Detailed: Performance Report - Hypothetical
Trading System: Netreme - Black Gold
Developer: Advanz Team
Portfolio Size: $26,000
Program Overview:
Nextreme Black Gold is our proprietary day trading system designed for the Gold and Crude Oil Markets. The general design is a hybrid of highly successful 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 capture extreme movements in the market.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
2 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$28,910 11 7/2003 5/2004
$18,906 7 2/2002 8/2002
$18,012 6 10/2002 3/2003
$14,855 5 2/2000 6/2000
$10,868 4 8/2000 11/2000
$9,809 4 6/2005 9/2005
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-8,415 1 10/2005 10/2005
$-8,090 3 3/2005 5/2005
$-4,943 4 10/2001 1/2002
$-4,158 2 2/2001 3/2001
$-2,526 1 6/2004 6/2004
$-2,403 1 12/2000 12/2000
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-32.37% $-8,415 9/2005 10/2005 1 1 +
-31.12% $-8,090 2/2005 5/2005 3 4
-22.89% $-5,953 11/2000 3/2001 3 6
-19.01% $-4,943 9/2001 1/2002 4 2
-9.71% $-2,526 5/2004 6/2004 1 1
-6.52% $-1,695 11/2004 1/2005 2 1
Hypothetical Performance Data
2005 (YTD)
-$2,392
Rolling 12 Month
-$3,802
Rolling 24 Month
$17,610
Rolling 36 Month
$48,350
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$3,540
Rolling 12 Month
$3,405
Rolling 24 Month
$2,973
Rolling 36 Month
$2,856
Maximum (YTD) Drawdown
-$8,415

Rolling 3

Sharpe Ratio
-0.71
Largest Run Up
$1,025
Largest Drawdown
-$8,415
Correlation to S&P 500
NA
Average Profitable Month
$2,439
Average Unprofitable Month
-$8,415
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-1.29
Largest Run Up
$9,808
Largest Drawdown
-$8,415
Correlation to S&P 500
0.0677
Average Profitable Month
$2,400
Average Unprofitable Month
-$3,033
% of Profitable Months
50.00
% of Unprofitable Months
50.00

Rolling 24

Sharpe Ratio
5.64
Largest Run Up
$9,808
Largest Drawdown
-$8,415
Correlation to S&P 500
0.2109
Average Profitable Month
$2,255
Average Unprofitable Month
-$2,961
% of Profitable Months
70.83
% of Unprofitable Months
29.17

Rolling 36

Sharpe Ratio
16.50
Largest Run Up
$28,910
Largest Drawdown
-$8,415
Correlation to S&P 500
0.3321
Average Profitable Month
$2,579
Average Unprofitable Month
-$2,365
% of Profitable Months
75.00
% of Unprofitable Months
25.00

All Data

Sharpe Ratio
33.76
Largest Run Up
$28,910
Largest Drawdown
-$8,415
Correlation to S&P 500
-0.1942
Average Profitable Month
$2,510
Average Unprofitable Month
-$1,935
% of Profitable Months
71.83
% of Unprofitable Months
26.76
Benchmarks Growth of $1000 since 1/2000
Benchmarks Growth of $1000 since 1/2000
Name
Vami
Correlation
Netreme - Black Gold
4,508
3 Month Libor
1,164
0.1888
Barclay Commodity
1,335
0.4090
Barclay Systematic
1,346
0.4314
Barra S&P 500
980
-0.1942
CSFB Managed Futures
1,465
0.5026
Lehman Aggregate Bonds
1,381
0.4246
ML 90 Day T-Bill
1,162
0.1936
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   3.94% -28.43% 7.46% -9.22% 9.38% 53.34% 183.31% 264.76% 264.04%
  Count   71 69 66 60 54 48 36 24 12
  Percent Profitable   71.83% 78.26% 84.85% 85.00% 98.15% 100.00% 100.00% 100.00% 100.00%
  Average   4.94% 14.46% 29.55% 60.24% 97.97% 139.93% 223.81% 279.86% 301.21%
  Average Gain   9.65% 21.74% 36.85% 72.32% 99.82% 139.93% 223.81% 279.86% 301.21%
  Average Loss   -7.07% -11.73% -11.30% -8.17% -0.33% 0% 0% 0% 0%
  Best Period   22.83% 51.79% 75.33% 129.97% 186.28% 218.24% 277.71% 306.12% 358.94%
  Worst Period   -32.37% -31.12% -23.93% -16.03% -0.33% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,285
Avg. Yearly Returns
$15,203
Cummulative Returns
$91,218
Max Intra-Mo. DD(loss)
-$11,484
Max Monthly DD(Loss)
-$8,415
Max Yearly DD(Loss)
-$8,415
Maxx DD(Loss) All Periods
-$8,415
YTD Equity Low
-$5,690
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Short Term
Greatest Up Month
$5,935
Greatest Down Month
-$8,415
Asset Class
Futures
Release Date
09/2004
Developer
Advanz Team
System Price
Price based on Account Size
Max MoGain/Max MoDD
0.71
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$5,935
Max Yearly Gain
$33,790
Standard Deviation YTD
$3,540
Standard Deviation(Life)
$2,578
YTD Equity Peak
$6,022
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.