Trading Champions Crunch Numbers For Breakfast

...continued from yesterday

Kurt Sakaeda’s 595% profits won him first place in the World Cup trading competition (futures division) in the year 2002.

His system involves a huge amount of number crunching to set up.

For any given futures instrument in which he is interested, he calculates both the average and the mean closing price for each calendar day of the year going back as many years as he can get data.

Then for each date on the calendar, he compares the profit/loss that would result from opening a position on one of those days and then closing it on each of the other days of the calendar. That’s 365 x 364 = 132,860 combinations !!!

Additionally, he calculates the standard deviation of the profit/loss in his data set.

He keeps these crunched numbers in hardcopy in a “Blue Book”.

The foregoing is the background number crunching involved before addressing today’s price data. With today’s price data, he buys only if all the following conditions are satisfied:
1. Current price is at or below the average closing price from his prior calculations (unless the instrument is an index or interest rate instrument, in which case this does not apply);
2. Median profit must be greater than zero;
3. Standard deviation must be less than 5 times average profit;
4. Instrument must be trading below the historical high.

Vice versa for short sales.

Kurt says he has been using the above mentioned price comparison method since 1995. Three years later, in 1998, he entered the Robbins Trading competition and finished second place with a 71% return! He placed within the top 10 finishers in his division in 5 out of the next 6 years. In 2002 he turned $16,828 into $100,080 in twelve months, a 595% return, winning him first place in the futures division.

Rush out to your local stationery store and get yourself a Blue Book!

continued tomorrow ...

Copyright 2007 Raymond T. Lee. All rights reserved.
Leisurely e-Mini Futures Trading
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