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System by System 2006 Reports:

January 3, 2007

 

BetaCon 4/1 DAX / ESX performance / website

Although the same logic is used to trade both, there was a significant difference in performance in 2006 for the Beta Con system on the ESX and Dax. The ESX program finished the year up 12.9 % while the DAX program finished down -26.8 % with a max drawdown of -41.7 %. The ESX program trades the smaller valued Eurostoxx 50 contract, and was more selective in its trading compared to the DAX program - and that seemed to be a key difference favoring the former. Generally the ESX program is geared toward the smaller investor with minimum capital requirement at approximately 1/3 of the DAX program but can be traded using multiple contracts to have equal exposure to both markets. Since both programs use identical trading parameters, look for the DAX program to get back in line with performance of the ESX in 2007 if and when the Dax sees increased market volatility.

Beta DAX v2 performance / website

Beta DAX v2 attracted some investors after being up 12.8 % in its first three months of trading in Q2, but starting in June, the system slowly declined - ultimately reaching its max drawdown of 43.5 % in November. On the year, the system is down 14.3%, but did have a strong December to fight its way back out of drawdown. Like many of the Dax programs, Beta DAX v2 will enter multiple contracts (up to 3) if the trade entry occurs during U.S. Stock market trading hours. This leverage ultimately inflated the losses of the program in Q3 but conversely has helped the system in the final month of the year. With volatility in global equity markets at all-time lows, if and when market volatility increases, programs like Beta DAX v2 should come back to life and reap the benefits of the good movement and liquidity in the Dax market.

Blue Wave Zones: performance / website

Zones Classic made its debut at Attain in September of this year and is a combination of several of the older Zones programs by Blue Wave Trading. The unique "zones" logic puts the program in a league of its own so to speak and is generally uncorrelated to other traditional day trading systems. The system made approximately $10K in October and November combined but finished the year with similar losses in December to put the performance at about even for the year. Last year, we discussed the downfall of other BWT systems due to the constant updates but the developer seems to be confident that this logic can withstand changing market conditions without changing the parameters. It does require a larger starting capital ($60K) because of the volatility but can add another level of diversification with its willingness to enter trades in choppy market conditions as well as trending markets. We will continue to monitor the program but it seems that BWT has gone back to the drawing board and developed a viable system for aggressive investors.

Bounce: performance / website

As mentioned in our overview above, the Bounce system was among the best performers in 2006. The system likes "bounces" higher during a down market, but didn't seem to have any problem finding bounces higher amidst an upward trending market in 2006. The Bounce eMD day trader made $4,850 for the year, while the same system running on the emini Russell market made $4,970. The developer recommends trading both simultaneously, for a bit of diversification. Looking ahead to 2007, the simplicity of the Bounce system's logic and better than even chance of a down year for stocks make Bounce an attractive addition to any trading system investor's portfolio.

Compass: performance / website

After coming off a great year of trading in 2005, Compass was a disappointment in 2006 - posting just its 2nd year of losses out of 6 years of trading - but for many that's at least one year of losses too many. Most of the losses came at the first part of the year, with a light bounce in the Spring - and can again be traced to smaller and smaller trading ranges due to the low volatility readings in US stock indices. But as with any system, you have to look at the long term and Compass has proven to be one of the longest and most reliable day trading system we trade. We continue to believe in Compass for the long term, and think the current drawdown phase represents an attractive entry point for any investors who have been following along with Compass over the years.

Epsilon 12/12 Bund: performance / website

Epsilon 12/12 Bund comes to us from Trading Motion in Spain. Focused on day trading the Eurobund (German 10 year Bond) this system looks to capture quick moves in the European bond market and provides excellent diversification for those who typically hold bond positions or day trade stocks. 2006 proved to be challenging for this unique system as bond markets around the world saw their market volatility to drop off considerably due to the transparent move by the US Fed to slowly raise interest rates in 1/4 point increments. With the Fed now apparently in a wait and hold position, bond volatility has picked up again, and Epsilon 12/12 could be a system to watch with improved trading conditions in 2007.

