algo

Algorithmic Trading Report

Friday 14th August 2015

Author: Golam Saklinehttp://ae.linkedin.com/in/golamsakline/en

WWW.CHRONOSFUTURES.COM �1

http://ae.linkedin.com/in/golamsakline/en

http://www.chronosfutures.com

IntroductionThis report is created for the Financial and Investment Community to supplement

their existing methods and views, with an alternative insight to Market Micro Structure and how it helps on algorithmic trading. Assuming the price carries all the information available at any given point in time, the flow of information with time creates the changes in market state giving indication to the possible change in trend following some extreme reaction from the market participants. Technical Analysis is a discipline derived from observation of market participants feedback effects. This behaviour is captured in price movements which in turn influences the future choices of Buys and Sells. Our Algorithm identifies peaks and troughs in market using statistical and stochastic matrices of investor extreme behaviours at unfair price level.

The scope of this report is limited to Commodity and Index Futures Trading. Here we are looking for results of using our mean reversion strategy to optimise entries to gain sustainable profitability in managed accounts trading essentially Energy Futures.



Algorithmic Trading on WTI Crude Trying to make money from trading CME Light Sweet Crude Futures has been the tale of many traders for ages. Recently we came up with an idea to put our proprietary model to the test. We established 3 separate strategies that handles Entry, Exits and Stop loss respectively. It took us few day to optimise the Entry Strategy whereas the other took only few hours. Below is a snapshot of WTI Crude Futures chart and how our algorithm executed based on the parameters set. We estimated that on a $100K account and allowing max 1 lot per trade with max 1% risk on capital per trade, the system was able to achieve just over 54% on 540 time bars look back. Although this made us curious we were more interested on the other parameters such as the pattern of the equity curve and maximum drawdowns.

Seeing the curve we were convinced on the nature of the system and its sustainability. The period for which the system ran includes both trending and sideways market to account for normality in strategy.



