Empire Eurodollar Trading System
Background: The Empire ED System is an attractive trend following system designed to trade continuously in the direction of the trend. The exits are quite innovative in that they make allowance for "overbought" and "oversold" conditions. We also use some novel stops calculated in relation to support and resistance levels without risking getting caught with the crowd when all the stops are hit. The various parameters we selected appear to have a wide margin for error and we found that it wasn`t necessary to do a great deal of curve fitting to generate a very appealing system. In fact, the Empire System produced excellent results on two sets of historical Eurodollar data and the system may well have applications in many other markets. It should also be noted that the Empire ED System and the Millennium ED System were carefully designed to complement one another. The Empire System buys on strength and the Millennium System buys on dips. The combined performance should be excellent.
Strengths of the System: In spite of average daily ranges that are much smaller than in most futures markets the Eurodollar can be a very profitable trading vehicle. Trading one contract since 10/17/88 would have resulted in a hypothetical gain of $51,287 with a maximum drawdown of $2,275. The average winning trade is $1,161. These gains may appear modest at first glance but remember that the margin to trade in the Eurodollars is usually less than $1,000 dollars per contract. The Empire ED System is reasonably accurate with 72 percent winning trades (53 winners out of 74 trades), and the winning trades were larger than losing trades by a factor of 2.37 to one. Over the 11 year test period there were 16 consecutive winners and the maximum consecutive losers was only 3. The largest winning trade was $7,012 which accounts for about 13% of the net profit. Although this is a relatively high percentage of total profits the system would perform well even if we threw out this biggest winner. On the positive side we believe that the large winning trade simply demonstrates that the system is a good trend follower and capable of capturing profits as large as the market action permits. The Empire ED system has a very high profit factor (gross profit divided by gross loss) of 5.99.
Weaknesses of the System: Our concerns are more related to the decreasing volatility of the Eurodollar than to the system itself. Just like the equity curve of the Millennium ED System, the equity curve of the Empire ED System appears to have flattened out noticeably over the last few years. Unlike most of our systems where the most recent years are the most profitable, the distant years in our ED studies show the most profits. However, even given the lower volatility recently, the ED still seems to provide an unusual amount of "bang" for very little margin bucks. For example if we compare the returns of the ED systems with a comparable dollar amount invested in S&P futures the risk and reward in the ED seem very attractive.
Summary: We believe this is an excellent trading system that can be safely traded by both large and small accounts who enjoy trading a market that displays unusual orderliness and a reasonable level of volatility. We might also point out that long positions in Eurodollars seem to have fared particularly well in brief periods when the stock market is declining sharply. However, regardless of the direction of the stock market, when all is said and done we think it makes great sense to be trading Eurodollars and the Empire ED System provides a very logical and convenient method to do so.
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