# AVALONPLUS

> AVALONPLUS is a rule-based, end-of-day (EOD) trading strategy for the S&P 500, traded via Micro E-mini (MES) or E-mini (ES) futures. Futures only — a CFD on the index has a larger weekend gap and charges daily financing. Signals are fully mechanical (trend-following longs, counter-trend shorts, momentum longs), about 2-5 trades per year. Public methodology, delivered as an Android app with a backtester, charts, a risk visualizer and a personal trade journal. All performance figures are hypothetical backtests (1963-2026), not a promise of future results; trading futures involves substantial risk of loss. Unless a figure says otherwise, every published number is computed with the backtester's LED settings in this state: Transaction Costs ON, Interest on Cash ON, Pos. Size 50/50 OFF (50/50 figures say so), Annual Adjustments OFF (before tax), Normalize Positions ON - the app's default sizing limit, which stops a position growing beyond 500 MES contracts.

One system, two sizing modes, same rules and the same signals - only the number of contracts differs. FULL SIZE: every position is sized on the whole account; fastest compounding, largest drawdowns; possible from $10,000. 50/50: half the account sizes each position, the other half stays in cash; about a third of the drawdown and ahead of a buy-and-hold S&P 500 ETF in every window tested; needs about $25,000 (one contract becomes possible at $14,000, but only from $25,000 does the account survive every entry point in the worst case tested). It is one switch in the app, changeable at any time. Unless a figure says otherwise, published performance figures describe FULL SIZE.

Two audiences (a 2x2 of budget x experience): (1) building wealth from a small stake (~$10,000, via compounding) and (2) a rules-based, low-correlation component (sleeve) in a larger portfolio ($100,000+, judged on risk-adjusted return). Futures literacy is a prerequisite; learn the mechanics and practise on a demo/paper account before trading live.

## Key pages
- [Homepage / overview](https://trading-garden.com/): the core question, head-to-head vs the S&P 500 total return, risks, how much capital you need, who it suits, and an FAQ.
- [S&P 500 trading strategies compared](https://trading-garden.com/sp500-trading-strategies.html): six published rule sets (SMA 200, Golden Cross 50/200, Faber 10-month momentum, RSI(2) pullback, Sell in May, 52-week high breakout) and AVALONPLUS run through the SAME backtester on the same price series, with the same costs and the same $25,000 starting capital. Four windows (last 3, 5, 10 years and 2000-today), with and without reinvesting, plus a Long Only (ETF) reference row from the same run. Each rule is position-sized by its own worst single-trade loss (max MAE) plus three points of gap buffer, so the table compares rules and not risk assumptions. Ranked by a published score: return per unit of capital risk 30, CAGR 20, DD worst entry 20, profit factor 15, recovery time 10, worst losing streak 5, multiplied by the trade count as evidence.
- [Strategy Report](https://trading-garden.com/report.html): what the strategy returned and what it risked — risk classification, the worst stretch in the test data in dollars, performance over three windows, full size vs 50/50, and the comparison against a buy-and-hold S&P 500 ETF.
- [Methodology & Validation](https://trading-garden.com/methodology.html): how position size is derived, the four signal types, how the entry date changes the outcome, what Normalize Positions (the contract cap) does, the bias tests (overfitting, look-ahead, survivorship, costs), and the glossary.
- [Android app](https://trading-garden.com/app.html): backtester, charts, Risk Visualizer, personal trade journal; 30-day free trial.
- [Position size calculator](https://trading-garden.com/futures-position-size-calculator.html): free browser tool. How many MES or ES contracts a given account can hold, the loss if the stop is reached, and the resulting leverage. Budgets stop distance AND initial margin, because both amounts must be available at the same time: contracts = floor(capital / (entry_price x (stop% + margin%) x point_value)).
- [S&P 500 trading system](https://trading-garden.com/sp500-trading-system.html): what "rule-based" means here, how a system differs from a strategy, the two sizing modes, capital and time required.
- [Full size or 50/50](https://trading-garden.com/two-sizing-modes.html): which position sizing mode fits which account. Full size starts at $10,000, 50/50 at $25,000; 50/50 gives up about one point of annual return and roughly halves the drawdown measured against the money paid in. Includes the worst case from the distorted-price simulation and links into the report for each figure.
- [Videos](https://trading-garden.com/videos.html): every explainer film in one place - what the strategy is, how S&P 500 futures differ from an ETF (ownership, margin, point value, leverage, expiry, costs), how position size is derived from the worst adverse excursion, the two sizing modes, and what a backtest has to get right to mean anything (data, rules, sizing, costs, execution, and the figures the result must show). Two-click embeds; nothing is sent to YouTube until the visitor presses play.
- [S&P 500 ETF alternative](https://trading-garden.com/sp500-etf-alternative.html): AVALONPLUS with 50/50 sizing compared against a buy-and-hold S&P 500 ETF (total return). In every window tested it produced more return at roughly a third of the drawdown - 26.7% vs 8.3% CAGR and 15.0% vs 55.8% max drawdown over 2000-today at $25,000 starting capital, hypothetical backtest. In all four crises in the data (1987, 2000-2002, 2007-2009, 2020) the ETF lost and the strategy gained, three times without any drawdown, because it holds a position only about a third of the time. Needs about $25,000 and a futures account.
- [About / who is behind it](https://trading-garden.com/about.html): why the strategy exists, the capital dilemma it addresses, and who builds it - independent developers in Austria (Trading Garden, Frank Gärtner) who trade the same signals with their own capital. Conflict of interest disclosed by design.

## Key facts
- Instrument: MES ($5/point) or ES ($50/point) futures; underlying S&P 500 (SPX), which is also the model’s reference unit ($1/point).
- Style: end-of-day, rule-based, long + short + momentum; ~2-5 trades per year, ~34% time in market.
- Minimum capital: about $7,000 per MES contract at full size, about $25,000 at 50/50 sizing (a contract is possible at $14,000, but $25,000 is the level that survives every entry point in the worst case tested). The published small-account examples use $10,000.
- Costs modeled: IBKR-realistic per-instrument commission and slippage.
- Drawdown is reported on two bases: peak equity (compounded, the fund/CTA comparison standard, basis of the Calmar ratio) and start capital (fixed-nominal, the capital-requirement view) - both follow the CFTC/NFA peak-to-valley methodology.
- Nature: hypothetical backtest results; live trading began recently. Educational, not investment advice.

## Contact
- [Contact](https://trading-garden.com/contact.php)