Introduction to Tree3s Trading System & Methods

 

If you are anything like me, you may have tried courses on how to trade, you may have invested in two or three screens to watch the charts each day, been consumed by the whole opportunity, only to then become completely stressed and fatigued and emotional by the losses easily accrued! Tree3s¨ is the world's first 100% Fully Automated Robotic Index Futures & Commodities Market trade tool available to help the active strategic trader. 
If you are a complete novice or an experienced portfolio trader - this system will help and is so easy to use.

                                                                                                                                                Nicholas Cope – Index Futures

 

 

 

 

Tree3s¨ is a moderate low-frequency algorithmic trading program developed exclusively for TradeStation¨ & MultiCharts¨. The strategy is primarily a mathematical and computational scientific model of a complex automated system based on fractal analysis of price patterns and convergences together with a technical analysis for the placing long & short entry and exit trades into the stock market. Tree3s¨ is neither HFT/sniping algorithm nor a black box! Rather, it is a genuine traderÕs strategy and developed to assist the professional make money rather than replace the trader! Having been painstakingly designed and developed over many years, special attention has been given to the many considerations traders have when managing a portfolio and risk. With its diverse range of inputs Tree3s¨ has the flexibility to meet all trading needs.

Thousands of Computations every Minute

Tree3s¨ performs many thousands of calculations and algorithmic processes to ensure trade account integrity every minute. These processes consistently measure, monitor and calculate the next opportunity and make the trading system very effective when compared to traditional methods.

 

The Tree3s Trading System & Methods is trader-intuitive and allows full control of all trading activity. Long / short trades are placed in real-time as are the execution of all exit targets and stops.

 

There are many advantages when deploying the algorithmic trading strategy. One advantage is that misguided human emotions are removed from important trading decisions. The Tree3s trading system employs sophisticated calculations and algorithmic processes proprietary to the Tree3s Trading System & Methods that have been developed and rigorously tested over many years and extreme market conditions so the trader can be confident that the Account Under Management (AUM) is safe. Tree3s will take vital trading decisions and at the most critical times, which can often be after normal trading session hours, or in the early morning hours when most of the world is asleep. Algorithms monitor the technical outlook continuously watching every beat of the market. Exposure to risk is continuously appraised as both future anticipated and real-time market technical analysis change.

 

Tree3s will automatically manage system events and inform via automated alerts, regular e-mails and SMS text messages and updates directly to an iPhone, iPad or Blackberryª PDA allowing the trader to stay informed at all times.

 

Rather than just a series of indicators Tree3s is truly a most useful trading tool and low-frequency algorithmic trading system available to the private trader, hedge fund or large institutional investor.

 

The Tree3s ª program can be installed on your own trading computers, or alternatively the service can be managed from any secure dedicated server anywhere in the world.

 

Overview of Core Performance Results

Tree3s¨ Trading System (T3s) can be used by hedge funds, self-starters, strategic traders, active day-traders, institutional investors, alternative investment managers, long/short equity, high-net-worth individuals, proprietary traders and portfolio traders.

 

In a fully automated simulation run between 2004-2007, Tree3s produced between +31.89% to 73.78% annual return (the worst year was 2006 when it returned just 31.89%). Whereas, the most drawdown as a % of initial capital invested was controlled from 7.14% to 24.69%. The system shows greater profitability and with a Sharpe Ratio +1.5 and a Return on Capital of over 18% per annum with Sortino Ratios above +5 and Calmar Ratios typically well above +11 in normal and volatile market conditions. Typical Kelly % ranged between +24% and +88% during a typical 12 months.

 

Tree3s will automatically adjust position size as profits increase, but rather than immediately opt for increased profitability, Tree3s will adjust to reduce anticipated risk exposure. We can use margin (1:2 max), so margin could be from $0 up to $246,000 assuming a small initial account size of $123,000.

 

Value at Risk is very low with max. Cumulative Daily Drawdown less than 2% with a normal daily average nearer 0.5% and annualized monthly Standard Deviation between 1% and 5%. This consistently low risk daily trading, allows this system to be substantially geared up more safely by the more aggressive participants in the hedge fund industry that utilize higher leverage trading.

