www.zentrader.de

“We do not see the things, how they are, but as we are.” (Edward Allen Toppel)

One, perhaps the only possible method to switch the “Ego” off while trading at the markets and come to a correct decision on the basis of an objective perception is the use of so-called mechanical trading systems.

The Zen Trading System is a high performance Xetra Dax Index trading system concerning daily price data (EOD or “end of day”).

Technically it is a compact Windows software product, which has apart from the generation of signals also a system tester functionality. Optionally the product contains a Windows standard DLL, which makes possible program integration in existing solutions (e.g. for automated trading).

An overview and technical information can be found here: Zen Trading System Flyer. The following two films show the use of trading signal generation and the system tester.

Development phases:
2000 - 2006 system test (or back test)
2007 - 2008 out-of-sample test
since January 2009: current trading system setup was publicly licensed and is now profitable more than 3 years without changing the trading algorithm!

Some evaluations concerning the behaviour of the Zen Trading System in selected crisis situations:

• 9/11 2001 ( system protocol with trades list, evaluation and equity curve. )
• subprime crisis 2007 ( system protocol with trades list, evaluation and equity curve. )
• financial crisis 2008 ( ( system protocol with trades list, evaluation and equity curve. )
• Greece / EU crisis 2010 ( system protocol with trades list, evaluation and equity curve. )
• EU crisis 2011 ( system protocol mit Trades-Liste, evaluation und equity curve )

-------------------------------------------------------------------------------------------------------------------------------------------

Current system performance of the “pure” trading system setup without stops, state 01/31/2012:

• 24,480 Dax points (since 01/01/2000)
• annual performance (pre-tax return): 50%
• max. DD versus trading capital (risk): 46%

( system protocol with trades list, evaluation and equity curve. )

Direct comparison with the Dax Index (without leverage!):

• German Dax Index since 2000: - 7%
• Zen Trading System since 2000: +352%

--------------------------------------------------------------------------------------------------------------------------------------------

Scenario for trading with risk management (Test conditions: €20,000 trading capital, position size 5 CFD contracts equal to 20% of the size of one Dax Future contract, absolute 40 points stop, EOD trailing stop, 1 point round turn transaction costs, no stops out of the main trading time data basis of the german Xetra Dax Index), state 01/31/2012:

• 28,330 Dax points (since 01/01/2000)
• annual performance (pre-tax return): 58%
• max. DD versus trading capital (risk): 18%

( system protocol with trades list, evaluation and equity curve. )

--------------------------------------------------------------------------------------------------------------------------------------------

Scenario for trading with risk management and additional money management using a simple pyramiding model (initial position 100%, maximum pyramiding to 200%), state 01/31/2012:

• additional profit improvement of 17% !
• annual performance (pre-tax return): 68%
• max. DD versus trading capital (risk): 36%

( system protocol with trades list, evaluation and equity curve. )

--------------------------------------------------------------------------------------------------------------------------------------------

The performance of the Zen Trading System in a real trading scenario (incl. risk management) is listed in the table below for each year of the evaluation period 2000-2010 (conditions: €20,000 trading capital, position size 5 CFD contracts, absolute 40 points stop, EOD trailing stop):

Year Dax points Performance 2000 3019 75% 2001 1940 48% 2002 4018 100% 2003 2237 56% 2004 1000 24% 2005 1142 28% 2006 1672 41% 2007 4451 111% 2008 5392 133% 2009 1577 39% 2010  519 13% 2011 1203 29% 2012 (until 01/31) 152 42%

The average annual performance is 58%, the max. DD based on the trading capital size (ie the temporary risk) is ca. 18%, the MAR ratio (“return to risk ratio”) is 3,15 !

Basis for the evaluations above is the following data file: DaxIndex.txt

If you need specific evaluations or system tests with/without stops, transaction costs etc., please send me an E-Mail to info@zentrader.de .

Looking at the last years (comparing the Zen Trading System with the german Dax Index and the MSCI World Index - state 12/31/2011), not only the performance of this mechanical trading system was often significantly higher, but also the risk was much lower than an investment in conventional index managing products or instruments (such as funds, etc.):

--------------------------------------------------------------------------------------------------------------------------------------------

=> Which advantages does the Zen Trading System have in relation to the competition?

1. The system shows very high annual results of performance in all trading models (thus without stops, with stops and/or with pyramiding). A comparison with the most well-known rank lists ( www.futurestruth.com , www.striker.com ) is documented in the report “Performance comparison”.

2. You can not only trade the german Dax Index with the system, but also the famous german Dax Future (´FDAX). Review and tests see here: FDAX test

3. The signals, trades and performance computations always take place for the close price of the appropriate day (if no stops take place). This ensures both: a realizable trading in practise and a correct performance analysis!

4. Apart from the signal generation the software has also its own system tester, in order to be able to test the system setup with different settings and alternative price data sources. The separation of program and data allows also the verifiability of the published system performance!

5. It takes only a few minutes a day for data update and signal generation. So you can trade really comfortable using this system with instruments like CFDs, ETFs, index certificates, warrants, futures etc.

6. Because this is a purchase software, you pay only once and during the future use there are no additional costs for you. A further advantage of this solution is, that you aren’t dependent from the system supplier or the temporal availability of his trading signals!

7. An additional standard Windows DLL component allows the program integration in existing software or trading platforms, e.g. for the realization of automated trading.

Risk Warning: quantitative, mechanical trading systems are based on analysis of historical data as well as on possible future scenarios. So there will be always performance variations and residual risks. This is inherent to the system!

Features

• signal generation: generation of Long or Short signals for the german Dax Index

• shows the last 100 price bar records (via textbox) and the last 20 price bar records as candle sticks (interactive chart)

• shows ZTS indicator line (and values)

• shows stop recommendations for absolute, relative and volatility stops (based on the user input)

• maintenance of price data records is possible directly in the application (textbox) or via an external file
   

• system test: test of EOD data files 

• select 1 of 2 "End of day" (EOD) data formats 

• different risk and money management models can be chosen

• evaluation results as ratios in the output screen fields

• evaluation of the system test also available as equity curve chart

• evaluation results of the single trades are listed in a special report file (protocol file). This text file format is easy to use for further analysis in calculation programs like MS Office/Excel.
   

• DLL: functions for signal generation

• makes possible program integration and automatic trading

• is supplied with documentation, DLL test application and MS Office/Excel (VBA) programming sample

• the zents20.dll component is a fast, lean "industry standard" Windows Win32 DLL

• the component is "thread safe" and "multi user" ready (for use on servers, web servers etc.)

• the DLLs are written in PowerBasic/Win and have dynamic strings as parameters, so that's not a problem for other software products to call these DLLs (tested with PowerBasic, Visual Basic, MS Office Excel (VBA), .NET, C/C++). Hint: C/C++ developers can use the BSTR data type functionality to call these components without problems...
   

• GUI: the Windows GUI application fits to SVGA resolution (800x600) - so it’s also Netbook ready!

Free demo versions are available in the Support section (download area).

starting at €990 ... order now! (Here you can find order and price information)

© Dipl.-Ing. Volker Butzlaff