Issue 9

How Diversification Can Help You Trade Better - Ashif Jumma

Diversification is one of the crucial factors in the success of a trading plan besides having a good trading system and sound money management. It may in fact make the difference between success and failure of a trading plan.

1. Most of the trading systems available are trend following in nature.

2. Commodities trend for a fraction (say 30%) of the time. The rest of the time they are in a sideways market or a small trading range.

3. It stands to reason that most of the good systems will do well in a trending market and get choppy in a sideways market, unless they have devised a way to keep out of a sideways market.

4. What the system hopes to do is to make enough money in a trending market to offset the losses made in a sideways market.

5. What the trader hopes to do is to have enough confidence and money left to make a trade when the market is trending and be profitable.

6. However, a lot of traders being undercapitalized dump their system after a series of confidence shaking losses.

7. By diversifying, a trader can hope to avoid or minimize some of the above problems.

8. The aim of diversifying is to substantially lower the drawdown, minimize the equity swing and hopefully increase the profit.

9. Thus a $10,000 trading account, trading one commodity having a drawdown of $4,000 and profit of $4,800 may be diversified to have a lower maximum drawdown of say $2,500 and better net profit say of $5,700. This represents a more efficient use of equity capital.

Avoid Highly Correlated Markets Avoid Highly Correlated Markets To Increase Your Chance of Success

10. Let me first define a trade - to me trading Soybeans, Soybean Oil and Soybean Meal does not represent three different trades, but one trade so does Swiss Franc and Deutsche Mark.

A trader who puts on such highly correlated trades will have a bigger drawdown and increases his chances of ruin.

11. Different markets trend well at different times. Some markets may be going nowhere for an extended period of time. Gold may be in the doldrums for say a couple of years at a stretch before it becomes tradable, soybeans may do the same.

A trader who is trading only Gold or Soybeans may become so frustrated with the losses, the time lost, the trading system, he will give up before the market becomes tradable again.

12. So a good diversified trading plan implies lower maximum drawdown, better profit, more winning weeks and months, generally more consistency. It means trading non-correlated commodities. It means sleeping better at night.

Gann's Amazing Trading Record
Reprinted from the December 1909 Edition of Ticker Magazine

To make a success investing in stocks or speculating in commodities you must have a well defined plan and must know the rules that have stood the test of time for 50 years or more. After you learn the rules you must eliminate guess work, hope and fear and follow rules and you will make profits.

When you buy a course of instructions, look up the record of the man who has discovered and developed it and if he has made a success with it and made money, you can afford to buy the course and follow the rules.

1902 August 25th, made first trade in commodities and started studying mathematical principles to determine the future trend.

1905 Sept 12th, the daily Texarkana, Texas, printed an article giving Mr. Gann's view on Cotton prices.

1907, he predicted the panic in stocks and the decline in commodities and made large profits.

Turns $130 into $12,000 in 30-days

1908 May 12th, left Oklahoma City for New York City. August 8th made one of his greatest mathematical discoveries for predicting the trend of stocks and commodities. Started trading with capital of $300 and made $25,000. Started another account with $130 and made $12,000 in thirty days time.

1909 December, the Ticker magazine (now the Magazine of Wall Street) printed an article titled "remarkable predictions and trading record." The article was written by the late R.D. Wyckoff, owner and editor of the Ticker Magazine at that time.

The following is a copy of part of the article:

"In order to substantiate Mr. Gann's claims as to what he has been able to do under this method, we called upon Mr. William E. Gilley, an inspector of imports.

Mr. Gilley is well known in the downtown district. He himself has studied stock market movements for 25-years, during which time he has examined every piece of market literature that has been issued and procurable in Wall Street.

When asked what had been the most impressive of Mr. Gann's work and predictions, he replied as follows:

"It is very difficult for me to remember all the predictions and operations of Mr. Gann which may be classed as phenomenal, but here are a few:

Made 23-Points Profit on an 18-Point Move

In 1908 when Union Pacific was 168-1/8, he told me that it would not touch 169 before it had a good break. We sold it short all the way down to 152-5/8, covering on the weak spots and putting it out again on the rallies, securing 23-points profit out of an 18-point move.