 

 

Back-testing the Index Trading System

The Tree3s¨ Trading System & Methods is an automated strategy built on the TradeStation¨ trading platform and connected via TradeBullet¨ to multiple brokers using either Pat Systems or Trading Technologies standard Fix Protocol.

 

The system has been developed to take advantage of the intra-day directional movements whilst ensuring that trading follows the primary trend. Tree3s manages all open positions and trades electronically almost non-stop: 24 hours a day and evening EST with adjusted margin requirements being catered for automatically. Advanced margin handling modules ensure account integrity and overnight margin requirements are maintained after regular session hours.

 

Tree3s will take positions in the market at identified reversal signals of intermediate swings and primary trend direction. Price inflections, together with geometric time progressions as real-time opportunity envelopes open and provide low risk and high profit trade opportunities. As trading position unfolds Tree3s will deploy a 3-tier trailing-stop mechanism in addition to stop-losses. This ensures that profits are secured as the trading session progresses. You can rest assured that profits are safeguarded against sudden moves.

 

Screenshots-#1

 

Screenshot #1  Fully Automated Intraday Trading Optimization and Reversal in real-time


 

BackTest of portfolio Tree3s¨ Trading System

The back-testing of Tree3s has been generated from the TradeStationª Strategy Performance Report.

 

For illustration only, the following charts show the results and trade statistics the Tree3s¨ Trading System generated whilst trading the S&P e-mini during the 3 most volatile and difficult trading years the market has experienced during the uninterrupted consecutive years from 4th April of 2004 to the 23rd December of 2007. More recent and full reports are available upon request.

 

 

 

Screenshots-#3

 

Screenshots-#5

 

Screenshot #2   demonstrates Profitable even when trading against the trend

 

Screenshots-#4

 

Screenshot #3   showing Profitable using Stops and managing sudden market moves

 

 

 

Tree3s from April 2004 to December 2007

:BackTest Results:eBay Tree3s Pictures:Equity-Curve.gif

 

Chart 1   Accumulated Equity Curve from 4th April 2004 to 23rd December 2007

 

 

Next we can see the 3 year statistical results from trading with an AUM Investment Capital of $343,000.

 

Tree3s Statistics 2004 to December 2007

:BackTest Results:eBay Tree3s Pictures:Performance-Summary.gif

Table 1  Tree3s Trading System Performance Summary

 

 

Initial Capital

$343,000

 

Total Net Profit

$1,523,821.50

 

Return on Initial Capital

444.26%

 

Sharpe Ratio

0.53

 

Gross Profit

$1,625,925.50

 

Gross Loss

($102,104.00)

 

Profit Factor

15.92

 

Number of Total Trades

7221

 

Number of Winning Trades

6707

 

Number of Losing Trades

514

 

Percent Profitable

92.88%

 

Average Trade Net Profit

$211.03

 

Average Winning Trade

$242.42

 

Average Losing Trade

($198.65)

 

Ratio Avg. Win: Avg. Loss

1.22

 

Largest Winning Trade

$6,466.50

 

Largest Losing Trade

($4,671.00)

 

Largest Winner as % of Gross Profit

0.40%

 

Largest Loser as % of Gross Loss

4.57%

 

Max DrawDown (Trade Close to Trade Close)

($24,480.50)

7.14% as a % of Initial Capital

 

Table 2 Tree3s  Trading System  Statistics

 

 

Chart 2   DrawDowns from 4th April 2004 to 23rd December 2007

 

 

 

Chart 3   Monthly Accumulative Net Profit from 4th April 2004 to 23rd December 2007

 

:BackTest Results:eBay Tree3s Pictures:343k1MonthlyNetProfit.gif

 

Chart 4   Monthly Net Profit from 4th April 2004 to 23rd December 2007

 

 

:BackTest Results:eBay Tree3s Pictures:343k1TradeAnalysis.gif

 

Table 3  Tree3s Trading System  Trade Analysis

 

