Detailed: Performance Report - Hypothetical
Trading System: Axiom - Index
Developer: Lincoln Fiske
Portfolio Size: $19,000
Program Overview:
AXIOM Index is a mechanical, trend-following system that swing trades index futures contracts, particularly the S&P 500, S&P MidCap, Russell 2000, NASDAQ, and DAX, full-size and E-mini. It employs a unique entry qualifier that requires the confluence and mutual confirmation of a number of trend cycles. The system may be purchased fully revealed, or it may be leased. AXIOM runs on the TradeStation platform and was officially released April 21, 2004, when it was submitted to Futures Truth for third-party tracking.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$31,023 6 6/2002 11/2002
$28,453 6 1/2003 6/2003
$23,330 8 10/2003 5/2004
$9,275 8 8/2001 3/2002
$8,495 2 11/2004 12/2004
$5,618 1 8/2003 8/2003
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-6,008 1 7/2003 7/2003
$-5,703 1 12/2002 12/2002
$-4,958 2 6/2004 7/2004
$-4,415 2 8/2005 9/2005
$-3,220 1 4/2005 4/2005
$-2,888 2 6/2001 7/2001
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-31.62% $-6,008 6/2003 7/2003 1 3
-30.01% $-5,703 11/2002 12/2002 1 2
-26.09% $-4,958 5/2004 7/2004 2 2
-23.24% $-4,415 7/2005 9/2005 2 2
-16.95% $-3,220 3/2005 4/2005 1 3
-15.20% $-2,888 5/2001 7/2001 2 2
Hypothetical Performance Data
2005 (YTD)
$8,880
Rolling 12 Month
$11,188
Rolling 24 Month
$35,460
Rolling 36 Month
$62,292
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$2,804
Rolling 12 Month
$2,716
Rolling 24 Month
$2,772
Rolling 36 Month
$3,665
Maximum (YTD) Drawdown
-$4,415

Rolling 3

Sharpe Ratio
2.60
Largest Run Up
$10,218
Largest Drawdown
-$1,360
Correlation to S&P 500
NA
Average Profitable Month
$5,109
Average Unprofitable Month
-$1,360
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
3.96
Largest Run Up
$10,218
Largest Drawdown
-$4,415
Correlation to S&P 500
0.1678
Average Profitable Month
$2,407
Average Unprofitable Month
-$2,017
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 24

Sharpe Ratio
12.57
Largest Run Up
$10,218
Largest Drawdown
-$4,958
Correlation to S&P 500
0.2197
Average Profitable Month
$2,858
Average Unprofitable Month
-$1,875
% of Profitable Months
70.83
% of Unprofitable Months
29.17

Rolling 36

Sharpe Ratio
16.75
Largest Run Up
$28,452
Largest Drawdown
-$6,008
Correlation to S&P 500
0.3420
Average Profitable Month
$3,384
Average Unprofitable Month
-$2,569
% of Profitable Months
72.22
% of Unprofitable Months
27.78

All Data

Sharpe Ratio
29.36
Largest Run Up
$31,022
Largest Drawdown
-$6,008
Correlation to S&P 500
-0.0397
Average Profitable Month
$3,085
Average Unprofitable Month
-$2,105
% of Profitable Months
72.41
% of Unprofitable Months
24.14
Benchmarks Growth of $1000 since 2/2001
Benchmarks Growth of $1000 since 2/2001
Name
Vami
Correlation
Axiom - Index
6,268
3 Month Libor
1,096
0.1083
Barclay Commodity
1,256
0.3321
Barclay Systematic
1,244
0.3357
Barra S&P 500
1,027
-0.0397
CSFB Managed Futures
1,417
0.4430
Lehman Aggregate Bonds
1,254
0.3135
ML 90 Day T-Bill
1,095
0.1111
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   35.87% 53.78% 47.17% 46.72% 112.30% 179.79% 357.86% 496.17% 0.00%
  Count   58 56 53 47 41 35 23 11
  Percent Profitable   72.41% 78.57% 94.34% 100.00% 100.00% 100.00% 100.00% 100.00% 0%
  Average   9.08% 27.57% 56.48% 122.22% 196.06% 268.36% 400.74% 481.85% 0%
  Average Gain   16.24% 37.02% 60.21% 122.22% 196.06% 268.36% 400.74% 481.85% 0%
  Average Loss   -9.70% -7.11% -5.71% 0% 0% 0% 0% 0% 0%
  Best Period   69.29% 113.81% 163.28% 264.61% 304.51% 399.26% 449.45% 504.71% 0.00%
  Worst Period   -31.62% -19.27% -14.17% 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
$1,726
Avg. Yearly Returns
$20,020
Cummulative Returns
$100,098
Max Intra-Mo. DD(loss)
-$9,905
Max Monthly DD(Loss)
-$6,008
Max Yearly DD(Loss)
-$6,008
Maxx DD(Loss) All Periods
-$6,008
YTD Equity Low
-$4,280
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$13,165
Greatest Down Month
-$6,008
Asset Class
Futures
Release Date
04/2004
Developer
Lincoln Fiske
System Price
$175 monthly lease
Max MoGain/Max MoDD
2.19
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$13,165
Max Yearly Gain
$33,832
Standard Deviation YTD
$2,804
Standard Deviation(Life)
$3,348
YTD Equity Peak
$8,880
Assumptions
Commissions / Slippage
$75 RT
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.