System Trades

Id Strategy Side Quantity Amount Price Date/Time Trade P/L P/L Position1 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $68.65 28/11/14 10:00 $510.00 1000.02 ProfitTargetLX Sell to Close -1 -1000.0 $69.14 28/11/14 14:00 $490.00 $490.00 0.03 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $67.38 28/11/14 18:00 ($910.00) 1000.04 StopLossLX Sell to Close -1 -1000.0 $65.99 30/11/14 22:00 ($1,390.00) ($900.00) 0.05 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $64.84 01/12/14 02:00 ($1,250.00) 1000.06 ProfitTargetLX Sell to Close -1 -1000.0 $65.35 01/12/14 10:00 $510.00 ($390.00) 0.07 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $68.55 01/12/14 18:00 ($1,060.00) -1000.08 ProfitTargetSX Buy to Close 1 1000.0 $68.10 02/12/14 14:00 $450.00 $60.00 0.09 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $67.87 02/12/14 18:00 ($240.00) 1000.010 StopLossLX Sell to Close -1 -1000.0 $67.59 02/12/14 22:00 ($280.00) ($220.00) 0.011 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $62.83 09/12/14 02:00 ($390.00) 1000.012 ProfitTargetLX Sell to Close -1 -1000.0 $63.35 09/12/14 10:00 $520.00 $300.00 0.013 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $61.28 10/12/14 18:00 $140.00 1000.014 StopLossLX Sell to Close -1 -1000.0 $60.22 11/12/14 14:00 ($1,060.00) ($760.00) 0.015 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $57.13 15/12/14 02:00 $350.00 1000.016 ProfitTargetLX Sell to Close -1 -1000.0 $58.25 15/12/14 06:00 $1,120.00 $360.00 0.017 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $58.50 15/12/14 10:00 $900.00 -1000.018 ProfitTargetSX Buy to Close 1 1000.0 $57.95 15/12/14 14:00 $550.00 $910.00 0.019 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.26 15/12/14 22:00 $1,320.00 1000.020 ProfitTargetLX Sell to Close -1 -1000.0 $55.68 16/12/14 02:00 $420.00 $1,330.00 0.021 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $54.29 16/12/14 10:00 $1,100.00 1000.022 Chronos_Strategy_CL(Sell) Sell to Close -1 -1000.0 $55.94 16/12/14 18:00 $1,650.00 $2,980.00 0.023 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $55.94 16/12/14 18:00 $3,510.00 -1000.024 ProfitTargetSX Buy to Close 1 1000.0 $55.41 16/12/14 22:00 $530.00 $3,510.00 0.025 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $54.97 17/12/14 14:00 $6,740.00 1000.026 Chronos_Strategy_CL(Sell) Sell to Close -1 -1000.0 $58.20 17/12/14 18:00 $3,230.00 $6,740.00 0.027 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $58.20 17/12/14 18:00 $8,710.00 -1000.028 ProfitTargetSX Buy to Close 1 1000.0 $56.22 17/12/14 22:00 $1,980.00 $8,720.00 0.029 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $58.08 18/12/14 10:00 $8,780.00 -1000.030 ProfitTargetSX Buy to Close 1 1000.0 $58.01 18/12/14 14:00 $70.00 $8,790.00 0.031 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.25 18/12/14 22:00 $8,480.00 1000.032 ProfitTargetLX Sell to Close -1 -1000.0 $56.26 19/12/14 18:00 $1,010.00 $9,800.00 0.033 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $57.87 19/12/14 22:00 $9,900.00 -1000.034 ProfitTargetSX Buy to Close 1 1000.0 $57.75 22/12/14 02:00 $120.00 $9,920.00 0.035 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $57.85 22/12/14 06:00 $10,170.00 -1000.036 ProfitTargetSX Buy to Close 1 1000.0 $57.57 22/12/14 10:00 $280.00 $10,200.00 0.037 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.37 22/12/14 18:00 $10,160.00 1000.038 ProfitTargetLX Sell to Close -1 -1000.0 $55.93 23/12/14 06:00 $560.00 $10,760.00 0.039 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $56.50 23/12/14 18:00 $10,890.00 1000.040 Chronos_Strategy_CL(Sell) Sell to Close -1 -1000.0 $56.63 