Predictions Made On Scientific and Mathematical Formulas and Calculations, Time Cycles and 'Natural Law'

Mr. Gilley encouraged Mr. Gann to study out the scientific and mathematical possibilities of the subject. "Mr. Gann's calculations are based on natural law. I have followed his work closely for years. I know that he has a firm grasp of the basic principles which govern stock market movements, and I do not believe any other man on earth can duplicate the idea or his method at the present time."

Predicted Exact Day of High Months in Advance

"Early this year Mr. Gann figured that the top of the advance would fall on a certain day in August and calculated the prices at which the Dow-Jones averages would then stand. The market culminated on the exact day and within four-tenths of one per cent of the figures predicted."

"You and Mr Gann must have cleaned up considerable money on all these operations," was suggested. "Yes, we have made a great deal of money. He has taken half a million dollars out of the market in the past few years. I once saw him take $130, and in less than one month ran it up to over $12,000. He can compound money faster than any man I ever met."

Wheat Closes At Exact High Price Predicted One of the most astonishing calculations made by Mr. Gann was during last summer (1909) when he predicted that September wheat would sell at $1.20. This meant that it must touch that figure before the end of the month of September.

At 12 o'clock, Chicago time, on 9-30-09 (the last trading day) the option was selling below $1.08 and it looked as though his prediction would not be fulfilled. Mr. Gann, said "If it does not touch $1.20 by the close of the market it will prove that there is something wrong with my whole method of calculation. I do not care what the price is now, it must go there."

It is common history that the September Wheat contract surprised the whole country by selling at $1.20, and no higher, in the very last hour of trading, closing at that exact figure. So much for what Mr. Gann has said and done as evidenced by himself and others. Now as to what demonstrations have taken place before our representative:

An Amazing 264 Winners out of 286 Trades

During the month of October, 1909, in 25 market days, Gann made in our representatives presence, 286 transactions in various stocks, on both the long and short side of the market. 264 of these transactions resulted in profits; 22 in losses.

The capital with which he operated was doubled 10 times, so that at the end of the month he had 1000% on his original margin. In our presence Mr. Gann sold US Steel common short at 94-7/8, saying that it would not go to 95, it did not.

On a drive which occurred during the week ending October 29th, Mr. Gann bought Steel common at 86-1/4, saying that it would not go to 86. The lowest it sold was 86-1/8.

We have seen him give in one day, 16 successive orders in the same stock, eight of which turned out to be at either the top or the bottom eighth of that particular swing. The above we can positively verify.

92% Winning Trades

Such performances as these, coupled with the foregoing, are probably unparalleled in the history of the Street. James R. Keene has said, "The man who is right six times out of ten will make his fortune." Here is a trader, who without any attempt to make a showing (for he did not know the results were to be published), establishes a record of over 92% profitable trades.

Mr. Gann has refused to disclose his method at any price, but to those scientifically inclined he has unquestionably added to the stock of Wall Street knowledge and pointed out infinite possibilities.

We have requested Mr. Gann to figure out for the readers of the Ticker a few of the most striking indications which appear in his calculations. In presenting these we wish it understood that no man, in or out of Wall Street, is infallible.

Mr. Gann was born in Lufkin, Texas, and is 31-years of age. He is a gifted mathematician, has an extraordinary memory for figures, and is an expert Tape Reader. Take away his science and he would beat the market on his intuitive tape reading alone.

Endowed as he is with such qualities, we have no hesitation in predicting that within a comparatively few years William D. Gann will receive full recognition as one of Wall Street's leading operators."

'You Can be Your Own CTA' and Avoid Troubles With CTA'S & Managed Accounts Matthew Chiang from Canada

I am a novice trader with 2-years trading experience. Over the past 4-years I have purchased and read enough books, newsletters, magazines, and software to make me talk like a pro. Yet in actual trading, I have a loss equalling a new Mercedes Benz!

