Detailed: Performance Report - Hypothetical
Trading System: Impetus
Developer: Lincoln Fiske
Portfolio Size: $16,000
Program Overview:
Impetus is a mechanical day-trading system that is applied to the S&P 500, S&P Mid-cap and Russell 2000 futures contracts (full-size and E-mini). 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. Impetus was developed in late 2002 and released in January of 2003, when it was also submitted to Futures Truth for independent verification and tracking. The system may be purchased ($1750) or leased for as little as $50/month.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-4,600 | 3 | 4/2008 | 6/2008 |
| $-1,665 | 3 | 12/2006 | 2/2007 |
| $-1,655 | 2 | 8/2006 | 9/2006 |
| $-1,555 | 1 | 8/2008 | 8/2008 |
| $-1,515 | 2 | 9/2005 | 10/2005 |
| $-1,200 | 1 | 2/2008 | 2/2008 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -32.75% | $-5,240 | 1/2008 | 6/2008 | 3 | 4 |
| -14.22% | $-2,275 | 7/2006 | 2/2007 | 4 | 5 |
| -13.09% | $-2,095 | 8/2005 | 2/2006 | 5 | 3 |
| -3.94% | $-630 | 10/2007 | 11/2007 | 1 | 1 |
| -3.25% | $-520 | 8/2007 | 9/2007 | 1 | 1 |
Hypothetical Performance Data
2009 (YTD)
-$1,025
Rolling 12 Month
$15,865
Rolling 24 Month
$23,280
Rolling 36 Month
$26,275
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$3,497
Rolling 24 Month
$2,571
Rolling 36 Month
$2,192
Maximum (YTD) Drawdown
-$1,025
Rolling 3
Sharpe Ratio
3.02
Largest Run Up
$9,830
Largest Drawdown
-$1,025
Correlation to S&P 500
NA
Average Profitable Month
$4,915
Average Unprofitable Month
-$1,025
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
4.34
Largest Run Up
$20,795
Largest Drawdown
-$5,240
Correlation to S&P 500
-0.1062
Average Profitable Month
$4,041
Average Unprofitable Month
-$1,397
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 24
Sharpe Ratio
8.48
Largest Run Up
$20,795
Largest Drawdown
-$5,240
Correlation to S&P 500
0.0286
Average Profitable Month
$2,388
Average Unprofitable Month
-$1,015
% of Profitable Months
58.33
% of Unprofitable Months
41.67
Rolling 36
Sharpe Ratio
11.07
Largest Run Up
$20,795
Largest Drawdown
-$5,240
Correlation to S&P 500
0.3506
Average Profitable Month
$1,895
Average Unprofitable Month
-$ 901
% of Profitable Months
58.33
% of Unprofitable Months
41.67
All Data
Sharpe Ratio
11.68
Largest Run Up
$20,795
Largest Drawdown
-$5,240
Correlation to S&P 500
0.4877
Average Profitable Month
$1,643
Average Unprofitable Month
-$ 812
% of Profitable Months
56.82
% of Unprofitable Months
43.18
Benchmarks Growth of $1000 since 6/2005
Benchmarks Growth of $1000 since 6/2005
Name
Vami
Correlation
Impetus
2,603
3 Month Libor
1,135
0.2456
Barclay Commodity
1,235
0.3135
Barclay Systematic
1,235
0.2993
Barra S&P 500
1,204
0.4877
CSFB Managed Futures
1,281
0.3971
Lehman Aggregate Bonds
1,145
0.2049
ML 90 Day T-Bill
1,126
0.2288
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 | -6.41% | 29.84% | 123.56% | 106.65% | 114.59% | 147.39% | 166.35% | 0.00% | 0.00% | |||
| Count | 44 | 42 | 39 | 33 | 27 | 21 | 9 | |||||
| Percent Profitable | 56.82% | 59.52% | 69.23% | 96.97% | 100.00% | 100.00% | 100.00% | 0% | 0% | |||
| Average | 3.64% | 11.25% | 19.23% | 31.00% | 44.23% | 59.58% | 97.19% | 0% | 0% | |||
| Average Gain | 10.27% | 23.71% | 32.72% | 32.24% | 44.23% | 59.58% | 97.19% | 0% | 0% | |||
| Average Loss | -5.08% | -7.06% | -11.12% | -8.97% | 0% | 0% | 0% | 0% | 0% | |||
| Best Period | 60.56% | 122.00% | 138.31% | 116.31% | 140.34% | 147.64% | 169.76% | 0.00% | 0.00% | |||
| Worst Period | -13.25% | -28.75% | -22.00% | -8.97% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$ 583
Avg. Yearly Returns
$5,259
Cummulative Returns
$26,295
Max Intra-Mo. DD(loss)
-$6,070
Max Monthly DD(Loss)
-$2,120
Max Yearly DD(Loss)
-$5,240
Maxx DD(Loss) All Periods
-$5,240
YTD Equity Low
-$1,025
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$9,690
Greatest Down Month
-$2,120
Asset Class
Futures
Release Date
Developer
Lincoln Fiske
System Price
$1750
Max MoGain/Max MoDD
1.85
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$9,690
Max Yearly Gain
$13,980
Standard Deviation YTD
$3,565
Standard Deviation(Life)
$2,023
YTD Equity Peak
$ 0
Assumptions
Commissions / Slippage
$75 RT
Data
TS8 (Intra Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No