Detailed: Performance Report - Hypothetical
Trading System: Swiss 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 USDollar/SwissFranc 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
$4,530 6 1/2004 6/2004
$1,872 1 5/2003 5/2003
$1,418 3 7/2003 9/2003
$865 2 8/2004 9/2004
$822 1 11/2003 11/2003
$356 3 1/2003 3/2003
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-482 2 11/2002 12/2002
$-463 4 3/2005 6/2005
$-432 1 12/2003 12/2003
$-379 1 6/2003 6/2003
$-361 1 7/2004 7/2004
$-273 1 4/2003 4/2003
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-4.82% $-482 10/2002 12/2002 2 5
-4.32% $-432 11/2003 12/2003 1 1
-3.79% $-379 5/2003 6/2003 1 1
-3.61% $-361 6/2004 7/2004 1 1
-1.33% $-133 9/2004 10/2004 1 1
-1.05% $-105 9/2003 10/2003 1 1
Hypothetical Performance Data
2005 (YTD)
-$1,273
Rolling 12 Month
-$1,475
Rolling 24 Month
$3,253
Rolling 36 Month
$6,813
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$ 215
Rolling 12 Month
$ 207
Rolling 24 Month
$ 527
Rolling 36 Month
$ 554
Maximum (YTD) Drawdown
-$1,430

Rolling 3

Sharpe Ratio
-6.11
Largest Run Up
$ 0
Largest Drawdown
-$1,132
Correlation to S&P 500
NA
Average Profitable Month
$ 0
Average Unprofitable Month
-$ 377
% of Profitable Months
0.00
% of Unprofitable Months
100.00

Rolling 12

Sharpe Ratio
-8.20
Largest Run Up
$ 165
Largest Drawdown
-$1,475
Correlation to S&P 500
0.2351
Average Profitable Month
$ 80
Average Unprofitable Month
-$ 224
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 24

Sharpe Ratio
5.55
Largest Run Up
$4,530
Largest Drawdown
-$1,475
Correlation to S&P 500
0.2784
Average Profitable Month
$ 460
Average Unprofitable Month
-$ 247
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
11.51
Largest Run Up
$4,530
Largest Drawdown
-$1,475
Correlation to S&P 500
0.3974
Average Profitable Month
$ 497
Average Unprofitable Month
-$ 242
% of Profitable Months
58.33
% of Unprofitable Months
41.67

All Data

Sharpe Ratio
11.52
Largest Run Up
$4,530
Largest Drawdown
-$1,475
Correlation to S&P 500
0.5236
Average Profitable Month
$ 486
Average Unprofitable Month
-$ 248
% of Profitable Months
57.89
% of Unprofitable Months
42.11
Benchmarks Growth of $1000 since 10/2002
Benchmarks Growth of $1000 since 10/2002
Name
Vami
Correlation
Swiss Specialist
1,673
3 Month Libor
1,051
0.0560
Barclay Commodity
1,121
0.1794
Barclay Systematic
1,082
0.1380
Barra S&P 500
1,485
0.5236
CSFB Managed Futures
1,194
0.2330
Lehman Aggregate Bonds
1,105
0.1572
ML 90 Day T-Bill
1,044
0.0508
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   -3.97% -5.24% -9.67% -12.74% -8.47% 36.84% 69.64% 0.00% 0.00%
  Count   38 36 33 27 21 15 3
  Percent Profitable   57.89% 69.44% 69.70% 81.48% 90.48% 100.00% 100.00% 0% 0%
  Average   1.77% 5.74% 13.20% 30.23% 49.53% 64.39% 68.86% 0% 0%
  Average Gain   4.86% 9.93% 21.31% 39.16% 55.31% 64.39% 68.86% 0% 0%
  Average Loss   -2.48% -3.80% -5.44% -9.08% -5.38% 0% 0% 0% 0%
  Best Period   18.72% 36.88% 45.31% 69.48% 80.99% 82.89% 69.64% 0.00% 0.00%
  Worst Period   -6.08% -11.32% -11.98% -14.75% -8.47% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 177
Avg. Yearly Returns
$1,681
Cummulative Returns
$6,725
Max Intra-Mo. DD(loss)
-$1,823
Max Monthly DD(Loss)
-$ 608
Max Yearly DD(Loss)
-$1,430
Maxx DD(Loss) All Periods
-$1,475
YTD Equity Low
-$1,325
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$1,872
Greatest Down Month
-$ 608
Asset Class
Forex
Release Date
?
Developer
AdvanzFX
System Price
$1,995 Lease Price: $195 per mth
Max MoGain/Max MoDD
1.31
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$1,872
Max Yearly Gain
$4,958
Standard Deviation YTD
$ 215
Standard Deviation(Life)
$ 545
YTD Equity Peak
$ 497
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.