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THIS IS A LEGACY SYSTEM THAT WAS SOLD WHEN TREND-FOLLOWING WORKED ON THE DOMESTIC MARKETS. I DO NOT SELL IT ANYMORE. THE MATERIALS WILL BE UPDATED PERIODICALLY FOR THOSE INTERESTED IN SEEING HOW COMPLETELY THE DOMESTIC COMMODITY MARKETS HAVE CHANGED.

Keith Fitschen's Clipper Trading System

My name is Keith Fitschen and I developed the Clipper Trading System to trade a basket of commodities. Using a simple entry technique, it profitably trades across the eight commodity groups: the grains, meats, softs, metals, energy products, currencies, financials, and stock indices. The strategy issues trading signals when a commodity is strongly trending, either up or down. Clipper has a tight volatility-based stop for risk control. Across all trades, the stop averages about $460 away from the entry price. This keeps loses small, while letting winners run; the average winning trade is almost three times as large as the average loser. Clipper holds trades for about 18 days on average and nets $184 per trade after a slippage/commission deduction of $50.

The Clipper Trading System: Performance by Commodity

The key to this commodity futures trading strategy's consistency is diversification across the commodity groups. While some systems only trade the currencies, financials, or stock indices, Clipper profitably trades all eight of the basic commodity groups. The exposure to all groups allows profits from the "moving" group to make up for losses in other groups. In the course of a year, a number of commodities in each group will strongly trend, which sets up the entry. Clipper pinpoints these, and the profits from those trades will more than offset the losses from the other groups. System performance, by commodity, from 1980 through June 2012 is shown below. These figures were generated using continuous, back-adjusted contracts. A $50 slippage/commission deduction was taken from each trade.

Clipper Trading System on Grains
Win
Loss
Profit
Soybeans
68
158
19,239
Soymeal
79
185
29,609
Bean Oil
92
173
27,152
Corn
80
186
10,405
Wheat
68
214
-24,426
KC Wheat

76

169
10,652
Rough Rice
55
130
48,639
Rapeseed
87
183
49,501
Crude Palm Oil
52
72
46,909

 

Clipper Trading System on Meats
Win
Loss
Profit
Feeder Cattle
83
184
20,350
Live Cattle
76
222
-26,385
Lean Hogs
83
239
-25,499

 

Clipper Trading System on Softs
Win
Loss
Profit
Coffee
46
60
23,586
Cotton
86
156
58,134
Lumber
65
118
40,543
Cocoa
75
199
-17,704
Orange Juice
86
160
41,308
Sugar
80
158
31,630
London Cocoa
76
201
20,885
London Sugar
63
111
41,833

 

Clipper Trading System on Metals
Win
Loss
Profit
Gold
76
148
34,720
Silver
55
143
53,717
Platinum
71
155
5,017
Copper
76
148
7,055
Pallidium
63
175
55,024
London Copper
47
96
29,744
London Nickel
38
92
52,026
London Zinc
48
105
28,136
London Aluminum Alloy
48
134
27,818
London Aluminum
61
90
64,951
London Tin
44
116
15,122

 

Clipper Trading System on Energies
Win
Loss
Profit
Crude Oil
64
121
43,738
Heating Oil
72
138
66,636
Reformulated Gas
49
107
76,969
Natural Gas (mini)
20
50
5,239
London Brent Crude
48
72
69,899
London Gas Oil
69
124
77,836

 

Clipper Trading System on Currencies
Win
Loss
Profit
Japanese Yen
42
55
79,636
Swiss Franc
40
51
38,090
British Pound
50
50
68,604
Euro-Currency
13
14
23,593
Dollar Index
70
131
52,150
Australian Dollar
55
95
29,342
Canadian Dollar
69
143
33,435
Mexican Peso
49
85
18,403

 

Clipper Trading System on Financials
Win
Loss
Profit
30-Year Bonds
67
87
37,625
10-Year Notes
77
126
66,603
5-Year Notes
63
106
54,480
2-Year Notes
58
102
49,966
Euro-Dollar
84
139
59,175
Long Gilt
44
63
14,201
Euro Bobl
57
102
47,077
Australian Bond
79
146
31,500
Canadian Bond
65
117
32,452
Spanish Bond
54
83
38,674
Euro Bund
44
62
69,560
Simex Japanese Bond
53
98
32,349

 