Plagued with a burnt pocket and frustrated with losses, I turned to professional newsletters, advisers, CTA's and managed accounts. I concluded that futures trading is only for the pros. In Feb/March, I was shopping for a good broker-advisor while searching for the holy grail.

Fact 1: Without Proper Verification, Published "Track Records" can be False

I was attracted by the splashy, cover-page ads on the Futures Magazine put up by Broker "A." They have engaged professional advisors (with combined 20 years floor experience and numerous titles) formerly providing services only to floor brokers at $12,000 annual fees.

Their service was then available to the small investors at a fraction of this price. They sent me splendid trade "records" and simulated performance sheets. I subscribed to their service and opened a managed account with them.

Within 5 weeks, from June to early July, my account was down 60%. I immediately stopped their trading. Concurrently, their published trade "records" showed only -10% in June and positive other months.

I challenged their record and protested against their poor management, their answer was even more startling: They insisted on impeccable records, and they admitted only one "calculating error" of using 1/16th instead of the 1/32th tick value for the Bonds! They circumvented my claim by defending on non-discretionary exemptions, and the advisor took the blow to relief the broker (the accused). Finally they tried to mute me with a defense hearing and a possible counter suit.

To damp down their damaging acts to others. I decided to pursue an arbitration case with NFA, and prepared myself to legal nightmares and counter claims. As expected, they defended the case with legal might!

After weeks of worry and exchanges of legal firepower, I finally settled with them before Christmas for a mere 45% ($3,000) recovery of my loss. I withdrew the case.

Fact 2: Hypothetical Results REALLY bear no Resemblance to Actual Performance While I was shopping around, I was wooed by no less then 2 other CTA-backed brokers. They kept sending me advise and hypothetical trade performances from March to now.

Broker "W" is a CTA-backed full service broker situated in Iowa; they claim to have their ears on the grazing grass and cornfields. I followed on paper their recommendations. A $10,000 account taking all of their cattle and grain trades would become $2,000 from March to Sept!

Now I still receive their regular mailings and I use them, jokingly, as counter-position tools. Perhaps their ears are too close to the fields to be full of grasshoppers.

Broker "S" who sells CTA-managed futures sent me piles of trade results and managed futures reports, claiming that CTA "K" topped the April 93 managed futures survey of his category.

I was attracted by the reprints and so I followed a few more issues of the survey. A few months later, CTA "K" disappeared from the list and Broker "S" stopped sending me promotional letters on that managed account. I am not sure how that CTA performed lately.

Correct me if I am wrong, most CTA's are like the ebbs and tides. I do not see many repeating names on annual surveys.

Fact 3: Psychological Barrier Kills, Not Your Losses

With the "pros" looking after my financial health, I felt safe and I ventured out on my own analysis. I still maintain a small account at discount broker "I" and a bank currency trading account, and I traded on 9 occasions throughout the year.

Surprising, these 2 order-desk accounts were up by $3,500 from Jan to Aug, while I lost mega-bucks with Broker "A" and paper accounts with Broker "W" and "S." All these trades were technical, without any regard to fundamentals nor report forecasts; I did not even read the newspaper.

Psychology Makes Hotline Trading Difficult

Thrilled by these results, I persisted, I have learned the hard way that good trader psychology is more important than a top advisor (try this: Futures Chart's Trend Setter, Commodex and Larry William's hot lines are verified big winners, but can you trade them? Why not?)

Small but Positive Step . . . Brokerage Account is Now Up

I stopped looking for advisors, and in August, I purchased Swing Catcher. My first Swing Catcher trade was a small loser ($450 in Pork). Then I applied my other tools to filter the Swing Catcher signals. I made numerous paper trades and a few actual trades between then and now. My actual account at Broker "L" is now up by another $1,200. Small but positive.

Discipline, Self-Analysis & Emotions are Vital I will test my cash currency trades with Swing Catcher and other tools and hope to see better results. Discipline, self-analysis and emotional detachment are vital to survival, not a CTA nor a holy grail. They can help, but they are not the main key.

