Detailed: Performance Report - Hypothetical
Trading System: Mesa Bonds
Developer: John Ehlers & Mike Barna
Portfolio Size: $41,000
Program Overview:
MESA Bonds V7 is a mechanical trading system for the trading of 30 Year Treasury Bond Futures contracts. The system was developed specifically for the Treasury Bonds Futures markets because the Bonds are still among the most liquid contracts. MESA Bonds V7 offers traders a option to diversify their portfolio using a modest amount of margin. MESA Bonds V7 features an exceptionally high reward-to-risk ratio � measured as the ratio of net profit to maximum drawdown.MESA Bonds V7 is always in the market, both long and short, to enable capturing of significant moves. The system concept is that short term prices trade within a channel, and when the edge of the channel is reached the prices will revert to the channel mean or swing to the other channel edge. MESA Bonds V7 senses when the channel edge is reached to issue its trading signals. MESA Bonds V7 does not overtrade � trading about every two weeks on the average.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-9,119 | 6 | 10/1996 | 3/1997 |
| $-8,681 | 9 | 5/1999 | 1/2000 |
| $-8,444 | 1 | 7/2003 | 7/2003 |
| $-7,369 | 1 | 10/2002 | 10/2002 |
| $-6,644 | 2 | 4/2004 | 5/2004 |
| $-6,063 | 2 | 9/2005 | 10/2005 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -32.70% | $-13,406 | 11/1998 | 6/2000 | 13 | 16 |
| -23.26% | $-9,538 | 7/1996 | 3/1997 | 6 | 8 |
| -20.59% | $-8,444 | 6/2003 | 7/2003 | 1 | 2 |
| -17.97% | $-7,369 | 9/2002 | 10/2002 | 1 | 2 |
| -16.20% | $-6,644 | 3/2004 | 5/2004 | 2 | 3 |
| -15.50% | $-6,356 | 6/2005 | 10/2005 | 3 | 1 + |
Hypothetical Performance Data
2005 (YTD)
-$ 812
Rolling 12 Month
-$2,038
Rolling 24 Month
$8,525
Rolling 36 Month
$35,019
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$2,869
Rolling 12 Month
$2,765
Rolling 24 Month
$2,720
Rolling 36 Month
$3,262
Maximum (YTD) Drawdown
-$6,356
Rolling 3
Sharpe Ratio
-3.35
Largest Run Up
$ 519
Largest Drawdown
-$6,062
Correlation to S&P 500
NA
Average Profitable Month
$ 519
Average Unprofitable Month
-$3,031
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 12
Sharpe Ratio
-1.07
Largest Run Up
$7,631
Largest Drawdown
-$6,356
Correlation to S&P 500
0.1493
Average Profitable Month
$2,728
Average Unprofitable Month
-$2,612
% of Profitable Months
41.67
% of Unprofitable Months
50.00
Rolling 24
Sharpe Ratio
2.64
Largest Run Up
$10,856
Largest Drawdown
-$6,644
Correlation to S&P 500
0.4045
Average Profitable Month
$2,298
Average Unprofitable Month
-$2,627
% of Profitable Months
58.33
% of Unprofitable Months
37.50
Rolling 36
Sharpe Ratio
10.14
Largest Run Up
$21,250
Largest Drawdown
-$8,444
Correlation to S&P 500
0.4074
Average Profitable Month
$2,868
Average Unprofitable Month
-$3,073
% of Profitable Months
66.67
% of Unprofitable Months
30.56
All Data
Sharpe Ratio
31.69
Largest Run Up
$22,488
Largest Drawdown
-$13,406
Correlation to S&P 500
0.6158
Average Profitable Month
$2,441
Average Unprofitable Month
-$2,000
% of Profitable Months
61.15
% of Unprofitable Months
36.69
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Mesa Bonds
3,573
3 Month Libor
1,475
0.5413
Barclay Commodity
1,769
0.6638
Barclay Systematic
1,804
0.6916
Barra S&P 500
2,340
0.6158
CSFB Managed Futures
1,778
0.6797
Lehman Aggregate Bonds
1,766
0.6919
ML 90 Day T-Bill
1,454
0.5356
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 | 1.27% | -4.68% | -14.23% | -1.97% | 11.84% | 10.42% | 70.27% | 140.85% | 171.75% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 61.15% | 65.69% | 73.88% | 79.69% | 89.34% | 93.10% | 99.04% | 100.00% | 100.00% | |||
| Average | 1.85% | 5.65% | 11.67% | 24.06% | 37.07% | 50.19% | 77.09% | 100.69% | 116.88% | |||
| Average Gain | 5.95% | 12.16% | 18.53% | 32.67% | 42.98% | 54.87% | 77.86% | 100.69% | 116.88% | |||
| Average Loss | -4.61% | -6.83% | -7.71% | -9.68% | -12.50% | -12.94% | -2.50% | 0% | 0% | |||
| Best Period | 18.54% | 50.81% | 64.72% | 92.64% | 119.68% | 145.86% | 170.55% | 193.41% | 203.44% | |||
| Worst Period | -20.59% | -14.90% | -22.25% | -24.69% | -30.76% | -20.04% | -2.50% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$ 759
Avg. Yearly Returns
$8,790
Cummulative Returns
$105,475
Max Intra-Mo. DD(loss)
-$11,331
Max Monthly DD(Loss)
-$8,444
Max Yearly DD(Loss)
-$9,700
Maxx DD(Loss) All Periods
-$13,406
YTD Equity Low
-$2,606
Risk Class L/M/H
TBD
Sys Style
Interest Rates
Sys Type
Medium Term
Greatest Up Month
$7,600
Greatest Down Month
-$8,444
Asset Class
Futures
Release Date
09/2003
Developer
John Ehlers & Mike Barna
System Price
$1995
Max MoGain/Max MoDD
0.78
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$7,600
Max Yearly Gain
$28,938
Standard Deviation YTD
$2,869
Standard Deviation(Life)
$2,741
YTD Equity Peak
$5,525
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No