Detailed: Performance Report - Hypothetical
Trading System: EuroTrader
Developer: eForex Ltd
Portfolio Size: $27,000
Program Overview:
Euro Trader is a medium term trading system for trading the Euro currency against the US dollar. Euro Trader operates in TradeStation and SuperCharts. It is easy to use, having few parameter and reads daily price data. Typical durations of a trade range from one to six weeks. It is a trend following system that first analysis the trend. If the trend is up, it looks for a pullback, a reaction in the opposite direction. If that reaction is within limits and the original trend is still intact, Euro Trader enters on the long side as soon as the reaction is over and a renewed strength develops. The opposite would apply to a short trade. If the trend is down, it looks for a pullback, a reaction in the opposite direction. If that reaction is within limits and the original trend is still intact, Euro Trader enters on the short side as soon as the reaction is over and a renewed weakness develops.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-8,738 | 3 | 12/2004 | 2/2005 |
| $-3,413 | 1 | 7/2005 | 7/2005 |
| $-3,363 | 2 | 2/1996 | 3/1996 |
| $-3,050 | 1 | 10/1995 | 10/1995 |
| $-2,525 | 3 | 1/1998 | 3/1998 |
| $-2,238 | 1 | 1/2004 | 1/2004 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -32.36% | $-8,738 | 11/2004 | 2/2005 | 3 | 14 |
| -24.44% | $-6,600 | 8/1997 | 3/1998 | 5 | 6 |
| -23.70% | $-6,400 | 2/2003 | 1/2004 | 3 | 9 |
| -16.25% | $-4,388 | 3/2008 | 9/2008 | 3 | 1 |
| -12.45% | $-3,363 | 1/1996 | 3/1996 | 2 | 1 |
| -11.44% | $-3,088 | 6/2002 | 10/2002 | 3 | 2 |
Hypothetical Performance Data
2009 (YTD)
$ 0
Rolling 12 Month
$12,588
Rolling 24 Month
$16,500
Rolling 36 Month
$21,525
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$4,122
Rolling 24 Month
$2,977
Rolling 36 Month
$2,550
Maximum (YTD) Drawdown
$ 0
Rolling 3
Sharpe Ratio
-2.51
Largest Run Up
$ 0
Largest Drawdown
-$ 725
Correlation to S&P 500
NA
Average Profitable Month
$ 0
Average Unprofitable Month
-$ 725
% of Profitable Months
0.00
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
2.78
Largest Run Up
$13,612
Largest Drawdown
-$4,388
Correlation to S&P 500
-0.1429
Average Profitable Month
$9,188
Average Unprofitable Month
-$1,158
% of Profitable Months
16.67
% of Unprofitable Months
41.67
Rolling 24
Sharpe Ratio
4.71
Largest Run Up
$13,612
Largest Drawdown
-$4,388
Correlation to S&P 500
0.0532
Average Profitable Month
$2,939
Average Unprofitable Month
-$1,002
% of Profitable Months
33.33
% of Unprofitable Months
29.17
Rolling 36
Sharpe Ratio
7.08
Largest Run Up
$13,612
Largest Drawdown
-$4,388
Correlation to S&P 500
0.4282
Average Profitable Month
$2,533
Average Unprofitable Month
-$1,109
% of Profitable Months
33.33
% of Unprofitable Months
22.22
All Data
Sharpe Ratio
41.84
Largest Run Up
$13,612
Largest Drawdown
-$8,738
Correlation to S&P 500
0.7733
Average Profitable Month
$2,740
Average Unprofitable Month
-$1,261
% of Profitable Months
36.16
% of Unprofitable Months
28.25
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
EuroTrader
5,159
3 Month Libor
1,603
0.5508
Barclay Commodity
1,988
0.6489
Barclay Systematic
2,026
0.6709
Barra S&P 500
2,505
0.7733
CSFB Managed Futures
2,009
0.6381
Lehman Aggregate Bonds
1,926
0.6786
ML 90 Day T-Bill
1,576
0.5404
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 | 0.00% | 0.00% | 46.02% | 49.13% | 58.48% | 61.12% | 79.73% | 103.59% | 114.99% | |||
| Count | 177 | 175 | 172 | 166 | 160 | 154 | 142 | 130 | 118 | |||
| Percent Profitable | 36.16% | 58.86% | 79.65% | 90.96% | 96.25% | 98.05% | 100.00% | 100.00% | 100.00% | |||
| Average | 2.35% | 7.13% | 14.16% | 27.19% | 39.47% | 51.93% | 77.07% | 101.28% | 127.87% | |||
| Average Gain | 10.15% | 15.50% | 19.66% | 30.71% | 41.22% | 53.03% | 77.07% | 101.28% | 127.87% | |||
| Average Loss | -2.07% | -4.85% | -7.38% | -8.24% | -5.47% | -3.29% | 0% | 0% | 0% | |||
| Best Period | 50.42% | 48.71% | 58.93% | 90.64% | 103.74% | 118.19% | 163.37% | 164.32% | 183.16% | |||
| Worst Period | -15.60% | -32.36% | -24.44% | -20.92% | -12.40% | -7.67% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$ 634
Avg. Yearly Returns
$7,018
Cummulative Returns
$112,288
Max Intra-Mo. DD(loss)
-$7,462
Max Monthly DD(Loss)
-$4,212
Max Yearly DD(Loss)
-$4,388
Maxx DD(Loss) All Periods
-$8,738
YTD Equity Low
$ 0
Risk Class L/M/H
TBD
Sys Style
Currencies
Sys Type
Medium Term
Greatest Up Month
$13,612
Greatest Down Month
-$4,212
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
3.10
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$13,612
Max Yearly Gain
$20,662
Standard Deviation YTD
$4,271
Standard Deviation(Life)
$2,312
YTD Equity Peak
$ 0
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No