STC Strategic Swiss Trading System

Background: The Swiss Franc or "Suisse" remains one of the worlds most tradable currencies and one of the few remaining European currencies that has a large following of traders. Now that the Mark is no longer traded the interest in the Swiss should grow. This appears to be an excellent market for traders and particularly trend followers. There are many steep and long lasting trends that have presented excellent trading opportunities throughout many years of data. We can think of no reason why there should not be many more of these trading opportunities in the future.

Strengths of the system: The Strategic Swiss System has many interesting features in both its entries and exits. It is the first system we have published that uses the Commodity Channel Index for entries. We have also designed a new exit that employs some of our most promising research in using the ADX. We think this exciting new exit will be getting us out of many trades at important turning points that would not be observed by most strategies. This breakout system integrates nicely with the Crossbow System that enters only on dips and rallies.

Trading one contract since 10/17/88 would have resulted in a hypothetical gain of $125,300 with a maximum drawdown of $7,487.50. The system is surprisingly accurate with 78 percent winning trades (42 winners out of 54 trades), and the winning trades were larger than losing trades by a factor of 1.41 to one. The average trade (win and loss) was $2,320 which is a very respectable number. There were 11 consecutive winners and the maximum consecutive losers in the test period was only 2.

Weaknesses of the system: Because the Strategic System requires entering after breakouts, the system will require discipline to trade. Hopefully the unusually high winning percentage will help to bolster the courage required to follow the very strong trends. Like most trend following strategies the System is highly dependent on big trends for its big profits. Although it doesn't trade very often the system holds on to the winning trades and spends a lot of time in the market. We would also caution that the initial stops are large so any series of whipsaws could prove to be costly. (Fortunately the wide stops adjust quickly to lock in profits.)

Summary: The Strategic Swiss System is an excellent trend following system designed to follow breakouts. In our historical testing it has proven to be highly profitable and has many outstanding characteristics, especially in terms of the high percentage of winning trades and the unusually large size of those winning trades. Most importantly we think the logic behind the simple entries and the very sophisticated exits is sound. The various parameters we selected appear to be robust and have a wide margin for error.

Performance Summary: 10/17/88 to 9/30/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$125,300.00	Open Position P/L	$-2700.00
Gross Profit	$157,037.50	Gross Loss	$-31,737.50

Total # of Trades	54	Percent Profitable	78%
# Winning Trades	42	Number Losing Trades	12

Largest Winning Trade	$11,637.50	Largest Losing Trade	$-4,562.50
Average Winning Trade	$3,738.99	Average Losing Trade	$2,644.79
Ratio avg Win/ avg Loss	1.41	Avg Trade( Win & Loss)	$2,320.37

Max Consec. Winners	11	Max Consec. Losers	2
Avg Bars in Winners	34	Avg # bars in Losers	16

Max Intraday Drawdown	$-7,487.50
Profit Factor	4.95	Max Contracts Held	1
Account Size Required	$7,487.50	Return on Account	1673%

Performance Summary: Long Trades 10/17/88 to 9/30/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$70,737.50	Open Position P/L	$0.00
Gross Profit	$84,075.00	Gross Loss	$-13,337.50

Total # of Trades	28	Percent Profitable	79%
# Winning Trades	22	Number Losing Trades	6

Largest Winning Trade	$10,262.50	Largest Losing Trade	$-3,600.00
Average Winning Trade	$3,821.59	Average Losing Trade	$-2,222.92
Ratio avg Win/ avg Loss	1.72	Avg Trade( Win & Loss)	$2,526.34

Max Consec. Winners	12	Max Consec. Losers	2
Avg Bars in Winners	32	Avg # bars in Losers	21

Max Intraday Drawdown	$-5,450.00
Profit Factor	6.30	Max Contracts Held	1
Account Size Required	$5,450.00	Return on Account	1298%

Performance Summary: Short Trades 10/17/88 to 9/30/99
Includes $100.00 per trade deducted for slippage and Commissions
Total Net Profit	$54,962.50	Open Position P/L	$-2700.00
Gross Profit	$72,962.50	Gross Loss	$-18,400.00

Total # of Trades	26	Percent Profitable	77%
# Winning Trades	20	Number Losing Trades	6

Largest Winning Trade	$11,637.50	Largest Losing Trade	$-4,562.50
Average Winning Trade	$3648.13	Average Losing Trade	$-3,066.67
Ratio Avg Win/Avg Loss	1.19	Avg Trade( Win & Loss)	$2,098.56

Max Consec. Winners	6	Max Consec. Losers	2
Avg Bars in Winners	36	Avg # bars in Losers	12

Max Intraday Drawdown	$-6,650.00
Profit Factor	3.97	Max Contracts Held	1
Account Size Required	$6,650.00	Return on Account	820%

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