23/12/14 22:00 $130.00 $10,890.00 0.041 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $56.63 23/12/14 22:00 $10,530.00 -1000.042 ProfitTargetSX Buy to Close 1 1000.0 $55.95 24/12/14 14:00 $680.00 $11,570.00 0.043 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.65 24/12/14 18:00 $11,770.00 1000.044 ProfitTargetLX Sell to Close -1 -1000.0 $55.86 25/12/14 22:00 $210.00 $11,780.00 0.045 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.09 26/12/14 22:00 $11,830.00 1000.046 ProfitTargetLX Sell to Close -1 -1000.0 $55.47 29/12/14 02:00 $380.00 $12,160.00 0.047 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $53.27 29/12/14 18:00 $12,620.00 1000.048 ProfitTargetLX Sell to Close -1 -1000.0 $53.72 29/12/14 22:00 $450.00 $12,610.00 0.049 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $53.30 30/12/14 10:00 $12,530.00 1000.050 ProfitTargetLX Sell to Close -1 -1000.0 $53.55 30/12/14 18:00 $250.00 $12,860.00 0.051 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $52.55 31/12/14 14:00 $13,100.00 1000.052 ProfitTargetLX Sell to Close -1 -1000.0 $52.78 31/12/14 18:00 $230.00 $13,090.00 0.053 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $54.07 02/01/15 02:00 $13,250.00 -1000.054 ProfitTargetSX Buy to Close 1 1000.0 $53.58 02/01/15 10:00 $490.00 $13,580.00 0.055 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $52.37 02/01/15 14:00 $14,480.00 1000.056 ProfitTargetLX Sell to Close -1 -1000.0 $53.27 02/01/15 18:00 $900.00 $14,480.00 0.057 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $50.35 05/01/15 18:00 $14,040.00 1000.058 ProfitTargetLX Sell to Close -1 -1000.0 $49.91 05/01/15 22:00 ($440.00) $14,040.00 0.059 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.67 06/01/15 10:00 $14,100.00 1000.060 ProfitTargetLX Sell to Close -1 -1000.0 $48.72 06/01/15 14:00 $50.00 $14,090.00 0.061 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.27 06/01/15 18:00 $13,850.00 1000.062 StopLossLX Sell to Close -1 -1000.0 $47.35 07/01/15 06:00 ($920.00) $13,170.00 0.063 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $47.44 07/01/15 10:00 $14,050.00 1000.064 ProfitTargetLX Sell to Close -1 -1000.0 $48.31 07/01/15 14:00 $870.00 $14,040.00 0.065 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $48.48 07/01/15 18:00 $13,710.00 -1000.066 ProfitTargetSX Buy to Close 1 1000.0 $48.81 07/01/15 22:00 ($330.00) $13,710.00 0.067 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $49.33 08/01/15 02:00 $14,130.00 -1000.068 ProfitTargetSX Buy to Close 1 1000.0 $48.78 08/01/15 10:00 $550.00 $14,260.00 0.069 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.99 08/01/15 22:00 $14,410.00 1000.070 ProfitTargetLX Sell to Close -1 -1000.0 $49.13 09/01/15 02:00 $140.00 $14,400.00 0.071 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $47.57 09/01/15 18:00 $15,010.00 1000.072 ProfitTargetLX Sell to Close -1 -1000.0 $48.16 09/01/15 22:00 $590.00 $14,990.00 0.073 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $44.63 13/01/15 10:00 $15,180.00 1000.074 ProfitTargetLX Sell to Close -1 -1000.0 $45.53 13/01/15 18:00 $900.00 $15,890.00 0.075 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $46.21 13/01/15 22:00 $16,440.00 -1000.076 ProfitTargetSX Buy to Close 1 1000.0 $45.66 14/01/15 02:00 $550.00 $16,440.00 0.077 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.57 14/01/15 10:00 $16,370.00 1000.078 ProfitTargetLX Sell to Close -1 -1000.0 $46.02 14/01/15 18:00 $450.00 $16,890.00 0.079 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $48.46 14/01/15 22:00 $16,630.00 -1000.080 StopLossSX Buy to Close 1 1000.0 $48.71 15/01/15 02:00 ($250.00) $16,640.00 0.0



