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Soybean Trading System

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100% found this document useful (2 votes)

276 views38 pages

Soybean Trading System

hjhj jhjhjh

Uploaded by

james

We take content rights seriously. If you suspect this is your content, claim it here.

Available Formats

Download as PDF, TXT or read online on Scribd

You are on page 1/ 38

Soybean Trading System

By Kevin J. Davey - Award Winning Trader

www.kjtradingsystems.com
page 2

Introduction From Kevin

Hello Fellow Trader!

Has this ever happened to you?

Well, it certainly used to happen to me. But no longer! Over the years, Ive
learned how to produce trading strategies that work in real time. This document
contains just one of those strategies. It is for the Soybean market, and I
personally trade it with my own money.

I can teach you how to create strategies like this just review the information at
the end of this e-book. But for now, lets talk about Soybeans!!!

______________________________________________________________________________________________________

U.S. Government Required Disclaimer - Commodity Futures Trading Commission states: Futures and Options trading has large potential rewards, but also large
potential risk. You must be aware of the risks and be willing to accept them in order to invest in the futures and options markets. Don't trade with money you can't
afford to lose. This is neither a solicitation nor an offer to Buy/Sell futures, stocks or options on the same. No representation is being made that any account will or
is likely to achieve profits or losses similar to those discussed in this document. The past performance of any trading system or methodology is not necessarily
indicative of future results.

CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE
RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS
MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED
TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO
REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL, OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE DISCUSSED
WITHIN THIS DOCUMENT. IF YOU DECIDE TO INVEST REAL MONEY, ALL TRADING DECISIONS SHOULD BE YOUR OWN.

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 3

Included in this manual is a trading system I developed in 2011, updated with

walkforward history through July 31, 2017. Since it is a walkforward based
strategy, you should update the parameters every month (sometimes they
will not change).

SFE2 Soybeans - part of a diversified trading system I trade, it trades

Soybean futures

So, without further ado, I present this trading system.

Enjoy!!

Kevin Davey
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 4

SFE2 Trading System

By Kevin J. Davey - Award Winning Trader

www.kjtradingsystems.com

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 5

Simple Futures Execution 2 Trading System

Trading Manual
Original Release Date: July 2012
Latest Release Date: August 2017

Copyright 2012-7 - Kevin J Davey and KJ Trading Systems

For Personal Use Only

Please Read the Disclaimer at The Bottom

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 6

Introduction ........................................................................................................... 7
Warning ......................................................................................................... 7
What Makes This Document Unique ............................................................. 8
OK, So What is SFE2? .................................................................................. 8
SFE2 Soybeans .................................................................................................... 9
SFE2 Soybeans - General Description .......................................................... 9
SFE2 Soybeans - Code, Plain English ........................................................ 10
SFE2 Soybeans - Code, Tradestation Easy Language ............................... 11
SFE2 Soybeans - Sample Signals ............................................................... 27
SFE2 Soybeans- Performance Results ....................................................... 28
SFE2 Soybeans - Downside to System ....................................................... 31
SFE2 Soybeans - Ideas for Improvements .................................................. 31
Walkforward Reoptimization - Keep It Fresh ....................................................... 32
General Procedure - Future Walkforward Optimizations ............................. 32
SFE2 Soybeans- Walkforward Optimization Details .................................... 33
Walkforward Example ......................................................................................... 34
What if Things Go Wrong? .................................................................................. 35
Conclusion .......................................................................................................... 37
More Info ............................................................................................................. 38

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 7

Introduction
Thank you for reading about SFE2 (Simple Futures Execution) Soybeans
Trading System. I hope you are able to use, trade, modify, inspect and benefit
from it. Hopefully this system will profitable for you, both monetarily and
intellectually.

Feel free to use this system as-is, or modify it to suit your needs. SFE2
Soybeans can be used for your own personal trading, but are not to be
shared with others. Please respect my intellectual property rights.

Warning

Before you go any further, make sure you read and understand the disclaimer at
the bottom of the page. The US government requires it, and it is there to protect
you. Keep this warning in mind when you look at trading systems - it will help
you immensely.

NOTE: This document contains code for the SFE2 Soybeans system only.
The other strategies in the full SFE2 package are completely different
(different markets, different timeframes, different entries, different exits). 3
unique strategies - different ways to trade successfully trade the futures
markets.

