John W. Fritz

Diversified Velocity System

Program Description: John W. Fritz is a pure technical trader. Term technical here means the trader believes that the best way to predict futures price movements is to focus only on historical prices. Although this trader currently uses only price data, in some cases, other technical traders may include trading volume and open interest data. The research approach includes concentrating on the following ideas: 1) Always trying to set up any research so that the data leads to the time frame for trading. 2) Use simple ideas. 3) Process lots of data. For most of the 27 markets traded, the database goes back to at least 1977. Any full run starting in 1977 and ending on December 31, 2003 would process more than 660 years of futures data in a single computer program. 4)Use a very small number of control parameters. 5) Whenever possible, parameters are chosen so that a reasonably large change in them has as small an effect on predictions as possible. 6) Each market is traded using the same set of control parameters for all futures markets or the same program to determine individual parameters for each market. 7) Equity declines or risks are a very important factor in determining the best system to use. 8) Computer simulations are run in the same way that trading would actually take place. Usin one set of data, the training set, to develop control parameters and a different set, the test set, is used to test the ideas. As of April 30, 2004 and for each $100,000 unit, the trader intends to trade a maximum of one contract in each of the following 27 markets: Australian Dollar British Pound Swiss Franc Japanese Yen Canadian Dollar T Bonds T Notes Euro Dollar Heating Oil Crude Oil Unleaded Gas Wheat Corn Soybeans Bean Meal Bean Oil Cotton Sugar Coffee Cocoa Frozen Orange Juice Lumber Live Cattle Hogs Gold Silver Copper It is possible that further research could add other futures to trade. It should be clearly understood that this is a long term trading system. Over the years, each market will probably average about 2 new trades and about 4.5 rollover trades each year. The Client is encouraged to view this system as a long term involvement and to not remove funds from the account during the first year of trading. Because of the long term approach to trading, there may often be large equity tied up in open trades.