Detailed: 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
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-174,069 | 4 | 6/2000 | 9/2000 |
| $-122,725 | 1 | 4/2000 | 4/2000 |
| $-89,657 | 2 | 4/2001 | 5/2001 |
| $-72,557 | 4 | 10/2001 | 1/2002 |
| $-71,126 | 6 | 8/1997 | 1/1998 |
| $-70,638 | 2 | 9/1998 | 10/1998 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.33% | $-274,963 | 3/2000 | 9/2000 | 5 | 6 |
| -14.00% | $-115,510 | 9/2002 | 3/2003 | 4 | 20 |
| -10.87% | $-89,657 | 3/2001 | 5/2001 | 2 | 4 |
| -10.32% | $-85,145 | 1/1999 | 10/1999 | 5 | 2 |
| -10.27% | $-84,740 | 9/2001 | 3/2002 | 5 | 3 |
| -9.14% | $-75,388 | 7/1997 | 10/1998 | 7 | 2 |
Hypothetical Performance Data
2005 (YTD)
$8,366
Rolling 12 Month
$22,267
Rolling 24 Month
$109,189
Rolling 36 Month
$93,290
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$15,754
Rolling 12 Month
$15,514
Rolling 24 Month
$15,242
Rolling 36 Month
$20,342
Maximum (YTD) Drawdown
-$28,256
Rolling 3
Sharpe Ratio
-1.15
Largest Run Up
$11,870
Largest Drawdown
-$21,564
Correlation to S&P 500
NA
Average Profitable Month
$5,935
Average Unprofitable Month
-$21,564
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
0.24
Largest Run Up
$46,316
Largest Drawdown
-$28,256
Correlation to S&P 500
0.5624
Average Profitable Month
$12,690
Average Unprofitable Month
-$13,312
% of Profitable Months
58.33
% of Unprofitable Months
41.67
Rolling 24
Sharpe Ratio
5.39
Largest Run Up
$66,225
Largest Drawdown
-$28,256
Correlation to S&P 500
NA
Average Profitable Month
$13,281
Average Unprofitable Month
-$12,912
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 36
Sharpe Ratio
2.68
Largest Run Up
$66,440
Largest Drawdown
-$56,717
Correlation to S&P 500
NA
Average Profitable Month
$16,452
Average Unprofitable Month
-$16,814
% of Profitable Months
58.33
% of Unprofitable Months
41.67
All Data
Sharpe Ratio
10.72
Largest Run Up
$194,809
Largest Drawdown
-$274,963
Correlation to S&P 500
0.8626
Average Profitable Month
$25,204
Average Unprofitable Month
-$21,606
% of Profitable Months
56.83
% of Unprofitable Months
42.45
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Brix
1,868
3 Month Libor
1,475
0.6541
Barclay Commodity
1,769
0.7693
Barclay Systematic
1,804
0.8066
Barra S&P 500
2,340
0.8626
CSFB Managed Futures
1,778
0.7080
Lehman Aggregate Bonds
1,766
0.7887
ML 90 Day T-Bill
1,454
0.6443
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 | 1.33% | 1.43% | 4.43% | 1.01% | 9.42% | 9.92% | 13.69% | 21.55% | 35.56% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 56.83% | 59.85% | 77.61% | 86.72% | 90.98% | 94.83% | 96.15% | 100.00% | 100.00% | |||
| Average | 0.62% | 1.92% | 3.95% | 7.97% | 11.92% | 15.92% | 23.81% | 31.11% | 38.78% | |||
| Average Gain | 3.06% | 5.72% | 7.01% | 9.97% | 13.68% | 16.99% | 25.05% | 31.11% | 38.78% | |||
| Average Loss | -2.57% | -3.74% | -6.66% | -5.08% | -5.85% | -3.59% | -7.14% | 0% | 0% | |||
| Best Period | 13.37% | 23.61% | 36.10% | 43.84% | 33.56% | 55.16% | 44.77% | 53.35% | 59.88% | |||
| Worst Period | -14.88% | -20.18% | -33.33% | -14.52% | -15.82% | -8.50% | -11.69% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$5,154
Avg. Yearly Returns
$59,698
Cummulative Returns
$716,371
Max Intra-Mo. DD(loss)
-$320,887
Max Monthly DD(Loss)
-$122,725
Max Yearly DD(Loss)
-$274,963
Maxx DD(Loss) All Periods
-$274,963
YTD Equity Low
-$42,868
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$110,303
Greatest Down Month
-$122,725
Asset Class
Futures
Release Date
05/2003
Developer
Alfaranda CTA
System Price
Purchase $3400/Lease-to-buy @$350 per month for ten months
Max MoGain/Max MoDD
0.40
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$110,303
Max Yearly Gain
$140,204
Standard Deviation YTD
$15,754
Standard Deviation(Life)
$31,871
YTD Equity Peak
$22,531
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No