Impetus eRL: performance / website

Impetus eRL was the "come back" system of the year. After posting +25% returns in 2004, then following with losses of about the same amount in 2005, many investors wrote off Impetus. But the system came roaring back in 2006 as it went on to reach new equity highs mid year - and later finished the year +12.4% (all based on $10,000 invested). One key factor to Impetus's long term track record has been its stringent rules for entry - All too often day trading systems attempt to exploit far too many market inefficiencies causing for over trading where Impetus is much more patient. The system is designed to only trade on higher volatility days when the markets have a big move in one direction. Like all day trading strategies Impetus will be looking for more volatility in 2007.

Omega3 v1 Dax: performance / website

Much like the other day trading strategies reviewed here, Omega 3 v1 requires daily trends and or a lager effective range in order to capitalize on the intraday market activity. The system started the year out well (up over 30% based on $19,000 invested) only to slowly fall back to breakeven on the year with a drastic drop in market volatility on the German stock index. Omega 3 is a trend following intraday system that looks for breakouts on daily pivot points on the DAX futures when they occur once the US markets are open. It also has a trend, volatility and time filter. The trend filter is designed to avoid entering trades against the main trend. The volatility filter is used to determine the entry point. The time filter avoids trades out of the filter's time. Though it is a system with high drawdowns, it also has big potential profits as we saw in May (+20.5%). Despite its end of year losses, Omega remains above our 'stop trade' point, and is a long volatility program we would suggest including as a part of a larger portfolio.

OPXP eRL: performance / website

OPXP is the second new system, and first day trading strategy, submitted to Attain by Mr. Joseph Ford in 2006. OPXP is an unusual strategy in that it only looks to short the market - which makes it a good choice for those who hold long the stock market through normal stock accounts, mutual funds, or their 401K. The system looks for early morning weakness in the market before entering a trade and typically trades are very short term as the system is in and out of the market before noon. OPXP has enjoyed success in its first 4 months of trading, and we have high hopes for OPXP in its first full year of actual trading.

Phi Plus Dax: performance / website

This system was one of the high fliers in 2006, posting impressive gains of +45.2 % in May (based on $33,000). Those are the kind of months we get involved with systems for, and was a result of large market ranges in the Dax in the first half of the year (100+ pts in a day). For conditions like those, Phi Dax is the optimal strategy due to its trend filter which when aligned with volatility and the time of day allows for the system to trade up to 2 contracts per signal. Despite seeing the system giving back a majority of its profits in the second ½ of the year, Phi Plus still ended up 13.9% for the year. There is an important lesson to learn from Phi Dax and many other day traders, in that day trading is effectively a long volatility solution and should be considered as such when weighing your total investment portfolio. (for example, could be used as a diversifier for short option exposure/strategies).

R-Mesa 5: performance / website

2006 unfortunately marked the end of the road for the R-Mesa 5 system. The system eclipsed Attain's "stop trade" point in mid April of this year, and we alerted our investors and recommended anyone still using the system cease doing so. Our stop trade points are statistical levels at which a system has gone beyond the expected risk of the system, and it was a good thing investors shelved R-Mesa 5 at the time we recommended, as the system went on to lose an additional $20,000 through the end of the year. Many investors ask why we would possibly report on something that has lost money, and the answer is that we report on everything we have experience with - the good, the bad, and the ugly - so investors may get a better feel for what to really expect with a trading system investment. There is risk in all types of investing, and the lesson to take away from R-Mesa is to set a line in the sand for each and every system you're involved in, and stop trading at that level to avoid further losses.

Rayo Plus Dax: performance / website

The Rayo Plus system Is another Dax day trading strategy that started the year strong, only to give back all of the profits earned, and then some. Unlike many other systems Rayo Plus Dax has adaptable indicators that are amended every 3 months based on the past 12 months worth of data…while this approach is unique - it was not able to catch up to the changing market volatility quickly enough. According to the developer of the strategy the system can and will experience changes in the volatility of its results based on the changes in market volatility. That being said his recommendation will likely be to increase the amount of capital required to trade the system in 2007…as the old saying goes "systems don't break, they just get more risky". This adaptive nature and starting balance of the Rayo system makes Attain's 'stop trade' point for it a moving target, but the 2006 drawdown should serve as at least a warning of what sort of drawdowns can be expected moving forward.