Also, the complexity of each strategy I create varies. Some, like SFE2
Soybeans, are simple. Others are more complicated. But, in general, I try
to keep everything simple!

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 8

What Makes This Document Unique

In almost any system I've ever seen for sale, all that is discussed are the high
profits, low risk and the ease of using the system -- making it sound like cash in
the bank.

As a real trader, I can tell you that is all BS. Trading is hard, and no system is
perfect, not even this SFE2 Soybean system. I have no trouble telling you that.
But in this document I am going one step beyond what other system vendors
do...

First, I discuss some of the disadvantages in the system. What makes a system
less than perfect? -- I tell you, so you'll be better informed. You might find other
"flaws" in the system, too. (Hint: If you ever find what you think is a "perfect"
system out there, chances are it won't work in the future. The adage "if it looks
too good to be true, it probably is" definitely holds with trading system results!)

Second, I also provide some ideas on how to improve what I've given here. As I
said, no system is perfect, and it is always a fine line between making a system
better, and overfitting, overoptimizing or curve fitting a system (which all are
detrimental to future performance). My goal with the SFE2 Soybean system was
to create something simple and robust. At the same time, I know this system can
be improved. So, I've provided some ideas. Just be careful if you venture into
making improvements! It is easy to turn a robust system into a terrible one.

OK, So What is SFE2?

SFE2 (Simple Futures Execution) consists of 3 independent trading systems:

SFE2 Soybeans (symbol S) <<< included in this document

SFE2 Coffee (symbol KC)
SFE2 Japanese Yen (symbol JY)

As the SFE2 (Simple Futures Execution) name implies, the three component
strategies in this package are not complicated. In fact, a couple of them are
really simple. Why is this good? Well, I've always seen that the simpler a trading
system is, the more likely it is to keep working in the future. Maybe your

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 9

experience is different, but for me, simpler systems seem to hold up better over
time.

Think about a trading system with 1000 rules and parameters - one that
produces a super smooth equity curve in backtesting. Now think about a system
with just 2 rules, and an upwardly rising, but jagged, equity curve.

Which do you think will do better going forward? My money will always be on the
simpler system.

The SFE2 systems were developed with the principle of Occam's Razor in mind.
If you are interested, I have a short article on my website about it:
http://www.kjtradingsystems.com/sharpen_trading_with_occams_razor.html

NOTE: This document contains code for the SFE2 Soybean system only.
The other strategies in the full SFE2 package are completely different
(different markets, different timeframes, different entries, different exits).

SFE2 Soybeans

SFE2 Soybeans - General Description

SFE2 Soybeans trades the Soybeans futures, listed on the CBOT (now part of
CME) exchange. Results shown are for trading the regular size contract. There
is a mini contract, but I'd be careful trading that, as the bid/ask spread can
sometimes be very large. It is an option, though, for smaller size accounts.

SFE2 Soybeans uses both volatility and momentum to establish trades. The
general idea is that when the volatility is well above average, and the momentum
is in your favor, it is generally a good time to enter a trade. Pretty simple, right?

SFE2 Soybeans uses Daily bars.

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 10

There is a large ($5,000) stop loss for this system. This kind of wide stop isn't hit
all that often (a reversal signal will usually occur first), but it is there just in case.
Note that this is not a stop sent to the exchange - rather, if the position loss after
any given day in less than -$5,000, then the system will exit the next bar at
market open. THis makes the system easy to monitor for part time traders.

SFE2 Soybeans - Code, Plain English

Note: All the steps below are also detailed in the Tradestation code section. If
case of discrepancies, the Tradestation code shall always have precedence. If
any of the steps below are confusing or appear to conflict, please e-mail me for
clarification. Do not trade with any code you create, or the Tradestation code,
until you are comfortable with the signals given.

IMPORTANT NOTE: In the code below, youll see monthly if statements where
the parameters xr and daysback are changing. This is part of my process
walkforward testing. These parameters are determined BEFORE the dates they
apply, so the results are truly out of sample.

IF YOU WANT TO TRADE THIS SYSTEM, REMEMBER TO UPDATE THE

PARAMETERS AS TIME GOES ON. Later in this document I describe that
process.

