Quick View: Performance Report - Hypothetical
Trading System: DoublePlay Swing
Developer: Keith Fitschen
Portfolio Size: $33,000
Program Overview:
The Double Play Trading System is a dual-mode program designed for use on the SP 500 stock indices (Large and E-mini contracts). The system looks at fifteen minute windows of time (bars). Of the two modes, the "swing" mode maintains positions for as long as three days. The other mode is a day-trading program, always out by the end of the day. The system was developed by Rich Creal, a well known futures analyst and author, and is presented by Keith Fitschen of Trade-system, Inc., developer of the widely used Aberration futures trading system.
Price: Contact Broker (800)894-8194
Portfolio Diversification
| 1 Sectors | Indices(1) |
Yearly Hypothetical Performance & Risk Analysis on a $33,000 Investment
| 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | Average | |
| Annual $ Returns | $28,093 | $20,840 | $13,745 | $7,090 | $858 | $1,843 | $4,810 | $33,143 | $-7,275 | $660 | $10,381 |
| Annual % Return | 85.13% | 63.15% | 41.65% | 21.48% | 2.60% | 5.58% | 14.58% | 100.43% | -22.05% | 2.00% | |
| Max DrawDown | $-3,223 | $-2,573 | $-3,108 | $-1,273 | $-9,190 | $-2,485 | $-10,838 | $-4,155 | $-12,848 | $-5,855 | $-5,555 |
Hot Stats
Hypothetical Performance Data
2010 (YTD)
$ 660
Rolling 12 Month
-$ 318
Rolling 36 Month
$35,548
Avg. 12 Month $
$9,956
Avg. 36 Month $
$28,010
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | -1.01% | -9.18% | -32.06% | 97.45% | 106.52% | ||
| Count | 111 | 105 | 93 | 81 | 57 | ||
| Percent Profitable | 73.87% | 76.19% | 94.62% | 97.53% | 100.00% | ||
| Average | 15.72% | 30.17% | 60.36% | 84.88% | 124.44% | ||
| Average Gain | 26.06% | 42.99% | 64.43% | 87.13% | 124.44% | ||
| Average Loss | -13.51% | -10.85% | -11.39% | -4.11% | 0% | ||
| Best Period | 85.00% | 129.51% | 168.74% | 192.84% | 208.34% | ||
| Worst Period | -30.28% | -35.67% | -32.06% | -8.07% | 0.00% |
Benchmarks Growth of $1000 since 2/2001
Benchmarks Growth of $1000 since 2/2001
Name
Vami
Correlation
DoublePlay Swing
4,146
Barra S&P 500
1,132
0.2407
CSFB Managed Futures
1,704
0.6715
ML 90 Day T-Bill
1,244
0.3442
Historical Yearly Averages Since 2/2001 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| DoublePlay Swing | 27.05 | 88.86 | -16.83 | -38.93 | |
| 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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