Detailed: Performance Report - Hypothetical
Trading System: Pegasus
Developer: Peter Waite
Portfolio Size: $121,000
Program Overview:
Pegasus is a fully disclosed, totally mechanical, multi market, intermediary term, commodity futures trading system. It is adaptable to different diversified portfolios.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
6 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$70,685 7 3/2002 9/2002
$65,633 4 11/1999 2/2000
$65,005 5 2/1995 6/1995
$43,434 5 8/1998 12/1998
$34,102 4 9/2004 12/2004
$31,391 6 10/2000 3/2001
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-26,410 4 3/2004 6/2004
$-25,992 4 1/2005 4/2005
$-23,552 4 8/2003 11/2003
$-14,404 1 11/2001 11/2001
$-12,077 2 10/2002 11/2002
$-11,919 4 8/1997 11/1997
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.10% $-40,052 5/2003 6/2004 7 17 +
-11.90% $-14,404 10/2001 11/2001 1 6
-9.98% $-12,077 9/2002 11/2002 2 1
-9.85% $-11,919 7/1997 11/1997 4 4
-9.79% $-11,849 2/2003 3/2003 1 2
-9.77% $-11,826 2/2000 3/2000 1 3
Hypothetical Performance Data
2005 (YTD)
$2,428
Rolling 12 Month
$7,002
Rolling 24 Month
$31,479
Rolling 36 Month
$36,433
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$7,383
Rolling 12 Month
$7,171
Rolling 24 Month
$7,744
Rolling 36 Month
$8,822
Maximum (YTD) Drawdown
-$25,992

Rolling 3

Sharpe Ratio
2.43
Largest Run Up
$22,144
Largest Drawdown
-$1,849
Correlation to S&P 500
NA
Average Profitable Month
$11,072
Average Unprofitable Month
-$1,849
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
0.60
Largest Run Up
$22,144
Largest Drawdown
-$25,992
Correlation to S&P 500
0.1651
Average Profitable Month
$7,570
Average Unprofitable Month
-$4,407
% of Profitable Months
41.67
% of Unprofitable Months
58.33

Rolling 24

Sharpe Ratio
3.55
Largest Run Up
$34,102
Largest Drawdown
-$26,410
Correlation to S&P 500
0.4908
Average Profitable Month
$7,626
Average Unprofitable Month
-$5,003
% of Profitable Months
50.00
% of Unprofitable Months
50.00

Rolling 36

Sharpe Ratio
3.48
Largest Run Up
$34,102
Largest Drawdown
-$40,052
Correlation to S&P 500
0.4131
Average Profitable Month
$8,548
Average Unprofitable Month
-$5,731
% of Profitable Months
47.22
% of Unprofitable Months
52.78

All Data

Sharpe Ratio
37.46
Largest Run Up
$70,685
Largest Drawdown
-$40,052
Correlation to S&P 500
0.7390
Average Profitable Month
$7,712
Average Unprofitable Month
-$4,609
% of Profitable Months
58.27
% of Unprofitable Months
38.85
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
Pegasus
4,106
3 Month Libor
1,475
0.5870
Barclay Commodity
1,769
0.6694
Barclay Systematic
1,804
0.7037
Barra S&P 500
2,340
0.7390
CSFB Managed Futures
1,778
0.6422
Lehman Aggregate Bonds
1,766
0.7034
ML 90 Day T-Bill
1,454
0.5783
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   14.38% 18.30% 14.28% 2.01% 32.22% 24.66% 16.27% 75.97% 91.46%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   58.27% 71.53% 79.85% 88.28% 90.98% 92.24% 100.00% 100.00% 100.00%
  Average   2.23% 6.70% 13.44% 27.09% 40.34% 54.63% 86.71% 118.95% 151.04%
  Average Gain   6.37% 11.71% 18.68% 31.98% 45.38% 59.99% 86.71% 118.95% 151.04%
  Average Loss   -3.55% -5.89% -7.33% -9.78% -10.47% -9.14% 0% 0% 0%
  Best Period   30.72% 48.52% 54.22% 78.21% 87.20% 96.42% 132.15% 171.53% 203.09%
  Worst Period   -11.90% -21.61% -26.91% -28.02% -29.84% -21.14% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$2,704
Avg. Yearly Returns
$31,317
Cummulative Returns
$375,803
Max Intra-Mo. DD(loss)
-$37,464
Max Monthly DD(Loss)
-$14,404
Max Yearly DD(Loss)
-$32,562
Maxx DD(Loss) All Periods
-$40,052
YTD Equity Low
-$28,528
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$37,169
Greatest Down Month
-$14,404
Asset Class
Futures
Release Date
09/2003
Developer
Peter Waite
System Price
$1495
Max MoGain/Max MoDD
1.14
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$37,169
Max Yearly Gain
$72,224
Standard Deviation YTD
$7,383
Standard Deviation(Life)
$8,566
YTD Equity Peak
$2,603
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.