Detailed: Performance Report - Hypothetical
Trading System: Axiom-LT
Developer: Lincoln Fiske
Portfolio Size: $119,000
Program Overview:
AXIOM Long Term is a mechanical, trend-following system that trades all global commodities using end-of-day data. It employs a unique entry qualifier that requires the confluence and mutual confirmation of a number of trend cycles. The system may be purchased fully revealed, and it may be traded directly by the individual purchaser or through a broker-assist program. AXIOM runs on the TradeStation platform and was officially released on April 27, 2004.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
7 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$83,932 9 6/1996 2/1997
$83,502 3 12/2002 2/2003
$74,831 6 4/2002 9/2002
$72,957 3 11/1999 1/2000
$63,011 7 9/1997 3/1998
$55,207 6 10/2000 3/2001
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-33,221 2 4/2004 5/2004
$-31,495 3 1/2005 3/2005
$-21,768 2 4/2001 5/2001
$-18,508 2 11/2001 12/2001
$-17,917 1 5/1996 5/1996
$-16,858 2 10/2002 11/2002
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.20% $-39,504 3/2004 8/2004 3 15 +
-22.88% $-27,231 10/2001 3/2002 4 3
-18.29% $-21,768 3/2001 5/2001 2 4
-15.06% $-17,917 4/1996 5/1996 1 4
-14.17% $-16,858 9/2002 11/2002 2 1
-13.65% $-16,243 2/1997 8/1997 4 4
Hypothetical Performance Data
2005 (YTD)
-$6,985
Rolling 12 Month
-$4,633
Rolling 24 Month
$33,678
Rolling 36 Month
$132,817
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$9,736
Rolling 12 Month
$9,358
Rolling 24 Month
$10,385
Rolling 36 Month
$12,160
Maximum (YTD) Drawdown
-$31,495

Rolling 3

Sharpe Ratio
-0.01
Largest Run Up
$12,824
Largest Drawdown
-$12,057
Correlation to S&P 500
NA
Average Profitable Month
$6,412
Average Unprofitable Month
-$12,057
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-0.78
Largest Run Up
$22,604
Largest Drawdown
-$31,495
Correlation to S&P 500
0.1101
Average Profitable Month
$6,017
Average Unprofitable Month
-$9,350
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
2.87
Largest Run Up
$31,814
Largest Drawdown
-$39,504
Correlation to S&P 500
0.3455
Average Profitable Month
$8,089
Average Unprofitable Month
-$9,740
% of Profitable Months
62.50
% of Unprofitable Months
37.50

Rolling 36

Sharpe Ratio
10.46
Largest Run Up
$48,352
Largest Drawdown
-$39,504
Correlation to S&P 500
0.3739
Average Profitable Month
$11,234
Average Unprofitable Month
-$8,166
% of Profitable Months
61.11
% of Unprofitable Months
38.89

All Data

Sharpe Ratio
50.43
Largest Run Up
$83,932
Largest Drawdown
-$39,504
Correlation to S&P 500
0.7101
Average Profitable Month
$10,296
Average Unprofitable Month
-$7,463
% of Profitable Months
59.71
% of Unprofitable Months
27.34
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Axiom-LT
5,798
3 Month Libor
1,475
0.5721
Barclay Commodity
1,769
0.6604
Barclay Systematic
1,804
0.6933
Barra S&P 500
2,340
0.7101
CSFB Managed Futures
1,778
0.6507
Lehman Aggregate Bonds
1,766
0.6932
ML 90 Day T-Bill
1,454
0.5639
Trading System Results Versus Benchmarks
Time Window Analysis
      1 Month 3 Month 6 Month 12 Month 18 Month 2 Year 3 Year 4 Year 5 Year
  Latest   7.80% 10.78% 1.61% -5.87% 14.42% 20.57% 78.59% 153.01% 167.93%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   59.71% 69.34% 79.85% 90.63% 97.54% 100.00% 100.00% 100.00% 100.00%
  Average   3.45% 10.45% 21.31% 44.29% 69.63% 96.95% 151.97% 203.99% 258.06%
  Average Gain   8.65% 17.78% 28.16% 49.67% 71.68% 96.95% 151.97% 203.99% 258.06%
  Average Loss   -4.26% -6.12% -5.82% -7.74% -11.57% 0% 0% 0% 0%
  Best Period   33.03% 70.17% 84.38% 117.72% 133.21% 172.65% 210.38% 267.92% 313.24%
  Worst Period   -17.14% -26.73% -30.49% -32.91% -23.09% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$4,108
Avg. Yearly Returns
$47,582
Cummulative Returns
$570,983
Max Intra-Mo. DD(loss)
-$48,257
Max Monthly DD(Loss)
-$20,398
Max Yearly DD(Loss)
-$39,504
Maxx DD(Loss) All Periods
-$39,504
YTD Equity Low
-$37,223
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$39,301
Greatest Down Month
-$20,398
Asset Class
Futures
Release Date
05/2005
Developer
Lincoln Fiske
System Price
$995
Max MoGain/Max MoDD
0.99
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$39,301
Max Yearly Gain
$88,550
Standard Deviation YTD
$9,736
Standard Deviation(Life)
$10,251
YTD Equity Peak
$3,234
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No

THE PERFORMANCE TABLES AND RESULTS OF THE TRADING SYSTEMS PRESENTED IN THIS REPORT ARE HYPOTHETICAL OR SIMULATED IN NATURE AND DOES NOT REPRESENT ACTUAL TRADING RESULTS. The CFTC requires the following disclosure statement in reference to hypothetical results.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK OF ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL WHICH CAN ADVERSELY AFFECT TRADING RESULTS.