System Spotlight: The Ping Portfolio
March 13, 2006
We have been searching high and low for a good swing trading system over the last few months, and were excited to see that one of our own clients had just what we were looking for. He has been trading a scaled up version of the Ping portfolio for over a year now, and has enjoyed considerable success. After considerable persuasion, we finally convinced him to allow other Attain clients to trade his system. That's good news for you. This month's system spotlight is on the Ping Portfolio:
Who is the Developer?
The developer of the Ping suite of systems is Raymond McGillivray a UK national currently residing in Asia. Mr. McGillivray has an Economics Degree and is a UK qualified ACMA (UK equivalent of CPA) For the past 9 years Mr. McGillivray has worked on consulting roles with Top Tier Investment Banks in London and Asia such as Goldman Sachs, Credit Suisse, Deutsche Bank, Nomura International and The Royal Bank of Scotland.
Mr. McGillivray's interest in futures goes back several years and he regards himself foremost as a trader whose systems reflect his trading style rather than a system developer who writes systems for general sale.
Initially his trading of SP futures consisting of buying on dips and selling on highs but while his account has always been profitable the draw downs were often very painful even after automating a robust system for trading the SP contract. To smooth out the returns Mr. McGillivray used a variety of techniques to follow price which would offset the SP positions. He found that the only way he could hedge the SP position (somewhat!) whilst adding a profitable price following system to his portfolio was to trade the SP against the ER, which he found to be a somewhat "trendier" index.
Mr. McGillivray currently uses multiple systems on his own and other accounts of which the following are for lease only exclusively through Attain Capital.
How does the System Work?
The Ping Portfolio is comprised of two e-mini Russell systems and one e-mini SP system with all 3 systems being designed to trade together as a portfolio. Originally, developed to trade strictly e-mini and full size SP contract the developer found that the portfolio performed better when a portion of the strategies were diversified into the e-mini Russell market.
The developer set out to create a portfolio, but it was important to him to make sure each of the portfolio components was profitable by itself. To that end, all three components are profitable in their own right in the hypothetical backtesting, while the combination of systems greatly reduces the drawdown of the overall portfolio.
The portfolio works on three different time frames: 15 minute, 60 minute, and daily; and two different markets: e-mini Russell 2000 and the e-mini S&P 500.
The e-mini Russell systems operate on 60 minute and Daily time frames, while the e-mini S&P 500 system works on a 15 minute time frame. This diversification amongst time frames is a key component of the portfolio, as the shorter time frames allow for the recognition of quick reversals while the longer, daily time frame keeps the portfolio from getting whipsawed at every small market turn.
All three use a combination of short term RSI Oscillators to enter overbought and oversold markets, but the e-mini Russell systems are trend following; while the e-mini S&P component is a counter-trend module. It is assumed the trend following eRL strategies will overcome any drawdowns in the counter-trend ES systems, and for that reason the portfolio is set up to trade 2 ES and 1 eRL. If the market moves against these entry points, however, the eRL systems will reverse and get back in line with the market trend.
The Daily eRL component only averages about 10 trades per year, and will hold positions for months at a time. For example, the Daily eRL has been long since early November 2005 and caught the entire ~9% rally in the Russell 2000 market. The 60 min eRL component, meanwhile; trades about 40 times per year, and looks to catch shorter term trends while holding positions for 3 – 5 weeks when the market is moving in its favor.
The ES module attempts to profit from quick run ups or sell offs that appear unsustainable; buying dips and selling rallies. It trades about 30 times per year and will hold onto losing positions for a longer period of time due to its contrarian philosophy and will not quickly reverse out of losing positions like the eRL systems. This can lead to larger single trade losses; and in the rare case the ES system trade is in the same direction as the eRL systems the developer recommends that a 30 point stop be used in the ES nightly as an extra layer of protection.
Attain Comments:
There's something about client developed systems that just feels right. There's no contracts, Paypal, or faxes and emails offering upgrades for the great low price of $19.99. Perhaps it's because client developed systems are not designed with the goal of selling the system, rather designed to give their creator the best chance of success possible - that they tend to work pretty well. All you have to do is look back at the history of the Compass system, now on its 7th year of actual trading, which like the Ping Portfolio was developed by a client just trying to get more consistent returns.
