Quick View: Performance Report - Hypothetical
Trading System: Delphi II
Developer: Lincoln Fiske
Portfolio Size: $21,000
Program Overview:
Delphi was designed with a goal of being a robust trend-following system that employs a dynamic channel breakout entry technique. Entries may occur on a price breakout or retracement from the main trend. In an effort to avoid over-curve fitting to one market, the system was developed using intraday data of the 5 main US indices and several non-US indices. End-of-day data was used to test a basket of 42 non-index commodities in every sector. At present, it is recommended for two indices, eRL and eMD (the Emini Russell and MidCap), since these two markets have the capacity to be excellent trending markets, and have good volatility and dollar-per-point values. It is also recommended for about 20 commodity markets.
Price: Contact Broker (800)894-8194
Portfolio Diversification
1 SectorsIndices(2)
Yearly Hypothetical Performance & Risk Analysis on a $21,000 Investment
 2008200920102011Average
Annual $ Returns$12,620$9,440$30,930$-1,840$12,788
Annual % Return60.10%44.95%147.29%-8.76%
Max DrawDown$-430$-8,350$-2,340$-5,760$-4,220
Hot Stats
Hypothetical Performance Data
2011 (YTD)
-$1,840
Rolling 12 Month
$5,560
Rolling 36 Month
$51,150
Avg. 12 Month $
$18,333
Avg. 36 Month $
$51,192
Time Window Analysis
      6 Month 12 Month 24 Month 36 Month 5 Years
  Latest   -27.39% 2.99% 123.58% 243.96% 0.00%
  Count   32 26 14 2
  Percent Profitable   81.25% 100.00% 100.00% 100.00% 0%
  Average   40.23% 87.30% 177.91% 243.77% 0%
  Average Gain   52.50% 87.30% 177.91% 243.77% 0%
  Average Loss   -12.91% 0% 0% 0% 0%
  Best Period   131.01% 147.30% 240.97% 243.96% 0.00%
  Worst Period   -27.39% 0.00% 0.00% 0.00% 0.00%
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Delphi II
3,436
Barra S&P 500
1,074
-0.0735
CSFB Managed Futures
994
-0.0022
ML 90 Day T-Bill
1,022
0.0371
Historical Yearly Averages Since 7/2008 (%)
 %Avg GainMax GainAvg RiskMax Risk
Delphi II53.32139.43-20.10-39.76
Barra S&P 5008.6834.44-10.82-33.53
CSFB Managed Futures6.0319.19-7.37-18.72
ML 90 Day T-Bill3.305.590.00-0.00
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Trading Systems Explained
Additional Risk Disclosures
The above trading system uses $50 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.