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Gap Trader InformationOver the years CK Locke and Partners have backtested and applied many systems to suit different markets and situations and have developed a day trading application (Gap Trader) that can be traded on the SPI 200 Futures Contract and is suited to a volatile trading environment.
Rather than trading each day, the Gap Trader waits for the market to be in the correct setup before entering any trades and always uses Stop Loss orders to protect the position when trading.
Trading signals are generated by a percentage rise or fall from the opening stock index futures price in relation to the previous days closing price. Hence the application is designed to potentially exploit market inefficiencies that exist when stock index futures prices gap up or down too far.
When a sufficient gap exists, the strategy generates an order to "buy" when the SPI gaps down or "sell" when the market gaps up, hence the direction of the trade is in the opposite direction of the respective gap.
The strategy facilitates efficient money management because positions are opened and closed during the one session, eliminating any potential overnight risk.
Entry criteria is fully mechanical, hence eliminating subjectivity and/or procrastination.
Compound Returns
Most of our clients have also been using the benefits of compounding to increase the returns. With compounding returns, if after a few wins the account value increases by units of $10,000 (Compound I) or by units of $5,000 (Compound II) then the number of contracts increases (decreases) by 1 lot. This way with an increasing account the number of contracts also increases along with it, potentially increasing (decreasing) the return along with it.
Of course with this compounding there is also the risk of greater losses so we also make sure that if the account goes down by the same unit multiples then the lots traded are adjusted as well. Of course as we are intraday trading there is no overnight risk but we still think it is better to adjust the lots traded to suit the size of the account and hopefully build up over time.
For your information below are details of the live trade results along with compounding accounts I ($10,000 units) and II ($5,000 units above starting $10,000). These details include the Net Profit as well as the Max Drawdown in both dollars and percentages so you can view the recent profit and risks for the different accounts.
| Locke Futures GAP Trader Live Results from Dec 2008 |
| Based on actual Live trading results including slippage. |
| If there were any split fills then the worst price is used. |
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| Summary |
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Single A/c |
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Compound I A/c |
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Compound II A/c |
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| Net Profit |
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$13,295.00 |
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$13,370.00 |
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$22,405.00 |
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| ROI |
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132.95% |
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133.70% |
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224.05% |
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| Max Drawdown |
-$2,535.00 |
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-$3,045.00 |
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-$7,870.00 |
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| Max % Drawdown |
-12.58% |
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-15.11% |
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-31.16% |
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| Ave Win |
