Detailed: Performance Report - Hypothetical
Trading System: Andromeda II
Developer: Peter Waite
Portfolio Size: $126,000
Program Overview:
Andromeda is a fully disclosed, totally mechanical, multi market, commodity futures trading systems. It is adaptable to several different and diversified portfolios of different sizes and risk levels.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
6 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$58,563 5 2/1995 6/1995
$57,242 5 5/2002 9/2002
$53,049 6 9/1996 2/1997
$45,809 4 11/1999 2/2000
$44,188 3 8/1998 10/1998
$42,935 5 8/2004 12/2004
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-37,250 7 5/2003 11/2003
$-18,497 4 4/2004 7/2004
$-17,988 1 10/1999 10/1999
$-16,625 4 1/2002 4/2002
$-15,670 2 10/2002 11/2002
$-15,486 1 11/2001 11/2001
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.31% $-41,976 2/2003 11/2003 7 13
-24.29% $-30,608 10/2001 4/2002 4 2
-14.77% $-18,616 12/2004 4/2005 3 6
-14.28% $-17,988 9/1999 10/1999 1 2
-12.44% $-15,670 9/2002 11/2002 2 3
-11.57% $-14,582 1/1996 2/1996 1 2
Hypothetical Performance Data
2005 (YTD)
$23,406
Rolling 12 Month
$26,716
Rolling 24 Month
$67,559
Rolling 36 Month
$51,523
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$7,602
Rolling 12 Month
$7,286
Rolling 24 Month
$6,998
Rolling 36 Month
$7,516
Maximum (YTD) Drawdown
-$18,616

Rolling 3

Sharpe Ratio
5.35
Largest Run Up
$30,906
Largest Drawdown
$ 0
Correlation to S&P 500
NA
Average Profitable Month
$10,302
Average Unprofitable Month
$ 0
% of Profitable Months
100.00
% of Unprofitable Months
0.00

Rolling 12

Sharpe Ratio
3.28
Largest Run Up
$30,906
Largest Drawdown
-$18,616
Correlation to S&P 500
0.2214
Average Profitable Month
$6,345
Average Unprofitable Month
-$6,012
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 24

Sharpe Ratio
9.07
Largest Run Up
$42,935
Largest Drawdown
-$18,616
Correlation to S&P 500
0.4256
Average Profitable Month
$6,881
Average Unprofitable Month
-$5,318
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 36

Sharpe Ratio
6.07
Largest Run Up
$42,935
Largest Drawdown
-$41,976
Correlation to S&P 500
0.4996
Average Profitable Month
$6,965
Average Unprofitable Month
-$5,486
% of Profitable Months
55.56
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
39.25
Largest Run Up
$58,563
Largest Drawdown
-$41,976
Correlation to S&P 500
0.7967
Average Profitable Month
$7,946
Average Unprofitable Month
-$4,983
% of Profitable Months
58.99
% of Unprofitable Months
38.13
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
Andromeda II
4,075
3 Month Libor
1,475
0.5914
Barclay Commodity
1,769
0.6653
Barclay Systematic
1,804
0.6999
Barra S&P 500
2,340
0.7967
CSFB Managed Futures
1,778
0.6183
Lehman Aggregate Bonds
1,766
0.6944
ML 90 Day T-Bill
1,454
0.5812
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   14.47% 19.50% 21.38% 18.59% 52.16% 48.89% 31.86% 60.71% 62.75%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   58.99% 67.15% 79.85% 86.72% 90.98% 92.24% 100.00% 100.00% 100.00%
  Average   2.21% 6.63% 13.20% 26.44% 39.14% 52.33% 80.74% 110.40% 141.93%
  Average Gain   6.31% 12.68% 18.56% 32.49% 44.09% 57.30% 80.74% 110.40% 141.93%
  Average Loss   -3.68% -5.74% -8.04% -13.07% -10.80% -6.87% 0% 0% 0%
  Best Period   25.03% 37.66% 44.53% 63.28% 96.64% 105.19% 132.30% 174.75% 219.31%
  Worst Period   -14.28% -16.31% -29.45% -21.96% -24.81% -14.05% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$2,787
Avg. Yearly Returns
$32,287
Cummulative Returns
$387,444
Max Intra-Mo. DD(loss)
-$53,345
Max Monthly DD(Loss)
-$17,988
Max Yearly DD(Loss)
-$41,976
Maxx DD(Loss) All Periods
-$41,976
YTD Equity Low
-$20,904
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$31,544
Greatest Down Month
-$17,988
Asset Class
Futures
Release Date
01/2003
Developer
Peter Waite
System Price
$995 combined disount available with Pegasus system.
Max MoGain/Max MoDD
0.75
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$31,544
Max Yearly Gain
$62,992
Standard Deviation YTD
$7,602
Standard Deviation(Life)
$8,412
YTD Equity Peak
$23,616
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.