Quick View: Performance Report - Hypothetical
Trading System: Impetus
Developer: Lincoln Fiske
Portfolio Size: $10,000
Program Overview:
Impetus is a mechanical day-trading system that is applied to the SP 500, SP Mid-cap and Russell 2000 futures contracts. The system is based on a simple equation: power+direction=trend. A single unique calculation determines the power of the market (its tendency to move decisively) and the direction of the market. The systems goal is to then evaluate these elements and look for a tradable trend. Because selectivity is an important part of a system's logic,Impetus only trades an average of twice per week, a maximum of one trade per day. Impetus enters trades only in the later hours of the market session, attempting to limit exposure to the counter flows that often characterize the early and mid-day periods.
Price: Contact Broker (800)894-8194
Portfolio Diversification
| 1 Sectors | Indices(1) |
Yearly Hypothetical Performance & Risk Analysis on a $10,000 Investment
| 2008 | 2009 | 2010 | 2011 | Average | |
| Annual $ Returns | $17,210 | $-8,720 | $-2,850 | $-2,535 | $776 |
| Annual % Return | 172.10% | -87.20% | -28.50% | -25.35% | |
| Max DrawDown | $-1,195 | $-8,220 | $-4,610 | $-3,015 | $-4,260 |
Hot Stats
Hypothetical Performance Data
2011 (YTD)
-$2,535
Rolling 12 Month
-$7,145
Rolling 36 Month
$2,685
Avg. 12 Month $
-$2,519
Avg. 36 Month $
$3,283
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | -30.15% | -54.10% | -64.50% | 38.80% | 0.00% | ||
| Count | 32 | 26 | 14 | 2 | |||
| Percent Profitable | 31.25% | 15.38% | 21.43% | 100.00% | 0% | ||
| Average | -5.51% | -25.19% | -47.99% | 32.83% | 0% | ||
| Average Gain | 60.64% | 73.16% | 88.42% | 32.83% | 0% | ||
| Average Loss | -35.57% | -43.07% | -85.19% | 0% | 0% | ||
| Best Period | 162.90% | 104.90% | 98.30% | 38.80% | 0.00% | ||
| Worst Period | -62.70% | -87.20% | -115.70% | 0.00% | 0.00% |
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Impetus
1,311
Barra S&P 500
1,074
-0.0689
CSFB Managed Futures
994
-0.0022
ML 90 Day T-Bill
1,022
0.0053
Historical Yearly Averages Since 7/2008 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| Impetus | 8.63 | 167.90 | -42.60 | -82.20 | |
| Barra S&P 500 | 8.68 | 34.44 | -10.82 | -33.53 | |
| CSFB Managed Futures | 6.03 | 19.19 | -7.37 | -18.72 | |
| ML 90 Day T-Bill | 3.30 | 5.59 | 0.00 | -0.00 |
How to Get Stated
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About Your Broker
Financial Safeguards
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Why Trade Futures
Trading Systems Explained
Additional Risk Disclosures