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S&P 500 emini Futures Performance

(Based on the SPY trading system)


Reviewed on:
July 29, 2010

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

    

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