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Home Explanation Pages How to read a strategy sheet

How to Read a Strategy Sheet - Explanation

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Unique MRCI strategy sheets present each historically reliable seasonal trade with a table of its relevant detail. Charts below the table illustrate seasonal patterns and also the current market from both a daily and monthly perspective.

To detect a trade, MRCI's computer system scrutinizes the last 15 years of historical price data for those trends recurrent, with a minimum reliability of 80%, during similar time windows. Those strategies are then subjected to further criteria established for average profit, duration of time window, duplication/overlap, and contract delivery/expiration. Once discovered and initially evaluated, a trading strategy is outlined and its crucial data tabulated and presented in the following format for closer analysis.

Table Above

For each contract year included in the study, the table lists entry date and price, exit date and price, and the ultimate profit or loss (both in terms of contract price and dollar equity). All prices and values are definitively based on the settlement price of the dates listed. Per MRCI's analytical methodology, if an optimized trade date fell on a weekend or holiday, entry was assumed on the following trading day while exit on the prior. The table encourages further evaluation by providing peak equity and worst drawdown dates and the amount of each.

(Note: In order to better represent historical fact, strategy sheets do not utilize equity protection but rather illustrate worst drawdown and ultimate results.)

The bottom section of the table calculates the strategy's historic reliability and overall average results. For the new millennium, year 2000 trades and beyond, MRCI will no longer have published stop amounts on individual trades. In real-time application of these strategies, MRCI urges traders to employ at all times proper money-management techniques, one of which may be constantly to refine stop-placement, based on individual trading equity.

Col # Explanation
1 Contract Year: futures contract expiration year
2 Buy/Sell Date: actual entry date for that year
3 Buy/Sell Price: actual entry price for that year
4 Exit Date: actual exit date for that year
5 Exit Price: actual exit price for that year
6 Profit: amount of contract price profit for that year
7 Profit Amount: amount of dollar equity profit returned
8 Peak Equity Date: date of greatest open profit on close since entry (blank if never profitable)
9 Peak Equity Amount: dollar amount of greatest open profit on close since entry (blank if never profitable)
10 Worst Drawdown Date: date of greatest open loss on close since entry (blank if never at loss)
11 Worst Drawdown Amount: amount of greatest open loss on close since entry (blank if never at loss)

(NOTE: In cases wherein contract sizes have changed, all values presented for a strategy have been adjusted to reflect amounts that would have resulted had current contract specifications been in effect. Also, since all entry/exit prices are based on closing settlement prices, results are not adjusted for commissions or slippage.)

The accompanying table briefly describes the information contained in each column of a strategy table. This data is provided both in historical support of the pertinent strategy and to offer a more "third-dimensional" view.

Upper Chart

Two sections compose the upper chart. In the top portion, the 15-year seasonal pattern (dotted-line) is superimposed on the current contract's daily price action (solid-line bars). The price scale is specific to the current market, and the seasonal pattern is fit to provide perspective on current price activity. The daily seasonal pattern is derived from and a composite of the daily price activity of this specific contract for all years studied. This overlay allows one to visualize the trade within the overall pattern and determine how closely the current market conforms to the "normal".

The bottom portion of the upper chart contains two views of the seasonal pattern - its longer term (up to) 15-year (solid line) and its most recent 5-year (dotted line). The 15-year pattern is dominant, but the 5-year offers yet another time dimension. Thus, any evolution, as bull or bear markets emerge, for instance, in the seasonal pattern can be discerned. Further, those trends recurrent in both patterns then become even more apparent.

The numerical index to the right reflects the contract's historical tendency to make its seasonal high (100) or low (0) at a given time. In other words, the graph reaches 100 when that contract has been most consistently at or near contract highs and, conversely, at 0 when at or near contract lows.

Lower Charts

The lower charts, illustrating historical relative value and longer term trends, are weekly and monthly continuations of the specific contract under consideration. MRCI believes these represent a more accurate perspective from which to view these seasonal trades, all of which are contract-specific.

Last Updated on Tuesday, 13 February 2024 13:04  

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