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$1,170.88 |
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$1,277.06 |
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$2,487.35 |
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| Average Loss |
-$600.91 |
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-$758.18 |
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-$1,807.27 |
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| Payoff Ratio |
1.95 |
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1.68 |
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1.38 |
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| Trades |
28 |
Wins |
17 |
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Losses |
11 |
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Win/Loss Ratio |
60.71% |
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Maximum Consecutive Wins |
4 |
Maximum Consecutive Losses |
4 |
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| Date |
Buy/Sell |
W/L |
Net Pts |
Net P/L |
Single A/c |
Compound I A/c |
Compound II A/c |
| 01-Dec-08 |
Invest |
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$10,000.00 |
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# |
$10,000.00 |
# |
$10,000.00 |
| 02-Dec-08 |
Buy |
Win |
40.6 |
$1,015.00 |
$11,015.00 |
1 |
$11,015.00 |
1 |
$11,015.00 |
| 04-Dec-08 |
Sell |
Win |
107.6 |
$2,690.00 |
$13,705.00 |
1 |
$13,705.00 |
1 |
$13,705.00 |
| 24-Dec-08 |
Buy |
Loss |
-20.4 |
-$510.00 |
$13,195.00 |
1 |
$13,195.00 |
1 |
$13,195.00 |
| 05-Jan-09 |
Sell |
Win |
99.6 |
$2,490.00 |
$15,685.00 |
1 |
$15,685.00 |
1 |
$15,685.00 |
| 12-Jan-09 |
Buy |
Win |
43.6 |
$1,090.00 |
$16,775.00 |
1 |
$16,775.00 |
2 |
$17,865.00 |
| 15-Jan-09 |
Buy |
Loss |
-23.4 |
-$585.00 |
$16,190.00 |
1 |
$16,190.00 |
2 |
$16,695.00 |
| 30-Jan-09 |
Buy |
Win |
40.6 |
$1,015.00 |
$17,205.00 |
1 |
$17,205.00 |
2 |
$18,725.00 |
| 09-Feb-09 |
Sell |
Win |
24.6 |
$615.00 |
$17,820.00 |
1 |
$17,820.00 |
2 |
$19,955.00 |
| 11-Feb-09 |
Buy |
Win |
67.6 |
$1,690.00 |
$19,510.00 |
1 |
$19,510.00 |
2 |
$23,335.00 |
| 24-Feb-09 |
Buy |
Win |
25.6 |
$640.00 |
$20,150.00 |
1 |
$20,150.00 |
3 |
$25,255.00 |
| 11-Mar-09 |
Sell |
Loss |
-20.4 |
-$510.00 |
$19,640.00 |
2 |
$19,130.00 |
4 |
$23,215.00 |
| 24-Mar-09 |
Sell |
Loss |
-23.4 |
-$585.00 |
$19,055.00 |
1 |
$18,545.00 |
3 |
$21,460.00 |
| 02-Apr-09 |
Sell |
Loss |
-23.4 |
-$585.00 |
$18,470.00 |
1 |
$17,960.00 |
3 |
$19,705.00 |
| 14-May-09 |
Buy |
Loss |
-24.4 |
-$610.00 |
$17,860.00 |
1 |
$17,350.00 |
2 |
$18,485.00 |
| 03-Jul-09 |
Buy |
Win |
2.6 |
$65.00 |
$17,925.00 |
1 |
$17,415.00 |
2 |
$18,615.00 |
| 08-Jul-09 |
Buy |
Win |
52.6 |
$1,315.00 |
$19,240.00 |
1 |
$18,730.00 |
2 |
$21,245.00 |
| 16-Jul-09 |
Sell |
Loss |
-24.4 |
-$610.00 |
$18,630.00 |
1 |
$18,120.00 |
3 |
$19,415.00 |
| 24-Aug-09 |
Sell |
Loss |
-27.4 |
-$685.00 |
$17,945.00 |
1 |
$17,435.00 |
2 |
$18,045.00 |
| 02-Nov-09 |
Buy |
Win |
7.6 |
$190.00 |
$18,135.00 |
1 |
$17,625.00 |
2 |
$18,425.00 |
| 22-Jan-10 |
Buy |
Win |
7.6 |
$190.00 |
$18,325.00 |
1 |
$17,815.00 |
2 |
$18,805.00 |
| 05-Feb-10 |
Buy |
Loss |
-28.4 |
-$710.00 |
$17,615.00 |
1 |
$17,105.00 |
2 |
$17,385.00 |
| 05-May-10 |
Buy |
Win |
33.6 |
$840.00 |
$18,455.00 |
1 |
$17,945.00 |
2 |
$19,065.00 |
| 07-May-10 |
Buy |
Win |
65.6 |
$1,640.00 |
$20,095.00 |
1 |
$19,585.00 |
2 |
$22,345.00 |
| 21-May-10 |
Buy |
Win |
104.6 |
$2,615.00 |
$22,710.00 |
1 |
$22,200.00 |
3 |
$30,190.00 |
| 27-May-10 |
Sell |
Win |
57.6 |
$1,440.00 |
$24,150.00 |
2 |
$25,080.00 |
5 |
$37,390.00 |
| 07-Jun-10 |
Buy |
Loss |
-28.4 |
-$710.00 |
$23,440.00 |
2 |
$23,660.00 |
6 |
$33,130.00 |
| 30-Jun-10 |
Buy |
Win |
14.6 |
$365.00 |
$23,805.00 |
2 |
$24,390.00 |
5 |
$34,955.00 |
| 08-Jul-10 |
Sell |
Loss |
-20.4 |
-$510.00 |
$23,295.00 |
2 |
$23,370.00 |
5 |
$32,405.00 |
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