ULTRA Financial Systems

Earn 19% Annually and do Nothing for 3 Months per year

UMRND2 is a combination of three market timing systems that have been used in real time for many years. The three systems are COT1, MONTH, and SEAS2. The ULTRA Composite Definition is:

@sys
COT1,2 *ND
MONTH,1 *O JAN=1, FEB=1, MAR=1, APR=1, MAY=1, JUN=1, JUL=1, ...
AUG=0, SEP=0, OCT=0, NOV=1, DEC=1, ODE=0
SEAS2,1 *O M1=0,B1=1,S1=3, M2=0,B2=2,S2=3, M3=0,B3=1,S3=3,...
M4=0,B4=2,S4=3,M5=0,B5=1,S5=3, M6=0,B6=2,S6=3, M7=0,B7=1,...
S7=3, M8=0,B8=1,S8=3,M9=0,B9=1,S9=3, M10=1,B10=2,S10=3,...
M11=0,B11=1,S11=3,M12=0,B12=1,S12=3, TE=0,TS=3
@ALL
0,0
1,0
2,0
3,67
@end

Run with Long beta = 1.5 modeling Rydex Nova fund.

Historically from 01/27/86 to 05/14/03, UMRND2 has returned:
91% winning trades.
Maximum drawdown of -10% (-49.2% for the SP500)
+18.7% annual return (compared to 9.1% for the SP500)
Ulcer Index of 2.37 (compared to the 14.1 for the SP500)
Annualized return while invested of +31%.

Summary
This strategy is very simple and should manage part of your investment capital. We consider it medium risk because the COT1 system is very long-term and could easily get on the wrong side of the market and stay there for a while.

Basically COT1 is filtered by MONTH and SEAS2. If COT1 is on a buy signal during the period starting at the close on the second to last trading day of October (SEAS2) and ends on the last trading day of July (MONTH), then you take a 67% long position in the Rydex Nova fund. Otherwise you are 100% cash. Due to the MONTH/SEAS2 filter this strategy cannot be in market in Aug/Sep and all but the last two days of Oct.

ULTRA Financial Systems Inc.
P.O. Box 3938, Breckenridge CO 80424
Phone: 970-453-4956 Fax: 970-453-2467