Courage and Pulling the Trigger is Difficult On paper, Swing Catcher trades were doing much better. In actual trade, I did not do as well because I still lack the courage to trade more than 2 markets at any one time, nor would I take every signal that comes along, I also have difficulty in pulling the trigger. Thanks to mega-ton losses by the "pros", I have gradually overcome the fear of manageable losses. These endeavors and huddles have become my training goal.

I am far from earning back what I have lost in these years, but I am glad that time and experience has finally shed light in my trading path. I am also bold enough to assert that small traders can still make it in the futures markets. With proper tools and a good trader's mindset, a novice may even out-perform the pros!

Swing Catcher is not the best system available, but it works. If you apply properly your own trading filters and styles, you may improve your trades.

Finally, when you feel frustrated by your own losses and want to call in the prose and let someone take over your fate, or simply want to become a brain-dead trader, remember this ad:

"What does your broker get when he makes a mistake? A full-commission!" This is the crux.

Random Thoughts on Trading and System Design
Part 2 - Adam White

Some Systems are Designed to Work on Data for a Short Time Period Based On Hindsight

There is a much less obvious but equally dangerous form of curve-fitting that involves curve fitting the data to the system. We are referring to the increasingly popular practice of using a computer to pick out short time periods during which chosen markets have historically acted similarly.

For example, we might be told that over the past ten years buying silver on May 10 and selling it on June 1 has resulted in a profit every time. The obvious inference is that if we do it this year, we have a 800 chance of winning. There are tables and tables of this meaningless coincidental data being offered to traders in books and almanacs.

Seasonal Characteristics Are Highly Questionable

Part of the theory is that there is some sort of very short term seasonal or cyclical basis for the similarities, although this is patently unprovable.

A properly programmed PC will find literally thousands of "trades" like this over any fairly extensive set of data, just as an optimization involving a great number of variables will almost always find a great number of "profitable" combinations.

Data Optimization Can Fit a System to Arrive at a False
Impression of a Seasonal Characteristic

The optimization fits the system to the data, and the seasonality testing fits the data to the system. Both practices result in overly curb-fitted trading results that offer no hope of success in real trading.

The Trouble Is . . . The Markets Don't Listen

Here is another example of something that initially seems conceptually wrong. We are continually told that every market has its individual character, and that therefore a trading system must be tailored to each market.

We are also told: "Don't trade too many markets because it is difficult to watch more than a few at a time," and: don't test more than a few markets because it is unreasonable to expect a trading system to work well over a range of markets."

All of these concepts seem logical at first. The trouble is, the markets won't listen. They are not predictable. They will not act tomorrow in the same way that they did today or yesterday, and you are fooling yourself if you expect them to.

Trading Systems Should Operate on a Wide Variety of Markets and Market Conditions

Trading systems should be designed to operate profitably over a wide variety of markets and market conditions. They should be simple and flexible enough that they won't be thrown for a loop by changing conditions.

There Is No Best Indicator While we are reasonably convinced that there is no best technical indicator, some are less likely to lend themselves to unwanted curve-fitting.

First, we can divide indicators into two major categories: static and adaptive. Static indicators are technical studies or other entry or exit methods that do not "flex" with changing market conditions, especially market volatility.

Good examples of static indicators are those technical studies, stops, and profit targets that are denominated strictly in dollars or market points.

Systems that Use Changeable Targets and Stops are Likely Less Curve-Fitted

Adaptive indicators change stops and targets as the markets change. When these adaptive indicators generate a trading signal, you can say that the market put you into or took you out of a position.

Examples include volatility-based entries and exists, channel breakout systems such as Donchian's weekly rule, entering or exiting on an 'n' day high or low, and using recent swing highs and swing lows as entry, exit or stop points.

As a general rule, adaptive indicators are less likely to become overly curve-fitted to the markets than static indicators because the system designer will not feel the need to optimize them.