Clipper Trading System on Stock Indices
Win
Loss
Profit
S&P 500 (mini)
53
133
6,069
Nasdaq (mini)
30
58
19,567
Dow Jones (mini)
25
37
15,683
Russell 2000 (mini)
3
3
3,131
Midcap 400 (mini)
28
66
-6,191
Nikkei
58
89
71,309
Hang Seng
23
32
19,682
DAX
16
30
8,627
Swiss Market Index
30
57
29,131

 

The Clipper Trading System Total Across All Groups
Winning
Losing
Total Profit
Profit-Per-Trade
3,907
7,878
$2,173,762
$184

These results were generated using backadjusted continuous contracts. A $50 slippage/commision deduction was taken from each trade. The following CFTC notice on hypothetical results 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.

Trading the Clipper Trading System

I recommend trading the strategy with portfolios of commodities for various account sizes. The following portfolios were constructed with risk in mind. The least volatile commodities in each group were selected for the smallest portfolio, and added to in each larger portfolio. The prospective trader should examine the yearly max drawdowns to determine if the risk is suitable for his trading temperament.

Clipper Trading System: Portfolio 1

Portfolio 1 is suitable for accounts starting in the $10,000 to $30,000 range. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Bean Meal, Bean Oil, Feeder Cattle, Cotton, Sugar, Palladium, Silver, Heating Oil, Reformulated Gas, the Japanese Yen, Dollar Index, 10-Year Notes, and the Eurodollar. A slippage/commission deduction of $50 has been taken from each trade. The following equity chart shows portfolio growth since 1980.

clipperport1.jpg

Clipper Trading System Portfolio 1 Equity Curve

As the graph shows, equity buildup is fairly smooth and consistent. With an average annual profit of $20,936, the average first-year return on a $10,000 to $30,000 account would range from 70 percent to 209 percent. From the risk point of view, the average annual max draw-down is only $2,232, between 7 and 22 percent of starting equity. But the trader should note that in 2008 the maximum draw-down was $3,863. As equity builds, the portfolio can be expanded to maintain a high rate of return.

The following table shows portfolio performance year-by-year.

Year
Return
(Dollars)
Max Drawdown
(Dollars)
1980
17910
3788
1981
35553
1604
1982
21244
2308
1983
14424
3568
1984
28281
2954
1985
33000
2319
1986
20845
3643
1987
16069
3625
1988
25422
2007
1989
30214
1268
1990
6891
1893
1991
32454
1478
1992
22635
1203
1993
28374
2009
1994
15771
2225
1995
8406
2669
1996
22679
1837
1997
18854
1408
1998
36437
2370
1999
28781
2668
2000
14010
1745
2001
25411
1863
2002
12117
3774
2003
27193
3022
2004
8775
2741
2005
20160
3522
2006
18025
1341
2007
30901
1450
2008
14207
3863
2009
12639
2024
2010
15010
3382
2011
7247
1544
Average $20,936 $2,232

Forming a reward to risk ratio by dividing average first-year profit by average start-trade draw-down, the "gain-to-pain" ratio is 9.38. This metric can be used to compare portfolios against each other.

Clipper Trading System: Portfolio 2

Portfolio 2 is suitable for accounts starting in the $20,000 to $40,000 range. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Bean Meal, Bean Oil, Soybeans, Feeder Cattle, Cotton, Sugar, Orange Juice, Palladium, Silver, Gold, Heating Oil, Reformulated Gas, London Brent Crude, the Japanese Yen, Dollar Index, British Pound, 10-Year Notes, the Eurodollar, and the Euro Bund. A slippage/commission deduction of $50 has been taken from each trade. The following equity chart shows portfolio growth since 1980.

clipperport2.jpg

Clipper Trading System Portfolio 2 Equity Curve

As the graph shows, equity buildup is fairly smooth and consistent. With an average annual profit of $34,139, the average first-year return on a $20,000 to $40,000 account would range from 85 percent to 171 percent. From the risk point of view, the average annual max draw-down is only $3,363, between 8 and 17 percent of starting equity. But the trader should note that in 2008 the maximum draw-down was $6,389. As equity builds, the portfolio can be expanded to maintain a high rate of return.

The following table shows portfolio performance year-by-year.