1. Use daily bars, backadjusted continuous contract.

2. At the end of the day, calculate today's range: Rrange=high-low.

3. If Rrange is greater than the average RRange of the last "xr" bars + 2 times
the standard deviation of RRange for the last "xr" bars then Condition 1 is true.

If Rrange > average(Rrange, last "xr" bars) + 2 * std deviation(Rrange, last "xr"
bars) If this is true, then Condition1 is true.

4. If Condition1 is true, and today's close is greater than the close of "daysback"
bars ago, then buy next bar at market, reversing any short position if applicable.

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 11

5. If Condition1 is true, and today's close is less than the close of "daysback"
bars ago, then sell short next bar at market, reversing any long position if
applicable.

6. If more than 100 days have elapsed since entry, OR if the current position
profit (per contract) is less than -$5,000, then exit entire position at the start of
the next bar.

6. The values of "xr" and "daysback" may change every time the walkforward
optimization is performed. From now until August 1, 2015, the value of "xr" is 22,
and the value of "daysback" is 12. See the Tradestation code below for how
these values have changed over the last few years.

SFE2 Soybeans - Code, Tradestation Easy Language

var:xr(1),daysback(1);
var:rrange(0);
if date >= 1011001 and date < 1011030 then
begin
xr = 18 ;
daysback = 5 ;
end ;
if date >= 1011030 and date < 1011130 then
begin
xr = 18 ;
daysback = 5 ;
end ;
if date >= 1011130 and date < 1020103 then
begin
xr = 18 ;
daysback = 5 ;
end ;
if date >= 1020103 and date < 1020204 then
begin
xr = 18 ;
daysback = 5 ;
end ;
if date >= 1020204 and date < 1020306 then
begin
xr = 22 ;
daysback = 2 ;
end ;
if date >= 1020306 and date < 1020405 then
begin
xr = 19 ;
daysback = 2 ;
end ;
if date >= 1020405 and date < 1020506 then
begin
xr = 19 ;
daysback = 2 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 12

if date >= 1020506 and date < 1020605 then

begin
xr = 15 ;
daysback = 15 ;
end ;
if date >= 1020605 and date < 1020705 then
begin
xr = 18 ;
daysback = 15 ;
end ;
if date >= 1020705 and date < 1020805 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1020805 and date < 1020904 then
begin
xr = 15 ;
daysback = 19 ;
end ;
if date >= 1020904 and date < 1021003 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1021003 and date < 1021101 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1021101 and date < 1021203 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1021203 and date < 1030106 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1030106 and date < 1030205 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1030205 and date < 1030307 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1030307 and date < 1030407 then
begin
xr = 20 ;
daysback = 19 ;
end ;
if date >= 1030407 and date < 1030507 then
begin
xr = 17 ;
daysback = 19 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 13

if date >= 1030507 and date < 1030606 then

begin
xr = 17 ;
daysback = 19 ;
end ;
if date >= 1030606 and date < 1030708 then
begin
xr = 17 ;
daysback = 19 ;
end ;
if date >= 1030708 and date < 1030806 then
begin
xr = 17 ;
daysback = 19 ;
end ;
if date >= 1030806 and date < 1030905 then
begin
xr = 17 ;
daysback = 19 ;
end ;
if date >= 1030905 and date < 1031006 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1031006 and date < 1031104 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1031104 and date < 1031204 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1031204 and date < 1040106 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1040106 and date < 1040205 then
begin
xr = 17 ;
daysback = 4 ;
end ;
if date >= 1040205 and date < 1040308 then
begin
xr = 17 ;
daysback = 4 ;
end ;
if date >= 1040308 and date < 1040406 then
begin
xr = 17 ;
daysback = 4 ;
end ;
if date >= 1040406 and date < 1040506 then
begin
xr = 17 ;
daysback = 3 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 14

if date >= 1040506 and date < 1040607 then

begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1040607 and date < 1040707 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1040707 and date < 1040805 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1040805 and date < 1040903 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1040903 and date < 1041005 then
begin
xr = 17 ;
daysback = 3 ;
end ;
if date >= 1041005 and date < 1041103 then
begin
xr = 20 ;
daysback = 10 ;
end ;
if date >= 1041103 and date < 1041203 then
begin
xr = 19 ;
daysback = 6 ;
end ;
if date >= 1041203 and date < 1050105 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050105 and date < 1050204 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050204 and date < 1050308 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050308 and date < 1050407 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050407 and date < 1050506 then
begin
xr = 19 ;
daysback = 7 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 15

