S&P 500 e-mini
Performance
(based on
signals generated by the SPY trading system)
The
signals generated by the trading system are short lived and we
assume that an experienced trader may apply them to S&P 500
emini futures. Since the SPY and S&P 500 emini track the S&P 500 index, both of them usually move in a
similar direction. Below you may see the history of the SPY trading system
re-calculated for the S&P 500 emini.
S&P 500 emini - 2010 Year
In the following table the results represents the system that applies the SPY signals to S&P 500 emini
futures contracts. The results does not include commission and Exchange fees.
| Signal |
Open Date |
Open Price |
Close Date |
Close Price |
Return on 10 contracts |
Summary Return on 10 contracts |
| Long |
7/19/2010 11:25 |
$1,063.25 |
7/21/2010 10:44 |
$1,079.25 |
$8,000 |
$104,625 |
| Long |
7/6/2010 14:18 |
$1,019.00 |
7/8/2010 12:35 |
$1,058.50 |
$19,750 |
$96,625 |
| Short |
6/25/2010 11:18 |
$1,066.25 |
7/1/2010 15:21 |
$1,019.25 |
$23,500 |
$76,875 |
| Long |
5/14/2010 15:49 |
$1,130.00 |
6/18/2010 15:52 |
$1,112.75 |
$-8,625 |
$53,375 |
| Long |
5/6/2010 15:46 |
$1,126.75 |
5/11/2010 14:00 |
$1,165.75 |
$19,500 |
$62,000 |
| Short |
5/4/2010 12:11 |
$1,169.25 |
5/6/2010 15:23 |
$1,112.50 |
$28,375 |
$42,500 |
| Long |
4/28/2010 11:15 |
$1,188.25 |
4/29/2010 14:54 |
$1,203.25 |
$7,500 |
$14,125 |
| Short |
3/16/2010 14:32 |
$1,156.50 |
4/19/2010 09:39 |
$1,187.00 |
$-15,250 |
$6,625 |
| Long |
2/24/2010 10:42 |
$1,100.25 |
3/3/2010 15:30 |
$1,118.00 |
$8,875 |
$21,875 |
| Long |
1/25/2010 13:27 |
$1,096.75 |
2/22/2010 10:03 |
$1,105.75 |
$4,500 |
$13,000 |
| Short |
1/5/2010 14:17 |
$1,127.00 |
1/22/2010 11:23 |
$1,110.00 |
$8,500 |
$8,500 |
| @Index-Trading-System |
* The value of an S&P 500 e-mini futures contract is
calculated by applying a $50 multiplier to the index's present futures level
S&P 500 emini - 2009 Year
| Signal |
Open Date |
Open Price |
Close Date |
Close Price |
Return on 10 contracts |
Summary Return on 10 contracts |
| Short |
12/9/2009 09:36 |
$1,089.00 |
12/16/2009 09:56 |
$1,115.00 |
$-13,000 |
$38,125 |
| Long |
11/20/2009 09:35 |
$1,089.75 |
12/1/2009 15:36 |
$1,106.50 |
$8,375 |
$51,125 |
| Long |
11/13/2009 10:48 |
$1,092.00 |
11/18/2009 10:51 |
$1,106.00 |
$7,000 |
$42,750 |
| Long |
10/30/2009 12:20 |
$1,044.75 |
11/10/2009 13:28 |
$1,087.50 |
$21,375 |
$35,750 |
| Short |
10/20/2009 09:40 |
$1,090.75 |
10/28/2009 15:19 |
$1,043.50 |
$23,625 |
$14,375 |
| Long |
10/14/2009 13:08 |
$1,084.00 |
10/16/2009 13:37 |
$1,085.75 |
$875 |
$-9,250 |
| Long |
9/30/2009 15:42 |
$1,051.25 |
10/13/2009 09:44 |
