Summary

Diversified Program Trading Approach The Diversified Program uses a long-term trend following system for 66 different commodities from the following groups: foreign currencies, metals, interest rate instruments, stock indices, meat complexes, grain complexes, food and fiber and oil products. This system is a technical system, which has been computer generated. Two different trend following subsystems are utilized and only when both are in agreement is a position established. For any individual commodity, this system will be long about 1/3 of the time, short about 1/3 of the time and flat about 1/3 of the time. The Diversified Program trading system uses the same parameters for all long positions of the 66 commodities that are followed. A slightly different set of parameters are used for the short position for these commodities. This trading system was developed using a number of diverse commodities and was then tested using a number of different commodities. The relative weights for the 71 commodities were chosen to try to minimize their correlation with each other. 43 of these commodities are traded on US exchanges, 26 are on offshore exchanges and 2 are traded in the FOREX market. It is anticipated that the number of commodities being followed will slightly increase in the future. This program does not use options but does use foreign markets.