So we're quite comfortable with the Ping Portfolio in terms of its pedigree. Beyond that, the testing and actual trading results are hard to argue with, and quite impressive. In watching the system operate over the past year, one of its strengths appears to be its patience. Whereas other swing systems like Eclipse and Axiom will reverse quite quickly in comparison; the Ping Portfolio tends to filter out the noise a bit more and wait for a bit of a bigger move in order to trigger long or short. Few, if any, systems have held long in the Russell market since November of last year,
But it's not some holy grail filter or clairvoyance that has allowed the Ping Portfolio to correctly hold long in the Russell so long. It is a testament to the Ping Portfolio's diversification. Because there is the counter-trend ES strategy and shorter time frame Russell module on 15 minute data, the system can afford to hold onto the overlying trend while "hedging" itself by selling into the rally in the ES with its counter-trend and selling into brief sell offs with the 15 minute module. This built in diversification and "hedging" ability is our favorite part.
Where do you get more information? Well, the developer has not put a website out for the Ping portfolio, as selling the system is not a chief concern. We talked him into offering the Ping Portfolio for clients with the one caveat that we handle all the inquiries. So, if you do have any questions or would like more information, please call us at 800.311.1145 or send an email to invest@attaincapital.com
- Jeff Eizenberg
IMPORTANT RISK DISCLOSURE
Futures based investments are often complex and can
carry the risk of substantial losses. They are intended for sophisticated investors and are not suitable for
everyone. The ability to withstand losses and to adhere to a particular trading program in spite of trading
losses are material points which can adversely affect investor returns.
Feature | Week In Review | Chart of the Week |
Feature | Week In Review | Chart of the Week |
***Overview***
It was not a good week to be long....anything. Nearly every market sector sold off last week. Stock indices, energies, grains, metals, foreign currencies, bonds, Sugar, Coffee, and meats were all lower. With real estate prices falling - it's quite possible every asset class was down last week.
SP futures remained in a range bound trading pattern losing only -0.27%. NASDAQ futures had a little more life falling -2.20% due to weakness in the tech sector. The Smallcaps felt some of the overflow heat from the NASDAQ with the Russell 2000 falling -1.31% and Midcap 400 dropping -1.59%.
Energies were also in the news as prices continue to plummet, with Crude Oil prices moving lower despite raising tensions in the Middle East. Last week Crude futures fell -5.50% after OPEC promised to keep supplies and output stable. Heating Oil futures also moved lower falling -7.07%, Unleaded Gas futures fell -3.16%, and Natural Gas futures fell -2.02%.
Metals also had a big downward move with Palladium falling -6.11%, Gold down -4.70%, Platinum dropping -4.69%, and High Grade Copper moving -2.39% lower.
Foreign currencies are also showing signs of life as the US Economy continues to look b boosting the greenback. The US Dollar Index rose +1.40% last week mainly on the heels of Friday’s impressive Jobs Report. Japanese Yen futures led the way to the downside falling -2.26%, the Canadian Dollar was right behind the Yen falling -2.25%, the Swiss France dropped -1.44%, and Eurocurrency futures were down -1.04% for the week. US Bonds (-0.81%) also moved slightly lower on the news.
Traders felt heat in the grain markets as well with Soybeans falling -2.76%, Corn was down -2.09%, and Chicago Wheat fell -0.90%. Minneapolis Wheat and KC Wheat continue to rally with Minneapolis gaining +1.40% and Kansas City gaining +2.45%.
In the softs market conditions remain volatile in Sugar (-3.19%) and Coffee (-5.61%). Cotton (+1.14%) bucked the trend and traded higher for the week. Finally, the meat markets continue to see off hard with Lean Hogs dropping -4.32% last week and Live Cattle falling -2.89%.
***Day Trading***
Equities spent first four days of the week under moderate selling pressure but managed to bounce back on Friday to recoup most of the losses. Even with the selling early in the week, index futures continue to chop around in consolidated ranges making it difficult for the majority of the systems to escape the week profitable once again. As is always the case, day trading systems don’t care which way the market moves just that there is a decisive move one way or the other.
