I-MASTER
INDEX TRADING SYSTEM

Though the system was developed across seven indices, only three are considered tradeable: the S&P 500, the NASDAQ, and the Russell 2000. The others have liquidity problems, or performance isn't as good as the three selected.

Full-Size S&P 500. Using a slippage/commission figure of $300 for full-size S&P trades, the following figure shows the equity curve that would have occurred if a one-lot full-size S&P contract was traded at each signal.

The following performance summary was attained for the S&P from 1996.

The system is very profitable on the full-size contract, netting $644,548. Of particular note is the balance between long and short trades. Despite the relentless uptrend of the S&P over this timeframe, short-side profits are almost half of long profits.

FULL-SIZE NASDAQ. Using a slippage/commission figure of $300 for full-size NASDAQ trades, the following figure shows the equity curve that would have occurred if a one-lot full-size NASDAQ contract was traded at each signal.

The following performance summary was attained for the NASDAQ from 1996.

The system is very profitable on the full-size NASDAQ contract, netting almost one million dollars. In the case of the NASDAQ, there is good balance between the long and short sides, with short-side profits actually greater than those on the long side.

Russell 2000. Using a slippage/ commission figure of $300 for Russell 2000 trades, the following figure shows the equity curve that would have occurred if a one-lot Russell 2000 contract was traded at each signal.

The following performance summary was attained for the Russell 2000 from 1996.

Again, the system is very profitable, netting $500,450, and the profit is evenly distributed between the long and short sides.

FULL-SIZE S&P MIDCAP. Using a slippage/commission figure of $300 for S&P Midcap trades, the following figure shows the equity curve that would have occurred if a one-lot Midcap contract was traded at each signal.

The following performance summary was attained for the S&P Midcap from 1996.

Again, the system is very profitable, netting $473,574, and the profit is fairly distributed between the long and short sides.

All performance figures in this marketing piece are based on hypothetical trades. CSI's continuous, backadjusted contracts were used. For each full-size contract trade, $300 was deducted for slippage and commission, while $60 was deducted from each E-Mini trade. The figures also account for the S&P contact change that occurred in September 1997. Full-size 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 E-Mini trading with Aberration and Aztec portfolios, the E-Mini was simulated prior to September 1997 by using full-size data and a dollar per point value of one-fifth the value of the full-size contract. 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."

I-Master has a number of characteristics that set it apart from other index systems:

• It was developed over seven indices to yield a large sample size of trades. This minimizes curve-fitting.
• The system enters on stops, but a realistic slippage/ commission figure of $300 for full-size contract trades has been deducted. The reason most S&P systems fail in real time is due to unrealistic slippage/commission estimates. A figure of $100 is routinely used, even in Futures Truth reporting. That figure is much lower than will be achieved in actual trading. Most highly rated S&P systems actually lose money in real-time due to this fact.
• Long and short trade performance is balanced. Most index systems are highly biased to the long side due to the sustained uptrend of the S&P in the 1980s and 1990s. I-Master is evenly balanced between long- and short-side profits.
• An important feature of this system is the ability to trade E-Mini contracts in the S&P and NASDAQ. Many traders' account size will not allow the trading of a full-size contract with this system because of the drawdown potential. But the system makes enough profit-per-trade to make the trading of an E-Mini S&P a viable option.