Detailed: Performance Report - Hypothetical
Trading System: Nextreme - Interest
Developer: Advanz Team
Portfolio Size: $18,000
Program Overview:
Nextreme Interest is a proprietary day trading system designed for the 10 Yr T-Notes and US Treasury Bonds. The general design is a hybrid of popular family of day trading systems we 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
$27,931 11 9/2003 7/2004
$22,116 4 7/2002 10/2002
$16,422 6 5/2001 10/2001
$13,966 7 5/2000 11/2000
$12,619 5 1/2002 5/2002
$12,256 3 1/2000 3/2000
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-5,244 2 7/2003 8/2003
$-4,584 2 11/2001 12/2001
$-4,422 2 9/2005 10/2005
$-2,897 1 6/2002 6/2002
$-2,722 1 4/2001 4/2001
$-2,703 1 11/2002 11/2002
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-31.93% $-5,747 4/2003 8/2003 3 3
-31.86% $-5,734 6/2005 10/2005 3 1 +
-25.47% $-4,584 10/2001 12/2001 2 4
-16.09% $-2,897 5/2002 6/2002 1 1
-15.12% $-2,722 3/2001 4/2001 1 2
-15.02% $-2,703 10/2002 11/2002 1 1
Hypothetical Performance Data
2005 (YTD)
$ 897
Rolling 12 Month
$4,044
Rolling 24 Month
$24,828
Rolling 36 Month
$35,969
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$1,983
Rolling 12 Month
$2,079
Rolling 24 Month
$1,969
Rolling 36 Month
$2,249
Maximum (YTD) Drawdown
-$5,734

Rolling 3

Sharpe Ratio
-2.87
Largest Run Up
$ 662
Largest Drawdown
-$4,422
Correlation to S&P 500
NA
Average Profitable Month
$ 662
Average Unprofitable Month
-$2,211
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
1.75
Largest Run Up
$5,172
Largest Drawdown
-$5,734
Correlation to S&P 500
0.0658
Average Profitable Month
$1,667
Average Unprofitable Month
-$2,323
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 24

Sharpe Ratio
12.31
Largest Run Up
$6,337
Largest Drawdown
-$5,734
Correlation to S&P 500
0.1790
Average Profitable Month
$2,014
Average Unprofitable Month
-$1,903
% of Profitable Months
75.00
% of Unprofitable Months
25.00

Rolling 36

Sharpe Ratio
15.61
Largest Run Up
$27,931
Largest Drawdown
-$5,747
Correlation to S&P 500
0.3468
Average Profitable Month
$2,001
Average Unprofitable Month
-$2,007
% of Profitable Months
75.00
% of Unprofitable Months
25.00

All Data

Sharpe Ratio
39.95
Largest Run Up
$27,931
Largest Drawdown
-$5,747
Correlation to S&P 500
-0.2462
Average Profitable Month
$2,507
Average Unprofitable Month
-$2,075
% of Profitable Months
77.46
% of Unprofitable Months
22.54
Benchmarks Growth of $1000 since 1/2000
Benchmarks Growth of $1000 since 1/2000
Name
Vami
Correlation
Nextreme - Interest
6,816
3 Month Libor
1,164
0.1949
Barclay Commodity
1,335
0.4012
Barclay Systematic
1,346
0.4259
Barra S&P 500
980
-0.2462
CSFB Managed Futures
1,465
0.4882
Lehman Aggregate Bonds
1,381
0.4290
ML 90 Day T-Bill
1,162
0.2003
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   3.68% -8.79% -28.18% 4.98% 52.87% 126.98% 177.69% 361.69% 448.32%
  Count   71 69 66 60 54 48 36 24 12
  Percent Profitable   77.46% 84.06% 90.91% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
  Average   8.19% 23.42% 48.14% 101.04% 156.45% 210.62% 315.71% 421.23% 505.18%
  Average Gain   13.93% 30.91% 55.15% 101.04% 156.45% 210.62% 315.71% 421.23% 505.18%
  Average Loss   -11.53% -16.08% -21.99% 0% 0% 0% 0% 0% 0%
  Best Period   42.69% 89.05% 129.99% 184.00% 242.64% 273.85% 391.56% 455.66% 579.73%
  Worst Period   -18.33% -25.61% -28.18% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,475
Avg. Yearly Returns
$17,449
Cummulative Returns
$104,694
Max Intra-Mo. DD(loss)
-$8,144
Max Monthly DD(Loss)
-$3,300
Max Yearly DD(Loss)
-$5,747
Maxx DD(Loss) All Periods
-$5,747
YTD Equity Low
-$ 328
Risk Class L/M/H
TBD
Sys Style
Interest Rates
Sys Type
Short Term
Greatest Up Month
$7,684
Greatest Down Month
-$3,300
Asset Class
Futures
Release Date
09/2004
Developer
Advanz Team
System Price
Price based on Account Size
Max MoGain/Max MoDD
1.34
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$7,684
Max Yearly Gain
$33,119
Standard Deviation YTD
$1,983
Standard Deviation(Life)
$2,548
YTD Equity Peak
$6,703
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of 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.