Quick View: Performance Report - Hypothetical
Trading System: Impetus
Developer: Lincoln Fiske
Portfolio Size: $24,000
Program Overview:
Impetus is a mechanical day-trading system that is applied to the SP 500, SP Mid-cap and Russell 2000 futures contracts. The system is based on a simple equation: power+direction=trend. A single unique calculation determines the power of the market (its tendency to move decisively) and the direction of the market. The systems goal is to then evaluate these elements and look for a tradable trend. Because selectivity is an important part of a system's logic,Impetus only trades an average of twice per week, a maximum of one trade per day. Impetus enters trades only in the later hours of the market session, attempting to limit exposure to the counter flows that often characterize the early and mid-day periods.
Price: Contact Broker (800)894-8194
Portfolio Diversification
| 1 Sectors | Indices(1) |
Yearly Hypothetical Performance & Risk Analysis on a $24,000 Investment
| 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | Average | |
| Annual $ Returns | $-430 | $3,930 | $5,430 | $15,415 | $-9,220 | $450 | $2,596 |
| Annual % Return | -1.79% | 16.38% | 22.63% | 64.23% | -38.42% | 1.88% | |
| Max DrawDown | $-1,595 | $-1,565 | $-580 | $-4,990 | $-8,720 | $-2,675 | $-3,354 |
Hot Stats
Hypothetical Performance Data
2010 (YTD)
$ 450
Rolling 12 Month
-$ 285
Rolling 36 Month
$7,965
Avg. 12 Month $
$3,396
Avg. 36 Month $
$13,308
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | 0.33% | -2.73% | 0.01% | 29.84% | 66.23% | ||
| Count | 59 | 53 | 41 | 29 | 5 | ||
| Percent Profitable | 59.32% | 75.47% | 100.00% | 100.00% | 100.00% | ||
| Average | 6.31% | 14.15% | 38.20% | 55.45% | 63.70% | ||
| Average Gain | 18.71% | 24.61% | 38.20% | 55.45% | 63.70% | ||
| Average Loss | -11.76% | -18.01% | 0% | 0% | 0% | ||
| Best Period | 79.50% | 64.23% | 87.60% | 103.22% | 67.58% | ||
| Worst Period | -30.05% | -38.43% | 0.00% | 0.00% | 0.00% |
Benchmarks Growth of $1000 since 6/2005
Benchmarks Growth of $1000 since 6/2005
Name
Vami
Correlation
Impetus
1,649
Barra S&P 500
1,144
-0.0209
CSFB Managed Futures
1,337
0.4882
ML 90 Day T-Bill
1,154
0.2609
Historical Yearly Averages Since 6/2005 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| Impetus | 10.59 | 58.71 | -13.98 | -36.33 | |
| Barra S&P 500 | 8.31 | 34.44 | -10.51 | -33.53 | |
| CSFB Managed Futures | 6.03 | 19.19 | -7.37 | -18.72 | |
| ML 90 Day T-Bill | 3.30 | 5.59 | 0.00 | -0.00 |
How to Get Stated
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Why Trade Futures
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Additional Risk Disclosures