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FUNDAMENTALS
ABOUT THE E-MINI STANDARD AND POOR'S 500 STOCK INDEX FUTURES
The S&P 500 Index or Broad Market comprises of
500 major weighted US stocks (such as GE, MSFT, PFE, XOM, C, JNJ, IBM,
AIG, INTC). The futures index trades over 300,000 contracts or $40
Billion per day, the most liquid of all traded indexes. Futures
inherent ease of use vs. stocks or other indexes- an electronic
platform with fast, efficient fills and 24 hour trading. Commissions
are only paid on a round trip exit and entry vs. other instruments
which have higher costs of in-and-out commissions. And spreads are
constant at .25 cents and do not widen.
EXCHANGE - International Monetary Market Division of CME
SYMBOL- ES and EMD (Examples include ES, NQ, EC, JY, AD)
CONTRACT MONTHS- March, June, September, December
TRADING UNIT- 50 Times S&P 500 Index
DAILY PRICE LIMIT- None
TICK SIZE/ POINT VALUE - 0.25 Index Points ($ 12.50 per contract)
TRADING HOURS- (Chicago time) MONDAY/THURSDAY: 3:30 pm to 3:15 pm (next day)
HALT TO TRADING - 4:30 pm to 5:00 pm SUNDAYS/HOLIDAYS: 5:30 pm to 3:15 pm (next day)
LAST TRADING DAY- the 3rd Friday of the contract delivery month
DELIVERY- Cash Settled to the S&P 500
TICKER- The Ticker prefix ES is followed by the year (04) and then the month
For a full presentation about trading E-Mini Futures click Futures Market.
For more about OEX options click Options.
For more about SP Trader Investment Futures Growth Fund, click Products.
OTHER INDEX FUTURES
TRADE MANAGEMENT BY SP TRADER FUND FUTURES GROWTH FUND
Once the trade is in our direction, we place a
Profit Protection Stop that is either just above break even or 10%
above break even. In this way we protect the trade without any further
risk tolerance or commission costs associated with the trade. Generally
we find that trailing stops do not, at the margin, add to our profits,
so we do not place trailing stops for trailing positions. We find that
since we are often trading at overbought or oversold market conditions,
the use of trailing stops together with our strategies, more often than
not, turns against the position, causing a worse exit than the original.
MOVING AVERAGES
Combined with key Fibonacci levels of resistance
and support, we utilize the 45 Period Simple Moving Average, 20 Period
Exponential Moving Average and 24 Period Simple Moving Average on the 5
Minute Chart. The 45 SMA and Displaced Moving Average for the 30", 60"
and 135" Charts. The 200 Day Simple Moving Average for the Daily Chart,
and 20 Period and 80 Period SMA for the Monthly Charts. For more
about moving averages click Moving Averages.
Bollinger Bands are similar to moving average envelopes. The difference
between Bollinger Bands and envelopes is envelopes are plotted at a
fixed percentage above and below a moving average, whereas Bollinger
Bands are plotted at standard deviation levels above and below a moving
average. Since standard deviation is a measure of volatility, the bands
are self-adjusting: widening during volatile markets and contracting
during calmer periods.
For more about Bollinger Bands click Bollinger Bands.
RETRACEMENTS
Fibonacci Retracements are displayed by first
drawing a trend line between two extreme points, for example, a trough
and opposing peak. A series of 10 horizontal lines are drawn
intersecting the trend line at the Fibonacci levels of 0.0%, 23.6%,
38.2%, 50%, 61.8%, 76.4%, 100%, 161.8%, 261.8%, and 423.6%. After a
significant price move (either up or down), prices will often retrace a
significant portion (if not all) of the original move. As prices
retrace, support and resistance levels often occur at or near the
Fibonacci Retracements levels.
For more about Fibonacci Retracements, click Retracements.
CONFIDENCE LIMITS
SP Trader Fund is not satisfied making blanket
warnings to clients regarding the uncertainty involved in projecting
future results from past actual performance.
We believe measuring uncertainty in future performance is critical to
making informed investment decisions before putting hard - earned money
in harm's way (proper wealth and asset management). The actual trades
history in SP Trader Fund's portfolio strategy involve over a thousand
trades, allowing estimates of Confidence limits* on performance at a
given level of probability.
Performance metrics corresponding to lower and upper confidence limits
are shown below, representing levels below or above in which there is
less than a 5% probability of occurrence based on past results.
The figures below shows a compounded equity curve for an SP Trader Fund
investment with brackets representing upper and lower confidence
limits. Respectable performance even at the lower confidence limit
indicates that there is a high probability of investment success,
though there is no guarantee of such success.
Most fund managers and mutual funds cannot provide this information to
clients. As a result, there is a very real danger that favorable
historical results are merely lucky spikes within a very diffuse
probability distribution that may even extend to negative territory.
| Performance metric |
Lower Confidence Limit* |
Upper Confidence Limit* | | Average simple annual return, % | 37.4 | 154.2 | | Compound annual return, % | 44.7 | 194.3 | | Annualized standard deviation, % | 21.6 | 10.6 | | Max drawdown magnitude (100 yrs), % | 20.0 | 1 | | Longest drawdown (100 yrs), months | 20 | 4 | | Sterling ratio for 100 yr drawdown | 1.06 | 7.37 | | Sharpe ratio | 1.68 | 7.17 |
95% Confidence Limits* of Projected
Performance
For more information about Monte Carlo simulations and Confidence Limits, please see Why SP Trader.
For more about Our Trading System and how it utilizes many of the above
analysis tools as well as the tools indexed on this page, please click Our Trading System.
For more about SP Trader Investment Futures Growth Fund, click Why SP Trader.
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