if date >= 1050506 and date < 1050607 then

begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050607 and date < 1050707 then
begin
xr = 19 ;
daysback = 10 ;
end ;
if date >= 1050707 and date < 1050805 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050805 and date < 1050906 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1050906 and date < 1051005 then
begin
xr = 19 ;
daysback = 7 ;
end ;
if date >= 1051005 and date < 1051103 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1051103 and date < 1051205 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1051205 and date < 1060105 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060105 and date < 1060206 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060206 and date < 1060308 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060308 and date < 1060406 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060406 and date < 1060508 then
begin
xr = 19 ;
daysback = 4 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 16

if date >= 1060508 and date < 1060607 then

begin
xr = 18 ;
daysback = 4 ;
end ;
if date >= 1060607 and date < 1060707 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060707 and date < 1060807 then
begin
xr = 19 ;
daysback = 4 ;
end ;
if date >= 1060807 and date < 1060906 then
begin
xr = 19 ;
daysback = 1 ;
end ;
if date >= 1060906 and date < 1061005 then
begin
xr = 19 ;
daysback = 1 ;
end ;
if date >= 1061005 and date < 1061103 then
begin
xr = 19 ;
daysback = 1 ;
end ;
if date >= 1061103 and date < 1061205 then
begin
xr = 19 ;
daysback = 1 ;
end ;
if date >= 1061205 and date < 1070105 then
begin
xr = 18 ;
daysback = 1 ;
end ;
if date >= 1070105 and date < 1070206 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070206 and date < 1070308 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070308 and date < 1070409 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070409 and date < 1070508 then
begin
xr = 15 ;
daysback = 13 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 17

if date >= 1070508 and date < 1070607 then

begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070607 and date < 1070709 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070709 and date < 1070807 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070807 and date < 1070906 then
begin
xr = 17 ;
daysback = 18 ;
end ;
if date >= 1070906 and date < 1071005 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1071005 and date < 1071105 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1071105 and date < 1071205 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1071205 and date < 1080107 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1080107 and date < 1080206 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1080206 and date < 1080307 then
begin
xr = 21 ;
daysback = 19 ;
end ;
if date >= 1080307 and date < 1080408 then
begin
xr = 21 ;
daysback = 6 ;
end ;
if date >= 1080408 and date < 1080507 then
begin
xr = 21 ;
daysback = 7 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 18

if date >= 1080507 and date < 1080606 then

begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1080606 and date < 1080708 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1080708 and date < 1080806 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1080806 and date < 1080905 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1080905 and date < 1081006 then
begin
xr = 23 ;
daysback = 7 ;
end ;
if date >= 1081006 and date < 1081104 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1081104 and date < 1081204 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1081204 and date < 1090106 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1090106 and date < 1090205 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1090205 and date < 1090309 then
begin
xr = 21 ;
daysback = 7 ;
end ;
if date >= 1090309 and date < 1090407 then
begin
xr = 20 ;
daysback = 7 ;
end ;
if date >= 1090407 and date < 1090507 then
begin
xr = 20 ;
daysback = 7 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 19

if date >= 1090507 and date < 1090608 then

begin
xr = 20 ;
daysback = 7 ;
end ;
if date >= 1090608 and date < 1090708 then
begin
xr = 20 ;
daysback = 7 ;
end ;
if date >= 1090708 and date < 1090806 then
begin
xr = 20 ;
daysback = 7 ;
end ;
if date >= 1090806 and date < 1090904 then
begin
xr = 20 ;
daysback = 7 ;
end ;
if date >= 1090904 and date < 1091006 then
begin
xr = 18 ;
daysback = 1 ;
end ;
if date >= 1091006 and date < 1091104 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1091104 and date < 1091204 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1091204 and date < 1100106 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1100106 and date < 1100205 then
begin
xr = 22 ;
daysback = 4 ;
end ;
if date >= 1100205 and date < 1100309 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1100309 and date < 1100408 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1100408 and date < 1100507 then
begin
xr = 22 ;
daysback = 1 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 20