81 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.78 15/01/15 14:00 $19,580.00 -1000.082 ProfitTargetSX Buy to Close 1 1000.0 $47.83 15/01/15 18:00 $2,950.00 $19,590.00 0.083 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $46.74 15/01/15 22:00 $19,870.00 1000.084 ProfitTargetLX Sell to Close -1 -1000.0 $47.02 16/01/15 02:00 $280.00 $19,870.00 0.085 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $48.93 16/01/15 22:00 $19,870.00 -1000.086 ProfitTargetSX Buy to Close 1 1000.0 $48.27 19/01/15 10:00 $660.00 $20,530.00 0.087 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $47.51 21/01/15 18:00 $20,640.00 -1000.088 StopLossSX Buy to Close 1 1000.0 $47.60 22/01/15 14:00 ($90.00) $20,440.00 0.089 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $46.96 22/01/15 18:00 $19,960.00 1000.090 StopLossLX Sell to Close -1 -1000.0 $46.50 22/01/15 22:00 ($460.00) $19,980.00 0.091 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.18 26/01/15 02:00 $19,810.00 1000.092 ProfitTargetLX Sell to Close -1 -1000.0 $45.88 26/01/15 14:00 $700.00 $20,680.00 0.093 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $46.09 26/01/15 18:00 $21,700.00 -1000.094 ProfitTargetSX Buy to Close 1 1000.0 $45.06 26/01/15 22:00 $1,030.00 $21,710.00 0.095 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $45.81 27/01/15 22:00 $22,070.00 -1000.096 ProfitTargetSX Buy to Close 1 1000.0 $45.22 28/01/15 14:00 $590.00 $22,300.00 0.097 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $44.00 29/01/15 18:00 $22,740.00 1000.098 ProfitTargetLX Sell to Close -1 -1000.0 $44.45 29/01/15 22:00 $450.00 $22,750.00 0.099 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $47.74 30/01/15 22:00 $22,620.00 -1000.0100 ProfitTargetSX Buy to Close 1 1000.0 $46.91 02/02/15 02:00 $830.00 $23,580.00 0.0101 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $48.89 02/02/15 14:00 $23,200.00 -1000.0102 ProfitTargetSX Buy to Close 1 1000.0 $49.26 02/02/15 18:00 ($370.00) $23,210.00 0.0103 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $49.99 02/02/15 22:00 $23,290.00 -1000.0104 StopLossSX Buy to Close 1 1000.0 $50.84 03/02/15 10:00 ($850.00) $22,360.00 0.0105 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $51.98 03/02/15 18:00 $22,700.00 -1000.0106 StopLossSX Buy to Close 1 1000.0 $51.64 03/02/15 22:00 $340.00 $22,700.00 0.0107 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.43 04/02/15 06:00 $23,560.00 -1000.0108 ProfitTargetSX Buy to Close 1 1000.0 $51.57 04/02/15 10:00 $860.00 $23,560.00 0.0109 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $49.47 04/02/15 18:00 $22,650.00 1000.0110 StopLossLX Sell to Close -1 -1000.0 $48.57 04/02/15 22:00 ($900.00) $22,660.00 0.0111 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $47.82 05/02/15 06:00 $24,060.00 1000.0112 ProfitTargetLX Sell to Close -1 -1000.0 $49.22 05/02/15 10:00 $1,400.00 $24,060.00 0.0113 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $51.31 05/02/15 18:00 $24,680.00 -1000.0114 ProfitTargetSX Buy to Close 1 1000.0 $50.67 05/02/15 22:00 $640.00 $24,700.00 0.0115 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.21 06/02/15 10:00 $24,620.00 -1000.0116 ProfitTargetSX Buy to Close 1 1000.0 $52.30 06/02/15 14:00 ($90.00) $24,610.00 0.0117 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.67 06/02/15 18:00 $25,140.00 -1000.0118 ProfitTargetSX Buy to Close 1 1000.0 $52.15 06/02/15 22:00 $520.00 $25,130.00 0.0119 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.96 09/02/15 18:00 $25,480.00 -1000.0120 StopLossSX Buy to Close 1 1000.0 $52.61 09/02/15 22:00 $350.00 $25,480.00 0.0121 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $50.86 10/02/15 18:00 $25,550.00 1000.0122 StopLossLX Sell to Close -1 -1000.0 $49.99 11/02/15 10:00 ($870.00) $24,610.00 0.0123 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $49.39 11/02/15 18:00 $24,630.00 1000.0124 ProfitTargetLX Sell to Close -1 -1000.0 $50.33 12/02/15 10:00 $940.00 $25,550.00 0.0125 