Detailed: Performance Report - Hypothetical
Trading System: Euro Metrics
Developer: Advanz Team
Portfolio Size: $50,000
Program Overview:
The financial markets are often unpredictable and difficult to forecast and the foreign currency exchange market is no exception. One of the most popular methods of trading is directional, often referred to as catching a trend, but what happens if the market participants are uncommitted to any direction? And the markets trade sideways? Most trending styles of trading usually lead to large draw-downs during range bound, side ways markets, resulting in large losses. And conversely, trading strategies designed to profit in sideways markets will under-perform in trending markets. To meet this challenge, the team at Advanz Analytics assembled the Metric Series. The logic behind each Metric system is to capture opportunities from various market conditions for a specific currency. The Euro Metrics is designed to capitalize on specific characteristics of the popular Euro currency. For example during key economic announcements, the Euro can spike up and/or down sharply in a matter of minutes. It can also be the catalyst for a new trend. The Euro Metrics is comprised of the Nextreme Euro, Einstein II and the FX-23 Plus trading systems.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-14,805 | 4 | 5/2005 | 8/2005 |
| $-2,670 | 2 | 12/2004 | 1/2005 |
| $-1,765 | 1 | 6/2004 | 6/2004 |
| $-1,270 | 1 | 6/2003 | 6/2003 |
| $-750 | 2 | 10/2002 | 11/2002 |
| $-340 | 1 | 1/2003 | 1/2003 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -5.34% | $-2,670 | 11/2004 | 1/2005 | 2 | 1 |
| -3.53% | $-1,765 | 5/2004 | 6/2004 | 1 | 1 |
| -2.54% | $-1,270 | 5/2003 | 6/2003 | 1 | 1 |
| -1.07% | $-535 | 10/2002 | 11/2002 | 1 | 1 |
| -0.68% | $-340 | 12/2002 | 1/2003 | 1 | 2 |
Hypothetical Performance Data
2005 (YTD)
-$2,145
Rolling 12 Month
-$3,885
Rolling 24 Month
$26,250
Rolling 36 Month
$51,745
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$5,597
Rolling 12 Month
$5,375
Rolling 24 Month
$4,482
Rolling 36 Month
$3,837
Maximum (YTD) Drawdown
-$20,080
Rolling 3
Sharpe Ratio
-1.14
Largest Run Up
$3,365
Largest Drawdown
-$8,640
Correlation to S&P 500
NA
Average Profitable Month
$3,365
Average Unprofitable Month
-$4,320
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 12
Sharpe Ratio
-0.93
Largest Run Up
$18,865
Largest Drawdown
-$20,080
Correlation to S&P 500
0.0683
Average Profitable Month
$5,558
Average Unprofitable Month
-$3,264
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 24
Sharpe Ratio
5.49
Largest Run Up
$18,865
Largest Drawdown
-$20,080
Correlation to S&P 500
0.2261
Average Profitable Month
$3,609
Average Unprofitable Month
-$3,098
% of Profitable Months
62.50
% of Unprofitable Months
37.50
Rolling 36
Sharpe Ratio
12.91
Largest Run Up
$31,690
Largest Drawdown
-$20,080
Correlation to S&P 500
0.3751
Average Profitable Month
$3,249
Average Unprofitable Month
-$2,681
% of Profitable Months
69.44
% of Unprofitable Months
30.56
All Data
Sharpe Ratio
12.99
Largest Run Up
$31,690
Largest Drawdown
-$20,080
Correlation to S&P 500
0.4843
Average Profitable Month
$3,249
Average Unprofitable Month
-$2,326
% of Profitable Months
65.79
% of Unprofitable Months
34.21
Benchmarks Growth of $1000 since 10/2002
Benchmarks Growth of $1000 since 10/2002
Name
Vami
Correlation
Euro Metrics
2,020
3 Month Libor
1,051
0.0545
Barclay Commodity
1,121
0.1657
Barclay Systematic
1,082
0.1235
Barra S&P 500
1,485
0.4843
CSFB Managed Futures
1,194
0.2152
Lehman Aggregate Bonds
1,105
0.1496
ML 90 Day T-Bill
1,044
0.0490
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 | -0.37% | -17.28% | -19.01% | -4.29% | 20.45% | 49.64% | 98.13% | 0.00% | 0.00% | |||
| Count | 38 | 36 | 33 | 27 | 21 | 15 | 3 | |||||
| Percent Profitable | 65.79% | 80.56% | 84.85% | 92.59% | 100.00% | 100.00% | 100.00% | 0% | 0% | |||
| Average | 2.68% | 8.46% | 19.27% | 45.89% | 71.25% | 94.01% | 101.47% | 0% | 0% | |||
| Average Gain | 6.50% | 13.98% | 26.59% | 50.05% | 71.25% | 94.01% | 101.47% | 0% | 0% | |||
| Average Loss | -4.65% | -14.41% | -21.71% | -6.03% | 0% | 0% | 0% | 0% | 0% | |||
| Best Period | 21.97% | 37.73% | 45.44% | 70.37% | 107.61% | 131.68% | 103.49% | 0.00% | 0.00% | |||
| Worst Period | -17.50% | -27.21% | -39.79% | -7.77% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$1,342
Avg. Yearly Returns
$12,749
Cummulative Returns
$50,995
Max Intra-Mo. DD(loss)
-$20,765
Max Monthly DD(Loss)
-$8,750
Max Yearly DD(Loss)
-$20,080
Maxx DD(Loss) All Periods
-$20,080
YTD Equity Low
-$2,765
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$10,985
Greatest Down Month
-$8,750
Asset Class
Forex
Release Date
04/2005
Developer
Advanz Team
System Price
$5200
Max MoGain/Max MoDD
0.55
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$10,985
Max Yearly Gain
$26,965
Standard Deviation YTD
$5,597
Standard Deviation(Life)
$3,757
YTD Equity Peak
$18,000
Assumptions
Commissions / Slippage
$75 RT
Data
TS8 (Intra-Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No