if date >= 1100507 and date < 1100608 then

begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1100608 and date < 1100708 then
begin
xr = 22 ;
daysback = 1 ;
end ;
if date >= 1100708 and date < 1100806 then
begin
xr = 20 ;
daysback = 2 ;
end ;
if date >= 1100806 and date < 1100907 then
begin
xr = 20 ;
daysback = 2 ;
end ;
if date >= 1100907 and date < 1101006 then
begin
xr = 23 ;
daysback = 16 ;
end ;
if date >= 1101006 and date < 1101104 then
begin
xr = 15 ;
daysback = 16 ;
end ;
if date >= 1101104 and date < 1101206 then
begin
xr = 15 ;
daysback = 16 ;
end ;
if date >= 1101206 and date < 1110105 then
begin
xr = 15 ;
daysback = 16 ;
end ;
if date >= 1110105 and date < 1110204 then
begin
xr = 21 ;
daysback = 15 ;
end ;
if date >= 1110204 and date < 1110308 then
begin
xr = 16 ;
daysback = 20 ;
end ;
if date >= 1110308 and date < 1110406 then
begin
xr = 16 ;
daysback = 20 ;
end ;
if date >= 1110406 and date < 1110506 then
begin
xr = 16 ;
daysback = 20 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 21

if date >= 1110506 and date < 1110607 then

begin
xr = 15 ;
daysback = 20 ;
end ;
if date >= 1110607 and date < 1110707 then
begin
xr = 15 ;
daysback = 14 ;
end ;
if date >= 1110707 and date < 1110805 then
begin
xr = 15 ;
daysback = 14 ;
end ;
if date >= 1110805 and date < 1110906 then
begin
xr = 15 ;
daysback = 14 ;
end ;
if date >= 1110906 and date < 1111005 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1111005 and date < 1111103 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1111103 and date < 1111205 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1111205 and date < 1120105 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120105 and date < 1120206 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120206 and date < 1120307 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120307 and date < 1120405 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120405 and date < 1120507 then
begin
xr = 18 ;
daysback = 13 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 22

if date >= 1120507 and date < 1120606 then

begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120606 and date < 1120706 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120706 and date < 1120806 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120806 and date < 1120905 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1120905 and date < 1121004 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1121004 and date < 1121102 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1121102 and date < 1121204 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1121204 and date < 1130104 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1130104 and date < 1130203 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1130203 and date < 1130307 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1130307 and date < 1130408 then
begin
xr = 18 ;
daysback = 13 ;
end ;
if date >= 1130408 and date < 1130507 then
begin
xr = 18 ;
daysback = 13 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 23

if date >= 1130507 and date < 1130606 then

begin
xr = 22 ;
daysback = 13 ;
end ;
if date >= 1130606 and date < 1130708 then
begin
xr = 22 ;
daysback = 13 ;
end ;
if date >= 1130708 and date < 1130806 then
begin
xr = 22 ;
daysback = 13 ;
end ;
if date >= 1130806 and date < 1130905 then
begin
xr = 22 ;
daysback = 13 ;
end ;
if date >= 1130905 and date < 1131004 then
begin
xr = 22 ;
daysback = 7 ;
end ;
if date >= 1131003 and date < 1131101 then
begin
xr = 22 ;
daysback = 7 ;
end ;
if date >= 1131101 and date < 1131203 then
begin
xr = 16 ;
daysback = 8 ;
end ;
if date >= 1131203 and date < 1140103 then
begin
xr = 16 ;
daysback = 9 ;
end ;
if date >= 1140103 and date < 1140204 then
begin
xr = 16 ;
daysback = 9 ;
end ;
if date >= 1140204 and date < 1140306 then
begin
xr = 16 ;
daysback = 9 ;
end ;
if date >= 1140306 and date < 1140404 then
begin
xr = 16 ;
daysback = 9 ;
end ;
if date >= 1140404 and date < 1140506 then
begin
xr = 22 ;
daysback = 10 ;
end ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 24

if date >= 1140506 and date < 1140605 then

begin
xr = 22 ;
daysback = 10 ;
end ;
if date >= 1140605 and date < 1140707 then
begin
xr = 22 ;
daysback = 10 ;
end ;
if date >= 1140707 and date < 1140805 then
begin
xr = 22 ;
daysback = 10 ;
end ;
if date >= 1140805 and date < 1140905 then
begin
xr = 22 ;
daysback = 10 ;
end ;
if date >= 1140905 and date < 1141003 then
begin
xr = 22 ;
daysback = 10 ;
end ;
if date >= 1141003 and date < 1141103 then
begin
xr = 22 ;
daysback = 10 ;
end ;