Russell Daytrade eRL: performance / website

Russell Daytrade is a system born from long time system, Russell Targets. Clients of Targets requested a daytrading system from developer, Don Ostrowski, and he delivered one which looks to have some promise. Russell Daytrade eRL is adaptive in that it adjusts the number of contracts between 1 and 3 depending on the risk per trade, and if doing multiple contracts, exits using a profit target and breakeven stop. The system went live in July of 2006, but the performance had an investor been trading Russell Daytrade since Jan of 2006 would have put the system towards the top of our rankings. We look forward to the system's first full year of trading and expect good things.

RC Success eRL: performance / website

The RC Success eRL program started out last year at the top of all day trading systems, with returns close to 50 % after the first quarter. But starting in June, the RC Success systems had four consecutive losing months that it was not able to recover from - putting it into the red for the year finishing down about -$4,000 per 1 emini Russell and pushing it past Attain's 'stop trade' point.

Swing Trading Systems: (listed alphabetically)

Adaptive Futures Index: performance / website

Adaptive Futures US & Adaptive Futures Euro are two new swing systems introduced at Attain in 2006. Developed in the U.K. by Mr. Martin Wyatt who is an engineer by trade, the Adaptive systems have been traded live by the developer at Attain since early in '06 and were officially released to the public in July. Both portfolios US & Euro use the exact same logic and were built on the premise that a stock index strategy should work on markets around the world including North America, Europe, and Asia. So far the results have been promising with both portfolios showing positive returns in their first six months, and we expect more of the same in 2007 from this unique system.

AG Mechwarrior ES: performance / website

AG Mechwarrior may sound new to readers of this newsletter but it has been in the Attain stable of systems for the last 2 years. AG was developed by Mr. Andrew Gibbs who works in the financial industry in New Zealand and is his second system that has been traded by Attain. This strategy is a swing trader that incorporates both technical and a small amount of seasonal analysis into its trading and will hold positions for up to 3 days before exiting. Traded for a short time in real time this past year, AG has been overlooked by investors and truly is a "hidden gem" that should be considered for your portfolio in 2007.

Axiom Index: performance / website

In its third year of real-time trading, the Axiom Index portfolio suffered its worst losses since inception. At the end of 2005, several investors shifted out of Axiom ES and eRL when those were dragging down the portfolio, but stuck with the eMD and NQ programs. Unfortunately, 2006 brought losses for all four markets in the portfolio including the eMD which was down 61.8 % after being up nearly 40 % last year and the NQ which was down 57 % after small gains last year. Several factors led to the decline of Axiom Index in 2006, including the continued low volatility and shrinking ranges of US stock indices and the use of fixed parameters that don't take into consideration changing market conditions. The decline of Axiom further proves that markets are cyclical and it's important to be diversified across different markets, time frames and developers. For what its worth. Axiom developer Lincoln Fiske tells us he remains committed to Axiom and continues to trade the program, saying "I'm continuing to trade them because I don't think these market conditions will persist indefinitely and because both conditions and equity can change quickly."

Bounce Swing Trade: performance / website

After doing a system spotlight on Bounce in January of last year, the system went on to have a great 2006. The system saw gains swing trading both the eMD and eRL markets, with profits of $6,230 per emini Russell contract and +$5,490 per emini Mid-Cap contract. With just a $10,000 entry point for each market - the Bounce systems are quickly becoming one of the more popular systems at Attain. What is interesting about these systems is they only trade the long side of the market exclusively. We were admittedly a little skeptical of this in our review last year, but after seeing the program find success in 2006, have been shown that there is a lot to like about the Bounce logic. The developer recommends trading Bounce on the eMD and eRL simultaneously for some added diversification, and we're recommending investors take a long, hard look at adding Bounce to their portfolios for 2007.

Delphi: performance / website

Released in October of 2005 the Delphi eRL & eMD swing trading strategies completed their first full year of trading in 2006 unfortunately with poor results. Delphi was written by well known system developer Mr. Lincoln Fiske, and Delphi was one of the first publicly available swing trading systems designed to adjust to market volatility to ensure profit in choppy and trending markets. Despite this initiative the system struggled in 2006 and still had trouble succeeding in choppy market conditions, causing both markets to finish in the red in '06. Mr. Fiske remains committed, saying the systems still need trending swings, and those just weren't present in 2006 in the numbers needed for the programs to see success. But the risk on Delphi has definitely increased, and investors should carefully consider whether the added risk fits into their portfolio.

