The CZ Trading System is a system composed of parameters based on technical analysis and operational rules. This system is designed for daytrade operations with Future Index and e-Mini-Future Index traded at the BM&F Bovespa. The entry and exit of the trade happens on the same day which means buying or selling positions are not carried into the next day, regardless of the expectations of the trader.
The parameters and rules of the system were studied and defined through backtests with the intraday data series of the Future Index since July 2008. The parameters and rules of the system cannot be violated, but can be changed through the implementation of new backtests to identify whether these changes improve the profitability of the system. Every trader who operates through trading systems should not believe that his system will always have the same effectiveness for the rest of his life. There are times when the system increases its profitability and in others where the system has a decrease in its profitability. This happens because the stock and futures market are in constant change due to the entry of new players in the market, new products, new technologies, new rules in the organization of markets and new economic conditions.
The CZ Trading System must be operated in a systematic way, this means that every time the system points out a buy or sell operation of the Future Index, the trade must be executed.
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Since the CZ Trading System focuses on daytrade operations, slippage and transaction costs (brokerage and fees) have an important weight in the profit sum of the operations. Slippage is the difference between the price of entry and exit signaled by the system and the price actually paid in the transaction. For example, if the system indicates to buy the Future Index at the price of 68,500 points and the operation is executed at the market with the average price of 68,505 points, the slippage in this case was 5 points. As the slippage increases, the profitability of the system decreases.
Below is a chart with the profits of the CZ Trading System according to the level of slippage.
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