Detailed: Performance Report - Hypothetical
Trading System: FXDynamics
Developer: eForex Ltd
Portfolio Size: $62,000
Program Overview:
FxDynamics is a medium term / long term trading system for trading the Euro currency, Australian dollar British Pound and the US dollar index. Typical durations of a trade range from two to eight weeks. It trades on average 5 times a year. The FxDynamics trading system was developed in 1994 and is all in one, a trend following system and a dynamic breakout system. It reads daily price data. FxDynamics uses a specific trend indicator and volatility based stop/exit strategy and entry techniques. The system is a trend following system in the sense it only trades breakouts in direction to the major long term trend. It is a dynamic breakout system as it has adaptive character and breakout levels and chart patterns are selected according to the current market conditions. Trading these systems together, EuroTrader and FxDynamics, has given extremely good results.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-10,713 | 1 | 4/2001 | 4/2001 |
| $-10,106 | 7 | 6/2001 | 12/2001 |
| $-9,630 | 5 | 8/1995 | 12/1995 |
| $-8,591 | 5 | 5/1996 | 9/1996 |
| $-7,880 | 5 | 4/1998 | 8/1998 |
| $-7,085 | 2 | 2/2000 | 3/2000 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -32.88% | $-20,388 | 3/2001 | 2/2002 | 8 | 4 |
| -24.00% | $-14,883 | 3/1995 | 12/1995 | 8 | 13 |
| -15.57% | $-9,655 | 5/2005 | 10/2005 | 3 | 1 + |
| -15.53% | $-9,630 | 7/1997 | 8/1998 | 8 | 1 |
| -14.90% | $-9,235 | 12/2003 | 7/2004 | 5 | 4 |
| -11.48% | $-7,115 | 6/2002 | 11/2002 | 4 | 2 |
Hypothetical Performance Data
2005 (YTD)
-$1,870
Rolling 12 Month
-$4,096
Rolling 24 Month
$29,140
Rolling 36 Month
$54,865
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$3,418
Rolling 12 Month
$3,322
Rolling 24 Month
$5,687
Rolling 36 Month
$5,095
Maximum (YTD) Drawdown
-$9,655
Rolling 3
Sharpe Ratio
0.26
Largest Run Up
$5,371
Largest Drawdown
-$3,928
Correlation to S&P 500
NA
Average Profitable Month
$5,371
Average Unprofitable Month
-$3,928
% of Profitable Months
33.33
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
-1.65
Largest Run Up
$6,559
Largest Drawdown
-$9,655
Correlation to S&P 500
0.2031
Average Profitable Month
$3,214
Average Unprofitable Month
-$2,825
% of Profitable Months
33.33
% of Unprofitable Months
50.00
Rolling 24
Sharpe Ratio
4.77
Largest Run Up
$25,734
Largest Drawdown
-$9,655
Correlation to S&P 500
0.2934
Average Profitable Month
$7,904
Average Unprofitable Month
-$2,381
% of Profitable Months
29.17
% of Unprofitable Months
45.83
Rolling 36
Sharpe Ratio
10.19
Largest Run Up
$25,734
Largest Drawdown
-$9,655
Correlation to S&P 500
0.4176
Average Profitable Month
$5,737
Average Unprofitable Month
-$2,080
% of Profitable Months
41.67
% of Unprofitable Months
41.67
All Data
Sharpe Ratio
14.79
Largest Run Up
$25,734
Largest Drawdown
-$20,388
Correlation to S&P 500
0.7083
Average Profitable Month
$4,713
Average Unprofitable Month
-$1,817
% of Profitable Months
33.81
% of Unprofitable Months
52.52
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
FXDynamics
2,433
3 Month Libor
1,475
0.5683
Barclay Commodity
1,769
0.6965
Barclay Systematic
1,804
0.7197
Barra S&P 500
2,340
0.7083
CSFB Managed Futures
1,778
0.7047
Lehman Aggregate Bonds
1,766
0.7117
ML 90 Day T-Bill
1,454
0.5600
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 | 8.66% | 2.33% | 1.66% | -3.02% | 32.54% | 20.00% | 77.90% | 108.90% | 91.45% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 33.81% | 49.64% | 64.18% | 75.78% | 81.15% | 88.79% | 97.12% | 100.00% | 100.00% | |||
| Average | 1.03% | 3.07% | 6.29% | 13.02% | 19.57% | 26.44% | 38.98% | 47.73% | 58.34% | |||
| Average Gain | 7.60% | 11.08% | 13.82% | 20.42% | 26.79% | 30.81% | 40.24% | 47.73% | 58.34% | |||
| Average Loss | -2.33% | -4.81% | -7.20% | -10.13% | -11.49% | -8.13% | -3.70% | 0% | 0% | |||
| Best Period | 27.79% | 41.51% | 39.15% | 57.90% | 64.53% | 95.10% | 115.40% | 108.90% | 106.55% | |||
| Worst Period | -17.28% | -14.28% | -21.36% | -31.32% | -25.85% | -26.43% | -5.84% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$ 639
Avg. Yearly Returns
$7,405
Cummulative Returns
$88,856
Max Intra-Mo. DD(loss)
-$24,351
Max Monthly DD(Loss)
-$10,712
Max Yearly DD(Loss)
-$17,198
Maxx DD(Loss) All Periods
-$20,388
YTD Equity Low
-$7,241
Risk Class L/M/H
TBD
Sys Style
Currencies
Sys Type
Medium Term
Greatest Up Month
$17,230
Greatest Down Month
-$10,712
Asset Class
Futures
Release Date
?
Developer
eForex Ltd
System Price
Undisclosed version: $950
Disclosed version: $2450
Lease 3 months: $195
Lease 12 months: $695
Disclosed version: $2450
Lease 3 months: $195
Lease 12 months: $695
Max MoGain/Max MoDD
1.00
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$17,230
Max Yearly Gain
$35,899
Standard Deviation YTD
$3,418
Standard Deviation(Life)
$4,104
YTD Equity Peak
$3,922
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No