Detailed: Performance Report - Hypothetical
Trading System: KC Barbecue
Developer: Miles Dunbar
Portfolio Size: $26,000
Program Overview:
Short Term Volatility
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$21,540 2 3/2008 4/2008
$19,223 5 8/2008 12/2008
$15,760 6 8/2007 1/2008
$13,230 1 6/2008 6/2008
$13,188 6 3/1996 8/1996
$10,143 7 11/2005 5/2006
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-8,443 10 6/2001 3/2002
$-4,155 3 6/2004 8/2004
$-2,730 1 7/2008 7/2008
$-2,300 2 5/1999 6/1999
$-2,103 1 5/2008 5/2008
$-1,835 2 11/1997 12/1997
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.12% $-8,610 12/2000 3/2002 11 9
-15.98% $-4,155 5/2004 8/2004 3 9
-10.50% $-2,730 6/2008 7/2008 1 1
-8.85% $-2,300 4/1999 6/1999 2 8
-8.37% $-2,175 10/1997 5/1998 3 2
-8.09% $-2,103 4/2008 5/2008 1 1
Hypothetical Performance Data
2009 (YTD)
-$1,022
Rolling 12 Month
$46,810
Rolling 24 Month
$66,370
Rolling 36 Month
$79,478
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$5,541
Rolling 24 Month
$4,402
Rolling 36 Month
$3,810
Maximum (YTD) Drawdown
-$1,022

Rolling 3

Sharpe Ratio
2.01
Largest Run Up
$4,052
Largest Drawdown
-$1,022
Correlation to S&P 500
NA
Average Profitable Month
$2,026
Average Unprofitable Month
-$1,022
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
8.25
Largest Run Up
$21,540
Largest Drawdown
-$2,730
Correlation to S&P 500
-0.0637
Average Profitable Month
$6,749
Average Unprofitable Month
-$1,796
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 24

Sharpe Ratio
14.53
Largest Run Up
$21,540
Largest Drawdown
-$2,730
Correlation to S&P 500
0.0278
Average Profitable Month
$4,208
Average Unprofitable Month
-$1,561
% of Profitable Months
75.00
% of Unprofitable Months
25.00

Rolling 36

Sharpe Ratio
19.99
Largest Run Up
$21,540
Largest Drawdown
-$2,730
Correlation to S&P 500
0.2385
Average Profitable Month
$3,366
Average Unprofitable Month
-$1,267
% of Profitable Months
75.00
% of Unprofitable Months
25.00

All Data

Sharpe Ratio
55.90
Largest Run Up
$21,540
Largest Drawdown
-$8,610
Correlation to S&P 500
0.8458
Average Profitable Month
$1,799
Average Unprofitable Month
-$ 766
% of Profitable Months
59.89
% of Unprofitable Months
38.98
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
KC Barbecue
6,301
3 Month Libor
1,603
0.5700
Barclay Commodity
1,988
0.6916
Barclay Systematic
2,026
0.7045
Barra S&P 500
2,505
0.8458
CSFB Managed Futures
2,009
0.6740
Lehman Aggregate Bonds
1,926
0.6983
ML 90 Day T-Bill
1,576
0.5572
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   -3.93% 3.20% 46.58% 185.13% 238.23% 252.89% 301.28% 326.28% 340.81%
  Count   177 175 172 166 160 154 142 130 118
  Percent Profitable   59.89% 78.86% 83.72% 89.16% 90.63% 90.91% 91.55% 91.54% 99.15%
  Average   2.99% 9.10% 18.28% 34.93% 47.77% 58.79% 77.22% 92.79% 109.23%
  Average Gain   6.92% 12.80% 23.31% 41.14% 54.79% 66.25% 85.25% 101.71% 110.16%
  Average Loss   -2.86% -4.67% -7.61% -16.19% -20.03% -15.84% -9.78% -3.71% -0.31%
  Best Period   57.98% 77.74% 138.55% 204.42% 249.00% 263.62% 312.19% 326.28% 341.00%
  Worst Period   -10.50% -15.98% -26.99% -30.94% -31.48% -25.80% -18.12% -8.30% -0.31%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 779
Avg. Yearly Returns
$8,602
Cummulative Returns
$137,625
Max Intra-Mo. DD(loss)
-$7,658
Max Monthly DD(Loss)
-$2,730
Max Yearly DD(Loss)
-$7,188
Maxx DD(Loss) All Periods
-$8,610
YTD Equity Low
-$1,958
Risk Class L/M/H
TBD
Sys Style
Sys Type
Short Term
Greatest Up Month
$15,075
Greatest Down Month
-$2,730
Asset Class
Futures
Release Date
05/2004
Developer
Miles Dunbar
System Price
Max MoGain/Max MoDD
2.10
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$15,075
Max Yearly Gain
$52,965
Standard Deviation YTD
$5,549
Standard Deviation(Life)
$2,198
YTD Equity Peak
$ 0
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.