Quick View: Performance Report - Hypothetical
Trading System: Aztec
Developer: Keith Fitschen
Portfolio Size: $459,000
Program Overview:
Aztec is a multi-commodity, shorter-term trading system. In contrast, Aberration, which is another TradeSystem, Inc. multi-commodity system, is longer-term. Aztec uses trend and volatility cues in the market to make trading decisions, and is really two systems in one. In Mode 1, the system is almost always in the market, alternating between long and short positions. In Mode 2, the system uses similar entry logic, but only takes trades in the direction of the longer-term trend. Mode 1 enters on a stop, while Mode 2 enters and exits on the open (like Aberration does). Both modes use a volatility-based protective stop. The Aztec Starter portfolio is suited for accounts starting in the $20,000 to $40,000 range and trades 8 commodity markets. The portfolio is diversified across 7 commodity groups to gain exposure in uncorrelated markets. As Aztec provides the level of risk at the initiation of each trade, the trader can also limit risk by entering trades that are below a certain risk threshold.
Price: Contact Broker (800)894-8194
Portfolio Diversification
Yearly Hypothetical Performance & Risk Analysis on a $459,000 Investment
| 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | Average | |
| Annual $ Returns | $155,910 | $18,857 | $51,172 | $140,119 | $88,872 | $39,605 | $22,757 | $105,827 | $63,511 | $-21,390 | $-13,309 | $196,940 | $-23,404 | $63,497 |
| Annual % Return | 33.97% | 4.11% | 11.15% | 30.53% | 19.36% | 8.63% | 4.96% | 23.06% | 13.84% | -4.66% | -2.90% | 42.91% | -5.10% | |
| Max DrawDown | $-14,582 | $-13,007 | $-10,687 | $-20,948 | $-17,381 | $-14,997 | $-45,486 | $-4,899 | $-57,234 | $-98,274 | $-61,463 | $-71,449 | $-23,413 | $-34,909 |
Hot Stats
Hypothetical Performance Data
2009 (YTD)
-$23,404
Rolling 12 Month
$139,732
Rolling 36 Month
$95,948
Avg. 12 Month $
$67,657
Avg. 36 Month $
$197,829
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | -18.37% | 26.50% | 42.60% | 19.76% | 60.95% | ||
| Count | 174 | 168 | 156 | 144 | 120 | ||
| Percent Profitable | 84.48% | 89.88% | 91.03% | 100.00% | 100.00% | ||
| Average | 7.42% | 14.74% | 28.36% | 43.10% | 72.50% | ||
| Average Gain | 10.12% | 17.95% | 31.78% | 43.10% | 72.50% | ||
| Average Loss | -7.26% | -13.74% | -6.30% | 0% | 0% | ||
| Best Period | 44.87% | 57.60% | 57.03% | 67.69% | 107.07% | ||
| Worst Period | -24.81% | -27.66% | -16.69% | 0.00% | 0.00% |
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Aztec
3,151
Barra S&P 500
2,184
0.8766
CSFB Managed Futures
2,103
0.7541
ML 90 Day T-Bill
1,602
0.7003
Historical Yearly Averages Since 5/1994 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| Aztec | 12.93 | 43.01 | -6.73 | -21.41 | |
| Barra S&P 500 | 6.87 | 29.87 | -10.67 | -33.53 | |
| CSFB Managed Futures | 6.80 | 19.19 | -7.58 | -18.72 | |
| ML 90 Day T-Bill | 3.72 | 5.59 | 0.00 | -0.00 |
How to Get Stated
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Why Trade Futures
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