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STAT
System Description
SPC Finally Comes To Trading Systems
The worldwide productivity increase has in large part been due to controlling processes through the use of Statistical Process Control (SPC). Now, for the first time, there is a commodity trading system that uses this technique to extract profits from the commodity markets.
The reason many systems that use a similar approach have problems is because they assume commodity prices are "normal". They try to take advantage of the probability characteristics of a normal distribution. They think they will be successful because prices fit a bell shaped curve or normal frequency distribution. The way these systems usually operate is by using a moving average crossover approach. They also usually tack on a couple of standard deviation bollinger bands to try to keep from taking too many false trades.
Bad News! Commodity prices do not form a normal distribution. In many cases the distribution isn’t even close to normal.
Good News! STAT doesn’t care. It uses special techniques to generate a normal probability distribution out of prices. Then STAT uses the well developed SPC concept to take its trades. So STAT comes much closer to being technically correct than most of the other moving average crossover systems.
Trade Station test show the following
results (1/83-5/02, trading 1 contract):
Type of System
SPC
& Moving Avg
# Trades/Yr/Commodity
1-6
Avg Profit/Trade
$1,062
Net Profit
$1,007,063
% Winning Trades
45 %
Win/Loss Ratio
3.0 to 1 (You make 3.0 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)
| Profit | Sharpe | Av Annual | Summation | Test Time | Period | ||||||
| Net Profit | Max DD | Num Trades | % Wins | W/L Ratio | Factor | Ratio | PL/DD | Rating | Dates | Years | |
| Japanese Yen | 175,875 | (5,613) | 43 | 53 | 5.32 | 6.12 | 0.85 | 1.62 | 400 | 1/83-5/02 | 19.3 |
| Rough Rice | 47,045 | (4,525) | 51 | 47 | 3.94 | 3.5 | 0.75 | 0.67 | 229 | 8/86-5/02 | 15.6 |
| Palladium | 85,580 | (8,100) | 43 | 44 | 5.51 | 4.37 | 0.42 | 0.55 | 206 | 1/83-5/02 | 19.3 |
| Swiss Franc | 104,013 | (8,063) | 64 | 50 | 2.63 | 2.63 | 0.65 | 0.67 | 198 | 1/83-5/02 | 19.3 |
| Crude Oil | 71,740 | (8,685) | 42 | 62 | 2.3 | 3.74 | 0.60 | 0.43 | 197 | 3/83-5/02 | 19.0 |
| Dollar Index | 79,150 | (7,130) | 88 | 50 | 2.17 | 2.17 | 0.65 | 0.67 | 187 | 11/85-5/02 | 16.5 |
| Euro $ | 41,098 | (4,050) | 100 | 37 | 3.94 | 2.31 | 0.72 | 0.53 | 182 | 1/83-5/02 | 19.3 |
| T Notes | 61,845 | (5,909) | 52 | 50 | 2.61 | 2.61 | 0.57 | 0.54 | 176 | 1/83-5/02 | 19.3 |
| Muni Bonds | 60,669 | (6,944) | 59 | 44 | 2.58 | 2.03 | 0.52 | 0.52 | 154 | 6/85-5/02 | 16.9 |
| Euro Currency | 56,025 | (11,000) | 53 | 47 | 1.9 | 1.7 | 0.49 | 0.52 | 143 | '6/92-5/02 | 9.8 |
| Corn | 17,494 | (2,981) | 57 | 42 | 2.95 | 2.15 | 0.34 | 0.30 | 118 | 1/83-5/02 | 19.3 |
| Lumber | 40,510 | (7,014) | 54 | 44 | 2.63 | 2.1 | 0.35 | 0.30 | 117 | 1/83-5/02 | 19.3 |
| Cotton | 49,785 | (16,475) | 55 | 36 | 3.42 | 1.96 | 0.47 | 0.16 | 112 | 1/83-5/02 | 19.3 |
| Unleaded Gas | 45,643 | (17,155) | 51 | 37 | 3.16 | 1.88 | 0.34 | 0.15 | 96 | 12/84-5/02 | 17.3 |
| Heating Oil | 44,588 | (16,547) | 57 | 44 | 2.43 | 1.9 | 0.29 | 0.14 | 90 | 1/83-5/02 | 19.3 |
| Oats | 14,138 | (4,038) | 78 | 38 | 2.65 | 1.66 | 0.24 | 0.18 | 84 | 1/83-5/02 | 19.3 |
| Sugar | 11,865 | (6,984) | 54 | 43 | 2.04 | 1.52 | 0.23 | 0.09 | 70 | 1/83-5/02 | 19.3 |
| TOTAL | 1,007,063 | (49,979) | 1,001 | 45 | 3.07 | 2.61 | 1.42 | 1.04 | 312 | 1/83-5/02 | 19.3 |
