of the potential size of winners versus potential size of losers, one
must look at the largest losing trade over the test period versus the largest winning trade over the
same period of time. In this study (including stock indices), the largest losing trade was
-$5,850
while the largest winning trade was +$76,300. The total number of
trades during the 5 year testing period was 868. 499 of these were long positions and 369 were short positions. If
we deduct $75 for commissions and slippage ($75 x 868), and deduct that from our net
"hypothetical"
gain, this equals a net
"hypothetical"
profit of $240,454 after commissions & slippage
on a one contract per trade basis.
* Please note that while
every effort was made to ensure accuracy of both the data and testing,
no guarantees for accuracy can be made. The data is believed to be
reliable, but no guarantees can be made in this regard as well. Past
performance is not indicative of future results and all trading is
risky. No system can guarantee positive results. Each trader is
encouraged to do their own back testing as well as test the trading strategy
before committing or risking any money in the market. The markets are
subject to change. Trade at your own risk.
Let me make something very clear,
THESE RESULTS
WERE
OBTAINED WITH THE AID OF A COMPUTER PROGRAM (BACK TESTED) USING MY CORE PROPRIETARY INDICATOR WITH A VERY BASIC TREND FOLLOWING METHOD!
When you combine my core indicator with my secondary leading indicator & filters, the level of accuracy increases
significantly! The secondary indicator assists with the
selection process and when used in conjunction with the core indicator, the accuracy
is often nothing short of stunning!!!
Very
Respectfully,
Floyd W. Upperman Jr.
floyd@upperman.com
Note: In position
trading, positions are frequently rolled from one lead contract month to the next. This process is called a "Roll Over" and simply involves exiting the
expiring month and taking the same position in the next front or lead contract month. Roll overs did occur
during this historical study and occasionally, significant price differences existed between the expiring contract
month and the new lead month. These differences are known as 'price gaps'. One must
incorporate complex measures to eliminate these price gaps from the historical data, while carefully retaining the
original price structure in the market in order to obtain an actual representation of realized accumulative
net profits or losses over a significant period of time. Unless these price gaps are removed from
the database, results will vary from the actual results realized by the trader following the system at the
time of a roll over. To achieve an accurate and true measurement of accumulated profits and losses, I have
incorporated a method known as 'backward price adjustment' to eliminate all false price
gaps, while retaining the original price structure. Because of the occasional difference in prices
during roll over periods, you will not always be able to simply calculate the shown profit or loss by simply
taking the difference between the initial entry (old month) and the subsequent listed exit price (new
lead month) in the individual tables below. Significant gaps in price can regularly occur from
one contract to the next due to excessive demand in key delivery months or a lack thereof.
Click on each commodity to view an actual historical record of Position
Trades for that commodity. Historical records date back to 1993. System was designed on data from 1983
- 1992. Testing was done on data outside of the design data-set, thus, further eliminating any potential for
curve fitted results whatsoever.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.
Futures trading involves leverage and margins
which make it a very risky business. Simulated computer results have certain
inherit limitations since they may not always accurately reflect the conditions of the market. During volatile times, or in thinly
traded markets, slippage can have a significant impact on performance.
Commodity trading requires a high level of discipline and an adequate supply of risk capital. Floyd Upperman does not make any promises or
guarantees of success. There is a risk of loss in all trading no matter what system you choose to follow. No representation is being
made that any account has or is likely to achieve profits or losses similar to those shown.
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 actually 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
profits or losses similar to those shown.
Risk
Statement:
Anyone wishing to invest in the Commodities and Futures markets should seek
his or her own professional financial advice. Hypothetical performance
results have inherent limitations, some of which are described below. No
representation is being made that any person will or is likely to achieve
profits or losses similar to those shown. There are frequently sharp
differences between hypothetical results and the actual results that may be
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. Hypothetical 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 areas which can also adversely affect trading results.
Hypothetical performance cannot account for all that may effect trading
results. Past performance does not, of course, provide any guarantee of
future performance and you should not rely on the performance presented
herein as an indication of future performance. You should be aware that
other performance methods or reviews for different periods might produce
different results.
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Historical Position Trades