This is not because they are any less amenable to over-optimization than static indicators, but because they adapt to changing market conditions while retaining their integrity.

Changeable Target & Stop Methods are Less Likely to
Strictly Limit Losses or Profits

The main disadvantage of adaptive indicators is that they do not strictly limit a loss or accurately lock in a profit.lock in a profit.

For example, if your exit to limit a loss is a 10-day low, the 10-day low could be $500 away or $5,000 away. If your account is $20,000 in size, it seems unwise to risk as much as 25% of it in one trade, although 2.5% seems acceptable.

The same is true if you are fortunate enough to be locking in a profit. Adaptive indicators expand with volatility, making it easy for a hard-won profit to disappear as quickly as it was created.

A reasonable compromise might be to allow the markets to dictate your entries and exits under normal conditions, but if a particular market becomes too volatile, limit your potential loss by using a static dollar stop (perhaps keyed to your account size) or avoid the market altogether.

Some Systems are Designed to Work on Data for a
Short Time Period Based On Hindsight

There is a much less obvious but equally dangerous form of curve-fitting that involves curve fitting the data to the system. I am referring to the increasingly popular practice of using a computer to pick out short time periods during which chosen markets have historically acted similarly.

For example, we might be told that over the past ten years buying silver on May 10 and selling it on June 1 has resulted in a profit every time.

The obvious inference is that if we do it this year, we have a 800 chance of winning. There are tables and tables of this meaningless coincidental data being offered to traders in books and almanacs.

Seasonal Characteristics Are Highly Questionable

Part of the theory is that there is some sort of very short term seasonal or cyclical basis for the similarities, although this is patently unprovable.

A properly programmed PC will find literally thousands of "trades" like this over any fairly extensive set of data, just as an optimization involving a great number of variables will almost always find a great number of "profitable" combinations.

Data Optimization Can Fit a System to Arrive at False
Impression of A Seasonal Characteristic

The optimization fits the system to the data, and the seasonality testing fits the data to the system. Both practices result in overly curb-fitted trading results that offer no hope of success in real trading.

Don't Trade Nearby Contract At Expiration or It May
Cost You A Lot - Dr. Satish

Date 1/20/1994, the crude oil market was not a fast market that day. I decided to day-trade crude oil. I gave order to sell February Crude Oil one-hour before the market opened. It was the last trading day for February Crude Oil.

I put in an order to sell at a price. I wanted to exit before the close if I had a fill. Remember again, Crude Oil market on 1/20 was not fast. LIT America clears through same brokers in Crude Oil pit.

The wheelers and dealers in the pit did not return my fill until after the market closed. What do I do now? It cost me $3,100 per contract to take care of my problem.

Why was I trading the February contract on the last trading day? Because nobody advised me against it or warned me not to do it. Somebody else was also buying and selling February Crude on the last trading day.

By the way, Mike Chalek, sold Dual Thurst System for $3,000 (it does not work anymore). Talon Trading System for $3,000 (it does not work anymore). He is now selling a new system for about $2,000, will this new system work. If he sells 100 systems worldwide, he makes $200,000. It will not work again in the market.

Magic Numbers For More Profitable Trading and How
30 Samples Are Needed For Statistical Validity - Tom Cunningham

There are "magic numbers" that are quite helpful in making commodity trading more profitable. There are fibonacci retracement numbers such as .618, .500, 1.618, and so forth.

In opinion polls, the magic number used to be around 1600...meaning that in order to have an acceptable amount of error in these polls, a researcher would have to poll about 1600 persons who fitted the profile of the average US citizen. After all, one could hardly take the opinions of those entering or leaving a high school, as there would most certainly be an age bias, a geographic bias, an ethnic bias and an educational bias.

If 82% of the country's citizens are high school graduates, then the poll should be adjusted so that high school grades have 82% of the weight of all poll respondents, and so forth.

Better profiles have allowed that 1600 number to be lowered to around 600, with only a slight increase in the probability of error.

