What is the CZ Trading System?
The CZ Trading System is a system composed of a methodology based on technical analysis combined with an operational strategy.
The system is of a trend following type because most of its rules are based on trend following technical indicators. Its operations are directed exclusively to daytrade with the Future Index or e-Mini Future Index. The methodology of the system seeks to be part of the moments in which the prices of these contracts are in trend. The system has the characteristic of having a winning rate below 50% (38% between July/08 and April/12), but this is counterbalanced by a high average of points earned in the winning trades and a low average of points lost in the loosing trades.
The database for the backtest of the system begins in July/2008 and extends to the present day. Since the beginning of the use of the system in March 2009, no change was made in the methodology and operational rules. Several studies of the use of filters have been performed in order to improve the system, but none has generated a significant improvement in the results of the system that justified the incorporation of the filters.
The buy or sell orders are emitted manually to the market, but this process can automated in the form of a robo-trader simply by having the knowledge and technology.
The trades of the system are exclusively focused on daytrade for two reasons: first, is the leverage that the trader can have with this type of operation, and second, is the elimination of overnight risk.
A major risk associated with the use of this system refers to the slippage. This term represents the difference between the price the system flags that the Future Index should be bought or sold, and the price in which the operation is effectively traded. This is critical because if these prices differ largely, the profitability of the CZ Trading System reduces substantially and may even make the system unprofitable. In the section "Profitability" is a table that shows the impact of slippage on the profitability of the CZ Trading System. The slippage is a problem that affects all Trading System, whatever its frequency, but for daytrade systems its relevance is much greater.
In the section "Articles" there is a post titled Trading Systems explaining some concepts mentioned in this text and may help to better understand the CZ Trading System. If you have further interest or questions leave your comments in the daily posts or if you prefer, send an email to cztradingsystem@gmail.com or fill out the contact form in the section "Contact”.
