SP Slugger

SP Slugger
+154,379% 1996-2008

An S&P 500 trading system with 85.1% winners!

Here's yet another easy to trade system. By capitalizing on very short-term imbalances in the market, SP Slugger goes for the quick base hit. We're not looking for homeruns here...just steady gains again and again. The record so far is 31 wins in a row. There have been just three losses in a row so far.

The system trades both long and short. There are two methodologies I use. The first simply trades on the open and both a stop loss and profit target are given the next day.

The second looks to buy over-sold conditions and sell over-bought. No stops or targets are given, but we only trade in the direction of the trend. You simply enter and exit a position on the open when the signals are given. If we're already in a trade, you can buy on margin. This is how we maximize profits.

With only about 30 trades a year, this is SUPER EASY to trade!

If recommend trading with the new ETFs, SSO and SDS. They mimic a 200% long or short position on the S&P 500. These ETFs can be traded from an IRA with ease.

The average trade is just over a week. With only 30 trades a year, we're only exposed to the market about 40% of the time. I only want to enter a position when the odds are in my favor by a huge factor.

I use sound money management techniques when trading this system. If volatility is high as it was in 2002, I trade fewer shares. The money management equation is built right into the trading system. Most of the time, I trade 100% of the equity I've allocated to this system. If the market is volatile, I'll say something like "purchase 72% of funds allocated to SP Slugger. Buy SSO on open with a stop of 81.21".

Sometimes I recommend adding to the position (since there are basically two systems in one). If this happens, I will buy on margin to maximize profits. I will say something like "purchase 100% of funds allocated to SP Slugger. Buy SSO #2 on the open".

For example, let's say you have $10,000 allocated to SP Slugger. You get a signal to purchase 100% of the funds and buy SSO. So you buy $10,000 worth of SSO. Then there's another signal to purchase 100% of the funds and buy SSO #2. You then purchase an additional $10,000 of SSO on margin.

SP Slugger is suitable for large portfolios since slippage with index funds is pretty minimal. It's meant to be traded with a minimum amount of stress year after year.

Yearly Performance

Year	Days	Closed Balance	End Total Equity	Total Equity Gain	Gain %	# Trades

1996	366	$116,190.62	$116,190.62	$16,190.62	16.2%	23
1997	365	$307,204.94	$304,714.47	$188,523.84	162.3%	34
1998	365	$612,718.28	$612,718.28	$308,003.81	101.1%	25
1999	365	$1,125,873.18	$1,045,381.66	$432,663.38	70.6%	28
2000	366	$3,204,041.65	$3,186,468.84	$2,141,087.18	204.8%	39
2001	365	$9,705,627.23	$9,459,411.08	$6,272,942.24	196.9%	31
2002	365	$19,568,574.77	$19,568,574.77	$10,109,163.69	106.9%	37
2003	365	$37,077,788.41	$37,077,788.41	$17,509,213.64	89.5%	34
2004	366	$36,898,188.83	$36,997,551.08	$-80,237.33	-0.2%	24
2005	365	$42,732,627.53	$40,299,063.45	$3,301,512.37	8.9%	29
2006	365	$80,007,500.41	$80,863,179.08	$40,564,115.63	100.7%	38
2007	365	$116,846,965.36	$115,394,509.97	$34,531,330.89	42.7%	31
2008	167	$154,479,697.42	$154,479,697.42	$39,085,187.45	33.9%	17

Win/Loss Statistics

Wins	332	85.1%
Losses	58	14.9%

Total	390	100.0%

Winning Months	116	77.3%
Losing Months	34	22.7%

Total	150	100.0%

Average Risk Percent	7.97%
Average Win Percent	1.56%
Average Loss Percent	2.17%
Average Win Dollars	$696,454.70
Average Loss Dollars	$1,324,883.86
Average Trade Percent	1.01%
Average Trade Dollars	$395,845.38

Profit Factor	3.01
Percent Profit Factor	4.13
Expectation	0.13

Trading Performance

CAGR %	80.64%
Maximum Total Equity Drawdown %	32.90%
MAR Ratio	2.45

Margin to Equity Ratio	133.47%
Daily Return %	0.2526%
Daily Geometric Return %	0.2262%
Daily Standard Deviation %	2.32%
Daily Downside Deviation %	2.03%
Daily Sharpe %	0.11
Daily Sortino %	0.12

Modified Sharpe Ratio	2.28
Annual Sharpe Ratio	1.13
Annual Sortino Ratio	+ ∞
Monthly Sharpe Ratio	0.63
Monthly Sortino Ratio	1.43
Calmar Ratio	4.94
R-Squared	0.962

Longest Total Equity Drawdown (months)	6.08
Maximum Monthly Total Equity Drawdown %	16.33%
Maximum Monthly Closed Equity Drawdown %	14.92%
Maximum Closed Equity Drawdown %	18.40%
Average Closed Equity Drawdown %	6.51%

Round Turns Per Million	567,578
Round Turns	172,501,527
Total Trades	390

Start Account Balance	$100,000.00
Total Win Dollars	$231,222,961.57
Total Loss Dollars	$76,843,264.15
Total Profit	$154,379,697.42
Earned Interest	$0.00
Margin Interest	$0.00
End Account Balance	$154,479,697.42
End Open Equity	$0.00
End Total Equity	$154,479,697.42

Highest Total Equity	$155,776,207.79
Highest Closed Equity	$154,479,697.42

Total Commissions	$1,725,015.27
Commission per Round Turn	$0.01
Total Slippage	$10,009,646.41
Slippage per Round Turn	$0.06
Total Forex Carry	$0.00
Total Other Expenses	$0.00

Monte Carlo Confidence Level Statistics

90% Return	63.95%
90% Sharpe	-0.09
90% MAR	1.94
90% R Squared	0.975
90% Maximum Drawdown	34.93%
90% Second Largest Drawdown	32.90%
90% Third Largest Drawdown	32.10%
90% Longest Drawdown	10.1
90% Second Longest Drawdown	6.6
90% Third Longest Drawdown	5.1

Custom Statistics

Win Duration	7.53
Loss Duration	15.95
Consec Gain	31.00
Consec Lose	3.00
Consec G/L	10.33
Ulcer Index	5.91
Martin Ratio	13.64
Margin Equity Ratio	1.34
Consec Gain	31.00
Consec Lose	3.00

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The results listed herein are based on hypothetical trades. Plainly speaking, these trades were not actually executed. Hypothetical or simulated performance results have certain inherent 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. You may have done better or worse than the results portrayed.