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.99 13/02/15 18:00 $25,840.00 -1000.0126 ProfitTargetSX Buy to Close 1 1000.0 $52.67 13/02/15 22:00 $320.00 $25,870.00 0.0127 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.79 16/02/15 02:00 $26,010.00 -1000.0128 ProfitTargetSX Buy to Close 1 1000.0 $52.42 17/02/15 14:00 $370.00 $26,240.00 0.0129 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.80 17/02/15 18:00 $27,650.00 1000.0130 ProfitTargetLX Sell to Close -1 -1000.0 $53.23 17/02/15 22:00 $1,430.00 $27,670.00 0.0131 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $53.98 18/02/15 06:00 $28,050.00 -1000.0132 ProfitTargetSX Buy to Close 1 1000.0 $53.59 18/02/15 10:00 $390.00 $28,060.00 0.0133 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.20 18/02/15 22:00 $28,120.00 1000.0134 StopLossLX Sell to Close -1 -1000.0 $50.20 19/02/15 14:00 ($1,000.00) $27,060.00 0.0135 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.07 19/02/15 22:00 $26,920.00 -1000.0136 ProfitTargetSX Buy to Close 1 1000.0 $51.76 20/02/15 10:00 $310.00 $27,370.00 0.0137 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.81 23/02/15 14:00 $28,070.00 1000.0138 ProfitTargetLX Sell to Close -1 -1000.0 $49.51 23/02/15 18:00 $700.00 $28,070.00 0.0139 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $51.03 25/02/15 22:00 $28,320.00 -1000.0140 ProfitTargetSX Buy to Close 1 1000.0 $50.64 26/02/15 06:00 $390.00 $28,460.00 0.0141 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.75 26/02/15 10:00 $29,670.00 -1000.0142 ProfitTargetSX Buy to Close 1 1000.0 $49.53 26/02/15 14:00 $1,220.00 $29,680.00 0.0143 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.99 26/02/15 22:00 $29,540.00 1000.0144 ProfitTargetLX Sell to Close -1 -1000.0 $49.43 27/02/15 10:00 $440.00 $30,120.00 0.0145 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.42 02/03/15 18:00 $30,690.00 -1000.0146 ProfitTargetSX Buy to Close 1 1000.0 $49.84 02/03/15 22:00 $580.00 $30,700.00 0.0147 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $50.39 04/03/15 18:00 $31,990.00 1000.0148 ProfitTargetLX Sell to Close -1 -1000.0 $51.68 04/03/15 22:00 $1,290.00 $31,990.00 0.0149 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $49.74 06/03/15 22:00 $32,040.00 1000.0150 ProfitTargetLX Sell to Close -1 -1000.0 $50.23 09/03/15 17:00 $490.00 $32,480.00 0.0151 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.77 10/03/15 21:00 $32,580.00 1000.0152 StopLossLX Sell to Close -1 -1000.0 $47.61 11/03/15 17:00 ($1,160.00) $31,320.00 0.0153 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.19 13/03/15 17:00 $31,160.00 1000.0154 StopLossLX Sell to Close -1 -1000.0 $44.11 16/03/15 01:00 ($1,080.00) $30,240.00 0.0155 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $43.83 16/03/15 17:00 $30,240.00 1000.0156 StopLossLX Sell to Close -1 -1000.0 $43.12 17/03/15 13:00 ($710.00) $29,530.00 0.0157 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $42.71 17/03/15 21:00 $31,440.00 1000.0158 ProfitTargetLX Sell to Close -1 -1000.0 $44.62 18/03/15 01:00 $1,910.00 $31,440.00 0.0159 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $46.75 18/03/15 21:00 $31,850.00 -1000.0160 ProfitTargetSX Buy to Close 1 1000.0 $45.96 19/03/15 05:00 $790.00 $32,230.00 0.0161 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.06 19/03/15 17:00 $32,770.00 1000.0162 ProfitTargetLX Sell to Close -1 -1000.0 $45.61 19/03/15 21:00 $550.00 $32,780.00 0.0163 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $47.21 20/03/15 17:00 $33,510.00 -1000.0164 ProfitTargetSX Buy to Close 1 1000.0 $46.46 20/03/15 21:00 $750.00 $33,530.00 0.0165 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.56 23/03/15 09:00 $33,950.00 1000.0166 ProfitTargetLX Sell to Close -1 -1000.0 $45.97 23/03/15 13:00 $410.00 $33,940.00 0.0167 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $47.35 23/03/15 21:00 $34,100.00 -1000.0168 ProfitTargetSX Buy to Close 1 1000.0 $46.97 24/03/15 05:00 $380.00 $34,320.00 0.0



