Detailed: Performance Report - Hypothetical
Trading System: Aberration
Developer: Keith Fitschen
Portfolio Size: $139,000
Program Overview:
The Aberration trading system was developed in 1986 to trade a basket of commodities. It trades across all eight commodity groups: grains, meats, softs, metals, petroleum products, currencies, financials, and stock indices using the exact same rules and parameter values for each market group.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-25,945 | 5 | 1/2005 | 5/2005 |
| $-25,194 | 4 | 6/2003 | 9/2003 |
| $-20,743 | 3 | 3/2000 | 5/2000 |
| $-16,520 | 3 | 11/2001 | 1/2002 |
| $-16,392 | 3 | 4/2004 | 6/2004 |
| $-15,277 | 6 | 2/2007 | 7/2007 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.31% | $-46,305 | 9/2002 | 8/2005 | 12 | 6 |
| -20.45% | $-28,431 | 4/2006 | 7/2007 | 12 | 6 |
| -14.92% | $-20,743 | 2/2000 | 5/2000 | 3 | 10 |
| -13.22% | $-18,375 | 10/2001 | 4/2002 | 4 | 3 |
| -10.85% | $-15,081 | 2/2008 | 7/2008 | 4 | 3 |
| -8.82% | $-12,255 | 4/1997 | 6/1997 | 2 | 4 |
Hypothetical Performance Data
2009 (YTD)
$1,620
Rolling 12 Month
$37,307
Rolling 24 Month
$54,265
Rolling 36 Month
$60,016
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$9,965
Rolling 24 Month
$8,307
Rolling 36 Month
$7,363
Maximum (YTD) Drawdown
$ 0
Rolling 3
Sharpe Ratio
0.64
Largest Run Up
$1,620
Largest Drawdown
-$2,641
Correlation to S&P 500
NA
Average Profitable Month
$2,458
Average Unprofitable Month
-$2,641
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
3.16
Largest Run Up
$22,732
Largest Drawdown
-$15,081
Correlation to S&P 500
-0.3049
Average Profitable Month
$8,667
Average Unprofitable Month
-$4,672
% of Profitable Months
58.33
% of Unprofitable Months
41.67
Rolling 24
Sharpe Ratio
4.99
Largest Run Up
$53,955
Largest Drawdown
-$15,277
Correlation to S&P 500
0.0838
Average Profitable Month
$8,006
Average Unprofitable Month
-$3,484
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 36
Sharpe Ratio
5.73
Largest Run Up
$53,955
Largest Drawdown
-$28,431
Correlation to S&P 500
0.4706
Average Profitable Month
$6,931
Average Unprofitable Month
-$3,043
% of Profitable Months
47.22
% of Unprofitable Months
52.78
All Data
Sharpe Ratio
28.82
Largest Run Up
$53,955
Largest Drawdown
-$46,305
Correlation to S&P 500
0.9136
Average Profitable Month
$5,081
Average Unprofitable Month
-$4,085
% of Profitable Months
59.32
% of Unprofitable Months
38.42
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Aberration
2,840
3 Month Libor
1,603
0.6003
Barclay Commodity
1,988
0.6954
Barclay Systematic
2,026
0.7225
Barra S&P 500
2,505
0.9136
CSFB Managed Futures
2,009
0.6519
Lehman Aggregate Bonds
1,926
0.7201
ML 90 Day T-Bill
1,576
0.5879
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 | 1.17% | -0.73% | 14.19% | 4.78% | 48.47% | 39.84% | 39.01% | 53.67% | 52.17% | |||
| Count | 177 | 175 | 172 | 166 | 160 | 154 | 142 | 130 | 118 | |||
| Percent Profitable | 59.32% | 61.71% | 75.58% | 78.31% | 81.25% | 85.06% | 90.85% | 95.38% | 95.76% | |||
| Average | 1.04% | 3.15% | 6.34% | 12.38% | 17.76% | 22.64% | 33.20% | 42.13% | 51.73% | |||
| Average Gain | 3.66% | 7.87% | 11.02% | 18.59% | 24.20% | 28.64% | 37.99% | 44.66% | 54.17% | |||
| Average Loss | -2.78% | -4.47% | -8.14% | -10.03% | -10.15% | -11.54% | -14.37% | -10.13% | -3.57% | |||
| Best Period | 22.07% | 34.55% | 43.69% | 41.96% | 50.05% | 50.51% | 67.54% | 91.35% | 105.77% | |||
| Worst Period | -9.82% | -16.57% | -19.07% | -21.26% | -20.62% | -22.50% | -32.21% | -23.41% | -7.94% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$1,445
Avg. Yearly Returns
$15,859
Cummulative Returns
$253,741
Max Intra-Mo. DD(loss)
-$36,760
Max Monthly DD(Loss)
-$13,648
Max Yearly DD(Loss)
-$30,545
Maxx DD(Loss) All Periods
-$46,305
YTD Equity Low
-$ 731
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$30,677
Greatest Down Month
-$13,648
Asset Class
Futures
Release Date
09/1993
Developer
Keith Fitschen
System Price
$1795
Max MoGain/Max MoDD
1.00
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$30,677
Max Yearly Gain
$56,670
Standard Deviation YTD
$5,741
Standard Deviation(Life)
$6,097
YTD Equity Peak
$1,922
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No