Detailed: Performance Report - Hypothetical
Trading System: FX-Daily Euro
Developer: Advanz
Portfolio Size: $40,000
Program Overview:
FX-Daily is designed to capture trends that last an average of one to ten weeks. Works for the EURO/USDdollar Forex spot market or for Euro contract in the futures market. Works best in rising and falling markets.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$12,850 4 9/2004 12/2004
$10,805 3 4/2002 6/2002
$9,735 2 4/2003 5/2003
$9,530 3 4/2005 6/2005
$9,290 3 12/2002 2/2003
$7,660 4 1/2000 4/2000
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-13,130 4 5/2004 8/2004
$-12,600 3 1/2005 3/2005
$-3,825 1 11/2000 11/2000
$-3,820 4 1/2001 4/2001
$-3,560 3 1/2004 3/2004
$-3,340 3 9/2003 11/2003
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.83% $-13,130 4/2004 8/2004 4 15 +
-11.94% $-4,775 9/2001 3/2002 3 2
-9.56% $-3,825 10/2000 11/2000 1 1
-9.55% $-3,820 12/2000 4/2001 4 4
-8.90% $-3,560 12/2003 3/2004 3 1
-8.35% $-3,340 8/2003 11/2003 3 1
Hypothetical Performance Data
2005 (YTD)
-$6,130
Rolling 12 Month
-$4,910
Rolling 24 Month
$ 420
Rolling 36 Month
$14,200
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$3,224
Rolling 12 Month
$3,125
Rolling 24 Month
$3,477
Rolling 36 Month
$3,332
Maximum (YTD) Drawdown
-$12,600

Rolling 3

Sharpe Ratio
-0.98
Largest Run Up
$1,685
Largest Drawdown
-$2,970
Correlation to S&P 500
NA
Average Profitable Month
$1,685
Average Unprofitable Month
-$1,485
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
-1.86
Largest Run Up
$9,530
Largest Drawdown
-$12,600
Correlation to S&P 500
0.0909
Average Profitable Month
$2,487
Average Unprofitable Month
-$2,891
% of Profitable Months
41.67
% of Unprofitable Months
50.00

Rolling 24

Sharpe Ratio
-0.26
Largest Run Up
$12,850
Largest Drawdown
-$13,130
Correlation to S&P 500
0.2882
Average Profitable Month
$3,446
Average Unprofitable Month
-$2,618
% of Profitable Months
41.67
% of Unprofitable Months
54.17

Rolling 36

Sharpe Ratio
3.70
Largest Run Up
$12,850
Largest Drawdown
-$13,130
Correlation to S&P 500
0.3867
Average Profitable Month
$3,550
Average Unprofitable Month
-$2,367
% of Profitable Months
44.44
% of Unprofitable Months
50.00

All Data

Sharpe Ratio
9.21
Largest Run Up
$12,850
Largest Drawdown
-$13,130
Correlation to S&P 500
-0.1927
Average Profitable Month
$2,789
Average Unprofitable Month
-$1,878
% of Profitable Months
48.65
% of Unprofitable Months
48.65
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 10/1999
Benchmarks Growth of $1000 since 10/1999
Name
Vami
Correlation
FX-Daily Euro
1,820
3 Month Libor
1,179
0.2591
Barclay Commodity
1,315
0.4436
Barclay Systematic
1,322
0.4861
Barra S&P 500
1,123
-0.1927
CSFB Managed Futures
1,435
0.5262
Lehman Aggregate Bonds
1,380
0.5120
ML 90 Day T-Bill
1,174
0.2632
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   4.21% 2.25% -7.65% -15.32% -4.47% -14.37% 25.81% 54.74% 50.63%
  Count   74 72 69 63 57 51 39 27 15
  Percent Profitable   48.65% 66.67% 69.57% 80.95% 80.70% 88.24% 100.00% 100.00% 100.00%
  Average   1.11% 3.40% 6.88% 13.26% 20.34% 29.80% 51.78% 62.36% 68.49%
  Average Gain   6.97% 9.62% 13.23% 19.51% 27.73% 34.63% 51.78% 62.36% 68.49%
  Average Loss   -4.45% -9.05% -7.62% -13.29% -10.56% -6.44% 0% 0% 0%
  Best Period   17.13% 29.08% 39.76% 45.75% 61.24% 69.11% 76.21% 96.49% 97.44%
  Worst Period   -16.20% -31.50% -23.22% -31.15% -21.70% -14.37% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 443
Avg. Yearly Returns
$4,684
Cummulative Returns
$32,785
Max Intra-Mo. DD(loss)
-$14,960
Max Monthly DD(Loss)
-$6,480
Max Yearly DD(Loss)
-$13,130
Maxx DD(Loss) All Periods
-$13,130
YTD Equity Low
-$14,410
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$6,850
Greatest Down Month
-$6,480
Asset Class
Forex
Release Date
?
Developer
Advanz
System Price
$1,450 Lease price: $135 per mth
Max MoGain/Max MoDD
0.52
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$6,850
Max Yearly Gain
$16,070
Standard Deviation YTD
$3,224
Standard Deviation(Life)
$2,806
YTD Equity Peak
$ 0
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.