Detailed: Performance Report - Hypothetical
Trading System: Pound 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 British Metrics capitalizes on the short, intermediate and long term characteristics of the British Pound. The composition of the British Metrics is derived from the GnosTICK, FX-23++ and the Einstein sTp trading systems.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 1 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-10,040 | 1 | 6/2005 | 6/2005 |
| $-7,475 | 2 | 3/2005 | 4/2005 |
| $-6,445 | 1 | 4/2004 | 4/2004 |
| $-4,020 | 1 | 10/2005 | 10/2005 |
| $-2,125 | 1 | 12/2004 | 12/2004 |
| $-395 | 1 | 6/2004 | 6/2004 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -20.08% | $-10,040 | 5/2005 | 6/2005 | 1 | 5 + |
| -14.95% | $-7,475 | 2/2005 | 4/2005 | 2 | 1 |
| -12.89% | $-6,445 | 3/2004 | 4/2004 | 1 | 1 |
| -4.25% | $-2,125 | 11/2004 | 12/2004 | 1 | 1 |
| -0.79% | $-395 | 5/2004 | 6/2004 | 1 | 1 |
Hypothetical Performance Data
2005 (YTD)
$8,410
Rolling 12 Month
$6,285
Rolling 24 Month
$51,410
Rolling 36 Month
$51,410
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$5,570
Rolling 12 Month
$5,392
Rolling 24 Month
$5,735
Rolling 36 Month
$5,635
Maximum (YTD) Drawdown
-$10,040
Rolling 3
Sharpe Ratio
0.85
Largest Run Up
$3,060
Largest Drawdown
-$4,020
Correlation to S&P 500
NA
Average Profitable Month
$3,762
Average Unprofitable Month
-$4,020
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
0.96
Largest Run Up
$10,065
Largest Drawdown
-$10,040
Correlation to S&P 500
0.1253
Average Profitable Month
$4,278
Average Unprofitable Month
-$4,732
% of Profitable Months
58.33
% of Unprofitable Months
41.67
Rolling 24
Sharpe Ratio
8.70
Largest Run Up
$21,285
Largest Drawdown
-$10,040
Correlation to S&P 500
0.2112
Average Profitable Month
$5,119
Average Unprofitable Month
-$4,357
% of Profitable Months
66.67
% of Unprofitable Months
29.17
Rolling 36
Sharpe Ratio
8.86
Largest Run Up
$21,285
Largest Drawdown
-$10,040
Correlation to S&P 500
0.2205
Average Profitable Month
$5,119
Average Unprofitable Month
-$4,357
% of Profitable Months
64.00
% of Unprofitable Months
28.00
All Data
Sharpe Ratio
8.86
Largest Run Up
$21,285
Largest Drawdown
-$10,040
Correlation to S&P 500
0.2205
Average Profitable Month
$5,119
Average Unprofitable Month
-$4,357
% of Profitable Months
64.00
% of Unprofitable Months
28.00
Benchmarks Growth of $1000 since 11/2003
Benchmarks Growth of $1000 since 11/2003
Name
Vami
Correlation
Pound Metrics
2,028
3 Month Libor
1,037
0.0399
Barclay Commodity
1,064
0.0780
Barclay Systematic
1,023
0.0094
Barra S&P 500
1,198
0.2205
CSFB Managed Futures
1,128
0.1306
Lehman Aggregate Bonds
1,061
0.1011
ML 90 Day T-Bill
1,030
0.0325
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 | 6.12% | -1.92% | 13.22% | 16.82% | 55.14% | 102.82% | 0.00% | 0.00% | 0.00% | |||
| Count | 25 | 23 | 20 | 14 | 8 | 2 | ||||||
| Percent Profitable | 64.00% | 78.26% | 85.00% | 100.00% | 100.00% | 100.00% | 0% | 0% | 0% | |||
| Average | 4.11% | 13.08% | 25.54% | 54.91% | 76.74% | 102.82% | 0% | 0% | 0% | |||
| Average Gain | 10.24% | 18.96% | 31.77% | 54.91% | 76.74% | 102.82% | 0% | 0% | 0% | |||
| Average Loss | -6.78% | -8.10% | -9.79% | 0% | 0% | 0% | 0% | 0% | 0% | |||
| Best Period | 27.61% | 40.64% | 53.01% | 101.51% | 109.68% | 102.82% | 0.00% | 0.00% | 0.00% | |||
| Worst Period | -20.08% | -13.87% | -12.19% | 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
$2,056
Avg. Yearly Returns
$17,137
Cummulative Returns
$51,410
Max Intra-Mo. DD(loss)
-$12,020
Max Monthly DD(Loss)
-$10,040
Max Yearly DD(Loss)
-$10,040
Maxx DD(Loss) All Periods
-$10,040
YTD Equity Low
-$ 20
Risk Class L/M/H
TBD
Sys Style
Forex
Sys Type
Short Term
Greatest Up Month
$13,805
Greatest Down Month
-$10,040
Asset Class
Forex
Release Date
04/2005
Developer
Advanz Team
System Price
$5200
Max MoGain/Max MoDD
1.38
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$13,805
Max Yearly Gain
$43,000
Standard Deviation YTD
$5,570
Standard Deviation(Life)
$5,635
YTD Equity Peak
$12,000
Assumptions
Commissions / Slippage
$70 RT
Data
TS8 (Intra-Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No