Collective2

Optimum Systems is an End of Day methodology, where securities are identified overnight and traded soon after market open (within the first hour).

Most other timing systems simply use indicators based on price and volume, such as moving averages, MACD, STO, Bollinger bands. Our system is different in that it uses proprietary indicators that incorporate both technical and fundamental information not just for the broad market, but also for almost every stock traded on the US exchanges.

We have two timers: trend following and counter trend. The trend-following timer reacts to whether the general market direction is up (Long Term Up, or LTUp) or down (Long Term Down, or LTDn). During LTUp periods, we are long the market, and during LTDn periods we are short the market. It works in bull and bear markets.

The counter trend timer is a leading indicator that predicts when a correction is about to occur within the general market direction. When a correction is predicted during a LTDn (a bounce), we change direction and go long. This is called our Bottom Feeder Up (BFUp). Sometimes BFUp goes into cash when market conditions are unclear. When a correction is predicted during a LTUp (a reversal), we change direction and go short. This is called our Top Feeder Down (TFDn). The average length of a signal is three to four weeks.

Using these timers, we are almost always in the market. We keep our money working whenever we can. Each signal has different types of stock selections associated with it. During the trend following periods, we use stocks that are trending in the general market direction. During BFUp, we use stocks that have been beaten up or oversold. During TFDn, we use stocks that are over bought.

There are a number of methods Optimum Systems uses to manage risk.
1) Security stops: Optimum Systems has a predefined EOD stop loss and profit stop for each security. These stops mechanically defined during market entry.
2) Signal stops: Optimum Systems has predefined EOD stop loss for each timer signal. HPS will go to cash if a timer/signal is determined to be "broken".
3) Portfolio stops: This is a catastrophic stop where HPS will go to cash if the draw reaches a predetermined limit. Trading will continue when the market returns to “normalcy”.
4) Position sizing: Each signal has a predefined cash position. This is based on the volatility of the particular signal.
5) Portfolio diversity: Each portfolio uses diversity criteria (industry, sector, etc.) when selecting securities.

This system was back tested for more than 9 years and paper traded for more than 9 months before bringing it to C2. I personally trade this methodology.

All comments are greatly appreciated and all questions will be answered in a timely fashion.

The 9+ years of backtesting results (see below) are unconfirmed by C2, however I am including them for your perusal. Additional details can be provided including trade history, draw, clamar ratio, number of trades, etc.. Entry and exit prices are based on the next day open price.

As Optimum Systems is an EOD methodology, backtesting results do not include any intraday broker stops.

Month% G/L
Jan-2000, 285.3%
Feb-2000, 165.3%
Mar-2000, 18.9%
Apr-2000, 120.8%
May-2000, 81.4%
Jun-2000, -21.4%
Jul-2000, 36.7%
Aug-2000, 14.7%
Sep-2000, 20.9%
Oct-2000, 46.1%
Nov-2000, 42.9%
Dec-2000, 43.0%
Jan-2001, -4.4%
Feb-2001, 47.1%
Mar-2001, 39.5%
Apr-2001, 44.8%
May-2001, 40.9%
Jun-2001, -0.8%
Jul-2001, 5.3%
Aug-2001, 11.8%
Sep-2001, 1.5%
Oct-2001, 92.9%
Nov-2001, 12.8%
Dec-2001, 8.2%
Jan-2002, 0.2%
Feb-2002, 12.0%
Mar-2002, 11.6%
Apr-2002, 4.6%
May-2002, 18.1%
Jun-2002, 40.0%
Jul-2002, 56.8%
Aug-2002, 23.5%
Sep-2002, 10.0%
Oct-2002, 4.8%
Nov-2002, 38.9%
Dec-2002, -9.2%
Jan-2003, 22.1%
Feb-2003, -1.6%
Mar-2003, 23.9%
Apr-2003, 53.4%
May-2003, 64.5%
Jun-2003, 70.0%
Jul-2003, 7.4%
Aug-2003, 20.3%
Sep-2003, -6.5%
Oct-2003, 24.9%
Nov-2003, 20.2%
Dec-2003, 14.0%
Jan-2004, 21.0%
Feb-2004, -5.2%
Mar-2004, -16.0%
Apr-2004, 16.2%
May-2004, -6.3%
Jun-2004, 11.8%
Jul-2004, 3.2%
Aug-2004, 14.4%
Sep-2004, 11.0%
Oct-2004, 5.9%
Nov-2004, 18.2%
Dec-2004, 16.6%
Jan-2005, -5.4%
Feb-2005, 22.3%
Mar-2005, -6.9%
Apr-2005, -2.3%
May-2005, 13.5%
Jun-2005, 14.5%
Jul-2005, -0.1%
Aug-2005, 20.5%
Sep-2005, 10.7%
Oct-2005, 22.5%
Nov-2005, 4.2%
Dec-2005, 17.3%
Jan-2006, 3.2%
Feb-2006, 15.7%
Mar-2006, 21.9%
Apr-2006, 4.9%
May-2006, -2.0%
Jun-2006, 4.2%
Jul-2006, 1.1%
Aug-2006, 9.1%
Sep-2006, -1.1%
Oct-2006, 12.4%
Nov-2006, 2.0%
Dec-2006, 3.2%
Jan-2007, -0.3%
Feb-2007, -11.1%
Mar-2007, -0.9%
Apr-2007, 7.9%
May-2007, -1.9%
Jun-2007, -12.6%
Jul-2007, -30.3%
Aug-2007, 27.8%
Sep-2007, 22.0%
Oct-2007, 16.1%
Nov-2007, 35.5%
Dec-2007, -1.6%
Jan-2008, 57.4%
Feb-2008, 7.8%
Mar-2008, 23.8%
Apr-2008, 1.2%
May-2008, 3.3%
Jun-2008, 9.5%
Jul-2008, 20.3%
Aug-2008, 10.8%
Sep-2008, 5.4%
Oct-2008, 46.2%
Nov-2008, 15.6%
Dec-2008, -1.8%
Jan-2009, 8.5%
Feb-2009, 2.6%