Detailed: Performance Report - Hypothetical
Trading System: Euro Specialist
Developer: AdvanzFX
Portfolio Size: $10,000
Program Overview:
The Specialist Series is our "traders choice" for trading the FOREX or spot market. Its designed to capture both short and long trading opportunities. A true intra-day momentum based trading system designed specifically for the Euro/USDollar currency pair. Open trades last an average of two hours with tight stop losses, including target price exits and trailing stops for optimum potential.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$7,690 5 1/2004 5/2004
$3,150 5 2/2003 6/2003
$1,570 1 9/2003 9/2003
$1,330 2 8/2004 9/2004
$780 1 11/2003 11/2003
$270 1 8/2005 8/2005
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-700 2 11/2004 12/2004
$-690 3 11/2002 1/2003
$-660 2 6/2005 7/2005
$-500 1 10/2003 10/2003
$-400 2 6/2004 7/2004
$-240 2 7/2003 8/2003
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.30% $-3,230 9/2004 7/2005 7 4 +
-6.10% $-610 11/2002 1/2003 2 2
-5.00% $-500 9/2003 10/2003 1 1
-4.00% $-400 5/2004 7/2004 2 1
-2.40% $-240 6/2003 8/2003 2 1
-2.00% $-200 11/2003 12/2003 1 1
Hypothetical Performance Data
2005 (YTD)
-$1,960
Rolling 12 Month
-$2,020
Rolling 24 Month
$5,760
Rolling 36 Month
$9,910
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$ 414
Rolling 12 Month
$ 398
Rolling 24 Month
$ 874
Rolling 36 Month
$ 805
Maximum (YTD) Drawdown
-$2,690

Rolling 3

Sharpe Ratio
1.43
Largest Run Up
$ 390
Largest Drawdown
-$ 90
Correlation to S&P 500
NA
Average Profitable Month
$ 195
Average Unprofitable Month
-$ 90
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-5.64
Largest Run Up
$ 390
Largest Drawdown
-$2,690
Correlation to S&P 500
0.0663
Average Profitable Month
$ 205
Average Unprofitable Month
-$ 406
% of Profitable Months
33.33
% of Unprofitable Months
58.33

Rolling 24

Sharpe Ratio
6.22
Largest Run Up
$7,690
Largest Drawdown
-$3,230
Correlation to S&P 500
0.1722
Average Profitable Month
$ 895
Average Unprofitable Month
-$ 371
% of Profitable Months
45.83
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
11.77
Largest Run Up
$7,690
Largest Drawdown
-$3,230
Correlation to S&P 500
0.3504
Average Profitable Month
$ 852
Average Unprofitable Month
-$ 339
% of Profitable Months
50.00
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
11.94
Largest Run Up
$7,690
Largest Drawdown
-$3,230
Correlation to S&P 500
0.4582
Average Profitable Month
$ 852
Average Unprofitable Month
-$ 324
% of Profitable Months
47.37
% of Unprofitable Months
44.74
Benchmarks Growth of $1000 since 10/2002
Benchmarks Growth of $1000 since 10/2002
Name
Vami
Correlation
Euro Specialist
1,983
3 Month Libor
1,051
0.0474
Barclay Commodity
1,121
0.1606
Barclay Systematic
1,082
0.1247
Barra S&P 500
1,485
0.4582
CSFB Managed Futures
1,194
0.2059
Lehman Aggregate Bonds
1,105
0.1356
ML 90 Day T-Bill
1,044
0.0432
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   3.00% 3.90% 5.20% -19.60% -17.20% 59.60% 102.60% 0.00% 0.00%
  Count   38 36 33 27 21 15 3
  Percent Profitable   47.37% 63.89% 69.70% 66.67% 80.95% 100.00% 100.00% 0% 0%
  Average   2.59% 8.25% 17.75% 40.51% 70.44% 89.51% 99.00% 0% 0%
  Average Gain   8.52% 17.33% 32.30% 71.77% 90.44% 89.51% 99.00% 0% 0%
  Average Loss   -2.76% -7.82% -15.72% -22.02% -14.55% 0% 0% 0% 0%
  Best Period   29.20% 62.60% 81.60% 110.50% 123.80% 126.40% 102.60% 0.00% 0.00%
  Worst Period   -11.10% -20.30% -26.90% -30.50% -19.20% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 259
Avg. Yearly Returns
$2,458
Cummulative Returns
$9,830
Max Intra-Mo. DD(loss)
-$2,780
Max Monthly DD(Loss)
-$1,110
Max Yearly DD(Loss)
-$2,690
Maxx DD(Loss) All Periods
-$3,230
YTD Equity Low
-$2,530
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$2,920
Greatest Down Month
-$1,110
Asset Class
Forex
Release Date
?
Developer
AdvanzFX
System Price
$1,995 Lease Price: $195 per mth
Max MoGain/Max MoDD
1.09
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$2,920
Max Yearly Gain
$7,920
Standard Deviation YTD
$ 414
Standard Deviation(Life)
$ 786
YTD Equity Peak
$ 250
Assumptions
Commissions / Slippage
$75 RT
Data
TS8 (Intra Day)
Broker
Trade Center, Inc.
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.