Quick View: Performance Report - Hypothetical
Trading System: Brix
Developer: Alfaranda CTA
Portfolio Size: $825,000
Program Overview:
BRIX (Basis-III) is a multi-commodity breakout trading system. A technical indicator is used to inform the system-logic that a breakout has occurred or is likely to occur from a calculated pre-defined price.
BRIX uses a set of technical indicators has been devised to closely "read" the market activity and define what the system will consider as a breakup or a breakdown price. As these breakout points get defined the system issues (daily) signals to reverse the ongoing position or establish a new one using buy-stop/sell-stop orders at specified prices.
On the exit side, an ongoing position can be reversed from short to long or long to short according to the prices that have been calculated by the system's logic. At times, a long or a short position's life can be as short as 24 hours DESPITE the long-term nature of the system. The stop-loss value in BRIX is always known beforehand and is derived by the system as a function of the market's average range (given a minimum stop-out dollar value of $250). Investors using this system need to understand that there are certain limitations with the use of stop orders and there is no guarantee that you will be able to exit the market, especially at an exact price. Lack of liquidity and other market events could have an impact.
Price: Contact Broker (800)894-8194
Portfolio Diversification
| 8 Sectors | Grains(3) | Interest Rates(3) | Indecies(2) | Currencies(3) | Softs(3) | Meats(2) | Energies(2) | Metals(2) |
Yearly Hypothetical Performance & Risk Analysis on a $825,000 Investment
| 1997 | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | Average | |
| Annual $ Returns | $140,204 | $48,491 | $88,104 | $-23,037 | $115,592 | $64,831 | $31,123 | $73,383 | $4,215 | $60,323 |
| Annual % Return | 16.99% | 5.88% | 10.68% | -2.79% | 14.01% | 7.86% | 3.77% | 8.89% | 0.51% | |
| Max DrawDown | $-39,842 | $-70,638 | $-85,145 | $-274,963 | $-89,657 | $-79,878 | $-56,717 | $-22,613 | $-21,564 | $-82,335 |
Hot Stats
Hypothetical Performance Data
2005 (YTD)
$4,215
Rolling 12 Month
$18,116
Rolling 36 Month
$89,139
Avg. 12 Month $
$65,752
Avg. 36 Month $
$196,350
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | 3.93% | 0.51% | 9.42% | 13.19% | 35.06% | ||
| Count | 134 | 128 | 116 | 104 | 80 | ||
| Percent Profitable | 77.61% | 86.72% | 94.83% | 96.15% | 100.00% | ||
| Average | 3.94% | 7.97% | 15.91% | 23.80% | 38.77% | ||
| Average Gain | 7.00% | 9.96% | 16.98% | 25.04% | 38.77% | ||
| Average Loss | -6.66% | -5.08% | -3.59% | -7.14% | 0% | ||
| Best Period | 36.10% | 43.84% | 55.16% | 44.77% | 59.88% | ||
| Worst Period | -33.33% | -14.52% | -8.50% | -11.69% | 0.00% |
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Brix
1,863
Barra S&P 500
2,340
0.8618
CSFB Managed Futures
1,778
0.7076
ML 90 Day T-Bill
1,454
0.6438
Historical Yearly Averages Since 5/1994 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| Brix | 7.92 | 18.57 | -7.90 | -33.33 | |
| Barra S&P 500 | 9.74 | 29.87 | -9.90 | -31.93 | |
| CSFB Managed Futures | 6.55 | 19.19 | -7.68 | -18.72 | |
| ML 90 Day T-Bill | 3.53 | 5.59 | 0.00 | -0.00 |
How to Get Stated
Open A Futures Trading Account
Open A Forex Trading Account
Wire Instructions PDF
Systems Monitoring Agreement
About the Clearing Firm
About the Introducing Brokers
About Your Broker
Financial Safeguards
Regulatory Agencies
Why Trade Futures
Trading Systems Explained
Additional Risk Disclosures