Event Trading: performance / website

Event Trading had mixed results this past year and only traded a few times during the past 8 months. Advisor Peter McKenna simply didn't find enough market moving events to capitalize on - finding the market had too many conflicts to recommend trades that fit his risk parameters. In talking to Pete, he feels that these conflicts will be coming to an end very soon, thereby presenting good trading opportunities in the New Year.

Mesa Notes: performance / website

Mesa Notes had a great 2006, as the system found a nice stride timing the US 10 yr Notes market - finishing with gains of just over $6,000 per single contract. The system seemed to relish the market dynamics for the year with two smooth 6-month trends, the first down, the second back up. The update to the system at the end of 2005 with volatility awareness coupled with the system logic of following the market trend appears to be the right combination. With some resemblance of trends from 2006 in 2007, we believe Mesa Notes should again post a decent performance.

Seasonal ST: performance / website

After a promising start in 2005, SeasonalST continued its success in ’06 with positive returns in both the e-mini SP and e-mini Russell markets. As its name suggests this strategy analyzes the markets using 100% Seasonal analysis, and can be used across all 4 major stock indexes including the e-mini Nasdaq and e-mini Midcap futures markets. Classified as a swing system because it will hold positions overnight this strategy actually rarely reverses its position and will only trade 2 -5 times per month. Investors in the e-mini Russell, making +$10,220 per emini Russell contract for the year, saw larger profits in ’06 than those trading the emini S&P, up +$2,860, due to wider trading ranges in the eRL market. Overall, SeasonalST represents a fundamentally different approach to trading - seasonal versus technical - and should be considered not only for its performance, but also as a diversification tool for many investors.

Small Cap Trader ERL performance / website

Small Cap Trader ERL had a very tough year. After drawing down over 1 ½ times its previous historical drawdown, (Attain's benchmark re-evaluation point), the developer, Don Ostrowski, agreed that it was time to exit the program. Don suggested that clients switch to his Russell Daytrade eRL system, which has had a much more profitable year.

Spartan ES: performance / website

Spartan ES was another new swing trading system introduced to Attain in 2006. Developed by Mr. Joseph Ford, Spartan looks to capitalize on extended market trends and has been known to hold onto winning positions for over a month. Spartan hit the ground running at Attain with 5 straight months of positive gains in March through July. However, a couple losing short trades cooled the system off late in the year as the stock market climbed steadily higher. Overall, Spartan was a success in its first year at Attain and investors should look for this trend to continue in 2007.

Targets eMD & eRL: performance / website

This method, utilizing momentum, market internals and algorithms has a long rich and stable history. While traded real time since 2004 by clients at Growth Financial, it is new to Attain in April, 2006 when the 2 firms merged. The method trades in the Russell and Midcap contracts. They are breakout systems which key off the first two hours of trading to generate their signals. The last half of this year these markets did not exhibit the same level of follow through meaning the market seems to have established their daily highs or lows more often in the first two hours of trading making this a much more difficult environment for these systems in such low volatility. Both ended profitable for the year however. August was treacherous and the start of the drawdown, taking back part of the profits from earlier in the year. We don't know of any system which makes money month after month however yet the dynamics of this method, coupled with a market which has proven profitable for this system in the past, we feel the market favors a strong 2007 in our opinion with more daily volatility which this system likes. While some have stepped aside on this method for the short term, many who have traded this method for years have stuck through this minimal drawdown.

Tzar: performance / website

The Tzar system had such a great year, it is no longer available to the general public. Alfaranda CTA, the developer of Tzar, Brix, and others - was bought out by an undisclosed hedge fund in 2006, and part of the deal was that the systems would cease to be available to new clientele. Those who have purchased Tzar are still entitled to trade it, however; and they are glad they can - with Tzar posting gains of +$5,190 per single emini Russell contract and +$11,790 per single emini S&P contract in 2006. If you are an investor who purchased Tzar in the past, please contact Attain to inquire about reselling your rights to the system.

