Hypothetical Monthly Returns (includes typical commissions and system fees)
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | (3.7%) | (0.3%) | +2.9% | (2.9%) | ||||||||
| 2011 | +2.2% | (2.4%) | (12.2%) | (2.4%) | (7.3%) | (0.9%) | +4.3% | +4.7% | - | - | - | - |
| 2012 | - | - | - | - | - |
Strategy Summary
A work in progress - Discretionary method based on applying principles of Price Action to e-mini S&P futures. Trader is a 3 time award winning trader.
Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
| This system is not currently accepting new subscribers. |
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Model Account Status
| Started | $15,000 |
|---|---|
| Buy Power | $18,187 |
| Cash | $1 |
| Equity | $1 |
| Cumulative $ | $3,187 |
| Total System Equity | $18,187 |
| Margined | $1 |
| Open P/L | $0 |
| System vendor has delayed data by 7 days for non-subs. | |
System creator requested that closed trades data below be delayed by seven days.
| Hypothetical Trading Results | |||||||||
|---|---|---|---|---|---|---|---|---|---|
| Opened ET | B/S | # | Symbol | Price | Closed | Price | Risk | P/L | |
| 8/29/11 9:43 | BUY | 1 | @ESU1 | E-MINI S&P 500 | 1195.75 | 8/2910:23 | 1198.25 | Low | $111 |
| 8/26/11 9:37 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1148.75 | 8/269:45 | 1146.25 | Low | $111 |
| 8/18/11 9:56 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1149.75 | 8/1810:00 | 1147.25 | Low | $111 |
| 8/16/11 9:45 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1188.00 | 8/169:51 | 1185.50 | Low | $111 |
| 8/12/11 9:45 | BUY | 1 | @ESU1 | E-MINI S&P 500 | 1181.00 | 8/129:49 | 1183.50 | Low | $111 |
| 7/25/11 9:41 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1328.00 | 7/259:47 | 1330.75 | Low | ($152) |
| 7/21/11 9:44 | BUY | 1 | @ESU1 | E-MINI S&P 500 | 1329.25 | 7/219:49 | 1333.25 | Low | $186 |
| 7/18/11 9:49 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1305.25 | 7/189:55 | 1302.75 | Low | $111 |
| 7/11/11 10:09 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1321.75 | 7/1110:21 | 1319.25 | Low | $111 |
| 7/8/11 10:03 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1334.50 | 7/810:17 | 1332.00 | Low | $111 |
| 7/6/11 9:42 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1329.50 | 7/610:17 | 1327.00 | Low | $111 |
| 6/24/11 10:25 | SELL | 2 | @ESU1 | E-MINI S&P 500 | 1267.00 | 6/2410:34 | 1269.50 | Low | ($278) |
| 6/23/11 9:42 | SELL | 1 | @ESU1 | E-MINI S&P 500 | 1262.50 | 6/239:54 | 1260.00 | Low | $111 |
| 6/22/11 10:47 | BUY | 2 | @ESU1 | E-MINI S&P 500 | 1291.00 | 6/2211:14 | 1292.25 | Low | $97 |
| 6/21/11 9:52 | BUY | 1 | @ESU1 | E-MINI S&P 500 | 1280.00 | 6/2110:00 | 1282.50 | Low | $111 |
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Statistics
Analytics| All Statistics Based on Hypothetical Results | |
|---|---|
| Trades | 266 |
| # Profitable | 141 (53.0%) |
| # months tracked | 21 |
| Profitable months | 4 (19.0%) |
| Avg trade duration | 23.5 minutes |
| Annual return (compounded) | 11.9% |
| Average win | $156 |
| Average loss | $151 |
| Profit factor | 1.2:1 |
| Max peak-to-valley drawdown (historical) | 7.6% |
| drawdown period | Feb 07, 2011 to June 20, 2011 |
| Correlation w/ S&P | -0.001 |
| Sharpe ratio | 0.913 |
| Keep after worst-case slippage | -223.8% |
| Probabilities of future account loss | |
| Chance of 10% account loss | 26.7% |
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
|---|---|
| Chance of 100% account loss | 0.0% |
| Average Profit to Drawdown (APD) | 0.01 |
| Average P/L per unit traded | $7.92 |
System Description
KJ Price Action trades the e-mini S&P exclusively. It is a discretionary method, based on price action. No fancy indicators, no fancy math, just intensive price watching.
Typically system will make 1-5 trades per day (2 or 3 on average). All trades will be taken between 9:30 and 11:30 AM Eastern Time. No new trades will be taken after 11:30.