169 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $48.19 24/03/15 13:00 $34,910.00 -1000.0170 ProfitTargetSX Buy to Close 1 1000.0 $47.60 24/03/15 17:00 $590.00 $34,910.00 0.0171 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.93 26/03/15 05:00 $34,230.00 -1000.0172 StopLossSX Buy to Close 1 1000.0 $51.61 26/03/15 09:00 ($680.00) $34,230.00 0.0173 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.81 27/03/15 13:00 $35,100.00 -1000.0174 ProfitTargetSX Buy to Close 1 1000.0 $49.94 27/03/15 17:00 $870.00 $35,100.00 0.0175 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.51 27/03/15 21:00 $35,030.00 1000.0176 ProfitTargetLX Sell to Close -1 -1000.0 $48.20 30/03/15 18:00 ($310.00) $34,790.00 0.0177 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $47.27 01/04/15 10:00 $35,190.00 1000.0178 ProfitTargetLX Sell to Close -1 -1000.0 $47.66 01/04/15 14:00 $390.00 $35,180.00 0.0179 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.05 01/04/15 18:00 $35,630.00 -1000.0180 ProfitTargetSX Buy to Close 1 1000.0 $49.59 01/04/15 22:00 $460.00 $35,640.00 0.0181 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $50.00 02/04/15 10:00 $36,700.00 -1000.0182 Chronos_Strategy_CL(Buy) Buy to Close 1 1000.0 $48.96 02/04/15 14:00 $1,040.00 $36,680.00 0.0183 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $48.96 02/04/15 14:00 $36,520.00 1000.0184 ProfitTargetLX Sell to Close -1 -1000.0 $48.79 02/04/15 18:00 ($170.00) $36,510.00 0.0185 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $49.44 02/04/15 22:00 $36,630.00 1000.0186 ProfitTargetLX Sell to Close -1 -1000.0 $50.02 06/04/15 02:00 $580.00 $37,090.00 0.0187 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $51.90 06/04/15 18:00 $37,050.00 -1000.0188 ProfitTargetSX Buy to Close 1 1000.0 $51.35 07/04/15 10:00 $550.00 $37,640.00 0.0189 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $53.72 07/04/15 18:00 $38,380.00 -1000.0190 ProfitTargetSX Buy to Close 1 1000.0 $52.97 07/04/15 22:00 $750.00 $38,390.00 0.0191 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.10 08/04/15 18:00 $38,290.00 1000.0192 ProfitTargetLX Sell to Close -1 -1000.0 $51.06 09/04/15 14:00 ($40.00) $38,350.00 0.0193 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.69 13/04/15 10:00 $38,170.00 -1000.0194 ProfitTargetSX Buy to Close 1 1000.0 $52.86 13/04/15 14:00 ($170.00) $38,180.00 0.0195 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $55.92 15/04/15 18:00 $38,160.00 -1000.0196 Chronos_Strategy_CL(Buy) Buy to Close 1 1000.0 $55.31 16/04/15 14:00 $610.00 $38,790.00 0.0197 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.31 16/04/15 14:00 $39,900.00 1000.0198 ProfitTargetLX Sell to Close -1 -1000.0 $56.42 16/04/15 18:00 $1,110.00 $39,900.00 0.0199 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $57.80 17/04/15 02:00 $40,190.00 -1000.0200 ProfitTargetSX Buy to Close 1 1000.0 $57.53 17/04/15 06:00 $270.00 $40,170.00 0.0201 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $56.82 20/04/15 14:00 $41,310.00 1000.0202 ProfitTargetLX Sell to Close -1 -1000.0 $57.95 20/04/15 18:00 $1,130.00 $41,300.00 0.0203 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $57.90 23/04/15 18:00 $41,690.00 -1000.0204 ProfitTargetSX Buy to Close 1 1000.0 $57.41 24/04/15 06:00 $490.00 $41,790.00 0.0205 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $59.09 29/04/15 18:00 $42,330.00 -1000.0206 ProfitTargetSX Buy to Close 1 1000.0 $58.55 29/04/15 22:00 $540.00 $42,330.00 0.0207 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $59.03 07/05/15 22:00 $42,340.00 1000.0208 ProfitTargetLX Sell to Close -1 -1000.0 $59.68 08/05/15 14:00 $650.00 $42,980.00 0.0209 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $57.82 26/05/15 18:00 $43,540.00 1000.0210 ProfitTargetLX Sell to Close -1 -1000.0 $58.37 26/05/15 22:00 $550.00 $43,530.00 0.0211 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $56.99 28/05/15 18:00 $44,530.00 1000.0212 ProfitTargetLX Sell to Close -1 -1000.0 $57.98 28/05/15 22:00 $990.00 $44,520.00 0.0213 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $60.29 29/05/15 22:00 $44,580.00 -1000.0214 ProfitTargetSX Buy to Close 