Forex Systems: (listed alphabetically)

Delphi FX: performance / website

Delphi FX is the exact same strategy as Delphi Index only applied to the EURUSD and GBPUSD markets. Unfortunately the same problems that plagued the system in the e-minis carried over to FX, causing this system to have an up and down 2006. Both markets closed in the red for the year, but they weren't the only ones as many FX systems and funds struggled in very choppy and volatile market conditions throughout the year. Despite the popularity of the Forex markets - Attain has yet to see a very viable or consistent F/X trading system, and asks investors considering investing in an F/X product to check with Attain first, as we've most likely already poked holes in the strategy you're looking at and could possibly save you some hard earned money.

SC FX: performance / website

Built by well know developer Mr. Don Ostrowski, SC GBPUSD burst on the scene with a $6400 winning trade in early May and had nice returns in it's first 3 months of trading. However, volatile spikes in the market around important economic numbers ultimately caused this system to struggle to a roughly breakeven finish in '06 as many entries were made on false market moves, and many more had severe slippage coming immediately after unemployment numbers and the like. We continue to recommend extreme caution when looking at F/X systems, and believe

Long Term, Trend Following Systems: (listed alphabetically)

Due to the numerous different portfolio combinations possible with long term, trend following systems, performance reports must be custom built. Please contact us at 800.311.1145 or email invest@attaincapital.com if you would like to see a performance report on any of the systems below.

Aberration: performance / website

Long time trend following system Aberration started out on a positive note with nice trending markets in most commodity sectors, but as always the case after nice trends come a period of consolidation. This period of consolidation which has lasted for the better part of the second half of the year in most sectors has reigned in nice trends and performance for long term trend followers leaving Aberration with a slight loss. Given that this consolidation has lasted awhile the markets should bear new trends for the New Year which in turn should be good news for long term trend followers.

Andromeda: performance / website

After minor losses in 2005 Andromeda bounced back to post minor gains for 2006 which was nice to see considering most trend followers struggled especially late in the year. The system had a very successful year in the Crude which trended lower in the second half of the year and Cotton which trended lower for the most of the year. With most sectors of commodities in consolidation phases to the end the year look for breakouts to new trends and new opportunities to benefit long term trend followers in 2007.

Brix: performance / website

Brix is a multi commodity trend following system from Alfaranda CTA written by popular developer Ziad Chahal. Brix - like most other trend following systems had its ups and downs in 2006. The system did very well in trending market conditions and had success in High Grade Copper, Silver, and Sugar in particular. Unfortunately the system suffered in choppy market conditions which occurred in the fast paced foreign currency and soybean markets. Overall it was a disappointing 2006 for Brix investors who were accustomed to the solid performance the system had in 2004 and 2005. Please also note that this system is no longer available to new investors as Mr. Chahal has sold its rights to a proprietary investor. If you are a current Brix customer or have purchased the system in the past and would like to continue trading, please contact Attain at your convenience to review possible trading options.

Strategic Trading Systems: performance / website

The family of systems that include Checkmate, Fusion, Interplay and Synergy had a strong showing in 2006 after experiencing a setback in '05. All of the programs within the portfolio were able to capitalize on the extended trends like the slide in bonds in the first quarter, the bullish trend in the grains in the second half of the year and the bearish trend in energies in the fourth quarter. What sets these systems apart from other traditional trend following investments is that they are quick to exit trades and lock in profits rather than give back a substantial portion of open trade gains. Attain recommends investors concentrate their focus on Checkmate and Fusion specifically, as those have shown the best risk adjusted returns.

Trend Simplicity: performance / website

Trend Simplicity proved that playing commodity market trends can still pay. The system caught two major trends that resulted in single contract gains of over $42,700 by the system. The first major move occurred in the High Grade Copper between late December 2005 and Mid May - the system captured over $28,600 in closed trade profits on the move. The next major move was in Crude Oil between August and the end of the year where the system captured just over $14,000 in profits. While the above success seems too good to be true, it is important to note that the system will under perform during sideways and or “choppy” market conditions. Because the system has a fixed risk on each and every trade it will enter into more trades than the average trend following system, which in turn leads to more stopped out positions. With this “more active” trading style it is very important to be well capitalized as well as trade a wide range of markets (i.e if you traded Coffee ONLY you would have been down aprox -$7,000 for the year).

Looking for a system review that wasn't included on this list. We researched and tested hundreds of systems in 2006, and would be happy to share our thoughts on any system you are considering. Call us at (800)311-1145 or email invest@attaincapital.com for a review of any system not listed above - or for more detailed information about the above systems.