if date >= 1141103 and date < 1141230 then

begin
xr = 15 ;
daysback = 10 ;
end ;
if date >= 1141230 and date < 1150130 then
begin
xr = 15 ;
daysback = 10 ;
end ;
if date >= 1150130 and date < 1150303 then
begin
xr = 15 ;
daysback = 9 ;
end ;
if date >= 1150303 and date < 1150403 then
begin
xr = 15 ;
daysback = 9 ;
end ;
if date >= 1150401 and date < 1150501 then
begin
xr = 15 ;
daysback = 11 ;
end ;
if date >= 1150501 and date < 1150602 then
begin
xr = 15 ;
daysback = 11 ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 25

end ;
if date >= 1150602 and date < 1150701 then
begin
xr = 15 ;
daysback = 14 ;
end ;
if date >= 1150701 and date < 1150731 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1150731 and date < 1150831 then
begin
xr = 22 ;
daysback = 12 ;
end ;
if date >= 1150831 and date < 1150930 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1150930 and date < 1151029 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1151029 and date < 1151130 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1151130 and date < 1151230 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1151230 and date < 1160201 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160201 and date < 1160301 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160301 and date < 1160401 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160401 and date < 1160502 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160502 and date < 1160602 then
begin
xr = 22 ;
daysback = 14 ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 26

end ;
if date >= 1160602 and date < 1160630 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160630 and date < 1160801 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160801 and date < 1160830 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160830 and date < 1160929 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1160929 and date < 1161028 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1161028 and date < 1161201 then
begin
xr = 22 ;
daysback = 14 ;
end ;
if date >= 1161201 and date < 1161229 then
begin
xr = 16 ;
daysback = 20 ;
end ;
if date >= 1161229 and date < 1170131 then
begin
xr = 16 ;
daysback = 14 ;
end ;
if date >= 1170131 and date < 1170303 then
begin
xr = 16 ;
daysback = 20 ;
end ;
if date >= 1170303 and date < 1170502 then
begin
xr = 17 ;
daysback = 6 ;
end ;
if date >= 1170502 and date < 1170601 then
begin
xr = 17 ;
daysback = 6 ;
end ;
if date >= 1170601 and date < 1170630 then
begin
xr = 17 ;
daysback = 7 ;
______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 27

end ;
if date >= 1170630 and date < 1170801 then
begin
xr = 17 ;
daysback = 7 ;
end ;rrange=high-low;

//****************************************************
//****************************************************
//NOTE: for accurate signals after August 1, 2017, you should rerun walkforward
//optimization (that is what I do!)
//****************************************************
//****************************************************

if date >= 1011001 then begin //walkforward period only

if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close>close[daysback] then buy next

bar at market;
if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close<close[daysback] then sellshort
next bar at market;

if barssinceentry>=100 or openpositionprofit<-5000 then begin

sell next bar at market;
buytocover next bar at market;
end;

end;//date

SFE2 Soybeans - Sample Signals

Here is a chart showing 2 short signals and 2 long signals. Note that entries
catch long trends, and exit losers relatively quickly.

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 28

Figure 1 - SFE2 Soybeans - Sample Signals

SFE2 Soybeans- Performance Results

Results of the walkforward testing are shown below, followed by a closed equity
curve. Note that the start date shown is not the start date for actual trades. This
is due to the walkforward test process. Any trade open on end date was closed
for this report.

The first trade for SFE2 Soybeans occurs on 10/2/2001.

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 29

Figure 2 - SFE2 Soybeans - Performance Summary

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 30

Figure 3 - SFE2 Soybeans Closed Trade Equity Curve

______________________________________________________________________________________________________

(c) Copyright - KJ Trading Systems. All Rights Reserved Worldwide. www.kjtradingsystems.com

page 31

SFE2 Soybeans - Downside to System

To be successful, SFE2 Soybeans really needs a sustained, large trend.

Sideways action is a killer for this type of approach. Since it is a traditional trend
following method, drawdowns can be significant.

This system is not suited for people who like a high winning percentage, and/or
cannot withstand large daily equity fluctuations. It is also tough to sometimes
have a significant profit, and watching most or all of it evaporate. In the short
term, that makes this system tough to trade. But in the long term it is worth it.

