Detailed: Performance Report - Hypothetical
Trading System: Nextreme-Aussie
Developer: Advanz
Portfolio Size: $27,000
Program Overview:
Day trading system designed specifically for the Aussie. Programmed to trade from London's open (3:00AM NYT) to New Yorks close (4:00PM NYT). It is a short term momentum based system.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$18,225 13 12/2002 12/2003
$4,030 3 2/2004 4/2004
$3,580 2 6/2005 7/2005
$1,585 1 12/2004 12/2004
$1,445 1 6/2004 6/2004
$940 2 9/2005 10/2005
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-6,420 5 1/2005 5/2005
$-2,295 3 7/2004 9/2004
$-1,815 1 5/2004 5/2004
$-1,385 1 11/2004 11/2004
$-785 1 11/2002 11/2002
$-485 1 8/2005 8/2005
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.43% $-8,755 4/2004 5/2005 8 6 +
-0.93% $-250 12/2003 1/2004 1 1
Hypothetical Performance Data
2005 (YTD)
-$3,235
Rolling 12 Month
-$1,650
Rolling 24 Month
-$1,775
Rolling 36 Month
$16,435
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$1,281
Rolling 12 Month
$1,332
Rolling 24 Month
$1,244
Rolling 36 Month
$1,342
Maximum (YTD) Drawdown
-$6,420

Rolling 3

Sharpe Ratio
-0.17
Largest Run Up
$ 940
Largest Drawdown
-$ 850
Correlation to S&P 500
NA
Average Profitable Month
$ 470
Average Unprofitable Month
-$ 850
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-1.69
Largest Run Up
$3,580
Largest Drawdown
-$6,420
Correlation to S&P 500
0.1435
Average Profitable Month
$1,221
Average Unprofitable Month
-$1,108
% of Profitable Months
41.67
% of Unprofitable Months
58.33

Rolling 24

Sharpe Ratio
-2.14
Largest Run Up
$4,030
Largest Drawdown
-$8,755
Correlation to S&P 500
0.3049
Average Profitable Month
$1,066
Average Unprofitable Month
-$1,038
% of Profitable Months
45.83
% of Unprofitable Months
54.17

Rolling 36

Sharpe Ratio
11.36
Largest Run Up
$4,030
Largest Drawdown
-$8,755
Correlation to S&P 500
0.3450
Average Profitable Month
$1,302
Average Unprofitable Month
-$1,038
% of Profitable Months
63.89
% of Unprofitable Months
36.11

All Data

Sharpe Ratio
10.93
Largest Run Up
$18,225
Largest Drawdown
-$8,755
Correlation to S&P 500
0.5143
Average Profitable Month
$1,302
Average Unprofitable Month
-$1,020
% of Profitable Months
60.53
% of Unprofitable Months
36.84
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 10/2002
Benchmarks Growth of $1000 since 10/2002
Name
Vami
Correlation
Nextreme-Aussie
1,580
3 Month Libor
1,051
0.0496
Barclay Commodity
1,121
0.1754
Barclay Systematic
1,082
0.1505
Barra S&P 500
1,485
0.5143
CSFB Managed Futures
1,194
0.2399
Lehman Aggregate Bonds
1,105
0.1493
ML 90 Day T-Bill
1,044
0.0464
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   -3.15% -1.43% 6.59% -12.00% -19.28% -6.65% 60.22% 0.00% 0.00%
  Count   38 36 33 27 21 15 3
  Percent Profitable   60.53% 69.44% 66.67% 51.85% 52.38% 80.00% 100.00% 0% 0%
  Average   1.52% 5.06% 9.76% 13.91% 19.11% 25.85% 60.72% 0% 0%
  Average Gain   4.82% 10.53% 20.30% 39.18% 47.40% 33.48% 60.72% 0% 0%
  Average Loss   -3.53% -7.37% -11.34% -13.31% -12.00% -4.66% 0% 0% 0%
  Best Period   10.57% 26.77% 44.05% 67.44% 79.50% 72.22% 61.09% 0.00% 0.00%
  Worst Period   -8.93% -15.23% -18.59% -26.40% -19.28% -6.65% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 412
Avg. Yearly Returns
$3,912
Cummulative Returns
$15,650
Max Intra-Mo. DD(loss)
-$6,340
Max Monthly DD(Loss)
-$2,410
Max Yearly DD(Loss)
-$4,010
Maxx DD(Loss) All Periods
-$8,755
YTD Equity Low
-$6,630
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$2,855
Greatest Down Month
-$2,410
Asset Class
Forex
Release Date
?
Developer
Advanz
System Price
$1495
Max MoGain/Max MoDD
0.71
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$2,855
Max Yearly Gain
$18,055
Standard Deviation YTD
$1,281
Standard Deviation(Life)
$1,323
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.