$1,067.50 |
$8,125 |
$-10,125 |
| Short |
9/21/2009 13:08 |
$1,057.50 |
9/28/2009 09:47 |
$1,051.50 |
$3,000 |
$-18,250 |
| Long |
9/16/2009 15:26 |
$1,066.50 |
9/17/2009 10:43 |
$1,070.00 |
$1,750 |
$-21,250 |
| Short |
9/15/2009 09:56 |
$1,046.50 |
9/16/2009 15:26 |
$1,066.50 |
$-10,000 |
$-23,000 |
| Long |
9/4/2009 15:35 |
$1,013.25 |
9/9/2009 10:48 |
$1,028.75 |
$7,750 |
$-13,000 |
| Long |
9/4/2009 10:47 |
$1,007.25 |
9/4/2009 13:37 |
$1,015.00 |
$3,875 |
$-20,750 |
| Short |
8/19/2009 09:35 |
$980.50 |
9/2/2009 09:44 |
$995.00 |
$-7,250 |
$-24,625 |
| Short |
7/21/2009 09:37 |
$952.00 |
8/7/2009 14:18 |
$1,014.75 |
$-31,375 |
$-17,375 |
| Long |
7/15/2009 09:41 |
$914.75 |
7/15/2009 11:42 |
$922.50 |
$3,875 |
$14,000 |
| Long |
7/8/2009 15:42 |
$874.25 |
7/13/2009 15:09 |
$893.25 |
$9,500 |
$10,125 |
| Short |
6/22/2009 13:23 |
$890.50 |
6/25/2009 12:01 |
$913.00 |
$-11,250 |
$625 |
| Long |
6/2/2009 10:03 |
$946.50 |
6/22/2009 09:43 |
$902.50 |
$-22,000 |
$11,875 |
| Long |
5/27/2009 14:48 |
$901.50 |
5/28/2009 15:04 |
$907.25 |
$2,875 |
$33,875 |
| Short |
5/20/2009 15:45 |
$900.75 |
5/22/2009 15:13 |
$895.00 |
$2,875 |
$31,000 |
| Long |
4/29/2009 14:29 |
$872.75 |
5/4/2009 15:21 |
$898.00 |
$12,625 |
$28,125 |
| Long |
4/17/2009 09:47 |
$860.00 |
4/27/2009 11:53 |
$864.00 |
$2,000 |
$15,500 |
| Long |
4/14/2009 13:32 |
$839.50 |
4/16/2009 11:58 |
$850.25 |
$5,375 |
$13,500 |
| Long |
2/10/2009 12:52 |
$839.25 |
4/9/2009 10:04 |
$847.25 |
$4,000 |
$8,125 |
| Long |
1/30/2009 13:53 |
$827.00 |
2/4/2009 10:56 |
$845.75 |
$9,375 |
$4,125 |
| Long |
1/26/2009 14:37 |
$831.00 |
1/27/2009 09:52 |
$842.00 |
$5,500 |
$-5,250 |
| Short |
1/22/2009 13:26 |
$815.75 |
1/23/2009 09:46 |
$808.50 |
$3,625 |
$-10,750 |
| Long |
1/15/2009 14:44 |
$844.50 |
1/22/2009 13:26 |
$815.75 |
$-14,375 |
$-14,375 |
| @Index-Trading-System |
S&P 500 emini - 2008 Year
In the following table the results represents
the system that applies the SPY signals to S&P 500 emini futures contracts.
The results does not include commission and Exchange fees.
|
Signal |
Open Date |
Open Price |
Close Date |
Close Price |
Return on
10 contracts |
Summary
Return on
10 contracts |
In period from September 2008 until the end of December 2008
the system of generating signals has been disabled due to high
volatility |
|
Long |
9/5/2008
14:20 |
$1,237.50 |
12/30/2008
14:26 |
$878.25 |
$-179,625 |
$-142,375 |
|
Short |
9/5/2008
09:34 |
$1,228.50 |
9/5/2008
11:51 |
$1,228.50 |
$0 |
$37,250 |
|
Short |
9/2/2008
12:26 |
$1,288.75 |
9/2/2008
12:51 |
$1,286.25 |
$1,250 |
$37,250 |
|
Long |
9/2/2008
09:34 |
$1,297.75 |
9/2/2008
