ASCENDX S&P Trading System

ASCENDX is two S&P 500 commodity trading systems, a counter-trend system that uses daily bars (ASCENDX-D) and a trend-following system that uses hourly bars (ASCENDX-H). Because the two systems use different timeframes and entry methodologies, they are complimentary: you are better off trading a combination of the two than either alone. Both systems have impressive performance over the life of the S&P in its commodity form. This robust performance is important because most S&P systems lose effectiveness after a short shelf-life. They were designed to trade the S&P in its current incarnation, and when it changes, performance degrades.

Performance Overview

Both the daily-bar and hourly-bar systems will be fully detailed in this material, but as an introduction, the following TradeStation-type summaries are presented for each system.

All performance figures in this marketing piece are based on hypothetical trades. For the daily-bar system, CSI continuous, backadjusted contracts were used, while the hourly-bar system used GENESIS continuous, backadjusted hourly bar data. For each full-size S&P trade, $100 was deducted for slippage and commission, while $40 was deducted from each E-Mini S&P trade. The figures also account for the S&P contact change that occurred in September 1997. Trades before that date use a dollar per point value of $500, while later trades use $250 dollars per point.

Additionally, for the data reflecting ASCENDX E-Mini S&P trading with Aberration portfolios, the E-Mini was simulated prior to September 1997 by using full-size S&P data and a dollar per point value of $100 (one-fifth the value of the full-size S&P during that time-frame). The CFTC notice concerning hypothetical performance should be noted:

NOTICE: "HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS."

System Disclosure

The Aberration system is a fully disclosed system, and we at TradeSystem, Inc. fully understand the desirability of releasing disclosed systems. However, the widespread software piracy of trading systems that is taking place on the internet has caused us to take precautions. It is unfortunate that the same people who pay for trading software diminish its effectiveness by freely distributing it. One of the precautions is the "black box" nature of the hourly bar system. The daily bar system is fully disclosed, but the hourly bar is not. Another precaution is the disclosure agreement an ASCENDX purchaser will have to sign to complete the transaction. The purchaser will have to agree that he won't transfer, distribute, or disclose the rules, manual, or software. This step is distasteful to us, but any purchaser who intends to trade it for his account alone should have no problem with the disclosure agreement.

• A manual that details the rules of the daily bar system, and discusses the entry and exit criteria of the hourly bar system. The manual details the past performances of each system to include trade summaries for each, and shows how to trade the system with a small, medium or large account, or in conjunction with the Aberration portfolios.
• A standalone, Windows-based program that allows backtest and signal generation for the daily-bar system.
• A standalone, Windows-based program that allows backtest of ASCENDX, Aberration, and Aberration Plus. Integrated portfolios can be tested as was done for this promotional piece.
• TradeStation 4.0 code for both the daily-bar and hourly-bar systems.
• Full support.