Detailed: Performance Report - Hypothetical
Trading System: Sierra Hotel
Developer: John Ehlers
Portfolio Size: $102,000
Program Overview:
SIERRA HOTEL is a channel breakout type trading system where the lag and width of the channels are dynamically adjusted by the MESA-measured cycles in the market. Therefore, this trend following trading system automatically adjusts to all markets conditions and to a wide range of contracts in your portfolio. The success of this approach is proven in the high rankings provided by independent evaluations. As a channel breakout system, you are always in the market, both long and short. Trading signals occur approximately four times a year, enabling you to gracefully maintain your portfolio.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$52,783 2 2/1995 3/1995
$44,100 3 4/2002 6/2002
$41,683 3 12/1996 2/1997
$38,315 5 7/1995 11/1995
$37,985 2 9/1998 10/1998
$34,033 3 10/2004 12/2004
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-33,778 3 4/1995 6/1995
$-25,138 3 11/1998 1/1999
$-22,568 4 7/2002 10/2002
$-20,075 3 11/1994 1/1995
$-17,910 4 1/2005 4/2005
$-15,313 3 8/1999 10/1999
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.12% $-33,778 3/1995 6/1995 3 4
-31.91% $-32,550 10/1998 10/1999 5 10
-22.13% $-22,568 6/2002 10/2002 4 7
-19.68% $-20,075 10/1994 1/1995 3 2
-17.56% $-17,910 12/2004 4/2005 4 2
-14.77% $-15,068 7/1997 4/1998 3 5
Hypothetical Performance Data
2005 (YTD)
$11,448
Rolling 12 Month
$15,465
Rolling 24 Month
$54,305
Rolling 36 Month
$78,180
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$6,157
Rolling 12 Month
$5,952
Rolling 24 Month
$6,645
Rolling 36 Month
$6,617
Maximum (YTD) Drawdown
-$17,910

Rolling 3

Sharpe Ratio
4.84
Largest Run Up
$17,048
Largest Drawdown
$ 0
Correlation to S&P 500
NA
Average Profitable Month
$5,682
Average Unprofitable Month
$ 0
% of Profitable Months
100.00
% of Unprofitable Months
0.00

Rolling 12

Sharpe Ratio
2.21
Largest Run Up
$18,498
Largest Drawdown
-$17,910
Correlation to S&P 500
0.1740
Average Profitable Month
$6,594
Average Unprofitable Month
-$4,016
% of Profitable Months
50.00
% of Unprofitable Months
50.00

Rolling 24

Sharpe Ratio
7.67
Largest Run Up
$34,032
Largest Drawdown
-$17,910
Correlation to S&P 500
0.3736
Average Profitable Month
$6,922
Average Unprofitable Month
-$3,244
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
11.09
Largest Run Up
$34,032
Largest Drawdown
-$17,910
Correlation to S&P 500
0.5093
Average Profitable Month
$7,719
Average Unprofitable Month
-$2,792
% of Profitable Months
47.22
% of Unprofitable Months
52.78

All Data

Sharpe Ratio
23.20
Largest Run Up
$52,782
Largest Drawdown
-$33,778
Correlation to S&P 500
0.7747
Average Profitable Month
$8,226
Average Unprofitable Month
-$5,027
% of Profitable Months
51.08
% of Unprofitable Months
47.48
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
Sierra Hotel
3,473
3 Month Libor
1,475
0.6028
Barclay Commodity
1,769
0.7066
Barclay Systematic
1,804
0.7405
Barra S&P 500
2,340
0.7747
CSFB Managed Futures
1,778
0.6697
Lehman Aggregate Bonds
1,766
0.7331
ML 90 Day T-Bill
1,454
0.5940
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   8.74% 9.75% 10.65% 11.23% 43.30% 38.62% 65.45% 91.20% 97.82%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   51.08% 62.77% 76.87% 93.75% 98.36% 100.00% 100.00% 100.00% 100.00%
  Average   1.78% 5.40% 10.81% 21.78% 32.65% 43.07% 64.62% 83.94% 103.54%
  Average Gain   8.06% 12.87% 15.68% 23.78% 33.32% 43.07% 64.62% 83.94% 103.54%
  Average Loss   -4.78% -7.18% -5.36% -8.19% -7.51% 0% 0% 0% 0%
  Best Period   37.58% 45.18% 48.73% 60.36% 68.18% 92.75% 114.89% 124.53% 136.87%
  Worst Period   -16.76% -33.11% -17.96% -31.91% -8.99% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,815
Avg. Yearly Returns
$21,018
Cummulative Returns
$252,220
Max Intra-Mo. DD(loss)
-$50,900
Max Monthly DD(Loss)
-$17,100
Max Yearly DD(Loss)
-$33,778
Maxx DD(Loss) All Periods
-$33,778
YTD Equity Low
-$21,498
Risk Class L/M/H
TBD
Sys Style
Currencies
Sys Type
Long Term
Greatest Up Month
$38,335
Greatest Down Month
-$17,100
Asset Class
Futures
Release Date
?
Developer
John Ehlers
System Price
$995
Max MoGain/Max MoDD
1.13
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$38,335
Max Yearly Gain
$51,275
Standard Deviation YTD
$6,157
Standard Deviation(Life)
$8,873
YTD Equity Peak
$13,175
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.