Impetus is a
completely mechanical day trading system. It is recommended
for the e-mini Russell 2000 market. It was released in
January, 2003 and has been traded by the developer since
February of 2003. No changes to the logic have been made since
release.
Impetus has only one optimizable parameter and is based on a
simple equation: power+direction=trend. A single unique
calculation determines the power of the market--its tendency
to move decisively--and the direction of the market. Together
these forces create a tradable trend. Impetus is able to
capitalize on being in the market a small fraction of the time
(less than 1%), trading only the late part of the day session,
and averaging two trades per week. The system utilizes two
separate systems to take advantage of a trend. The first is
the regular trend component, which enters in the direction of
the major intraday trend when price breaks out. The second
system looks for a minor countertrend move within the major
trend, entering after a retracement and the return of price
toward the major trend. Impetus trades about twice per week on
average.
All trades are entered using stops. Protective stops that
adjust to price and volatility are used in all cases, and the
maximum risk is always known before a trade. Both sub-systems
employ a breakeven stop, which locks in a small portion of
gain when a trade has advanced sufficiently.
Impetus is based on distinct time and price patterns that
exhibit themselves in the equities markets. It is the result
of observation, not optimization. It was originally designed
for the S&P index. However, as SP/ES experienced lower
volatility in 2003, Impetus was tested without modification on
a completely out-of-sample market, the e-mini Russell 2000 in
mid-2003, and actual trading commenced in November, 2003.
NEITHER MAN FINANCIAL NOR ITS EMPLOYEES HAVE REVIEWED OR
VERIFIED THE PERFORMANCE RESULTS OF OR CLAIMS MADE BY ANY
THIRD PARTY SYSTEM PROVIDER. NEITHER MAN FINANCIAL NOR
ITS EMPLOYEES ARE RECOMMENDING ANY SPECIFIC THIRD PARTY SYSTEM
PROVIDER.
THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR
TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS
WHICH CAN ADVERSELY AFFECT TRADING RESULTS. THERE ARE NUMEROUS
OTHER FACTORS RELATED TO THE MARKETS IN GENERAL WHICH CAN AFFECT
THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT
BE FULLY ACCOUNTED FOR IN HISTORICAL BACK TESTING AND IN THE
PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS, ALL OF WHICH
CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS
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