Moore Research Center, Inc., (MRCI) has published seasonal futures
strategies since July 1989 and spread strategies since February 1990. The
graph below represents hypothetical equity results that would have been
generated if each and every strategy had been entered and exited on the close
per the defined methodology of MRCI's seasonal paradigm. Prior to January
2000, futures strategies were tracked with fixed-dollar protective stops
optimized by market; thereafter, without stops. Spreads have been tracked
with close-only protective stops fixed by strategy and calculated at 130%
of the average return for that particular strategy.|
Again, these are hypothetical results for published strategies - the baseline research. All prices for and values generated from entry, exit, and stops (used through 2000 only on futures) were based (as is the research) on settlement prices for published dates. No adjustments were made for commissions or slippage. When an optimized entry date fell on a weekend/holiday, entry was adjusted to the following trading day. Conversely, when an optimized exit date fell on a weekend/holiday, exit was adjusted to the preceding trading day. A PDF version of this graph is available here.
Several features of this chart are worthy of note. Placing a cursor anywhere on the graph itself will show the following: (1) in the upper left-hand corner of the upper section will appear the date followed by (2) a "Net Futures" value in black which specifies the total profit/loss value since the futures portfolio inception in July 1989, and the spreads in February 1990, and then (3) a value in green/red which shows the total profit/loss value for just the duration of the chart (YTD, 1Y .... MAX); likewise the same values are displayed for spreads. In the lower section will appear (4) "Open Futures" and "Open Spreads" in black and blue respectively to specify how much of each upper equity curve was an open position on that date.
For additional information on MRCI's Previous Trades & Hypothetical Results please click here.
Click for Jerry Toepke's Weekly Spread Commentary Hypothetical Equity Graph
SEASONAL TENDENCIES ARE A COMPOSITE OF SOME OF THE MORE CONSISTENT COMMODITY FUTURES SEASONALS THAT HAVE OCCURRED OVER THE PAST 15 YEARS. THERE ARE USUALLY UNDERLYING FUNDAMENTAL CIRCUMSTANCES THAT OCCUR ANNUALLY THAT TEND TO CAUSE THE FUTURES MARKETS TO REACT IN A SIMILAR DIRECTIONAL MANNER DURING A CERTAIN CALENDAR PERIOD OF THE YEAR. EVEN IF A SEASONAL TENDENCY OCCURS IN THE FUTURE, IT MAY NOT RESULT IN A PROFITABLE TRANSACTION AS FEES, AND THE TIMING OF THE ENTRY AND LIQUIDATION MAY IMPACT ON THE RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT HAS IN THE PAST OR WILL IN THE FUTURE ACHIEVE PROFITS UTILIZING THESE STRATEGIES. NO REPRESENTATION IS BEING MADE THAT PRICE PATTERNS WILL RECUR IN THE FUTURE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE.
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