12:26 |
$1,288.75 |
$-4,500 |
$36,000 |
|
Long |
8/26/2008
09:45 |
$1,269.00 |
8/28/2008
15:35 |
$1,297.25 |
$14,125 |
$40,500 |
|
Long |
8/22/2008
09:34 |
$1,286.00 |
8/25/2008
14:26 |
$1,269.00 |
$-8,500 |
$26,375 |
|
Short |
8/18/2008
14:35 |
$1,276.75 |
8/19/2008
15:45 |
$1,267.25 |
$4,750 |
$34,875 |
|
Short |
8/13/2008
09:51 |
$1,281.75 |
8/15/2008
14:15 |
$1,294.75 |
$-6,500 |
$30,125 |
|
Short |
8/7/2008
15:05 |
$1,270.50 |
8/8/2008
13:36 |
$1,292.75 |
$-11,125 |
$36,625 |
|
Long |
8/5/2008
10:02 |
$1,263.25 |
8/6/2008
10:25 |
$1,279.00 |
$7,875 |
$47,750 |
|
Long |
7/29/2008
10:10 |
$1,247.00 |
7/31/2008
15:13 |
$1,279.25 |
$16,125 |
$39,875 |
|
Long |
7/23/2008
14:07 |
$1,282.25 |
7/25/2008
11:26 |
$1,257.50 |
$-12,375 |
$23,750 |
|
Long |
7/23/2008
09:31 |
$1,278.00 |
7/23/2008
11:57 |
$1,281.00 |
$1,500 |
$36,125 |
|
Short |
7/21/2008
10:26 |
$1,264.00 |
7/23/2008
09:31 |
$1,278.00 |
$-7,000 |
$34,625 |
|
Long |
7/16/2008
12:29 |
$1,228.50 |
7/21/2008
10:26 |
$1,264.00 |
$17,750 |
$41,625 |
|
Short |
7/15/2008
10:09 |
$1,204.25 |
7/16/2008
12:29 |
$1,228.50 |
$-12,125 |
$23,875 |
|
Long |
7/1/2008
10:59 |
$1,281.50 |
7/15/2008
10:09 |
$1,204.25 |
$-38,625 |
$36,000 |
|
Short |
6/26/2008
15:52 |
$1,285.50 |
7/1/2008
10:59 |
$1,281.50 |
$2,000 |
$74,625 |
|
Long |
6/25/2008
09:45 |
$1,326.25 |
6/26/2008
15:52 |
$1,285.50 |
$-20,375 |
$72,625 |
|
Short |
6/20/2008
15:26 |
$1,320.75 |
6/23/2008
13:42 |
$1,322.00 |
$-625 |
$93,000 |
|
Long |
6/19/2008
15:57 |
$1,342.50 |
6/20/2008
15:26 |
$1,320.75 |
$-10,875 |
$93,625 |
|
Long |
6/12/2008
13:26 |
$1,346.75 |
6/17/2008
12:18 |
$1,357.75 |
$5,500 |
$104,500 |
|
Long |
6/4/2008
10:48 |
$1,381.50 |
6/6/2008
10:27 |
$1,384.75 |
$1,625 |
$99,000 |
|
Long |
6/2/2008
13:41 |
$1,381.25 |
6/3/2008
12:59 |
$1,387.50 |
$3,125 |
$97,375 |
|
Long |
5/27/2008
13:24 |
$1,377.50 |
5/30/2008
12:43 |
$1,402.75 |
$12,625 |
$94,250 |
|
Short |
5/23/2008
14:24 |
$1,376.00 |
5/27/2008
13:24 |
$1,377.50 |
$-750 |
$81,625 |
|
Long |
5/22/2008
13:24 |
$1,394.25 |
5/23/2008
14:24 |
$1,376.00 |
$-9,125 |
$82,375 |
|
Short |
5/16/2008
14:26 |
$1,421.00 |
5/20/2008
12:40 |
$1,416.00 |
$2,500 |
$91,500 |
|
Long |
5/8/2008
11:26 |
$1,398.00 |
5/13/2008
13:26 |
$1,401.50 |
$1,750 |
$89,000 |
|
Short |
5/5/2008
11:26 |
$1,406.75 |
5/7/2008
15:47 |
$1,396.25 |
$5,250 |
$87,250 |
|
Long |
4/24/2008
13:24 |
$1,391.25 |
4/28/2008
10:33 |
$1,402.00 |
$5,375 |
$82,000 |
|
Short |
4/21/2008
13:24 |
$1,387.75 |
4/24/2008
13:24 |
$1,391.25 |
$-1,750 |
$76,625 |
|
Long |
4/16/2008
10:26 |
$1,353.75 |
4/21/2008
13:24 |
$1,387.75 |
$17,000 |
$78,375 |
|
Short |
4/15/2008
