Detailed: Performance Report - Hypothetical
Trading System: GEYSER
Developer: Miles Dunbar
Portfolio Size: $84,000
Program Overview:
Geyser is a short term volatility based system. It trades the volatile Heating Oil and Unleaded gas markets. A directional filter attempts to predict the direction the market. All entries and exits are based on the markets volatility attempting to adapt to current market conditions. This adaptively allows for a more robust system that should hold up under many market conditions.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
2 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$175,331 7 4/2008 10/2008
$139,342 12 3/2007 2/2008
$88,124 11 9/2005 7/2006
$24,410 4 9/2006 12/2006
$13,285 3 12/2002 2/2003
$11,312 1 6/2004 6/2004
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-27,779 4 5/2005 8/2005
$-10,361 1 3/2008 3/2008
$-9,826 2 1/2007 2/2007
$-9,143 4 9/2000 12/2000
$-8,715 1 11/2008 11/2008
$-8,543 3 3/2003 5/2003
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.07% $-27,779 4/2005 8/2005 4 2
-12.35% $-10,377 6/2000 4/2001 6 8
-12.33% $-10,361 2/2008 3/2008 1 2
-11.70% $-9,826 12/2006 2/2007 2 2
-10.87% $-9,134 10/1997 8/1999 4 6
-10.37% $-8,715 10/2008 11/2008 1 2
Hypothetical Performance Data
2009 (YTD)
$11,593
Rolling 12 Month
$184,923
Rolling 24 Month
$302,062
Rolling 36 Month
$362,210
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$16,014
Rolling 24 Month
$12,848
Rolling 36 Month
$11,612
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
0.56
Largest Run Up
$13,733
Largest Drawdown
-$8,715
Correlation to S&P 500
NA
Average Profitable Month
$6,867
Average Unprofitable Month
-$8,715
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
11.33
Largest Run Up
$175,331
Largest Drawdown
-$10,361
Correlation to S&P 500
-0.0624
Average Profitable Month
$20,400
Average Unprofitable Month
-$9,538
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 24

Sharpe Ratio
22.91
Largest Run Up
$175,331
Largest Drawdown
-$10,361
Correlation to S&P 500
0.0245
Average Profitable Month
$15,638
Average Unprofitable Month
-$8,781
% of Profitable Months
87.50
% of Unprofitable Months
12.50

Rolling 36

Sharpe Ratio
30.26
Largest Run Up
$175,331
Largest Drawdown
-$10,361
Correlation to S&P 500
0.2353
Average Profitable Month
$12,802
Average Unprofitable Month
-$6,932
% of Profitable Months
86.11
% of Unprofitable Months
13.89

All Data

Sharpe Ratio
53.74
Largest Run Up
$175,331
Largest Drawdown
-$27,779
Correlation to S&P 500
0.7381
Average Profitable Month
$6,928
Average Unprofitable Month
-$2,483
% of Profitable Months
47.98
% of Unprofitable Months
31.79
Benchmarks Growth of $1000 since 9/1994
Benchmarks Growth of $1000 since 9/1994
Name
Vami
Correlation
GEYSER
6,220
3 Month Libor
1,587
0.5174
Barclay Commodity
1,977
0.6345
Barclay Systematic
2,026
0.6431
Barra S&P 500
2,440
0.7381
CSFB Managed Futures
1,973
0.6339
Lehman Aggregate Bonds
1,907
0.6386
ML 90 Day T-Bill
1,561
0.5054
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   13.80% 16.35% 92.32% 202.38% 306.77% 368.28% 423.23% 454.61% 472.24%
  Count   173 171 168 162 156 150 138 126 114
  Percent Profitable   47.98% 56.14% 64.88% 72.22% 80.77% 88.00% 94.20% 97.62% 98.25%
  Average   3.02% 9.09% 18.20% 32.51% 44.39% 53.71% 70.77% 84.02% 99.60%
  Average Gain   8.25% 18.26% 29.71% 46.23% 55.58% 61.44% 75.31% 86.14% 101.41%
  Average Loss   -1.81% -2.64% -3.07% -3.18% -2.58% -2.99% -2.92% -2.89% -1.89%
  Best Period   48.73% 103.30% 196.96% 260.61% 339.58% 368.43% 440.84% 460.76% 472.24%
  Worst Period   -13.93% -22.68% -29.09% -28.09% -11.46% -10.71% -5.41% -4.89% -2.14%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$2,534
Avg. Yearly Returns
$26,780
Cummulative Returns
$428,472
Max Intra-Mo. DD(loss)
-$31,956
Max Monthly DD(Loss)
-$11,705
Max Yearly DD(Loss)
-$27,779
Maxx DD(Loss) All Periods
-$27,779
YTD Equity Low
$ 0
Risk Class L/M/H
TBD
Sys Style
Oils
Sys Type
Short Term
Greatest Up Month
$40,933
Greatest Down Month
-$11,705
Asset Class
Futures
Release Date
09/2004
Developer
Miles Dunbar
System Price
$995
Max MoGain/Max MoDD
1.47
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$40,933
Max Yearly Gain
$200,134
Standard Deviation YTD
$16,725
Standard Deviation(Life)
$7,281
YTD Equity Peak
$11,593
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $75 RT for commission and slippage on a round turn basis. The cost or lease of the system is NOT factored into the performance values. All trades are based on 1 contract with profits NOT being reinvested. No management or incentive fees are charged. The method used to determine purchase and sale prices for each trade is established by a mathematical computation that is proprietary to the individual system developer.

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.