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PerformanceTrac
Nextreme-Euro
Detailed report
Developed By: Advanz Team
Portfolio Size: $11,000
Program Overview:
Nextreme Euro is our proprietary day trading system designed for the Euro Currency FX. The general design is a hybrid of highly successful family of day trading systems we started in 1997 for high volatile stock trading. It is a momentum based logic with a set of proprietary technical indicators geared to capture extreme movements in the market. Although originally built for volatile stock trading, today, Nextreme Euro has been popular for the Forex trading community.
Price: Lease cost based on account size.
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$18,695 7 7/2003 1/2004
$10,945 4 2/2003 5/2003
$7,640 3 3/2004 5/2004
$4,135 2 10/2004 11/2004
$3,040 2 7/2004 8/2004
$2,800 1 12/2002 12/2002
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-3,510 1 12/2004 12/2004
$-1,665 1 2/2004 2/2004
$-1,460 1 9/2004 9/2004
$-1,080 1 6/2003 6/2003
$-570 2 10/2002 11/2002
$-490 1 6/2004 6/2004
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-31.91% $-3,510 11/2004 12/2004 1 2
-15.14% $-1,665 1/2004 2/2004 1 2
-13.27% $-1,460 8/2004 9/2004 1 2
-9.82% $-1,080 5/2003 6/2003 1 1
-4.45% $-490 5/2004 6/2004 1 1
-3.41% $-375 10/2002 11/2002 1 1
Performance Data
2005 (YTD)
$3,760
Rolling 12 Month
$13,115
Rolling 24 Month
$39,915
Rolling 36 Month
$42,120
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$1,845
Rolling 12 Month
$2,157
Rolling 24 Month
$2,134
Rolling 36 Month
$2,056
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
0.07
Largest Run Up
$3,760
Largest Drawdown
-$3,510
Correlation to S&P 500
NA
Average Profitable Month
$1,880
Average Unprofitable Month
-$3,510
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
6.02
Largest Run Up
$4,135
Largest Drawdown
-$3,510
Correlation to S&P 500
-0.0592
Average Profitable Month
$2,064
Average Unprofitable Month
-$1,820
% of Profitable Months
75.00
% of Unprofitable Months
25.00

Rolling 24

Sharpe Ratio
18.58
Largest Run Up
$18,695
Largest Drawdown
-$3,510
Correlation to S&P 500
0.3787
Average Profitable Month
$2,533
Average Unprofitable Month
-$1,641
% of Profitable Months
79.17
% of Unprofitable Months
20.83

Rolling 36

Sharpe Ratio
20.36
Largest Run Up
$18,695
Largest Drawdown
-$3,510
Correlation to S&P 500
0.3825
Average Profitable Month
$2,429
Average Unprofitable Month
-$1,112
% of Profitable Months
72.41
% of Unprofitable Months
27.59

All Data

Sharpe Ratio
20.36
Largest Run Up
$18,695
Largest Drawdown
-$3,510
Correlation to S&P 500
0.3825
Average Profitable Month
$2,429
Average Unprofitable Month
-$1,112
% of Profitable Months
72.41
% of Unprofitable Months
27.59
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 10/2002
Benchmarks Growth of $1000 since 10/2002
Name
Vami
Correlation
Nextreme-Euro
4,829
3 Month Libor
1,025
0.0273
Barclay Commodity
1,058
0.1257
Barclay Systematic
1,030
0.1103
Barra S&P 500
1,354
0.3825
CSFB Managed Futures
1,078
0.1753
Lehman Aggregate Bonds
1,091
0.0931
ML 90 Day T-Bill
1,024
0.0279
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   33.86% 34.18% 39.86% 104.78% 219.49% 337.27% 0.00% 0.00% 0.00%
  Count   29 27 24 18 12 6
  Percent Profitable   72.41% 96.30% 95.83% 100.00% 100.00% 100.00% 0% 0% 0%
  Average   13.20% 40.80% 87.18% 187.61% 281.41% 348.74% 0% 0% 0%
  Average Gain   22.08% 42.53% 91.05% 187.61% 281.41% 348.74% 0% 0% 0%
  Average Loss   -10.11% -4.32% -1.68% 0% 0% 0% 0% 0% 0%
  Best Period   42.64% 98.64% 156.54% 259.63% 338.30% 385.81% 0.00% 0.00% 0.00%
  Worst Period   -31.91% -4.32% -1.68% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,452
Avg. Yearly Returns
$10,530
Cummulative Returns
$42,120
Max Intra-Mo. DD(loss)
-$5,310
Max Monthly DD(Loss)
-$3,510
Max Yearly DD(Loss)
-$3,510
Maxx DD(Loss) All Periods
-$3,510
YTD Equity Low
-$ 265
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$4,690
Greatest Down Month
-$3,510
Asset Class
Forex
Release Date
?
Developer
Advanz Team
System Price
Lease cost based on account size.
Max MoGain/Max MoDD
1.34
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$4,690
Max Yearly Gain
$24,010
Standard Deviation YTD
$2,248
Standard Deviation(Life)
$2,056
YTD Equity Peak
$3,760
Assumptions
Commissions
TBD
Slippage
TBD
Data
TS8 (Intra 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.