Sp Day Trader Program

Discussion in 'Strategy Development' started by Rickshaw Man, Aug 8, 2005.

  1. THE SAM S&P DAYTRADER PROGRAM is a fully mechanical and non-emotional computerized trading system. The Program is designed to identify daily trends and trend reversals trading the S&P 500 Futures Contract on the Chicago Mercantile Exchange or the S&P E-Mini Contract electronically. The system is fully mechanical and is based on breakout and reversal strategies incorporating daily floor trader pivot point calculations. The Program may not trade every day. All positions are closed during the day or by the end of the day.

    SAM S&P DAYTRADER 1.0 version was initially released as a monthly lease program using the trading signals on December 1, 2001. Actual Performance for the lease program from December 1, 2001 can be found on our website at www.shafferasset.com.

    SAM S&P DAYTRADER 2.0 version was released on May 21, 2002, which modified the reversal values for smaller losing trades and was introduced into the managed accounts program on September 1, 2003. Negative performance from October 2002 though November 2002 was due to severe slippage (poor execution of orders) due to conditions in the S&P trading pit in Chicago. Because of the slippage, on November 25, 2002 all trading was switched to the S&P E-Mini contract, which is electronically traded, therefore substantially reducing the slippage issue previously reflected in our performance.

    SAM S&P DAYTRADER 3.0 version, which modified the trend reversal entry point, was released on April 1, 2003.


    Daniel S. Shaffer is the managing principal and head trader of SAM. He began his career in 1983 trading for his own account as a floor trader on the New York Futures Exchange (NYFE). Mr. Shaffer left the floor and joined Bear Stearns and traded commodity futures. Thereafter, he joined Coopers & Lybrand and consulted Wall Street firms while obtaining his Masters Degree in Accounting from New York University. He then returned to Bear Stearns and later joined Hambrecht & Quist. In 1989, Mr. Shaffer became an independent Financial Planner and Money Manager. He obtained his Certified Public Accounting (CPA) designation in 1989 and his Chartered Financial Consultant (ChFC) designation in 1992 from The American College. Mr. Shaffer received his Bachelors Degree in Speech Communications from Syracuse University in 1983.

    In 1991, Mr. Shaffer began the development of computerized trading systems based on price and time parameters to quantify psychology of the markets. In 1999, he began trading individual managed commodity accounts under his firm, Shaffer Asset Management, which is registered as a CTA and CPO. Mr. Shaffer is assisted by his partner, Bruce Greenberg, CPA. Mr. Shaffer is a frequent guest speaker on the subject of non-emotional and systematic trading.

    General Statistics From 9-2002 to 7-2005
    Minimum Account $50,000 Annualized Return -28.34
    Management Fee 0% Maximum Drawdown (67.70)
    Incentive Fee 20% Correlation - S&P 500 (0.25)
    Round-turns per Million 3,400 Annualized Sharpe (Rfr=1%) -0.60
    Margin/Equity 15% Annualized Standard Deviation 40.53
    Monthly Performance
    2005 1.65 (3.86) (0.88) (3.88) (0.95) (5.13) 1.11 (11.54)
    2004 1.07 (2.10) 6.97 10.29 (1.23) 0.66 (2.91) (4.39) (5.85) 3.34 3.09 9.82 18.67
    2003 15.54 (16.87) 13.45 1.10 5.20 16.86 (7.06) (2.57) (29.97) (8.01) 1.03 (2.13) (21.88)
    2002 10.40 (42.27) (15.90) (13.93) (53.87)

  2. Just goes to show, the smartest guys with the most education, can loose their A$$ trading.
  3. I think that maybe because the sample size of dumb guys, without any education who are traders is very low.