Detailed: Performance Report - Hypothetical
Trading System: Capstone Grains
Developer: David Bean
Portfolio Size: $15,000
Program Overview:
Capstone uses price and volume patterns to day-trade the grain futures. Capstone can take several trades a day but averages slightly less than 1 trade per day, uses a $250 stop loss per contract and exits toward the close of the day.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$15,915 2 2/2008 3/2008
$14,540 9 4/2007 12/2007
$8,893 5 5/2008 9/2008
$4,385 2 10/2006 11/2006
$2,503 2 1/2007 2/2007
$1,965 1 8/2006 8/2006
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-3,198 1 1/2008 1/2008
$-2,193 1 4/2008 4/2008
$-2,115 1 10/2008 10/2008
$-1,860 1 12/2006 12/2006
$-643 1 9/2006 9/2006
$-288 1 3/2007 3/2007
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-21.32% $-3,198 12/2007 1/2008 1 1
-14.62% $-2,193 3/2008 4/2008 1 3
-14.10% $-2,115 9/2008 10/2008 1 2
-12.40% $-1,860 11/2006 12/2006 1 1
-4.28% $-643 8/2006 9/2006 1 1
-1.92% $-288 2/2007 3/2007 1 1
Hypothetical Performance Data
2009 (YTD)
$ 465
Rolling 12 Month
$24,418
Rolling 24 Month
$35,512
Rolling 36 Month
$41,822
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$3,259
Rolling 24 Month
$2,607
Rolling 36 Month
$2,455
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
2.75
Largest Run Up
$3,918
Largest Drawdown
$ 0
Correlation to S&P 500
NA
Average Profitable Month
$1,306
Average Unprofitable Month
$ 0
% of Profitable Months
100.00
% of Unprofitable Months
0.00

Rolling 12

Sharpe Ratio
7.30
Largest Run Up
$8,892
Largest Drawdown
-$2,192
Correlation to S&P 500
-0.0761
Average Profitable Month
$2,872
Average Unprofitable Month
-$2,154
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 24

Sharpe Ratio
13.16
Largest Run Up
$15,915
Largest Drawdown
-$3,198
Correlation to S&P 500
0.0350
Average Profitable Month
$2,165
Average Unprofitable Month
-$1,948
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 36

Sharpe Ratio
16.55
Largest Run Up
$15,915
Largest Drawdown
-$3,198
Correlation to S&P 500
0.2620
Average Profitable Month
$2,172
Average Unprofitable Month
-$1,716
% of Profitable Months
80.00
% of Unprofitable Months
20.00

All Data

Sharpe Ratio
16.55
Largest Run Up
$15,915
Largest Drawdown
-$3,198
Correlation to S&P 500
0.2620
Average Profitable Month
$2,172
Average Unprofitable Month
-$1,716
% of Profitable Months
80.00
% of Unprofitable Months
20.00
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 8/2006
Benchmarks Growth of $1000 since 8/2006
Name
Vami
Correlation
Capstone Grains
3,788
3 Month Libor
1,083
0.1096
Barclay Commodity
1,178
0.1514
Barclay Systematic
1,184
0.1505
Barra S&P 500
1,111
0.2620
CSFB Managed Futures
1,230
0.2331
Lehman Aggregate Bonds
1,134
0.1638
ML 90 Day T-Bill
1,080
0.1071
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   3.10% 24.92% 26.50% 123.70% 199.36% 236.48% 0.00% 0.00% 0.00%
  Count   30 28 25 19 13 7
  Percent Profitable   80.00% 96.43% 100.00% 100.00% 100.00% 100.00% 0% 0% 0%
  Average   9.29% 28.13% 58.21% 129.65% 195.30% 237.88% 0% 0% 0%
  Average Gain   14.48% 29.25% 58.21% 129.65% 195.30% 237.88% 0% 0% 0%
  Average Loss   -11.44% -2.29% 0% 0% 0% 0% 0% 0% 0%
  Best Period   67.02% 91.48% 131.38% 181.72% 226.38% 257.99% 0.00% 0.00% 0.00%
  Worst Period   -21.32% -2.29% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,394
Avg. Yearly Returns
$10,456
Cummulative Returns
$41,822
Max Intra-Mo. DD(loss)
-$4,172
Max Monthly DD(Loss)
-$3,198
Max Yearly DD(Loss)
-$2,192
Maxx DD(Loss) All Periods
-$3,198
YTD Equity Low
$ 0
Risk Class L/M/H
TBD
Sys Style
Sys Type
Short Term
Greatest Up Month
$10,052
Greatest Down Month
-$3,198
Asset Class
Futures
Release Date
09/2006
Developer
David Bean
System Price
Call 800-894-8194
Max MoGain/Max MoDD
4.58
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$10,052
Max Yearly Gain
$19,498
Standard Deviation YTD
$3,183
Standard Deviation(Life)
$2,455
YTD Equity Peak
$ 465
Assumptions
Commissions / Slippage
$35 RT
Data
TS8 - Intraday
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $35 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.