Futures trading systems and money-management techniques, back-tested on a portfolio basis: This set bundles all the Futures Trading System Lab articles that appeared in Futures & Options Trader magazine in 2007. Each article includes the in-depth back-testing and analysis used in all the Active Trader Magazine Group's publications.

Note: These articles are designed to show the good, bad, and ugly of trade ideas. As a result, back-testing results in some articles may indicate a system or trade idea is likely to be unprofitable.

You can purchase this article collection for 30% off. The price listed is the discounted price.


ARTICLE 1: "Extraordinary opportunities money management" (Futures & Options Trader, April 2007)
This Lab highlights a money-management idea introduced by Tushar S. Chande in his book by Beyond Technical Analysis (1997, John Wiley & Sons, Inc.). The method is based on the premise that once in a while positive "outliers" — such as prolonged trends or violent moves — occur in favor of an open position, and that by identifying when these events are most likely to occur, you can increase your trade size to capture outsized profits.

ARTICLE 2: "ADX Consolidation Breakout 1" (Futures & Options Trader, May 2007)
This system is designed to trade breakouts from consolidations defined by the Average Directional Movement Index (ADX), an indicator designed to measure whether a price is trending without regard to the direction of the trend.

ARTICLE 3: "KAMA Range Trader1" (Futures & Options Trader, June 2007)
Like May 2007’s Futures Trading System Lab ("ADX Consolidation Breakout 1"), this system focuses on trading ranges. It does this by executing short-term trades with a price pattern after a combination of indicators has identified suitable range-bound price action. Kaufman’s Adaptive Moving Average (KAMA) is a dynamic indicator developed by Perry Kaufman and described in his books New Trading Systems and Methods (Wiley, 2005).

ARTICLE 4: "Commodity Selection Index (CSI)" (Futures & Options Trader, July 2007)
Although the Futures Trading System Lab has previously examined an approach for ranking trading signals (including "Extraordinary opportunities," Futures & Options Trader, April 2007), this lab analyzes whether using a mechanical method for selecting the markets in a futures portfolio can improve the performance of a trend-following system.

ARTICLE 5: "The Price Movement Index (PMI)" (Futures & Options Trader, August 2007)
Similar to last month’s test, the trend-following strategy used here will take trade signals in the markets with the five highest PMI readings at the time of entry. The strategy identifies an uptrend after a certain number of consecutive closes above (below for downtrends and short trades) the trailing close from approximately a month ago.

ARTICLE 6: "Trend pullback with progressive target" (Futures & Options Trader, September 2007)
This system combines a pullback rule to enter existing trends with a "moving target" exit approach that closes positions when the market is still moving in the trade’s favor.

ARTICLE 7: "Consecutive gap closer" (Futures & Options Trader, October 2007).
The May 2003 Futures Trading System Lab ("Gap closer") tested the trading axiom, "All gaps are eventually closed." The following test explores a variation of this simple rule — trading with the expectation of a filled gap after consecutive "opening gaps."

ARTICLE 8: "Reverse-trade equity management futures" (Futures & Options Trader, November 2007)
This test studies a trading system’s equity curve to find out if a basic trend-following system can be improved by adjusting it depending on whether the system is in a profitable or unprofitable phase. Purchased separately, these eight articles would cost a total of $36. You can buy the entire collection as a single PDF file for $25.20 — that’s 30% off.