Year
Return
(Dollars)
Max Drawdown
(Dollars)
1980
22231
3698
1981
50337
2610
1982
33866
3877
1983
31173
2621
1984
36313
5159
1985
35632
2655
1986
46165
3397
1987
43518
4898
1988
48608
3026
1989
63740
1830
1990
37583
2619
1991
43945
2468
1992
27527
3312
1993
50244
4765
1994
14435
3093
1995
24146
3337
1996
51741
1707
1997
30022
3226
1998
40430
3425
1999
46639
2787
2000
39036
2940
2001
36199
3507
2002
25138
5489
2003
32270
2490
2004
35885
2656
2005
31306
3996
2006
16569
4585
2007
44753
2778
2008
10969
6389
2009
20260
2277
2010
12455
5328
2011
9322
3658
Average $34,139 $3,363

Forming a reward to risk ratio by dividing average first-year profit by average start-trade draw-down, the "gain-to-pain" ratio is 10.15. This metric can be used to compare portfolios against each other.

Clipper Trading System: Portfolio 3

Portfolio 3 is suitable for accounts starting in the $30,000 to $60,000 range. The commodities in each group have been carefully chosen for their profit-to-risk characteristics. The portfolio is: Bean Meal, Bean Oil, Soybeans, Corn, Feeder Cattle, Cotton, Sugar, Orange Juice, Lumber, Palladium, Silver, Gold, Copper, Heating Oil, Reformulated Gas, London Brent Crude, London Gas Oil, the Japanese Yen, Dollar Index, British Pound, Australian Dollar, 10-Year Notes, the Eurodollar, the Euro Bund, and 5-Year Notes. A slippage/commission deduction of $50 has been taken from each trade. The following equity chart shows portfolio growth since 1980.

clipperport3.jpg

Clipper Trading System Portfolio 3 Equity Curve

As the graph shows, equity buildup is fairly smooth and consistent. With an average annual profit of $47,847, the average first-year return on a $30,000 to $60,000 account would range from 80 percent to 159 percent. From the risk point of view, the average annual max draw-down is only $4,571, between 8 and 15 percent of starting equity. But the trader should note that in 2008 the maximum draw-down was $14,145. As equity builds, the portfolio can be expanded to maintain a high rate of return.

The following table shows portfolio performance year-by-year.

Year
Return
(Dollars)
Max Drawdown
(Dollars)
1980
21320
7707
1981
58410
3161
1982
46956
3728
1983
49383
2661
1984
47264
6204
1985
47831
2992
1986
48206
3658
1987
62245
6822
1988
70583
3961
1989
74926
2479
1990
48798
3721
1991
46494
4285
1992
51281
2787
1993
75949
2127
1994
40356
4585
1995
43446
3682
1996
66466
3303
1997
32587
5677
1998
55630
3091
1999
64854
3659
2000
52135
2368
2001
51894
3991
2002
39365
6400
2003
65351
2643
2004
48948
4322
2005
44883
5642
2006
44119
7371
2007
64370
5699
2008
14348
14145
2009
18778
2968
2010
21046
6625
2011
12876
3816
Average $47,847 $4,571

Forming a reward to risk ratio by dividing average first-year profit by average start-trade draw-down, the "gain-to-pain" ratio is 10.47. This metric can be used to compare portfolios against each other.

Clipper Trading System: Portfolio 4

Portfolio 4 is suitable for accounts starting in the $50,000 to $100,000 range. The portfolio contains all the commodities that were historically profitable. A slippage/commission deduction of $50 has been taken from each trade. The following equity chart shows portfolio growth since 1980.

clipperport4.jpg

Clipper Trading System Portfolio 4 Equity Curve

As the graph shows, equity buildup is fairly smooth and consistent. With an average annual profit of $78,903, the average first-year return on a $50,000 to $100,000 account would range from 79 percent to 158 percent. From the risk point of view, the average annual max draw-down is only $4,981, between 5 and 10 percent of starting equity. But the trader should note that in 2011 the maximum draw-down was $14,715. As equity builds, the portfolio can be expanded to maintain a high rate of return.

The following table shows portfolio performance year-by-year.

Year
Return
(Dollars)
Max Drawdown
(Dollars)
1980
36720
3957
1981
74116
6707
1982
74031
4335
1983
100182
2940
1984
62012
4307
1985
93897
3120
1986
62795
2866
1987
79355
3087
1988
102809
4238
1989
105871
3194
1990
94236
2758
1991
94279
2758
1992
58225
2779
1993
92369
6990
1994
84448
5541
1995
56740
7287
1996
104533
6614
1997
55317
5509
1998
79689
3944
1999
74617
5755
2000
80723
2820
2001
102630
3230
2002
74052
4978
2003
90720
4274
2004
128883
4949
2005
51207
5831
2006
70111
4096
2007
86030
9417
2008
93159
8017
2009
57853
3990
2010
75610
5229
2011
27678
14715
Average $78,903 $4,981

Forming a reward to risk ratio by dividing average first-year profit by average start-trade draw-down, the "gain-to-pain" ratio is 15.84. This metric can be used to compare portfolios against each other.

