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The Trafalgar Global Index Futures Program trades S&P
500 futures contracts and is comprised of volatility
adjusted pattern recognition trading models that seek to profit
from intra-day movements in the overall market (as represented
by the 500 stocks that comprise the index). The trading models
implement three different pattern recognition trading strategies:
a volatility strategy,
a range breakout strategy
and a counter-trend strategy.
The volatility models
calculate volatility adjusted levels above and below support
and resistance levels of the market for a given day and use
these levels as entry points for the following day. Each of
the volatility models has a different entry point for both
the long and the short side which allows the Trafalgar I/T
Program to scale into a position as the market volatility
increases. The trading models have predetermined loss and
profit points and all open positions are exited at the end
of the trading day.
The range breakout models
seek to capture a move in the market as it "breaks out"
from an area of congestion as determined by current volatility
and historical patterns. When the conditions within the range
breakout models that define a congestion area are met, the
models establish a position to "go with the market"
as it breaks out. These models exit all positions at the end
of the trading day in the event that their profit or loss
levels are not hit.
The countertrend model
looks for the market to move too far in one direction and
then abruptly reverse and begin to move rapidly in the other
direction. This movement is identified through proprietary
pattern recognition software. As the direction of the market
reverses the countertrend model establishes a position to
go with the reversal and seeks to profit from the market returning
to an equilibrium.
The S&P trading models have been designed to interact
with one another during the trading day based on volatility,
and the overall position of the Trafalgar I/T Program increases
and decreases as the different models enter and exit positions.
Risk Management
The Trafalgar Index Program incorporates a proprietary risk
management strategy which adheres to prudent risk reduction
practices by issuing precise stop-loss orders that accompany
every order from a trading program. The risk management program
monitors the performance of all trading programs to determine
whether one or more is statistically under-performing historical
norms as a result of prevailing market conditions. If this
is the case, the risk management program temporarily removes
one or more trading programs from the portfolio until suitable
market conditions have reappeared.
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