Here are the top 10 systems for the 12-month period ending Sept. 31 based on simulated trading by Futures Truth. The results are based on an initial investment of three times margin with no reinvestment of profits. Slippage has been calculated into the results. Systems trading the currencies, bonds and energies dominated 2007. These markets have demonstrated high levels of volatility and trendiness. Trend followers recovered in 2007 after several poor years. We have had extended trends in currencies and commodities, especially soybeans, wheat and corn. Unfortunately, most of the systems we track exclude these markets from their portfolios due to their lack of historical performance. Trend following systems do not test well on the grains, metals or meats. Fortunately, the energy sector is usually found in these portfolios. This year breathed a little life into systems that many thought were relics of the past.
George Pruitt is director of research of Futures Truth magazine. He can be reached at firstname.lastname@example.org or www.futurestruth.com