Clipper Trading System Portfolio Comparison

The following table compares the performaznce of each portfolio.

Clipper Trading System Portfolio Comparison
Portfolio
First-Year Return on Account Size (percent)
Average Annual Max Draw-Down on Account Size (percent)
Average First-Year Return Divided by Average Max Draw-Down
Portfolio 1
70-209
7-22
9.38
Portfolio 2
85-171
8-17
10.15
Portfolio 3
80-159
8-15
10.47
Portfolio 4
79-158
5-10
15.84

As the portfolios get larger, return is about the same, but draw-down decreases. This is best seen in the fourth column where average annual return is divided by average annual max draw-down to form a "gain-to-pain" ratio. The trader should look to move to the next larger portfolio as his account grows.

Clipper Trading System: Global Portfolio

The Clipper Trading System Global Portfolio is suited for accounts that are larger than $100,000. The portfolio contains all the commodities that have shown a profit during their trading lifetime. This portfolio trades a fixed percentage of equity on each signal. The following table shows average annual return and draw-down when the percent risked per trade is varied.

Performance vs. Percent Risked per Trade
Risked Per Trade
Average Annual Return
Average Annual Largest Draw-Down
Max Draw-Down
0.2%
76.5
4.1
8.7
0.3%
138.3
5.9
12.6
0.4%
219.9
7.9
16.8
0.5%
324.0
9.5
19.6

The following breakout shows yearly return and max draw-down when 0.3 percent of equity is risked per trade:

Year
Return
(Percent)
Max Drawdown
(Percent)
1980
40.3
4.4
1981
112.7
5.6
1982
96.2
4.0
1983
136.4
5.4
1984
155.3
5.8
1985
155.6
3.2
1986
121.5
5.2
1987
302.2
4.5
1988
160.8
4.9
1989
100.8
4.6
1990
156.7
2.9
1991
288.7
3.9
1992
188.6
3.3
1993
169.3
4.2
1994
219.6
3.0
1995
142.2
4.9
1996
281.2
6.5
1997
141.6
4.8
1998
201.6
6.0
1999
137.5
6.2
2000
148.13
4.1
2001
197.7
3.6
2002
157.3
7.9
2003
208.2
3.6
2004
152.5
8.1
2005
98.1
5.8
2006
104.3
5.9
2007
144.3
8.0
2008
94.7
7.4
2009
52.8
4.5
2010
66.7
5.9
2011
16.0
12.4
Average 138.3 5.9

This example illustrates the power of implementing the money management strategies
available to the large-account investor. He can achieve a very high rate of return for a relatively low max annual draw-down. Moreover, he can adjust the percentage of equity risked to either increase his return or lower his draw-down until he achieves a risk/reward scenario suitable to his trading temperament. If, for example, an average
max draw-down of about 10 percent is too high for him, he can lower the amount risked and have lower expected draw-downs. Conversely, if he can stand more risk, he can up the amount risked and achieve a higher return.

Price

Clipper is offered in both disclosed and non-disclosed versions. The price for the disclosed version is $2,999 and the non-disclosed package is $1,995.

What You Get

When you purchase the Clipper trading system you will receive:

• A detailed trading manual which shows past performance on individual commodities and portfolios, and covers software installation and operation. For those who purchase the disclosed version, the logic is fully detailed in the manual.

• Easy-to-use Windows-based software that lets you back-test commodity and portfolio performance, perform money management analyses, and generate daily trading signals when mated with end-of-day data.

• Trade Station code.

• Full Support. We will answer trading questions and technically support the software.

Broker-Assist

If you purchase the Clipper trading system, you can also opt to have one of our “preferred brokers” trade the strategy for you. They take all the work out of the trading: managing entry, exit, and rollovers.

Preferred Brokers:

Daniels Trading, John Marc Schwaebe, 877-276-4631

Kingsview Financial, Matt Zeman, 312-572-6142

Lasalle Futures Group, Inc., Todd McElhaney, 888-325-9300

 

 

 
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