Portfolio Based Approach to Trading US Stocks

We have developed a portfolio based approach to trading US Stocks, which could be extended to International stock markets.  Our first US Stock Portfolio is based on the Dow Jones Industrial Average 30 names.  After filtering for trading range, zSystem selects 15 out of the 30 names to be in the Portfolio.  The same account capitalization assumption applies here: for a Margined Brokerage Account funded with US$100,000 (with implied Buying Power of US$200,000), we fix number of shares per stock at 500, and 2 cents per share commission (4 cents per share per round trip trade).   The detailed Trade Summary below shows the Performance of the Portfolio of during this calendar year, as of May 31, 2005 (+ 29.92%).

Dow30 Swing Trading Portfolio

29.92%	Total Trades	127	Total PnL	$64.93	Average (Trade/PnL)	$0.51	Total Gross	$32,465.00	Total Net	$29,925.00
5/31/2005	Last	Total Trades	Total PnL	Winners	Losers	Win Amt	Loss Amt	Avg Win	Avg Loss	Max Win	Max Loss
AA	27.1	9	($0.22)	4	5	$3.32	($3.54)	$0.83	($0.71)	$1.24	($1.07)
AIG	55.55	8	$8.25	4	4	$14.07	($5.82)	$3.52	($1.45)	$7.60	($3.66)
AXP	53.85	10	$7.72	9	1	$8.10	($0.38)	$0.90	($0.38)	$1.79	($0.38)
BA	63.9	8	$11.00	7	1	$12.87	($1.87)	$1.84	($1.87)	$3.43	($1.87)
C	47.11	7	$4.40	4	3	$4.72	($0.32)	$1.18	($0.11)	$2.27	($0.18)
CAT	94.11	9	($2.68)	5	4	$10.35	($13.03)	$2.07	($3.26)	$5.77	($5.38)
DD	46.51	10	$6.32	6	4	$11.31	($4.99)	$1.88	($1.25)	$5.45	($1.99)
DIS	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
GE	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
GM	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
HD	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
HON	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
HPQ	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
IBM	75.55	6	$19.00	3	3	$21.48	($2.48)	$7.16	($0.83)	$15.01	($1.25)
INTC	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
JNJ	67.1	9	($0.92)	4	5	$4.17	($5.09)	$1.04	($1.02)	$1.60	($1.47)
JPM	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
KO	44.63	6	$1.54	2	4	$3.23	($1.69)	$1.62	($0.42)	$1.64	($0.77)
MCD	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
MMM	76.65	10	$1.43	5	5	$3.19	($1.76)	$0.64	($0.35)	$1.16	($0.71)
MO	67.14	11	$1.53	5	6	$4.09	($2.56)	$0.82	($0.43)	$1.90	($1.44)
MRK	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
MSFT	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
PFE	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
PG	55.15	12	($2.73)	2	10	$3.88	($6.61)	$1.94	($0.66)	$2.06	($1.75)
SBC	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
UTX	106.7	5	($4.38)	1	4	$2.05	($6.43)	$2.05	($1.61)	$2.05	($1.97)
VZ	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
WMT	0	0	$0.00	0	0	$0.00	$0.00	$0.00	$0.00	$0.00	$0.00
XOM	56.2	7	$14.67	6	1	$14.94	($0.27)	$2.49	($0.27)	$10.50	($0.27)

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NAS15 Swing Trading Portfolio

73.35%	Total Trades	155	Total PnL	$126.91	Average Trade/PnL	$0.82	Total Gross	$76,144.98	Total Net	$73,354.98
5/31/2005	Last	Total Trades	Total PnL	Winners	Losers	Win Amt	Loss Amt	Avg Win	Avg Loss	Max Win	Max Loss
AAPL	39.759	13	$1.27	7	6	$7.25	($5.97)	$1.04	($1.00)	$2.50	($2.59)
AMGN	62.58	10	$6.70	6	4	$8.48	($1.78)	$1.41	($0.45)	$3.37	($1.03)
APOL	78.43	11	$10.10	8	3	$12.91	($2.81)	$1.61	($0.94)	$6.85	($1.70)
BIIB	39.1	11	$2.31	5	6	$7.51	($5.20)	$1.50	($0.87)	$3.09	($1.65)
EBAY	38	12	$20.46	6	6	$29.71	($9.26)	$4.95	($1.54)	$18.58	($4.96)
ERTS	52.54	12	$16.54	6	6	$21.26	($4.72)	$3.54	($0.79)	$13.30	($2.06)
IMCL	33.14	9	($3.63)	4	5	$8.51	($12.14)	$2.13	($2.43)	$6.01	($3.23)
KLAC	45.41	9	$10.09	7	2	$11.87	($1.78)	$1.70	($0.89)	$5.17	($1.04)
MRVL	41	10	$13.51	8	2	$15.59	($2.08)	$1.95	($1.04)	$6.60	($1.47)
PSUN	21	13	$0.43	4	9	$5.52	($5.09)	$1.38	($0.57)	$2.48	($1.09)
RIMM	82.82	6	$13.87	4	2	$20.44	($6.57)	$5.11	($3.28)	$14.68	($4.70)
SBUX	54.79	6	$13.95	4	2	$16.33	($2.38)	$4.08	($1.19)	$6.66	($2.21)
WYNN	46.85	13	$4.41	6	7	$16.69	($12.28)	$2.78	($1.75)	$8.05	($2.22)
WFMI	118.94	10	$16.01	5	5	$30.29	($14.28)	$6.06	($2.86)	$12.16	($6.76)
YELL	52.78	10	$0.88	3	7	$8.94	($8.06)	$2.98	($1.15)	$3.61	($4.53)

Disclosure and Disclaimer

U.S. Government Required Disclaimer - Commodity Futures Trading Commission. 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 website is neither a solicitation nor an offer to Buy/Sell futures or options. No representation is being made that any account will or is likely to achieve profits or losses similar to those discussed on this website. 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.