Detailed: Performance Report - Hypothetical
Trading System: Adaptivity
Developer: Adaptivitysystem.com
Portfolio Size: $185,000
Program Overview:
Adaptivity uses very unique and adaptive technology in an attempt to determine trend direction and stop size. This includes the Jurik Research adaptive moving average (JMA) and a number of statistical methods applied to try to reduce risk and enhance portfolio performance. No optimization is performed at any stage. When conditions warrant entry into a market, this will be done on a stop, provided the risk condition is satisfied. Exit is achieved through an adaptive money management stop and a trailing stop.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
4 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$75,157 3 7/2005 9/2005
$59,344 5 5/2002 9/2002
$47,220 2 1/2003 2/2003
$42,504 4 1/1995 4/1995
$37,907 4 3/1996 6/1996
$37,335 1 12/2000 12/2000
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-51,213 2 12/2005 1/2006
$-22,322 5 5/1995 9/1995
$-21,643 2 12/1998 1/1999
$-18,036 1 10/2005 10/2005
$-17,001 2 8/2001 9/2001
$-14,655 1 4/2005 4/2005
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.27% $-61,559 9/2005 1/2006 3 1 +
-17.20% $-31,815 12/2000 9/2001 4 10
-15.39% $-28,474 9/1998 1/1999 3 10
-14.96% $-27,684 12/2004 6/2005 3 2
-12.43% $-22,990 6/2000 11/2000 4 1
-12.07% $-22,322 4/1995 9/1995 5 7
Hypothetical Performance Data
2006 (YTD)
$8,937
Rolling 12 Month
$13,181
Rolling 24 Month
$35,918
Rolling 36 Month
$47,297
Risk Analysis (Anualized Standard Deviation)
2006 (YTD)
$9,593
Rolling 12 Month
$22,027
Rolling 24 Month
$17,250
Rolling 36 Month
$14,803
Maximum (YTD) Drawdown
-$5,125

Rolling 3

Sharpe Ratio
-1.55
Largest Run Up
$14,061
Largest Drawdown
-$51,213
Correlation to S&P 500
-0.5845
Average Profitable Month
$14,061
Average Unprofitable Month
-$25,607
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
0.32
Largest Run Up
$75,156
Largest Drawdown
-$61,559
Correlation to S&P 500
0.3698
Average Profitable Month
$14,648
Average Unprofitable Month
-$17,871
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
1.57
Largest Run Up
$75,156
Largest Drawdown
-$61,559
Correlation to S&P 500
0.6845
Average Profitable Month
$12,825
Average Unprofitable Month
-$11,892
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
2.45
Largest Run Up
$75,156
Largest Drawdown
-$61,559
Correlation to S&P 500
0.7365
Average Profitable Month
$10,571
Average Unprofitable Month
-$10,257
% of Profitable Months
55.56
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
17.75
Largest Run Up
$75,156
Largest Drawdown
-$61,559
Correlation to S&P 500
0.7753
Average Profitable Month
$8,491
Average Unprofitable Month
-$6,625
% of Profitable Months
54.93
% of Unprofitable Months
40.85
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Adaptivity
2,503
3 Month Libor
1,500
0.9278
Barclay Commodity
1,806
0.9743
Barclay Systematic
1,843
0.9641
Barra S&P 500
2,390
0.7753
CSFB Managed Futures
1,781
0.9575
Lehman Aggregate Bonds
1,778
0.9588
ML 90 Day T-Bill
1,476
0.9288
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   7.60% 4.83% -25.67% 5.52% 15.20% 19.54% 31.56% 71.36% 68.83%
  Count   142 140 137 131 125 119 107 95 83
  Percent Profitable   54.93% 62.86% 70.07% 86.26% 94.40% 98.32% 100.00% 100.00% 100.00%
  Average   1.06% 3.17% 6.75% 13.61% 20.44% 27.32% 39.49% 49.75% 59.74%
  Average Gain   4.59% 8.23% 11.73% 16.29% 21.86% 27.80% 39.49% 49.75% 59.74%
  Average Loss   -3.25% -5.41% -4.89% -3.23% -3.39% -0.77% 0% 0% 0%
  Best Period   27.21% 40.62% 32.08% 45.72% 50.29% 56.23% 75.84% 106.07% 104.49%
  Worst Period   -24.91% -30.50% -25.67% -10.74% -8.91% -1.43% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,958
Avg. Yearly Returns
$21,389
Cummulative Returns
$278,062
Max Intra-Mo. DD(loss)
-$59,947
Max Monthly DD(Loss)
-$46,089
Max Yearly DD(Loss)
-$56,434
Maxx DD(Loss) All Periods
-$61,559
YTD Equity Low
-$7,795
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$50,344
Greatest Down Month
-$46,089
Asset Class
Release Date
06/2004
Developer
Adaptivitysystem.com
System Price
leased at $150/month.
Max MoGain/Max MoDD
0.89
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$50,344
Max Yearly Gain
$54,785
Standard Deviation YTD
$22,999
Standard Deviation(Life)
$10,708
YTD Equity Peak
$8,937
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
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.