Detailed: Performance Report - Hypothetical
Trading System: Millennium
Developer: Randy Stuckey
Portfolio Size: $348,000
Program Overview:
Millennium 2000 is our newest system. It is a pure reversal system so its always in the market. The rules have been distilled down to the very core of market action.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
7 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$94,656 7 9/1996 3/1997
$75,430 5 2/1995 6/1995
$62,991 3 9/2004 11/2004
$56,138 7 1/1999 7/1999
$51,826 3 11/1995 1/1996
$45,166 2 4/2003 5/2003
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-35,664 2 10/2002 11/2002
$-35,322 1 8/2004 8/2004
$-35,255 4 1/2004 4/2004
$-34,157 2 2/1996 3/1996
$-33,898 2 11/2001 12/2001
$-33,810 3 12/2004 2/2005
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.31% $-115,905 10/2001 8/2004 9 15 +
-9.82% $-34,157 1/1996 3/1996 2 6
-4.74% $-16,508 8/2000 9/2000 1 3
-3.93% $-13,660 2/2000 3/2000 1 5
-3.69% $-12,845 3/2001 4/2001 1 4
-3.46% $-12,029 7/1999 10/1999 2 1
Hypothetical Performance Data
2005 (YTD)
$9,484
Rolling 12 Month
$2,054
Rolling 24 Month
$16,262
Rolling 36 Month
$40,582
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$15,238
Rolling 12 Month
$14,768
Rolling 24 Month
$16,200
Rolling 36 Month
$16,457
Maximum (YTD) Drawdown
-$44,814

Rolling 3

Sharpe Ratio
0.62
Largest Run Up
$35,364
Largest Drawdown
-$21,019
Correlation to S&P 500
NA
Average Profitable Month
$17,682
Average Unprofitable Month
-$21,019
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-0.39
Largest Run Up
$39,953
Largest Drawdown
-$52,244
Correlation to S&P 500
0.2374
Average Profitable Month
$11,146
Average Unprofitable Month
-$15,194
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
0.30
Largest Run Up
$62,991
Largest Drawdown
-$64,342
Correlation to S&P 500
0.7433
Average Profitable Month
$13,632
Average Unprofitable Month
-$14,632
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
1.47
Largest Run Up
$62,991
Largest Drawdown
-$74,836
Correlation to S&P 500
0.7044
Average Profitable Month
$12,534
Average Unprofitable Month
-$16,797
% of Profitable Months
61.11
% of Unprofitable Months
38.89

All Data

Sharpe Ratio
23.33
Largest Run Up
$94,656
Largest Drawdown
-$115,905
Correlation to S&P 500
0.8729
Average Profitable Month
$12,001
Average Unprofitable Month
-$11,403
% of Profitable Months
63.31
% of Unprofitable Months
35.97
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Millennium
2,396
3 Month Libor
1,475
0.5856
Barclay Commodity
1,769
0.6508
Barclay Systematic
1,804
0.6882
Barra S&P 500
2,340
0.8729
CSFB Managed Futures
1,778
0.5590
Lehman Aggregate Bonds
1,766
0.6669
ML 90 Day T-Bill
1,454
0.5740
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   7.09% 10.16% 7.42% 2.73% 13.36% 0.20% 9.84% -4.90% -0.36%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   63.31% 71.53% 77.61% 78.13% 73.77% 72.41% 76.92% 78.26% 88.75%
  Average   1.00% 2.95% 5.82% 11.32% 16.74% 22.16% 33.97% 45.60% 58.62%
  Average Gain   3.45% 5.98% 9.56% 16.91% 25.66% 34.08% 47.58% 61.02% 66.40%
  Average Loss   -3.21% -4.68% -7.14% -8.67% -8.35% -9.13% -11.39% -9.93% -2.81%
  Best Period   13.52% 19.52% 21.90% 40.16% 46.10% 55.55% 77.54% 97.12% 119.88%
  Worst Period   -10.15% -10.88% -17.17% -23.22% -22.63% -20.22% -25.92% -21.73% -7.31%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$3,496
Avg. Yearly Returns
$40,493
Cummulative Returns
$485,916
Max Intra-Mo. DD(loss)
-$89,786
Max Monthly DD(Loss)
-$35,322
Max Yearly DD(Loss)
-$64,394
Maxx DD(Loss) All Periods
-$115,905
YTD Equity Low
-$50,749
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$47,054
Greatest Down Month
-$35,322
Asset Class
Futures
Release Date
05/2002
Developer
Randy Stuckey
System Price
$1475
Max MoGain/Max MoDD
0.73
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$47,054
Max Yearly Gain
$113,665
Standard Deviation YTD
$15,238
Standard Deviation(Life)
$14,052
YTD Equity Peak
$9,484
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No

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.