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Millennium 2000

System Description

Millennium 2000 is a pure reversal system so its always in the market. The rules have been distilled down to the very core of market action. These extremely simple rules dramatically reduce the chance of over-optimization. This explains why it works on so many different commodities. It trades 30 different commodities using exactly the same rules for every commodity. 

Our  SmartStop© is the heart of Millennium 2000. While nothing is perfect, the SmartStop often achieves exactly what we want from a stop order. It trails current prices in the right way and tends to take you out of a trade and reverse you when prices change direction.

The system also uses our proprietary Congestion Detector©. It minimizes trading when prices are moving sideways. Futures Truth Excalibur test show the following results (1/83-5/02, trading 1 contract):
Type of System                              Reversal
# Trades/Yr/Commodity                4-20
Net Profit                                      $1,4,79,343  
% Winning Trades                        42 % 
Win/Loss Ratio                             3.2 to 1  (You make 3.2 times as much on winning trades as you lose on losing trades)

Equity Curve

Following is a graph of net profits from 1983 to present, trading just 1 contract:

 

Individual Performance by commodity
(1/83-5/02, Continuous Contracts trading 1 contract, Trade Station Tests)

  Net Max # % W/L Sharpe Profit Avg Yr PL/ SUMMATION Test Time Test
Commodity Profit Drawdown Trades Wins Ratio Ratio Factor Max DD RATING Period Years
Rough Rice 57,605 (4,265) 49 53 3.62 0.89 4.1 0.87 278 8/86-5/02 15.6
Cotton 68,495 (5,325) 27 37 5.92 0.62 3.48 0.67 216 1/83-5/02 19.3
Japanese Yen 160,275 (13,238) 92 48 2.85 0.77 2.61 0.63 205 1/83-5/02 19.3
T Notes 62,453 (4,996) 53 36 5.86 0.58 3.27 0.65 205 1/83-5/02 19.3
Muni Bonds 72,631 (7,450) 42 26 8.92 0.61 3.17 0.58 198 6/85-5/02 16.9
Swiss Franc 124,013 (9,750) 124 44 2.62 0.72 2.09 0.66 190 1/83-5/02 19.3
Gold 51,315 (7,100) 63 57 2.34 0.55 3.11 0.37 170 1/83-5/02 19.3
Crude Oil 75,660 (11,320) 80 41 3.65 0.62 2.56 0.35 161 3/83-5/02 19.0
Euro $ 43,653 (6,550) 40 55 1.95 0.63 2.38 0.35 157 1/83-5/02 19.3
Oats 20,563 (2,600) 27 48 3.38 0.36 3.14 0.41 155 1/83-5/02 19.3
Coffee 210,431 (24,150) 812 31 3.25 0.66 1.48 0.45 148 1/83-5/02 19.3
Heating Oil 82,279 (14,820) 212 35 3.14 0.62 1.68 0.32 136 12/84-5/02 17.3
Dollar Index 64,730 (8,565) 138 38 2.55 0.49 1.54 0.46 133 11/85-5/02 16.5
Lumber 61,777 (9,371) 317 39 2.27 0.54 1.48 0.34 125 1/83-5/02 19.3
Soybean Oil 28,422 (5,436) 66 50 2.05 0.44 2.05 0.27 122 1/83-5/02 19.3
Corn 22,213 (5,650) 66 56 1.67 0.39 2.13 0.20 113 1/83-5/02 19.3
Soybeans 46,325 (12,900) 75 44 2.24 0.40 1.76 0.19 103 1/83-5/02 19.3
Platinum 25,160 (9,290) 16 44 3.16 0.27 2.46 0.14 103 1/83-5/02 19.3
Copper 34,238 (9,288) 78 32 3.64 0.37 1.72 0.19 99 1/83-5/02 19.3
Lean Hogs 42,144 (11,329) 344 42 1.82 0.45 1.31 0.19 97 1/83-5/02 19.3
Sugar 19,153 (6,036) 76 38 2.55 0.30 1.58 0.16 86 1/83-5/02 19.3
Australian $ 25,320 (11,885) 22 41 2.38 0.28 1.65 0.14 83 1/87-5/02 15.3
Euro Currency 32,713 (20,250) 72 19 5.71 0.32 1.38 0.16 83 6/92-5/02 9.8
Heating Oil 24,864 (13,589) 91 30 3.47 0.20 1.46 0.09 66 1/83-5/02 19.3
Pork Bellies 18,116 (26,689) 24 54 0.98 0.14 1.16 0.04 47 1/83-5/02 19.3
Soybean Meal 4,795 (9,725) 31 45 1.49 0.07 1.23 0.03 40 1/83-5/02 19.3
                       
TOTAL-All 26 1,479,343 (55,651) 3,037 42 3.21 1.59 2.15 1.38 351 1/83-5/02 19.3

 


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