SFE2 Soybeans - Ideas for Improvements

If you are inclined to do your research, and make your own improvements, I'll
give you a few ideas. You might wonder why I did not already add them in. The
answer is pretty simple - once I find something good that works reasonably well, I
stop. I feel the more I try to improve something, the more risk I run of over fitting,
curve fitting, introducing hindsight bias, etc.

For most of these suggestions, you might find them in other trading systems you
use. In those cases, you can just adapt what is in one system, and apply it to
this one.

1. Incorporate a trailing exit or a breakeven stop.

2. Make the initial stop smaller, or possibly dependent on current volatility.

3. Exit all trades after "x" days, regardless of current profit/loss.

4. Trade multiple contracts, and have exits at different profit levels.

______________________________________________________________________________________________________

page 32

Walkforward Reoptimization - Keep It Fresh

The thing I like most about walkforward optimization is that you keep the system
"fresh," since key parameters change over time, adapting to the changing market
conditions. I think this helps keep it robust.

The good news is that I am going to teach you right here how to do it, and give
you all the important parameters I use. So, just keep this manual, and you'll
never need my help!

I'll walk you through the general process, and then provide the details for each
system, so you can do it yourself.

General Procedure - Future Walkforward Optimizations

Using your backtest software, run an exhaustive (complete) optimization with the
following characteristics:

TRADING DAYS "IN" PERIOD - this is the amount of trading days you'll want to
optimize over. So, if today is January 1, 2012, and the "IN" period is 1008
trading days (4 years), I'd want to optimize over the period January 1, 2008 to
January 1, 2012.

NOTE: Make sure you also include time for the calculations to start up, so that
trades can be taken the first day of the optimization period ("maxbarsback" in
Tradestation).

ANOTHER NOTE: When you reoptimize, make sure it is a version of the

strategy that has all the walkforward code stripped out of it. This will be a
different version that you use to trade day to day. Your "optimization version"
should be setup to allow you to optimize the variables "xr" and "daysback."

TRADING DAYS "OUT" PERIOD - this is the amount of trading days the latest
walkforward results will be valid for. So, if "OUT" period is 252 trading days (1
______________________________________________________________________________________________________

page 33

year), and I optimize today, January 1, 2014, then I can use these results until
January 1, 2016. On that date, I'll have to reoptimize.

PARAMETERS - these are the variables I have to optimize with. Your testing
software should run all the cases shown, and then present you with the overall
"best" case. To keep things simple, I assume that the "best" case is the one that
provides the greatest Net Profit over the period in question. Feel free to use
something different if you wish (like Return on Account, or Max Drawdown, or
Expectancy, etc.)

SCHEDULE - You'll want to keep a list of when the next optimization needs to be
completed. For the SFE2 Soybean system, the reoptimization is every 21 trading
days, around the 5th of the month. You can probably modify this to be the 1st of
each month, if that is easier to remember. But, right now I reoptimize on or
around the 5th of each new month.

SFE2 Soybeans- Walkforward Optimization Details

TRADING DAYS "IN" PERIOD - 378 days

TRADING DAYS "OUT" PERIOD - 21 days

PARAMETERS -
xr = 15 to 25, increment of 1
daysback= 1 to 20, increment of 1

220 TOTAL ITERATIONS

______________________________________________________________________________________________________

page 34

Walkforward Example
Since this might still be a little confusing to you, let's look at an example.

First, if you are a Tradestation user, you want to create a copy of the strategy,
remove all the walkfoward statements in the strategy (the "if date=xxx then ..."
blocks), and then change the variables you want to optimize from "vars:" to
"inputs:" That will allow you to actually use the exhaustive optimizer in
Tradestation.

Let's say we want to create the next set of walkforward parameters for SFE2
Soybeans. We see that the next Soybean optimization needs to take place on
8/5/2014. So, on that day, we run an optimization using the values shown
earlier.