RC Success was the leader of the pack once again last week with profits of +$334 in the eRL and +$320 in the eMD. RC Success eRL is up $5,290 per e-mini Russell contract for the year after commissions and fees based off a $10K starting balance, and this version of RC Success eRL is only available at Attain Capital. RC Success ES finished just under even after four trades that amounted to a loss of -$82.50.
Several systems that trade foreign stock index futures on Eurex were active last week. Beta V2 Dax was the top performer with profits of 712.50 €. Theta Dax traded four times last week for a loss of -312.50 €. BetaCon 4/1 Dax had one trade for a loss of -337.50 €. Finally, Kappa Dax had a small loss of -25 € on one trade. If you are interested in this additional level of diversification to your portfolio, please contact Attain and be sure to see the backtested results posted in our NEW system section at www.attainaccess.com under New Systems and Computer Backtesting. While the Dax was the only market traded last week, other systems are available to trade the EuroStoxx 50 and Eurobund just to name a few.
Moving back to domestic markets, Compass SP had a small loss of -$300 on its only trade of the week. SPMD traded four times for a total loss of -$450. R-Mesa SP lost -$1,144.13 after a large setback on Tuesday which signaled our stop trade level for the system - but finished the week b to recoup some of the losses. Finally, R-Mesa eRL lost -$790 per contract on four trades.
***Swing Trading***
After a mixed start to the year March began on the right foot for many of the swing trading systems. The month to date top performing system is, once again, Tzar. For the month to date the system is earning +$4,250 in across the 4 US markets traded as it correctly timed the down early down trend and subsequent reversal. Despite the solid US performance the system is not fairing quite as well in its foreign market components – It is down -$133.68 in the Dax and -$3,451.84 in the Hang Seng.
Not far behind Tzar was the Delphi system which hit a profit target in the eMD and locked in solid gain in the eRL. The system is earning a combined +$2,416 on the month so far - +$1,632 in the eMD and +$784 in the eRL.
Other index month to date results include: Axiom eRL +$320, Athena eRL +$160, SeasonalST eRL -$80, SeasonalST ES -$167.50, Axiom eMD -$276.50, Eclipse eRL -$280, Axiom NQ -$740, and Axiom ES -$1,017.50.
Finally both bond and Crude Oil markets have been active so far in March affording the systems a chance to exploit the trends. In the bonds Jaws Narrowneck portfolio locked in +$1,087.50 to start the month while Mesa Notes gave back -$1,109.375 on its long position. Crude markets were also down to start the month to the advantage of Axiom CL 90 and CL 135 which are both up +$1,450 since March 1st.
***Long Term***
Trend followers have been locked out of the Foreign Currency markets over the last 12 months due to very choppy market conditions and the simple lack of trends in these markets. However, recently systems have been following currency trends on both the long and short sides.
The most popular trade seems to be shorting the Japanese Yen which was down another -2.25% last week. Systems with short positions include Brix which is making +$1662.50 per contract (open trade), Axiom LT which is making +$2462.50 per contract (open trade), Pegasus which is making +$537.50 per contract (open trade), and Andromeda which is losing -$62.50 on the short trade (open trade).
The Swiss Franc has also been trending lower of late much to the delight of Andromeda which is making $75.00 per contract in open trade profits, Brix is making +$525.00 per contract in open trade profits, and Axiom LT is making +$1412.50 per contact in open trade profits.
Long Canadian Dollar trades have also been popular due it’s correlation with crude oil. However, with crude prices slipping as of late the long Canadian Dollar trades have not been very successful with the market slipping into a downward trend. SEMA4 Symmetry is the only system that continues to hold long and is losing -$575.00 per contract (open trade).
SEMA4 Symmetry is also long in the Dollar Index and although it is losing -$235 per contract (open trade) on the trade the system is poised to capture most of any potential greenback rally. Trend Simplicity is the only other system with a long DX position and it is losing -$100.00 (open trade)
Please Login to: http://www.attainaccess.com for the latest updated statistics.
IMPORTANT RISK DISCLOSURE
Futures based investments are often complex and can
carry the risk of substantial losses. They are intended for sophisticated investors and are not suitable for
everyone. The ability to withstand losses and to adhere to a particular trading program in spite of trading
losses are material points which can adversely affect investor returns.