B-Master is an econometric-based trading system for US interest rate futures. The system uses long-term, stable relationships between these interest rate futures and other elements of the economy to determine whether interest rates will rise, fall, or remain range-bound. The average trade length is about 10 days. The system was developed by Murray Ruggiero, a well-know futures analyst and author.

There are a number of unique features to B-Master:

• Econometric-Based. The system uses relationships with elements of the US economy, rather than price movement, to determine entry and exit. These relationships include: the current status of the yield curve as measured by five-year and ten-year yields; the correlation between the instrument and semi-precious metals as represented by silver futures; the correlation between the instrument and industrial-use metals, as represented by cash nickel prices; the correlation between the instrument and the stock market, as represented by the S&P 500 futures prices; and reliable seasonal tendencies of the instruments.



• Model Reliability. Each econometric relationship has stood the test of time. Each was tested back to 1980 and has been consistently reliable.



• Low Correlation with Trend-Following Strategies.
  B-Master is an ideal compliment to trend-following systems, such as Aberration, because it is not a price-based entry system, not does it use a trailing stop to signal the end of the move.



• Robustness. This system was developed across six US interest-rate futures. The exact same rules and parameter values are used for each tradeable. Performance was consistently outstanding across all six.



• Large Sample Size. We have found that the degree of curve-fitting is directly proportional to the number of trades in the development sample. This system was developed across six interest rate vehicles to yield a large number of trades in the development sample. Using commodity data from 1 Jan 1980 through 30 October 2003, there were a total of 1,630 trades in the development sample.



• Ease of Trading. Entry is accomplished by placing a limit order before the start of trading.

ECONOMETRIC MODEL

Murray Ruggiero has studied and written about inter-market relationships for over a decade. One of the richest areas for research is the relationship between interest rates and elements of the economy. Nobel prizes have been won for research in this area, and most large banks and investment firms have research arms devoted to considering all the available economic data in an effort to forecast interest rates.

Murray has settled on a number of proprietary econometric models, each of which performs well across the six interest rate futures. The following breakout shows the performance across all the models on the individual futures. The time period is from 1 Jan 1980 through 15 October 2003, and a commission deduction of $40 was taken from each trade.