 

 

:BackTest Results:eBay Tree3s Pictures:Annual-Returns.gif

 

Table 4  Tree3s Trading System  Annual Returns

 

The results of this portfolio are expressed in US dollars. All the results take into consideration slippages, exchange and brokerage costs, which include trading system platform fees, real-time data fees and the $5 round-trip commission cost per contract. We have applied a generous slippage average of 3 ticks per round-trip transaction. The cost or lease of Tree3s is NOT factored into the performance values. All trades are based on 1 S&P E-mini contract with profits being reinvested. Profits do not take into consideration any management or incentive fees that might be charged typically at 2% and 20% respectively. The method used to determine purchase and sale prices for each trade is established by mathematical and algorithmic computation that is proprietary to the Tree3s Trading System & Methods.

 

WE ARE OBLIGED TO STATE THE FOLLOWING:

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 many other hypothetical performance results is that they appear in general to be prepared with the benefit of hindsight. Whereas we cannot comment on results of other comparable systems, we are qualified to comment on our own. We can assure you that the results shown here are realistic and reflect accurately the results you can actually expect. However, we have a duty to say that 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.

 

TradeStation is a registered trademark of TradeStation Group, Inc. and neither TradeStation Technologies nor any of its affiliates has reviewed, certified, endorsed, approved, disapproved or recommended, and neither does nor will review, certify, endorse, approve, disapprove, or recommend, any trading software or trading software tool that is designed to be compatible with TradeStation Open Platform.

 

TradeStation Performance Summary for 12 months ending 2013 starting with INITIAL INVESTMENT AUM capital of $123,000

 

 

 FULL AUTO – LONG & SHORT

All Trades

Long Trades

Short Trades

Total Net Profit

$282,902.00

$239,443.00

$43,459.00

Gross Profit

$285,534.50

$241,266.50

$44,268.00

Gross Loss

($2,632.50)

($1,823.50)

($809.00)

Profit Factor

108.47

132.31

54.72

 

 

 

 

Roll Over Credit

$0.00

$0.00

$0.00

Open Position P/L

$576.50

$576.50

$0.00

 

 

 

 

Select Total Net Profit

$225,125.00

$185,559.50

$39,565.50

Select Gross Profit

$227,366.00

$187,383.00

$39,983.00

Select Gross Loss

($2,241.00)

($1,823.50)

($417.50)

Select Profit Factor

101.46

102.76

95.77

 

 

 

 

Adjusted Total Net Profit

$277,285.36

$234,095.93

$41,548.33

Adjusted Gross Profit

$280,060.63

$236,029.00

$42,459.26

Adjusted Gross Loss

($2,775.27)

($1,933.06)

($910.92)

Adjusted Profit Factor

100.91

122.10

46.61

 

 

 

 

Total Number of Trades

3061

2399

662

Percent Profitable

88.89%

88.45%

90.48%

Winning Trades

2721

2122

599

Losing Trades

340

277

63

Even Trades

0

0

0

 

 

 

 

Avg. Trade Net Profit

$92.42

$99.81

$65.65

Avg. Winning Trade

$104.94

$113.70

$73.90

Avg. Losing Trade

($7.74)

($6.58)

($12.84)

Ratio Avg. Win:Avg. Loss

13.55

17.27

5.76

Largest Winning Trade

$2,144.50

$2,144.50

$1,107.00

Largest Losing Trade

($130.50)

($18.00)

($130.50)

Largest Winner as % of Gross Profit

0.75%

0.89%

2.50%

Largest Loser as % of Gross Loss

4.96%

0.99%

16.13%

 

 

 

 

Net Profit as % of Largest Loss

216783.14%

1330238.89%

33301.92%

Select Net Profit as % of Largest Loss

172509.58%

1030886.11%

30318.39%

Adjusted Net Profit as % of Largest Loss

212479.21%

1300532.96%

31837.80%

 

 

 

 