1 1000.0 $59.85 01/06/15 06:00 $440.00 $44,960.00 0.0215 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $57.77 05/06/15 18:00 $46,140.00 1000.0216 ProfitTargetLX Sell to Close -1 -1000.0 $58.96 05/06/15 22:00 $1,190.00 $46,150.00 0.0217 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $60.94 17/06/15 14:00 $48,070.00 -1000.0218 Chronos_Strategy_CL(Buy) Buy to Close 1 1000.0 $59.01 17/06/15 18:00 $1,930.00 $48,080.00 0.0219 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $59.01 17/06/15 18:00 $48,880.00 1000.0220 ProfitTargetLX Sell to Close -1 -1000.0 $59.81 17/06/15 22:00 $800.00 $48,880.00 0.0221 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $55.25 06/07/15 02:00 $48,420.00 1000.0222 StopLossLX Sell to Close -1 -1000.0 $54.52 06/07/15 14:00 ($730.00) $48,150.00 0.0223 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $52.69 06/07/15 22:00 $48,440.00 1000.0224 ProfitTargetLX Sell to Close -1 -1000.0 $53.19 07/07/15 10:00 $500.00 $48,650.00 0.0225 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $52.00 07/07/15 18:00 $49,580.00 1000.0226 ProfitTargetLX Sell to Close -1 -1000.0 $52.94 07/07/15 22:00 $940.00 $49,590.00 0.0227 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.30 08/07/15 18:00 $50,110.00 1000.0228 ProfitTargetLX Sell to Close -1 -1000.0 $51.81 08/07/15 22:00 $510.00 $50,100.00 0.0229 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $53.22 09/07/15 14:00 $50,240.00 -1000.0230 ProfitTargetSX Buy to Close 1 1000.0 $53.07 09/07/15 18:00 $150.00 $50,250.00 0.0231 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $52.79 13/07/15 18:00 $50,990.00 -1000.0232 ProfitTargetSX Buy to Close 1 1000.0 $52.05 13/07/15 22:00 $740.00 $50,990.00 0.0233 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.09 14/07/15 10:00 $51,800.00 1000.0234 ProfitTargetLX Sell to Close -1 -1000.0 $51.90 14/07/15 14:00 $810.00 $51,800.00 0.0235 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $53.21 15/07/15 02:00 $51,660.00 -1000.0236 ProfitTargetSX Buy to Close 1 1000.0 $52.75 15/07/15 10:00 $460.00 $52,260.00 0.0237 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $51.61 15/07/15 22:00 $52,350.00 1000.0238 ProfitTargetLX Sell to Close -1 -1000.0 $51.62 16/07/15 14:00 $10.00 $52,270.00 0.0239 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $49.27 29/07/15 18:00 $52,650.00 -1000.0240 ProfitTargetSX Buy to Close 1 1000.0 $48.87 29/07/15 22:00 $400.00 $52,670.00 0.0241 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $45.42 03/08/15 18:00 $52,590.00 1000.0242 ProfitTargetLX Sell to Close -1 -1000.0 $45.75 04/08/15 10:00 $330.00 $53,000.00 0.0243 Chronos_Strategy_CL(Sell) Sell to Open -1 -1000.0 $44.78 11/08/15 10:00 $54,030.00 -1000.0244 ProfitTargetSX Buy to Close 1 1000.0 $43.74 11/08/15 14:00 $1,040.00 $54,040.00 0.0245 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $43.24 11/08/15 18:00 $53,940.00 1000.0246 ProfitTargetLX Sell to Close -1 -1000.0 $43.57 12/08/15 14:00 $330.00 $54,370.00 0.0247 Chronos_Strategy_CL(Buy) Buy to Open 1 1000.0 $42.05 14/08/15 02:00 $54,290.00 1000.0




Below is how our system fared with Dow Futures :/YM and Euro FX Futures: /6E


Disclaimer Trading of Securities and Futures may not be suitable for everyone and involves the risk of losing part or all of clients money. Commentaries in this report are educational in nature and are designed to contribute to your general understanding of financial markets and technical analysis using various overlays. The information in this report reflects Chronos Futures output based on certain statistical and geometric specification fed to a system to parameterise Markets Dynamics. This report is only aimed for clients who consider themselves as sophisticated or professional and is not a recommendation to any one individual. Clients are requested to consult their own broker or Investment Advisor before taking action on the back of this report.

Chronos Futures (A subsidiary of Chronos Guardians Ltd)5 Sequoia Park

57 Brighton RoadCrawley

United KingdomRH11 8UA

Email: [email protected]: Chronos.FuturesTwitter: @chronosfutures



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