About 3 years ago, I was lamenting to a co-worker that the stock market was probably going to stay in a long term flat or downward trend, and that I was looking for something else. Maybe real estate. He told me about Managed Futures through Computerized Trading systems.
I did about 3 months of research, and decided to make the plunge. I reasoned that I did not want to start with a small amount, and risk losing too big a percentage of the acct value and gett cold feet and bail. So, instead, I started with a much larger account size, thinking I could weather the drawdonws more easily, and in the end come out ahead.
Needless to say, I entered the system supposedly at the beginning of the biggest drawdown ever experienced by this trading system. Let me tell you, when you are in a major drawdown, you can lose money FAST. I kept telling myself that drawdowns are normal, and you had to stay with the plan. After I lost about 40% in about 3 months, I finally pulled the plug.
In hindsight, I realized a couple things I let happen that, had I handled it differently, I might still be trading that account. (And in fact, I think I probably got out right before it turned around.)
1) you need to ease into the positions. My broker, once he turned on the program, instantly put me into ALL of the positions that the system had open.
2) You need to be very conservative about the amount risked on each trade. The broker will tell you you won't get enough bang for the buck if you only risk .5% on any trade, and will try to get you to risk 2%. 2% doesn't sound like much, but when you string a series of losing trades together, boy does it add up fast!! I had too much "heat" in the account.
By the way, the broker and the software developer did very well with me! Although, I think the extensive, long lasting drawdown almost killed the sotware creator's product which, until that time, had supposedly been one of the high flyers.
Anyway, bottom line is, I'm sure you CAN make money with these systems. You have to have nerves of steel though. For my money, finding a good asset allocation and rebalancing periodically is the way to go. Not nearly as exciting as futures, but you sleep a heck of a lot better....
lol 
