Chuck Le Beau's System Traders Club Announces:

ROUGHNECK CRUDE OIL TRADING SYSTEM

78% Winners - Short and Intermediate Term - Trades Long and Short with Low Drawdowns

Background: The "Roughneck" Crude Oil trading system is our second system in the energy complex and we plan to be adding more energy trading systems in the future. We believe that the "Roughneck" System complements our "Wildcat" System very nicely. Although both systems are trend-following in nature, the Roughneck System exits quicker and does a much better job of trading the short side of the market. Although it is not considered a frequent trader the Roughneck System trades more than twice as often as the Wildcat System.

Strengths of the system: Our historical test data from 10/17/88 through 12/31/98 shows 78% winning trades for the Roughneck with 49 winners out of 59 trades. These gains were achieved with unusually low risk. The system showed an average losing trade of about $730.00 and a total maximum drawdown of only $2810. Our testing results showed 8 consecutive winners and only 2 consecutive losers.

We are doing something interesting in the way of trend identification in this system. We are using moving averages of the lows to tell us when the trend is up and we are using moving averages of the highs to tell us when the trend is down. The assumption is that when the trend is up the lows will be getting higher and when the trend is down the highs will be getting lower. Almost any means of identifying the intermediate trend would probably work just as well but we thought our clients might appreciate a little creativity in our methods of looking at trends.

Weaknesses of the system: Like most high winning percentage systems it doesn't trade as often as we would like. (The Roughneck makes only about six trades per year.) Since this is a basic trend-following system we would not expect it to be profitable in long periods of sideways price action. We will have to build another system specifically designed to trade profitably in the sideways periods.

Summary: This highly adaptive system is capable of capturing either large or small profits in both rising and falling markets. We think it is a well-designed system that has not been overly curve fit. The system is based on simple and logical concepts that incorporate the basic principals of profitable trend-following. We expect the Roughneck Crude Oil System to be an important part of our multiple-system strategy and a consistent performer in the years to come.

This system is priced at $250.00. Credit card orders are accepted by phone or fax or online via the website. Our phone is 310 265-9776. Our fax is 310 265-9556. The online order form can be found at http://traderclub.com/systems_order.htm

Historical Results

Table 1 shows the historical results of trading one contract on the system tested over 10 years of data from October 1988 to December of 1998. "MaxBarsBack" in TradeStation was set to 50 bars. "MaxBarsBack" refers to the number of bars of data necessary to accumulate sufficient data to calculate the rules in a system before valid trading signals can be generated The stated test period includes the MaxBarsBack period so this means that no trades will be taken for the first 50 trading days in our data. We started our data in October so that the first trade would be generated early in 1989 after allowing 50 bars in 1988 without any trades.

For testing purposes, we used continuous back-adjusted daily data provided by Pinnacle Data Corp. The data used was for the regular day session only. $100 was deducted from every trade to simulate the effects of commissions and slippage. No allowance was made for the cost of rollovers that might be required in actual trading.

Table 1. Roughneck Crude CL.LNG-Daily 10/17/88 - 12/31/98

Performance Summary: All Trades

Total net profit $ 43100.00 Open position P/L $ -850.00
Gross profit $ 56410.00 Gross loss $ -13310.00

Total # of trades 59 Percent profitable 78%
Number winning trades 46 Number losing trades 13

Largest winning trade $ 6370.00 Largest losing trade $ -1100.00
Average winning trade $ 1226.30 Average losing trade $ -1023.85
Ratio avg win/avg loss 1.20 Avg trade(win & loss) $ 730.51

Max consec. winners 8 Max consec. losers 2
Avg # bars in winners 16 Avg # bars in losers 11

Max intraday drawdown $ -2810.00
Profit factor 4.24 Max # contracts held 1
Account size required $ 2810.00 Return on account 1534%


Performance Summary: Long Trades

Total net profit $ 30720.00 Open position P/L $ 0.00
Gross profit $ 39630.00 Gross loss $ -8910.00

Total # of trades 43 Percent profitable 79%
Number winning trades 34 Number losing trades 9

Largest winning trade $ 6370.00 Largest losing trade $ -1100.00
Average winning trade $ 1165.59 Average losing trade $ -990.00
Ratio avg win/avg loss 1.18 Avg trade(win & loss) $ 714.42

Max consec. winners 11 Max consec. losers 1
Avg # bars in winners 15 Avg # bars in losers 9

Max intraday drawdown $ -1900.00
Profit factor 4.45 Max # contracts held 1
Account size required $ 1900.00 Return on account 1617%


Performance Summary: Short Trades

Total net profit $ 12380.00 Open position P/L $ -850.00
Gross profit $ 16780.00 Gross loss $ -4400.00

Total # of trades 16 Percent profitable 75%
Number winning trades 12 Number losing trades 4

Largest winning trade $ 3480.00 Largest losing trade $ -1100.00
Average winning trade $ 1398.33 Average losing trade $ -1100.00
Ratio avg win/avg loss 1.27 Avg trade(win & loss) $ 773.75

Max consec. winners 6 Max consec. losers 2
Avg # bars in winners 20 Avg # bars in losers 15

Max intraday drawdown $ -2750.00
Profit factor 3.81 Max # contracts held 1
Account size required $ 2750.00 Return on account 450%


To view an equity chart based on the above trades go to:

http://www.traderclub.com/systems_roughneck.htm

The hypothetical performance data above was generated using Omega TradeStation, with $100 deducted per trade for commissions and slippage. In our opinion, the "account size required" and "return on account" calculations may not accurately reflect the actual account size required to trade this system nor the return to be expected. Past performance is not necessarily indicative of future results.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY 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 PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.