Aberration - the Top Ten Trading Futures Trading System
Aberration is rated the Top Ten Trading Futures Trading System as Ranked by Futures Magazine.
The
Aberration trading system was developed in 1986 to trade a basket of commodities. It profitably trades across all eight commodity groups: the grains, meats, softs, metals, petroleum products, currencies, financials, and stock indices using the exact same rules and parameter value. The system trades each commodity 3 to 4 times per year and is in each market about 60 percent of the time. This longer term trading approach yields an average profit of about $665 per trade across 57 worldwide commodities after slippage and commission are deducted.
Performance by Commodity
Aberration Commodity Trading System
The
Aberration trading system was developed in 1986 to trade a basket of commodities. It profitably trades across all eight commodity groups: the grains, meats, softs, metals, petroleum products, currencies, financials, and stock indices using the exact same rules and parameter value. The system trades each commodity 3 to 4 times per year and is in each market about 60 percent of the time. This longer term trading approach yields an average profit of about $665 per trade across 57 worldwide commodities after slippage and commission are deducted.
Performance by Commodity
The key to
Aberration's consistency is diversification across the commodity groups. While some systems only trade the currencies, financials, or stock indices,
Aberration profitably trades all eight of the commodity groups. The exposure to all groups allows profits from the "moving" group to make up for losses in other groups. In the course of a year, one or more commodities in each group will make a big move.
Aberration will pinpoint these, and the profits from those trades will more than offset the losses from the other groups. System performance, by commodity, from March 1980 through August 2002 is shown below. These figures were generated using continuous, back-adjusted contracts. Slippage and commission was accounted for by deducting $75 per each 60 trading days a trade lasted.
Aberation Plus Commodity Trading System
Aberration is a robust trend-following system that works across the commodity groups. Its simplicity and sound methodology has led to an enviable real-time track record during its five years of commercial availability. Recent volatility study has led to an equally simple and sound entry filter that works with all trend-following systems we've tested. When used with
Aberration, both
Aberration's entry rules and the filter's must be met for entry. In this manner it is a "permissioning" filter.
Additionally, we have developed an exit strategy that maintains a much larger percentage of a trade's open-equity profit than the current exit. This exit strategy significantly reduces drawdown and is particularly useful to the small-account trader.
Across the 57 commodities now provided with the Windows version of
Aberration,
Aberration netted $1,381,681 on 2,327 trades since 1980, for an average profit per trade of $593. When the volatility filter and exit strategy are incorporated, the net profit rose to $1,461,025 on 2,263 trades, for an average profit per trade of $646. In addition to eliminating 64 trades (2,263 versus 2,327) because both entry conditions were never met, the volatility filter delayed entry on 352 trades. So approximately 15 percent of normal
Aberration trades are impacted by the volatility filter.
The following table compares
Aberration and
Aberration Plus performance on the 57 commodities (75$ slippage and commission deducted for each 60-day trade period).
Installation Notes, Extra Information and Download/Mirror Links
Notes: All collection of Aberration and Aberration Plus versions for TradeStation 4, TradeStation 2000i and TradeStation 8.x, with open source / open code attached.
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