Detailed: Performance Report - Hypothetical
Trading System: Fusion
Developer: Dean Hoffman
Portfolio Size: $54,000
Program Overview:
Fusion: Strategic Trading Systems (STS) newest trading system. As the name implies, it�s a merger & unification of the best system trading ideas STS has ever discovered in over a decade of research. Fusion adds a new time frame and reduced correlation to the other systems that STS offers and can be used as a great "add-on" system or traded individually. Fusion is non optimized and robust according to the developer.
It trades every market with the exact same rules and inputs. The logic is uniquely designed to capture long term trends in a short term manner. In other words, Fusion looks to enter trending markets for the long haul; however, it also has a mechanism to capture trading opportunities quickly. Should the market resume its trend, Fusion will quickly switch back into a mode with a relatively low risk entry levels.
It trades every market with the exact same rules and inputs. The logic is uniquely designed to capture long term trends in a short term manner. In other words, Fusion looks to enter trending markets for the long haul; however, it also has a mechanism to capture trading opportunities quickly. Should the market resume its trend, Fusion will quickly switch back into a mode with a relatively low risk entry levels.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-15,489 | 2 | 4/2001 | 5/2001 |
| $-14,002 | 2 | 11/2003 | 12/2003 |
| $-9,593 | 1 | 10/1997 | 10/1997 |
| $-8,801 | 1 | 2/1996 | 2/1996 |
| $-8,021 | 1 | 9/2003 | 9/2003 |
| $-7,463 | 1 | 1/2002 | 1/2002 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.23% | $-17,944 | 8/2003 | 12/2003 | 3 | 10 |
| -28.68% | $-15,489 | 3/2001 | 5/2001 | 2 | 5 |
| -22.71% | $-12,264 | 4/1997 | 10/1997 | 3 | 7 |
| -16.30% | $-8,801 | 1/1996 | 2/1996 | 1 | 2 |
| -14.04% | $-7,580 | 12/2001 | 3/2002 | 2 | 3 |
| -12.97% | $-7,003 | 2/2003 | 3/2003 | 1 | 5 |
Hypothetical Performance Data
2005 (YTD)
$24,171
Rolling 12 Month
$21,606
Rolling 24 Month
$45,676
Rolling 36 Month
$57,441
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$5,043
Rolling 12 Month
$5,004
Rolling 24 Month
$5,226
Rolling 36 Month
$5,451
Maximum (YTD) Drawdown
-$5,128
Rolling 3
Sharpe Ratio
2.14
Largest Run Up
$20,613
Largest Drawdown
-$3,866
Correlation to S&P 500
NA
Average Profitable Month
$10,306
Average Unprofitable Month
-$3,866
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
4.08
Largest Run Up
$20,613
Largest Drawdown
-$6,274
Correlation to S&P 500
0.2001
Average Profitable Month
$5,629
Average Unprofitable Month
-$2,028
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 24
Sharpe Ratio
8.40
Largest Run Up
$20,613
Largest Drawdown
-$8,315
Correlation to S&P 500
0.3054
Average Profitable Month
$5,391
Average Unprofitable Month
-$2,979
% of Profitable Months
58.33
% of Unprofitable Months
41.67
Rolling 36
Sharpe Ratio
10.07
Largest Run Up
$20,613
Largest Drawdown
-$17,944
Correlation to S&P 500
0.4646
Average Profitable Month
$5,348
Average Unprofitable Month
-$3,658
% of Profitable Months
58.33
% of Unprofitable Months
41.67
All Data
Sharpe Ratio
50.99
Largest Run Up
$46,102
Largest Drawdown
-$17,944
Correlation to S&P 500
0.7274
Average Profitable Month
$5,981
Average Unprofitable Month
-$3,338
% of Profitable Months
59.71
% of Unprofitable Months
35.25
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Fusion
7,164
3 Month Libor
1,475
0.5803
Barclay Commodity
1,769
0.6630
Barclay Systematic
1,804
0.6958
Barra S&P 500
2,340
0.7274
CSFB Managed Futures
1,778
0.6346
Lehman Aggregate Bonds
1,766
0.6977
ML 90 Day T-Bill
1,454
0.5718
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 | 27.43% | 38.17% | 40.30% | 44.77% | 91.52% | 100.00% | 90.36% | 154.31% | 206.83% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 59.71% | 75.91% | 84.33% | 91.41% | 97.54% | 100.00% | 100.00% | 100.00% | 100.00% | |||
| Average | 4.43% | 13.30% | 26.57% | 53.87% | 81.01% | 106.77% | 162.42% | 221.53% | 286.34% | |||
| Average Gain | 11.08% | 19.94% | 33.00% | 59.99% | 83.11% | 106.77% | 162.42% | 221.53% | 286.34% | |||
| Average Loss | -5.41% | -7.64% | -8.02% | -11.16% | -2.22% | 0% | 0% | 0% | 0% | |||
| Best Period | 46.28% | 54.57% | 73.66% | 122.35% | 163.40% | 196.88% | 252.72% | 304.73% | 352.89% | |||
| Worst Period | -17.76% | -21.26% | -22.71% | -21.71% | -3.84% | 0.00% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$2,395
Avg. Yearly Returns
$27,736
Cummulative Returns
$332,838
Max Intra-Mo. DD(loss)
-$22,200
Max Monthly DD(Loss)
-$9,592
Max Yearly DD(Loss)
-$17,944
Maxx DD(Loss) All Periods
-$17,944
YTD Equity Low
-$5,596
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$24,989
Greatest Down Month
-$9,592
Asset Class
Futures
Release Date
09/2004
Developer
Dean Hoffman
System Price
$2495
Max MoGain/Max MoDD
1.39
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$24,989
Max Yearly Gain
$60,039
Standard Deviation YTD
$5,043
Standard Deviation(Life)
$6,046
YTD Equity Peak
$24,345
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No