Detailed: Performance Report - Hypothetical
Trading System: FX23
Developer: Advanz Team
Portfolio Size: $86,000
Program Overview:
The FX-23Plus is designed to generate trading signals for the Forex market at the open of the Sidney trading session. Since all trades are generated at a pre-determined time of day, it is a fairly easy system to operate. Both discretionary and systems traders have found it to be a helpful tool for capturing short term trading opportunities during range or non-trending markets. Portfolio managers have found it to be a favorable approach for portfolio diversification.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$28,541 3 7/2004 9/2004
$10,415 4 11/2004 2/2005
$5,948 1 3/2004 3/2004
$5,673 1 5/2004 5/2004
$4,456 2 8/2005 9/2005
$1,450 1 1/2004 1/2004
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-25,700 5 3/2005 7/2005
$-7,396 1 10/2005 10/2005
$-6,271 1 4/2004 4/2004
$-1,709 1 10/2004 10/2004
$-1,437 1 2/2004 2/2004
$-1,112 1 6/2004 6/2004
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.30% $-28,640 2/2005 10/2005 6 1 +
-7.29% $-6,271 3/2004 4/2004 1 3
-1.99% $-1,709 9/2004 10/2004 1 1
-1.67% $-1,437 1/2004 2/2004 1 1
Hypothetical Performance Data
2005 (YTD)
-$23,119
Rolling 12 Month
-$21,186
Rolling 24 Month
$14,321
Rolling 36 Month
$14,321
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$4,261
Rolling 12 Month
$4,229
Rolling 24 Month
$5,358
Rolling 36 Month
$5,251
Maximum (YTD) Drawdown
-$28,640

Rolling 3

Sharpe Ratio
-0.84
Largest Run Up
$1,465
Largest Drawdown
-$7,396
Correlation to S&P 500
NA
Average Profitable Month
$2,108
Average Unprofitable Month
-$7,396
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-5.46
Largest Run Up
$4,456
Largest Drawdown
-$28,640
Correlation to S&P 500
0.0531
Average Profitable Month
$1,985
Average Unprofitable Month
-$5,516
% of Profitable Months
50.00
% of Unprofitable Months
50.00

Rolling 24

Sharpe Ratio
2.19
Largest Run Up
$28,541
Largest Drawdown
-$28,640
Correlation to S&P 500
0.2309
Average Profitable Month
$4,457
Average Unprofitable Month
-$4,363
% of Profitable Months
54.17
% of Unprofitable Months
41.67

Rolling 36

Sharpe Ratio
2.23
Largest Run Up
$28,541
Largest Drawdown
-$28,640
Correlation to S&P 500
0.2431
Average Profitable Month
$4,457
Average Unprofitable Month
-$4,363
% of Profitable Months
52.00
% of Unprofitable Months
40.00

All Data

Sharpe Ratio
2.23
Largest Run Up
$28,541
Largest Drawdown
-$28,640
Correlation to S&P 500
0.2431
Average Profitable Month
$4,457
Average Unprofitable Month
-$4,363
% of Profitable Months
52.00
% of Unprofitable Months
40.00
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 11/2003
Benchmarks Growth of $1000 since 11/2003
Name
Vami
Correlation
FX23
1,167
3 Month Libor
1,037
0.0397
Barclay Commodity
1,064
0.0878
Barclay Systematic
1,023
0.0061
Barra S&P 500
1,198
0.2431
CSFB Managed Futures
1,128
0.1462
Lehman Aggregate Bonds
1,061
0.1084
ML 90 Day T-Bill
1,030
0.0323
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   1.70% -6.90% -4.18% -26.89% 11.71% 16.67% 0.00% 0.00% 0.00%
  Count   25 23 20 14 8 2
  Percent Profitable   52.00% 56.52% 55.00% 57.14% 100.00% 100.00% 0% 0% 0%
  Average   0.67% 2.03% 5.12% 13.64% 17.86% 16.67% 0% 0% 0%
  Average Gain   5.18% 11.04% 22.84% 36.45% 17.86% 16.67% 0% 0% 0%
  Average Loss   -4.23% -9.69% -16.54% -16.79% 0% 0% 0% 0% 0%
  Best Period   16.99% 33.19% 38.60% 48.26% 30.90% 16.67% 0.00% 0.00% 0.00%
  Worst Period   -10.05% -24.64% -27.91% -26.89% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 573
Avg. Yearly Returns
$4,774
Cummulative Returns
$14,321
Max Intra-Mo. DD(loss)
-$31,110
Max Monthly DD(Loss)
-$8,643
Max Yearly DD(Loss)
-$28,640
Maxx DD(Loss) All Periods
-$28,640
YTD Equity Low
-$25,649
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$14,613
Greatest Down Month
-$8,643
Asset Class
Forex
Release Date
?
Developer
Advanz Team
System Price
$450 monthly per $75,000
Max MoGain/Max MoDD
0.51
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$14,613
Max Yearly Gain
$37,440
Standard Deviation YTD
$4,261
Standard Deviation(Life)
$5,251
YTD Equity Peak
$5,461
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.