In trading, we should have a number to tell us whether the information we get when we back-test is the result of random action, or the result of our system finding an opportunity. (one successful trader observed that every person he knew who believed the "Market-is-infinitely -efficient" concept also happened to be poor!)

30 Samples Is Sufficient For Testing Purposes

After all, the purpose of a system or practice is to find something that's NOT random. So we need a number to help us know randomness from opportunity. That number is thirty.

That means we should get at least thirty random samples before we conclude whether, say, buying the day after a new high is made would likely be profitable.

Coins Do Not Have a Memory By way of explanation, suppose there is a young fellow flipping pennies. Each time the coin comes up "Tails" he puts the coin into his pocket to spend, for he is looking for the magic penny that, when flipped, will only come up "Heads."

After numerous pennies have been discarded, he has a penny that has come up "heads" five times in a row. Delighted, he ceases his search, ready to bet the next fellow into a three-to-two bet that the penny will come up heads.

Of course, we know that the penny's chance of coming up heads is exactly 50%, regardless of previous flips.

The reason that our young man has erred is that his sample is not large enough. Had he flipped 30 times, he would have come pretty close to 50% heads, at least close enough that he would have tested that penny much more extensively before wagering (and losing) with it.

Vigorous Testing Is Required

So when I read that someone has discovered some new indicator or rule that greatly improves profitability, I first ask "How many trials has this been given?" If it is a one variable idea that worked seven out of eight times in randomly selected markets, it's worthy of more testing, and I'm glad to read about it. But it's not ready to be incorporated into my methods until it has passed vigorous testing.

Any Trading System Should Have A Minimum of
30 Actual Trades To Judge It

Of course, one should not judge any trading system on less than 30 trades, unless the drawdown is so bad it is disqualified earlier! Even then, a bad drawdown may only indicate overtrading by the tester, for taking the system to 30 trades may well reveal a decent profit-to-drawdown ratio. We just can't know much in less than 30 trials!

By the way, the 30-test rule is one reason why we should have a bias toward shorter term trading rather than the once-a-year concept requires at least 30 years if tested in real-time!

'Questions to Ask Before Buying a Trading System'
Richard Thiessen

1. If the system is that good, why is it for sale?
2. What is new and different in this system?
3. What color is the "box"?
4. How is the system operated?
5. Has the vendor actually traded the system himself and if so when?
6. How does the vendor define accuracy?
7. How does the vendor define drawdown?
8. How consistent is the system?
9. How does the vendor define profit?
10. How was the system tested?
11. What is the guarantee?
12. What is one buying?
13. Is there a cutoff date?
14. How useful is the manual?
15. Are references available?
16. When is the improved system coming out?

The USA Is Better Than Japan, At Least In
The Field of Trading - Tokiyuki Yokoi

I'd like to introduce myself. After graduating from my University, I joined First Chicago Bank, Tokyo Branch, and I learned currency option and short-term debt market. Now I'm registering as a CTA, and this month I begin to manage $500,000 for my company. This is my first challenge as a money manager.

I'm a system trader and most of my knowledge comes from books and systems published in USA. I think the USA is far superior to Japan in the trading area. I believe following USA traders is the best method for success as a trader. I subscribe to Futures Truth Reports and found Swing Catcher Trading System to be an excellent program.


The excellent submission By Mr. Jumma on the importance of diversification is extremely relevant for successful trading. Many times I have talked to traders who have lost money or made less money than they should, due to diversification issues.

Gann's early trading history is truly astonishing. Almost all of Gann's work and writings are from later in his career. It's very unfortunate there seems to be little or nothing detailed ever written about the techniques he used to achieve his amazing trading record from 1902 thru 1909.

Dr. Satish's large losses as a result of trading the spot month on the delivery date is very uncommon. Normally, the broker will warn you not do that. However, he can't just blame the broker, as he has done. It's also his fault for not being aware of that readily available information.

Tom Cunningham's article on the importance of a statistically significant number of tests is very valid. A very important point raised is the fact you can't judge a system on less than 30 actual trades.


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