Detailed: Performance Report - Hypothetical
Trading System: Delphi-35
Developer: Lincoln Fiske
Portfolio Size: $30,000
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
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$44,365 7 6/2008 12/2008
$16,115 4 9/2007 12/2007
$11,830 2 6/2006 7/2006
$10,455 4 11/2006 2/2007
$8,955 3 5/2007 7/2007
$5,125 6 1/2005 6/2005
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-3,695 2 7/2005 8/2005
$-3,675 2 1/2008 2/2008
$-3,595 1 12/2005 12/2005
$-3,455 1 10/2006 10/2006
$-3,395 2 3/2007 4/2007
$-1,510 1 5/2006 5/2006
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-12.80% $-3,840 6/2005 12/2005 3 3
-12.25% $-3,675 12/2007 2/2008 2 4
-11.52% $-3,455 9/2006 10/2006 1 1
-11.32% $-3,395 2/2007 4/2007 2 2
-5.03% $-1,510 4/2006 5/2006 1 1
-2.63% $-790 7/2007 8/2007 1 3
Hypothetical Performance Data
2009 (YTD)
-$ 255
Rolling 12 Month
$44,140
Rolling 24 Month
$65,055
Rolling 36 Month
$85,435
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$4,418
Rolling 24 Month
$4,289
Rolling 36 Month
$3,903
Maximum (YTD) Drawdown
-$ 255

Rolling 3

Sharpe Ratio
2.77
Largest Run Up
$17,125
Largest Drawdown
-$ 255
Correlation to S&P 500
NA
Average Profitable Month
$8,562
Average Unprofitable Month
-$ 255
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
9.71
Largest Run Up
$44,365
Largest Drawdown
-$1,145
Correlation to S&P 500
-0.0894
Average Profitable Month
$5,186
Average Unprofitable Month
-$ 845
% of Profitable Months
75.00
% of Unprofitable Months
25.00

Rolling 24

Sharpe Ratio
14.52
Largest Run Up
$44,365
Largest Drawdown
-$3,675
Correlation to S&P 500
0.0242
Average Profitable Month
$4,371
Average Unprofitable Month
-$1,323
% of Profitable Months
70.83
% of Unprofitable Months
29.17

Rolling 36

Sharpe Ratio
20.90
Largest Run Up
$44,365
Largest Drawdown
-$3,675
Correlation to S&P 500
0.2718
Average Profitable Month
$4,015
Average Unprofitable Month
-$1,359
% of Profitable Months
69.44
% of Unprofitable Months
30.56

All Data

Sharpe Ratio
23.22
Largest Run Up
$44,365
Largest Drawdown
-$3,840
Correlation to S&P 500
0.3425
Average Profitable Month
$3,139
Average Unprofitable Month
-$1,589
% of Profitable Months
71.43
% of Unprofitable Months
28.57
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 1/2005
Benchmarks Growth of $1000 since 1/2005
Name
Vami
Correlation
Delphi-35
3,921
3 Month Libor
1,147
0.2020
Barclay Commodity
1,219
0.1996
Barclay Systematic
1,213
0.1802
Barra S&P 500
1,195
0.3425
CSFB Managed Futures
1,233
0.2090
Lehman Aggregate Bonds
1,165
0.1898
ML 90 Day T-Bill
1,136
0.1869
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   -0.85% 9.85% 114.21% 150.91% 192.38% 208.29% 285.88% 285.27% 0.00%
  Count   49 47 44 38 32 26 14 2
  Percent Profitable   71.43% 76.60% 88.64% 97.37% 100.00% 100.00% 100.00% 100.00% 0%
  Average   5.96% 18.34% 35.30% 64.08% 97.42% 126.14% 193.39% 287.93% 0%
  Average Gain   10.46% 25.72% 40.41% 65.82% 97.42% 126.14% 193.39% 287.93% 0%
  Average Loss   -5.30% -5.83% -4.57% -0.61% 0% 0% 0% 0% 0%
  Best Period   46.38% 104.36% 137.18% 150.91% 204.02% 222.41% 288.65% 290.60% 0.00%
  Worst Period   -11.98% -11.70% -12.80% -0.61% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,788
Avg. Yearly Returns
$17,575
Cummulative Returns
$87,875
Max Intra-Mo. DD(loss)
-$7,965
Max Monthly DD(Loss)
-$3,595
Max Yearly DD(Loss)
-$3,840
Maxx DD(Loss) All Periods
-$3,840
YTD Equity Low
-$ 620
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$13,915
Greatest Down Month
-$3,595
Asset Class
Futures
Release Date
09/2005
Developer
Lincoln Fiske
System Price
$50/mo Lease per index
Max MoGain/Max MoDD
3.62
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$13,915
Max Yearly Gain
$45,070
Standard Deviation YTD
$4,358
Standard Deviation(Life)
$3,598
YTD Equity Peak
$ 0
Assumptions
Commissions / Slippage
$50 RT
Data
TS8 (Intra-Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
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.