11:26 |
$1,327.25 |
4/16/2008
10:26 |
$1,353.75 |
$-13,250 |
$61,375 |
|
Long |
4/14/2008
14:26 |
$1,331.50 |
4/15/2008
11:26 |
$1,327.25 |
$-2,125 |
$74,625 |
|
Short |
4/11/2008
10:26 |
$1,347.25 |
4/14/2008
14:26 |
$1,331.50 |
$7,875 |
$76,750 |
|
Long |
4/10/2008
15:57 |
$1,361.50 |
4/11/2008
10:26 |
$1,347.25 |
$-7,125 |
$68,875 |
|
Short |
4/4/2008
11:26 |
$1,372.00 |
4/7/2008
13:26 |
$1,385.00 |
$-6,500 |
$76,000 |
|
Long |
3/31/2008
11:27 |
$1,322.50 |
4/4/2008
11:26 |
$1,372.00 |
$24,750 |
$82,500 |
|
Short |
3/28/2008
13:27 |
$1,328.75 |
3/31/2008
11:27 |
$1,322.50 |
$3,125 |
$57,750 |
|
Long |
3/28/2008
10:27 |
$1,332.25 |
3/28/2008
13:27 |
$1,328.75 |
$-1,750 |
$54,625 |
|
Short |
3/26/2008
14:27 |
$1,341.75 |
3/28/2008
10:27 |
$1,332.25 |
$4,750 |
$56,375 |
|
Long |
3/18/2008
15:58 |
$1,329.00 |
3/26/2008
14:27 |
$1,341.75 |
$6,375 |
$51,625 |
|
Short |
3/14/2008
10:29 |
$1,296.50 |
3/18/2008
15:58 |
$1,329.00 |
$-16,250 |
$45,250 |
|
Long |
3/11/2008
14:29 |
$1,301.25 |
3/14/2008
10:29 |
$1,296.50 |
$-2,375 |
$61,500 |
|
Short |
3/6/2008
13:29 |
$1,314.00 |
3/11/2008
14:29 |
$1,301.25 |
$6,375 |
$63,875 |
|
Long |
3/5/2008
13:29 |
$1,328.50 |
3/6/2008
13:29 |
$1,314.00 |
$-7,250 |
$57,500 |
|
Short |
2/27/2008
15:58 |
$1,380.00 |
3/5/2008
13:29 |
$1,328.50 |
$25,750 |
$64,750 |
|
Long |
2/25/2008
10:29 |
$1,358.75 |
2/27/2008
15:58 |
$1,380.00 |
$10,625 |
$39,000 |
|
Long |
2/20/2008
12:29 |
$1,351.75 |
2/21/2008
15:29 |
$1,344.50 |
$-3,625 |
$28,375 |
|
Short |
2/14/2008
15:29 |
$1,356.75 |
2/20/2008
12:29 |
$1,351.75 |
$2,500 |
$32,000 |
|
Long |
2/7/2008
14:29 |
$1,340.50 |
2/11/2008
11:29 |
$1,330.50 |
$-5,000 |
$29,500 |
|
Short |
2/4/2008
15:58 |
$1,380.50 |
2/7/2008
14:29 |
$1,340.50 |
$20,000 |
$34,500 |
|
Long |
1/31/2008
15:58 |
$1,375.50 |
2/4/2008
15:58 |
$1,380.50 |
$2,500 |
$14,500 |
|
Short |
1/31/2008
15:29 |
$1,381.25 |
1/31/2008
15:58 |
$1,375.50 |
$2,875 |
$12,000 |
|
Long |
1/23/2008
15:29 |
$1,329.75 |
1/31/2008
15:29 |
$1,381.25 |
$25,750 |
$9,125 |
|
Short |
1/22/2008
11:29 |
$1,309.75 |
1/23/2008
15:29 |
$1,329.75 |
$-10,000 |
$-16,625 |
|
Long |
1/18/2008
14:29 |
$1,325.25 |
1/22/2008
11:29 |
$1,309.75 |
$-7,750 |
$-6,625 |
|
Short |
1/17/2008
12:29 |
$1,354.50 |
1/18/2008
14:29 |
$1,325.25 |
$14,625 |
$1,125 |
|
Long |
1/16/2008
14:29 |
$1,389.75 |
1/17/2008
12:29 |
$1,354.50 |
$-17,625 |
$-13,500 |
|
Long |
1/9/2008
10:29 |
$1,400.75 |
1/10/2008
11:29 |
$1,409.00 |
$4,125 |
$4,125 |
|
@Index-Trading-System |
* The value of an S&P 500 e-mini futures contract is
calculated by applying a $50 multiplier to the index's present futures level
|