Detailed: Performance Report - Hypothetical
Trading System: Del Mar
Developer: Miles Dunbar
Portfolio Size: $75,000
Program Overview:
Del Mar is a short-term volatility breakout system designed with the goal of successfully trading the stock index futures. The volatile market environments and explosive moves offered by the index futures play best into the style and characteristics of the system.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$107,558 7 5/2008 11/2008
$77,755 6 10/2007 3/2008
$12,923 3 6/2007 8/2007
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-11,330 3 3/2007 5/2007
$-10,903 1 4/2008 4/2008
$-6,480 1 9/2007 9/2007
$-4,135 1 12/2008 12/2008
$0 0 12/2008 12/2008
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-15.08% $-11,308 3/2007 5/2007 2 3
-14.54% $-10,903 3/2008 4/2008 1 2
-8.64% $-6,480 8/2007 9/2007 1 1
-5.51% $-4,135 11/2008 12/2008 1 1 +
Hypothetical Performance Data
2009 (YTD)
$1,770
Rolling 12 Month
$123,692
Rolling 24 Month
$167,158
Rolling 36 Month
$167,158
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$14,311
Rolling 24 Month
$12,046
Rolling 36 Month
$11,881
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
0.29
Largest Run Up
$1,770
Largest Drawdown
-$4,135
Correlation to S&P 500
NA
Average Profitable Month
$2,741
Average Unprofitable Month
-$4,135
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
8.42
Largest Run Up
$107,558
Largest Drawdown
-$10,902
Correlation to S&P 500
-0.0757
Average Profitable Month
$13,873
Average Unprofitable Month
-$7,519
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 24

Sharpe Ratio
13.51
Largest Run Up
$107,558
Largest Drawdown
-$11,330
Correlation to S&P 500
0.0254
Average Profitable Month
$11,765
Average Unprofitable Month
-$5,475
% of Profitable Months
70.83
% of Unprofitable Months
25.00

Rolling 36

Sharpe Ratio
13.70
Largest Run Up
$107,558
Largest Drawdown
-$11,330
Correlation to S&P 500
0.0610
Average Profitable Month
$11,765
Average Unprofitable Month
-$5,475
% of Profitable Months
68.00
% of Unprofitable Months
24.00

All Data

Sharpe Ratio
13.70
Largest Run Up
$107,558
Largest Drawdown
-$11,330
Correlation to S&P 500
0.0610
Average Profitable Month
$11,765
Average Unprofitable Month
-$5,475
% of Profitable Months
68.00
% of Unprofitable Months
24.00
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 1/2007
Benchmarks Growth of $1000 since 1/2007
Name
Vami
Correlation
Del Mar
3,229
3 Month Libor
1,061
0.0939
Barclay Commodity
1,150
0.1487
Barclay Systematic
1,163
0.1640
Barra S&P 500
996
0.0610
CSFB Managed Futures
1,147
0.1528
Lehman Aggregate Bonds
1,087
0.1144
ML 90 Day T-Bill
1,059
0.0910
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   2.36% -3.15% 91.78% 150.01% 220.74% 222.86% 0.00% 0.00% 0.00%
  Count   25 23 20 14 8 2
  Percent Profitable   68.00% 78.26% 90.00% 100.00% 100.00% 100.00% 0% 0% 0%
  Average   8.91% 28.97% 64.64% 133.89% 192.76% 222.86% 0% 0% 0%
  Average Gain   15.69% 38.64% 72.33% 133.89% 192.76% 222.86% 0% 0% 0%
  Average Loss   -5.47% -5.85% -4.60% 0% 0% 0% 0% 0% 0%
  Best Period   65.79% 103.32% 138.45% 218.25% 241.12% 222.86% 0.00% 0.00% 0.00%
  Worst Period   -14.54% -15.11% -6.49% 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
$6,686
Avg. Yearly Returns
$55,206
Cummulative Returns
$165,618
Max Intra-Mo. DD(loss)
-$14,890
Max Monthly DD(Loss)
-$10,902
Max Yearly DD(Loss)
-$11,330
Maxx DD(Loss) All Periods
-$11,330
YTD Equity Low
-$2,955
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$49,345
Greatest Down Month
-$10,902
Asset Class
Futures
Release Date
05/2002
Developer
Miles Dunbar
System Price
See Broker
Max MoGain/Max MoDD
4.36
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$49,345
Max Yearly Gain
$157,270
Standard Deviation YTD
$14,945
Standard Deviation(Life)
$11,881
YTD Equity Peak
$1,770
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $75 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.