Detailed: Performance Report - Hypothetical
Trading System: DoublePlay Swing
Developer: Rich Creal and Keith Fitschen
Portfolio Size: $34,000
Program Overview:
The Double Play Trading System is a dual-mode program designed for use on the S&P500 stock indices (Large and E-mini contracts). The system looks at fifteen minute windows of time (bars). Of the two modes, the "swing" mode maintains positions for as long as three days. The other mode is a day-trading program, always out by the end of the day. The system was developed by Rich Creal, a well known futures analyst and author, and is presented by Keith Fitschen of Trade-system, Inc., developer of the widely used Aberration futures trading system. Limited time special offer: $2495 through TradeCenter Inc.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$35,638 9 9/2007 5/2008
$34,338 16 6/2002 9/2003
$25,325 8 7/2001 2/2002
$14,350 4 7/2008 10/2008
$7,263 1 4/2001 4/2001
$5,163 7 11/2006 5/2007
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-11,063 3 6/2007 8/2007
$-9,475 3 3/2005 5/2005
$-4,200 1 11/2008 11/2008
$-3,613 2 5/2001 6/2001
$-3,363 2 10/2003 11/2003
$-2,738 1 5/2002 5/2002
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.54% $-11,063 5/2007 8/2007 3 4
-27.87% $-9,475 2/2005 5/2005 3 24
-12.35% $-4,200 10/2008 11/2008 1 2 +
-10.63% $-3,613 4/2001 6/2001 2 1
-9.89% $-3,363 9/2003 11/2003 2 6
-8.16% $-2,775 2/2002 5/2002 2 2
Hypothetical Performance Data
2009 (YTD)
$2,125
Rolling 12 Month
$30,562
Rolling 24 Month
$37,300
Rolling 36 Month
$39,025
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$3,830
Rolling 24 Month
$3,552
Rolling 36 Month
$3,079
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
-0.81
Largest Run Up
$2,225
Largest Drawdown
-$4,200
Correlation to S&P 500
NA
Average Profitable Month
$1,112
Average Unprofitable Month
-$4,200
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
7.61
Largest Run Up
$14,350
Largest Drawdown
-$4,200
Correlation to S&P 500
-0.1092
Average Profitable Month
$3,618
Average Unprofitable Month
-$2,806
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 24

Sharpe Ratio
9.62
Largest Run Up
$35,638
Largest Drawdown
-$11,062
Correlation to S&P 500
0.0431
Average Profitable Month
$2,841
Average Unprofitable Month
-$3,335
% of Profitable Months
79.17
% of Unprofitable Months
20.83

Rolling 36

Sharpe Ratio
11.26
Largest Run Up
$35,638
Largest Drawdown
-$11,062
Correlation to S&P 500
0.2883
Average Profitable Month
$2,323
Average Unprofitable Month
-$2,633
% of Profitable Months
75.00
% of Unprofitable Months
25.00

All Data

Sharpe Ratio
34.93
Largest Run Up
$35,638
Largest Drawdown
-$11,062
Correlation to S&P 500
0.1103
Average Profitable Month
$2,181
Average Unprofitable Month
-$1,945
% of Profitable Months
72.92
% of Unprofitable Months
27.08
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 2/2001
Benchmarks Growth of $1000 since 2/2001
Name
Vami
Correlation
DoublePlay Swing
4,002
3 Month Libor
1,225
0.2239
Barclay Commodity
1,475
0.4068
Barclay Systematic
1,466
0.4039
Barra S&P 500
1,191
0.1103
CSFB Managed Futures
1,648
0.5295
Lehman Aggregate Bonds
1,414
0.4124
ML 90 Day T-Bill
1,216
0.2209
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   6.25% 6.54% 31.51% 63.24% 137.06% 109.05% 119.70% 104.69% 128.90%
  Count   96 94 91 85 79 73 61 49 37
  Percent Profitable   72.92% 77.66% 81.32% 81.18% 84.81% 84.93% 91.80% 93.88% 100.00%
  Average   3.13% 9.13% 18.50% 33.48% 44.52% 52.87% 67.30% 82.98% 111.21%
  Average Gain   6.41% 14.40% 25.63% 43.14% 53.93% 63.12% 74.21% 88.89% 111.21%
  Average Loss   -5.72% -9.17% -12.52% -8.20% -8.01% -4.90% -10.05% -7.66% 0%
  Best Period   31.84% 52.35% 81.39% 123.02% 137.06% 154.97% 173.83% 186.64% 180.79%
  Worst Period   -17.65% -32.54% -28.01% -19.74% -17.36% -12.81% -19.36% -14.23% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,063
Avg. Yearly Returns
$11,201
Cummulative Returns
$100,812
Max Intra-Mo. DD(loss)
-$14,875
Max Monthly DD(Loss)
-$6,000
Max Yearly DD(Loss)
-$11,062
Maxx DD(Loss) All Periods
-$11,062
YTD Equity Low
$ 0
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$10,825
Greatest Down Month
-$6,000
Asset Class
Futures
Release Date
03/2004
Developer
Rich Creal and Keith Fitschen
System Price
Purchase: $2995
Lease to Own: $100 for 6 months; $200 thereafter.
Max MoGain/Max MoDD
0.98
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$10,825
Max Yearly Gain
$36,950
Standard Deviation YTD
$3,434
Standard Deviation(Life)
$2,712
YTD Equity Peak
$2,125
Assumptions
Commissions / Slippage
$75 RT
Data
TS8 (Intra Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $75 RT for commission and slippage on a round turn basis. The cost or lease of the system is NOT factored into the performance values. All trades are based on 1 contract with profits NOT being reinvested. No management or incentive fees are charged. The method used to determine purchase and sale prices for each trade is established by a mathematical computation that is proprietary to the individual system developer.

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.