Max. Consecutive Winning Trades

179

179

96

Max. Consecutive Losing Trades

12

12

6

Avg. Bars in Total Trades

750.49

892.82

234.69

Avg. Bars in Winning Trades

823.16

998.10

203.40

Avg. Bars in Losing Trades

168.93

86.30

532.22

Avg. Bars in Even Trades

0.00

0.00

0.00

 

 

 

 

Max. Shares/Contracts Held

35

35

27

Total Shares/Contracts Held

3065

2403

662

Account Size Required

$391.50

$108.00

$391.50

Total Slippage

$1,530.50

$1,199.50

$331.00

Total Commission

$15,305.00

$11,995.00

$3,310.00

 

 

 

 

Return on Initial Capital

230.00%

 

 

Annual Rate of Return

39.75%

 

 

Buy & Hold Return

32.80%

 

 

Return on Account

72261.05%

 

 

Avg. Monthly Return

$21,805.40

 

 

Std. Deviation of Monthly Return

$27,713.95

 

 

 

 

 

 

Return Retracement Ratio

2.29

 

 

RINA Index

11709.83

 

 

Sharpe Ratio

0.88

 

 

K-Ratio

n/a

 

 

 

 

Trading Period

1 Yr,  21 Dys, 19 Hrs, 42 Mins

 

 

Percent of Time in the Market

8.72%

 

 

Time in the Market

3 Mths, 3 Dys, 16 Hrs, 19 Mins

 

 

Longest Flat Period

42 Dys, 20 Hrs, 10 Mins

 

 

 

 

 

 

Max. Equity Run-up

$284,672.75

 

 

Date of Max. Equity Run-up

12/23/13 17:26

 

 

Max. Equity Run-up as % of Initial Capital

231.44%

 

 

 

 

 

 

Max. Drawdown (Intra-day Peak to Valley)

Value

($134,530.25)

($134,530.25)

($21,055.75)

Date

06/24/13 17:21

 

 

as % of Initial Capital

109.37%

109.37%

17.12%

Net Profit as % of Drawdown

210.29%

177.98%

206.40%

Select Net Profit as % of Drawdown

167.34%

137.93%

187.91%

Adjusted Net Profit as % of Drawdown

206.11%

174.01%

197.33%

 

 

 

 

Max. Drawdown (Trade Close to Trade Close)

Value

($391.50)

($108.00)

($391.50)

Date

09/22/13 23:01

 

 

as % of Initial Capital

0.32%

0.09%

0.32%

Net Profit as % of Drawdown

72261.05%

221706.48%

11100.64%

Select Net Profit as % of Drawdown

57503.19%

171814.35%

10106.13%

Adjusted Net Profit as % of Drawdown

70826.40%

216755.49%

10612.60%

 

 

 

 

Max. Trade Drawdown

($4,775.00)

($4,775.00)

($2,512.50)

 

 

C:\Users\Chronus\Desktop\IndexTS on eBay\1.png

 

TradeStation Performance Summary for 12 months ending 2013 starting with INITIAL INVESTMENT AUM capital of $3,999,999

 

 

 

FULL AUTO – BUY DIPS ONLY

All Trades

Long Trades

Short Trades

Total Net Profit

$5,536,131.50

$5,536,131.50

$0.00

Gross Profit

$5,544,767.50

$5,544,767.50

$0.00

Gross Loss

($8,636.00)

($8,636.00)

$0.00

Profit Factor

642.05

642.05

n/a

 

 

 

 

Roll Over Credit

$0.00

$0.00

$0.00

Open Position P/L

$0.00

$0.00

$0.00

 

 

 

 

Select Total Net Profit

$4,594,440.50

$4,594,440.50

$0.00

Select Gross Profit

$4,601,481.00

$4,601,481.00

$0.00

Select Gross Loss

($7,040.50)

($7,040.50)

$0.00

Select Profit Factor

653.57

653.57

n/a

 

 

 

 

Adjusted Total Net Profit

$5,354,098.20

$5,354,098.20

$0.00

Adjusted Gross Profit

$5,364,396.20

$5,364,396.20

$0.00

Adjusted Gross Loss

($10,298.00)

($10,298.00)

