Detailed: Performance Report - Hypothetical
Trading System: Nextreme-TNotes
Developer: Advanz Team
Portfolio Size: $11,000
Program Overview:
Nextreme Notes is a proprietary day trading system designed for the 10 Yr T-Notes. The general design is a hybrid of a popular family of day trading systems were started in 1997 for high volatile stock trading. It is a momentum based logic with a set of proprietary technical indicators geared to attempt to capture extreme movements in the market.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$10,934 4 7/2002 10/2002
$8,369 5 1/2002 5/2002
$8,338 5 6/2001 10/2001
$5,294 3 1/2000 3/2000
$4,609 4 12/2002 3/2003
$4,025 1 11/2003 11/2003
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-3,531 2 7/2003 8/2003
$-2,625 2 4/2001 5/2001
$-2,181 2 2/2005 3/2005
$-1,675 2 6/2005 7/2005
$-997 1 11/2004 11/2004
$-991 1 11/2002 11/2002
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.10% $-3,531 6/2003 8/2003 2 3
-23.86% $-2,625 3/2001 5/2001 2 2
-15.82% $-1,741 2/2004 6/2004 3 2
-9.06% $-997 10/2004 11/2004 1 2
-9.01% $-991 10/2002 11/2002 1 1
-6.14% $-675 3/2003 4/2003 1 2
Hypothetical Performance Data
2005 (YTD)
-$4,656
Rolling 12 Month
-$3,766
Rolling 24 Month
-$ 100
Rolling 36 Month
$7,841
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$ 912
Rolling 12 Month
$ 946
Rolling 24 Month
$1,018
Rolling 36 Month
$1,293
Maximum (YTD) Drawdown
-$5,297

Rolling 3

Sharpe Ratio
-7.07
Largest Run Up
$ 0
Largest Drawdown
-$3,175
Correlation to S&P 500
NA
Average Profitable Month
$ 0
Average Unprofitable Month
-$1,058
% of Profitable Months
0.00
% of Unprofitable Months
100.00

Rolling 12

Sharpe Ratio
-4.24
Largest Run Up
$1,734
Largest Drawdown
-$5,297
Correlation to S&P 500
0.0430
Average Profitable Month
$ 816
Average Unprofitable Month
-$1,004
% of Profitable Months
33.33
% of Unprofitable Months
58.33

Rolling 24

Sharpe Ratio
-0.45
Largest Run Up
$2,522
Largest Drawdown
-$5,297
Correlation to S&P 500
0.2079
Average Profitable Month
$1,085
Average Unprofitable Month
-$ 822
% of Profitable Months
37.50
% of Unprofitable Months
50.00

Rolling 36

Sharpe Ratio
5.66
Largest Run Up
$4,025
Largest Drawdown
-$5,297
Correlation to S&P 500
0.3471
Average Profitable Month
$1,301
Average Unprofitable Month
-$ 892
% of Profitable Months
47.22
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
31.22
Largest Run Up
$10,934
Largest Drawdown
-$5,297
Correlation to S&P 500
-0.3011
Average Profitable Month
$1,463
Average Unprofitable Month
-$ 841
% of Profitable Months
60.56
% of Unprofitable Months
30.99
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 1/2000
Benchmarks Growth of $1000 since 1/2000
Name
Vami
Correlation
Nextreme-TNotes
5,035
3 Month Libor
1,164
0.1876
Barclay Commodity
1,335
0.3877
Barclay Systematic
1,346
0.4166
Barra S&P 500
980
-0.3011
CSFB Managed Futures
1,465
0.4759
Lehman Aggregate Bonds
1,381
0.4170
ML 90 Day T-Bill
1,162
0.1941
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   -4.23% -14.43% -43.18% -42.33% -6.42% -0.91% 54.15% 237.77% 306.69%
  Count   71 69 66 60 54 48 36 24 12
  Percent Profitable   60.56% 76.81% 81.82% 91.67% 94.44% 95.83% 100.00% 100.00% 100.00%
  Average   5.68% 16.46% 34.04% 73.32% 118.62% 166.55% 257.46% 333.10% 366.60%
  Average Gain   13.30% 26.01% 45.22% 82.35% 125.95% 173.83% 257.46% 333.10% 366.60%
  Average Loss   -6.01% -15.17% -16.28% -26.03% -5.94% -0.91% 0% 0% 0%
  Best Period   36.59% 72.82% 108.25% 183.62% 248.96% 281.88% 347.64% 404.80% 448.80%
  Worst Period   -21.93% -28.86% -44.09% -42.33% -7.81% -0.91% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 625
Avg. Yearly Returns
$7,397
Cummulative Returns
$44,385
Max Intra-Mo. DD(loss)
-$6,109
Max Monthly DD(Loss)
-$2,412
Max Yearly DD(Loss)
-$5,297
Maxx DD(Loss) All Periods
-$5,297
YTD Equity Low
-$4,656
Risk Class L/M/H
TBD
Sys Style
Interest Rates
Sys Type
Short Term
Greatest Up Month
$4,025
Greatest Down Month
-$2,412
Asset Class
Futures
Release Date
?
Developer
Advanz Team
System Price
Lease based on account size
Max MoGain/Max MoDD
0.76
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$4,025
Max Yearly Gain
$20,197
Standard Deviation YTD
$ 912
Standard Deviation(Life)
$1,365
YTD Equity Peak
$1,453
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.