Detailed: Performance Report - Hypothetical
Trading System: Stat
Developer: Randy Stuckey
Portfolio Size: $275,000
Program Overview:
According to the developer of the Stat system, �the worldwide productivity increase has in large part been due to controlling processes through the use of Statistical Process Control (SPC)�. The Stat program is a commodity trading system that uses this SPC technique to provide trading signals for trading the commodity markets. In the developers opinion, �the reason many systems use similar approaches and have similar problems is because they assume commodity prices are "normal"�. Other trading systems try to take advantage of the probability characteristics of a normal distribution. Other systems assume that they will be successful because prices fit a bell shaped curve or normal frequency distribution.
The way some other systems operate is by using a moving average crossover or a variation of this approach to generate trading signal. They also usually tack on a couple of standard deviation on the Bollinger bands to try to keep from taking too many false trades. The STAT system follows a principal that commodity prices do not form normal distributions. STAT does not follow what other systems key off to generate its trading signals. It uses it�s own special techniques to generate a normal probability distribution out of market prices. Then STAT uses the well-developed SPC concept to take its trades.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-51,519 | 4 | 11/2004 | 2/2005 |
| $-50,019 | 2 | 9/2005 | 10/2005 |
| $-45,367 | 3 | 9/2003 | 11/2003 |
| $-29,146 | 2 | 6/2003 | 7/2003 |
| $-28,702 | 2 | 10/2002 | 11/2002 |
| $-28,360 | 1 | 3/2003 | 3/2003 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.31% | $-91,613 | 2/2003 | 10/2005 | 8 | 1 + |
| -10.44% | $-28,702 | 9/2002 | 11/2002 | 2 | 3 |
| -8.41% | $-23,132 | 10/2001 | 5/2002 | 7 | 1 |
| -7.95% | $-21,873 | 2/2000 | 3/2000 | 1 | 4 |
| -7.65% | $-21,051 | 10/1998 | 11/1998 | 1 | 3 |
| -7.43% | $-20,431 | 1/2001 | 2/2001 | 1 | 3 |
Hypothetical Performance Data
2005 (YTD)
-$36,306
Rolling 12 Month
-$37,373
Rolling 24 Month
$9,134
Rolling 36 Month
-$18,073
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$22,822
Rolling 12 Month
$21,859
Rolling 24 Month
$17,504
Rolling 36 Month
$17,220
Maximum (YTD) Drawdown
-$63,258
Rolling 3
Sharpe Ratio
-1.02
Largest Run Up
$26,952
Largest Drawdown
-$50,019
Correlation to S&P 500
NA
Average Profitable Month
$26,952
Average Unprofitable Month
-$25,010
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 12
Sharpe Ratio
-1.99
Largest Run Up
$38,021
Largest Drawdown
-$64,325
Correlation to S&P 500
0.1011
Average Profitable Month
$18,055
Average Unprofitable Month
-$18,235
% of Profitable Months
41.67
% of Unprofitable Months
58.33
Rolling 24
Sharpe Ratio
0.01
Largest Run Up
$38,021
Largest Drawdown
-$65,951
Correlation to S&P 500
0.3632
Average Profitable Month
$14,201
Average Unprofitable Month
-$13,440
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 36
Sharpe Ratio
-1.80
Largest Run Up
$38,021
Largest Drawdown
-$91,613
Correlation to S&P 500
0.2521
Average Profitable Month
$13,671
Average Unprofitable Month
-$14,675
% of Profitable Months
50.00
% of Unprofitable Months
50.00
All Data
Sharpe Ratio
18.90
Largest Run Up
$85,876
Largest Drawdown
-$91,613
Correlation to S&P 500
0.7641
Average Profitable Month
$10,760
Average Unprofitable Month
-$9,806
% of Profitable Months
58.99
% of Unprofitable Months
37.41
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Stat
2,354
3 Month Libor
1,475
0.5947
Barclay Commodity
1,769
0.6577
Barclay Systematic
1,804
0.6936
Barra S&P 500
2,340
0.7641
CSFB Managed Futures
1,778
0.6166
Lehman Aggregate Bonds
1,766
0.6966
ML 90 Day T-Bill
1,454
0.5852
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 | 9.80% | 0.89% | 5.31% | -13.19% | -6.31% | -4.61% | -12.48% | -5.08% | 8.64% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 58.99% | 63.50% | 74.63% | 80.47% | 77.87% | 83.62% | 88.46% | 91.30% | 100.00% | |||
| Average | 0.97% | 2.89% | 6.01% | 12.33% | 19.51% | 27.06% | 43.53% | 62.48% | 83.31% | |||
| Average Gain | 3.91% | 7.04% | 10.41% | 17.87% | 27.10% | 34.58% | 50.66% | 69.07% | 83.31% | |||
| Average Loss | -3.25% | -4.32% | -6.93% | -10.50% | -7.19% | -11.37% | -11.18% | -6.76% | 0% | |||
| Best Period | 15.90% | 28.07% | 31.05% | 45.62% | 59.11% | 72.27% | 88.34% | 106.04% | 120.29% | |||
| Worst Period | -12.59% | -18.14% | -23.58% | -23.97% | -20.25% | -28.05% | -22.14% | -20.60% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$2,679
Avg. Yearly Returns
$31,033
Cummulative Returns
$372,401
Max Intra-Mo. DD(loss)
-$91,426
Max Monthly DD(Loss)
-$34,635
Max Yearly DD(Loss)
-$73,795
Maxx DD(Loss) All Periods
-$91,613
YTD Equity Low
-$69,871
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$43,715
Greatest Down Month
-$34,635
Asset Class
Futures
Release Date
05/2002
Developer
Randy Stuckey
System Price
$1475
Max MoGain/Max MoDD
0.59
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$43,715
Max Yearly Gain
$125,444
Standard Deviation YTD
$22,822
Standard Deviation(Life)
$13,096
YTD Equity Peak
$3,264
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No