$0.00

Adjusted Profit Factor

520.92

520.92

n/a

 

 

 

 

Total Number of Trades

972

972

0

Percent Profitable

97.22%

97.22%

0.00%

Winning Trades

945

945

0

Losing Trades

27

27

0

Even Trades

0

0

0

 

 

 

 

Avg. Trade Net Profit

$5,695.61

$5,695.61

$0.00

Avg. Winning Trade

$5,867.48

$5,867.48

$0.00

Avg. Losing Trade

($319.85)

($319.85)

$0.00

Ratio Avg. Win:Avg. Loss

18.34

18.34

n/a

Largest Winning Trade

$62,204.50

$62,204.50

$0.00

Largest Losing Trade

($1,595.50)

($1,595.50)

$0.00

Largest Winner as % of Gross Profit

1.12%

1.12%

n/a

Largest Loser as % of Gross Loss

18.47%

18.47%

n/a

 

 

 

 

Net Profit as % of Largest Loss

346984.11%

346984.11%

n/a

Select Net Profit as % of Largest Loss

287962.43%

287962.43%

n/a

Adjusted Net Profit as % of Largest Loss

335574.94%

335574.94%

n/a

 

 

 

 

Max. Consecutive Winning Trades

293

293

0

Max. Consecutive Losing Trades

4

4

0

Avg. Bars in Total Trades

1356.07

1356.07

0.00

Avg. Bars in Winning Trades

1387.86

1387.86

0.00

Avg. Bars in Losing Trades

243.37

243.37

0.00

Avg. Bars in Even Trades

0.00

0.00

0.00

 

 

 

 

Max. Shares/Contracts Held

1015

1015

0

Total Shares/Contracts Held

27564

27564

0

Account Size Required

$1,595.50

$1,595.50

$0.00

Total Slippage

$486.00

$486.00

$0.00

Total Commission

$137,820.00

$137,820.00

$0.00

 

 

 

 

Return on Initial Capital

138.40%

 

 

Annual Rate of Return

28.96%

 

 

Buy & Hold Return

33.89%

 

 

Return on Account

346984.11%

 

 

Avg. Monthly Return

$461,344.29

 

 

Std. Deviation of Monthly Return

$401,132.50

 

 

 

 

 

 

Return Retracement Ratio

2.27

 

 

RINA Index

7798.70

 

 

Sharpe Ratio

1.20

 

 

K-Ratio

n/a

 

 

 

Trading Period

1 Yr,  21 Dys, 19 Hrs, 42 Mins

 

Percent of Time in the Market

6.34%

 

 

Time in the Market

2 Mths, 8 Dys, 12 Hrs, 13 Mins

 

 

Longest Flat Period

50 Dys, 14 Hrs, 27 Mins

 

 

 

 

 

 

Max. Equity Run-up

$5,635,146.00

 

 

Date of Max. Equity Run-up

12/23/13 17:26

 

 

Max. Equity Run-up as % of Initial Capital

140.88%

 

 

 

 

 

 

Max. Drawdown (Intra-day Peak to Valley)

Value

($1,313,590.00)

($1,313,590.00)

$0.00

Date

04/18/13 19:59

 

 

as % of Initial Capital

32.84%

32.84%

0.00%

Net Profit as % of Drawdown

421.45%

421.45%

n/a

Select Net Profit as % of Drawdown

349.76%

349.76%

n/a

Adjusted Net Profit as % of Drawdown

407.59%

407.59%

n/a

 

 

 

 

Max. Drawdown (Trade Close to Trade Close)

Value

($1,595.50)

($1,595.50)

$0.00

Date

05/03/13 13:33

 

 

as % of Initial Capital

0.04%

0.04%

0.00%

Net Profit as % of Drawdown

346984.11%

346984.11%

n/a

Select Net Profit as % of Drawdown

287962.43%

287962.43%

n/a

Adjusted Net Profit as % of Drawdown

335574.94%

335574.94%

n/a

 

 

 

 

Max. Trade Drawdown

($113,100.00)

($113,100.00)

$0.00