Performance

Strategy Description

The Global Basic managed futures program uses 5 intermediate time frame models. Winners are generally held and average of 6 weeks while losers are held around 6 days. Each model's rules and parameters are identical for all markets followed (currently 42). The models are chosen for their ability to perform superbly in the overwhelming majority of markets individually as well as in the aggregate. Entry signals are based on a combination of technical factors such as the classical charting picture, multi-time frame pattern analysis, thrust, congestion, penetration of technical support and resistance or failures to penetrate and are made only when "noise" levels in the market are relatively low. Clarke Capital Management, Inc's Global Basic trading program is a multi-model approach using five intermediate models with quick acting exits. The Global Basic Trading program uses trend following techniques with a contra-trend component. The System trades forty-four U.S. and Global Markets including interest rates, currencies, metals, softs, meats, energies, and grains. Multi-model approach using 5 intermediate models with quick acting exits. Trend following with contra-trend component.

Primarily trend-following with some counter-trend models

All models have an initial stop loss consisting of either a volatility based hard stop, a dollar based hard stop or usually both, choosing whichever is closer. Currently our “quicker” models have stop losses around $300-$600. About a third of our models fall into this category. Another third of our models have stop losses in the $500-$1200 range. The final group range from about $700-$1500 and in some isolated cases as high as $2000. All models have some sort of trailing stop exit. They can be based on time, level of profits to protect or a combination of both. Also, where existing positions are concerned, all models have a stop unique to itself, based upon entry in the opposite direction. This is probably the least likely way a model in our strategy would exit. On the shorter-focus models we use trailing stops which give some "wiggle" room as long as the position keeps increasing its open profits. Once this stops, however, tightening of the stops takes place quickly with the rapidity of the tightening being inversely related to the accumulated profits in the position. This is because of my belief that: The more a position has demonstrated its ability to win, the more room it should be given to keep winning.