TRADING DAYS "IN" PERIOD - 378 days (roughly 1.5 years)

(so, start on 2/5/2014, end date 8/5/2014)

Note this does not account for MaxBarsBack (initialization period). You
should add MaxBarsBack to the number of trading days (ie, 378+
MaxBarsBack)

TRADING DAYS "OUT" PERIOD - 21 days

(so, new parameter values will be good until 9/5/2014)

______________________________________________________________________________________________________

page 35

PARAMETERS -
xr = 15 to 25, increment of 1
daysback= 1 to 20, increment of 1

220 TOTAL ITERATIONS

So, we run all 220 iterations, and determine the case with the best overall Net
Profit. Let's say that the best Net Profit occurred when xr = 20 and daysback=12.
That means, for the period of 8/5/2014 to 9/5/2014, we want to use those values.
In Tradestation code format, that looks like this:

if date >= 1140805 and date < 1140905 then

begin
xr = 20 ;
daysback = 12;
end ;

Once we update our trading code with the above "if" block, we are good to go
until the next walkforward optimization on 9/5/2014.

Note that due to holidays, exchange closures, leap years, etc, 252 trading days
might not exactly equal 1 calendar year. If you are doing this by hand, it should
be close enough to assume a year. If you have walkforward trading software, the
software itself should tell you when the next optimization date is.

What if Things Go Wrong?

I'm not sure any trading system lasts forever. Just ask "Buy and Hold" strategy
followers in the stock market how that worked out in 2008! "Buy and Hold" took a
severe beating during the Financial Crisis.

It is easy to know when to start following an advisor or trading system - start

trading as soon as you have determined it is the right investment for you. But, do
you know when you'll stop following that new system?

______________________________________________________________________________________________________

page 36

Whether you are following your own trading system, or following an advisory,
newsletter or some other service, if you don't have an exit plan for discontinuing
it, you should.

Why? Studies have shown that when people are under stress, many times they
make poor decisions. Certainly if you were losing money with your systems you
would be stressed. Consequently, you might make a knee jerk reaction to the
losses, or you may stick your head in the sand and avoid a decision all together.
Both scenarios can be dangerous. So, the time when you are losing is a bad time
to determine when to exit.

Ideally, you already determined when to stop trading when you first decided to
trade the system. If not, it is not too late. Just determine the metric(s) that are
most important to you. They could include such things as:

Maximum drawdown

Consecutive losers in a row

Amount lost in a week/month/year

Overall profit after X months

Overall winning percentage dips below XX %

Significant break in your personal equity trendline, or equity moving average

New highs, or breaking of another "good" metric (yes, some people try to quit at
the top)

Anything that can be measured and monitored

The exact condition you select probably is not as important as writing it down and
sticking to it. That is the key. It needs to be solid, definitive and written down.
Ideally, you'll also tell your spouse or a friend, too, since it is harder to back out
when you make the proclamation public.

______________________________________________________________________________________________________

page 37

I've heard that one money management firm's exit criteria is 1.5 times the
maximum drawdown, and a 24 month commitment. Those aren't bad, but the
best one is the one that you feel comfortable with - one you can stick with.

You'll definitely worry less about your system's performance if you write down
and follow your exit plan - BEFORE you start trading!

Conclusion
Ultimately, your success with this system depends a lot on you. First, you have
to be willing to be patient, and evaluate it over time, before committing real
money to SFE2 Soybeans (and bringing emotions about money into the
situation).

Next, you have to gain confidence to trade without question. Cherry picking
trades, unless you've fully tested out the cherry picking method, is a dangerous
way to go. When I trade, I take every signal a system gives me, because I don't
know what is going to happen. For me at least, signals I feel least confident in
always seem to do best, so taking all signals is definitely good for me!

Finally, you need to make sure all the other things I haven't discussed, such as
position sizing and money management, are taken care of as well. Overtrading
and under capitalization kill more trader accounts than anything I know, so be
extra careful.

With any new system I trade, I have had the most success by trading the
smallest size possible at first, and then gradually increasing size as profits
accumulate. I suggest you try this approach, too.

Start small, but eventually think big.

______________________________________________________________________________________________________

page 38

I wish you nothing but success with the SFE2 Soybeans system. Of course, if
you have questions, please feel free to e-mail me.

Good Luck, and Happy Trading!

More Info
I hope you have enjoyed this report. If you like my material, please visit my
website: http://kjtradingsystems.com There you will find TONS of free
information of REAL trading.

At my website, you can also read about my award winning Strategy

Factory workshop the best way to develop strategies properly, with my
one on one support to guide you.

Thanks!

______________________________________________________________________________________________________

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