ALL TRADES ARE CLOSED BEFORE THE END OF THE DAY, 4 hours maximum after entry.
Entry orders are given as stop orders. So, for example, if a buy entry is desired, a buy stop will be placed above the current market price.
At the same time the entry order is entered, conditional orders for a stop loss and profit target are also given. These may be adjusted during the trade, but these orders are ALWAYS given.
Profit target is currently 2.5 points ($125 per contract) from the entry price for the first contract traded. If a pair of contracts are traded, the first will be 2.5 points profit, and the second will go for 7.0 points of profit. This may change over time depending on market conditions.
Stop Loss is .5 to 5 points from the entry price. The stop loss price will NEVER be more than 5 points from entry. If the stop loss is executed, however, slippage may produce a loss bigger than 5 points on occasion.
THIS SYSTEM WILL NEVER HOLD AN OPEN POSITION WITHOUT AN ACTIVE STOP ORDER.
Position Sizing:
A. If the stop loss is 0 to 2.5 points from entry, 2 contracts will be traded.
B. If the stop loss is 2.75 to 5.0 points from entry, 1 contract will be traded.
C. Based on points A and B above, the maximum risk on any trade is $250 (before any stop slippage or commission). This equates to 1.67% of the model account value of $15,000.
D. The number of contracts will increase as equity increases. Plenty of notice will be given.
This approach NEVER adds to losing positions.
Make sure you factor in commissions and other costs (such as auto trade costs) into the calculation of net return.
Updated rules:
11/14 - Once 2 pts of profit are hit, even if intrabar, the stop is moved to breakeven. This will prevent a good profit from becoming a loss. In the long run, I think this might cost me money, but psychologically it is better way to go.
11/27 - Profit target changed to 7 points for second contract, when 2 contracts are traded Also, all positions closed 4 hours maximum after entry. (If enter on the 10:35 bar, exit at start of 14:45 bar, which start at 14:40:01)
This method is actively managed and traded by Kevin Davey, 3 time award winner in a prestigious futures trading contest.
You can visit http://www.kjtradingsystems.com to find out more information.
You can also e-mail me at kdavey@kjtradingsystems.com.
Thank You!
Typically system will make 1-5 trades per day (2 or 3 on average). All trades will be taken between 9:30 and 11:30 AM Eastern Time. No new trades will be taken after 11:30.
ALL TRADES ARE CLOSED BEFORE THE END OF THE DAY, 4 hours maximum after entry.
Entry orders are given as stop orders. So, for example, if a buy entry is desired, a buy stop will be placed above the current market price.
At the same time the entry order is entered, conditional orders for a stop loss and profit target are also given. These may be adjusted during the trade, but these orders are ALWAYS given.
Profit target is currently 2.5 points ($125 per contract) from the entry price for the first contract traded. If a pair of contracts are traded, the first will be 2.5 points profit, and the second will go for 7.0 points of profit. This may change over time depending on market conditions.
Stop Loss is .5 to 5 points from the entry price. The stop loss price will NEVER be more than 5 points from entry. If the stop loss is executed, however, slippage may produce a loss bigger than 5 points on occasion.
THIS SYSTEM WILL NEVER HOLD AN OPEN POSITION WITHOUT AN ACTIVE STOP ORDER.
Position Sizing:
A. If the stop loss is 0 to 2.5 points from entry, 2 contracts will be traded.
B. If the stop loss is 2.75 to 5.0 points from entry, 1 contract will be traded.
C. Based on points A and B above, the maximum risk on any trade is $250 (before any stop slippage or commission). This equates to 1.67% of the model account value of $15,000.
D. The number of contracts will increase as equity increases. Plenty of notice will be given.
This approach NEVER adds to losing positions.
Make sure you factor in commissions and other costs (such as auto trade costs) into the calculation of net return.
Updated rules:
11/14 - Once 2 pts of profit are hit, even if intrabar, the stop is moved to breakeven. This will prevent a good profit from becoming a loss. In the long run, I think this might cost me money, but psychologically it is better way to go.
11/27 - Profit target changed to 7 points for second contract, when 2 contracts are traded Also, all positions closed 4 hours maximum after entry. (If enter on the 10:35 bar, exit at start of 14:45 bar, which start at 14:40:01)
This method is actively managed and traded by Kevin Davey, 3 time award winner in a prestigious futures trading contest.
You can visit http://www.kjtradingsystems.com to find out more information.
You can also e-mail me at kdavey@kjtradingsystems.com.
Thank You!
- Remember there is a substantial risk of loss in trading. Past performance is not indicative of future results. Do not trade with money you cannot afford to lose.
