Detailed: Performance Report - Hypothetical
Trading System: La Jolla
Developer: Miles Dunbar
Portfolio Size: $279,000
Program Overview:
The La Jolla trading system is an intermediate-term system based on daily price movement. Using a momentum approach, La Jolla trades a diversified basket of commodities with the goal of capturing the intermediate-term moves found within a longer trend.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
7 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$135,120 5 8/2008 12/2008
$82,921 4 12/2000 3/2001
$77,415 6 5/2001 10/2001
$66,408 4 6/2007 9/2007
$62,689 4 4/2003 7/2003
$62,683 2 1/2008 2/2008
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-71,888 8 10/2006 5/2007
$-66,130 2 6/2008 7/2008
$-33,736 4 1/2005 4/2005
$-33,509 1 3/2003 3/2003
$-32,322 2 3/2008 4/2008
$-22,322 1 12/2007 12/2007
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.33% $-92,978 2/2008 7/2008 4 4
-25.77% $-71,888 9/2006 5/2007 8 9
-12.09% $-33,736 12/2004 4/2005 4 6
-12.01% $-33,509 2/2003 3/2003 1 3
-9.25% $-25,820 5/2006 8/2006 2 1
-6.52% $-18,195 11/2005 12/2005 1 4
Hypothetical Performance Data
2009 (YTD)
-$17,008
Rolling 12 Month
$76,448
Rolling 24 Month
$96,136
Rolling 36 Month
$80,616
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$28,053
Rolling 24 Month
$22,366
Rolling 36 Month
$19,877
Maximum (YTD) Drawdown
-$17,008

Rolling 3

Sharpe Ratio
2.01
Largest Run Up
$66,930
Largest Drawdown
-$17,008
Correlation to S&P 500
NA
Average Profitable Month
$33,465
Average Unprofitable Month
-$17,008
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
2.31
Largest Run Up
$135,120
Largest Drawdown
-$92,978
Correlation to S&P 500
-0.1966
Average Profitable Month
$27,415
Average Unprofitable Month
-$23,092
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
3.15
Largest Run Up
$135,120
Largest Drawdown
-$92,978
Correlation to S&P 500
0.0879
Average Profitable Month
$21,753
Average Unprofitable Month
-$16,968
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
2.25
Largest Run Up
$135,120
Largest Drawdown
-$92,978
Correlation to S&P 500
0.5874
Average Profitable Month
$18,978
Average Unprofitable Month
-$14,500
% of Profitable Months
50.00
% of Unprofitable Months
50.00

All Data

Sharpe Ratio
41.33
Largest Run Up
$135,120
Largest Drawdown
-$92,978
Correlation to S&P 500
0.7662
Average Profitable Month
$11,675
Average Unprofitable Month
-$8,707
% of Profitable Months
62.15
% of Unprofitable Months
37.29
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
La Jolla
3,543
3 Month Libor
1,603
0.5559
Barclay Commodity
1,988
0.6563
Barclay Systematic
2,026
0.6799
Barra S&P 500
2,505
0.7662
CSFB Managed Futures
2,009
0.6534
Lehman Aggregate Bonds
1,926
0.6893
ML 90 Day T-Bill
1,576
0.5460
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   -6.10% 7.81% 36.73% 9.00% 29.51% 37.79% 28.00% 41.96% 43.44%
  Count   177 175 172 166 160 154 142 130 118
  Percent Profitable   62.15% 74.29% 84.30% 87.95% 91.25% 96.75% 96.48% 99.23% 100.00%
  Average   1.44% 4.39% 8.59% 16.75% 25.23% 33.56% 51.57% 70.54% 92.19%
  Average Gain   4.18% 7.48% 11.54% 19.94% 28.14% 34.93% 53.56% 71.10% 92.19%
  Average Loss   -3.08% -4.54% -7.26% -6.59% -5.14% -7.43% -3.00% -2.19% 0%
  Best Period   18.39% 36.30% 42.33% 52.71% 69.10% 77.77% 110.90% 129.83% 140.62%
  Worst Period   -15.59% -21.75% -27.73% -25.19% -20.13% -16.47% -8.29% -2.19% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$4,009
Avg. Yearly Returns
$44,966
Cummulative Returns
$719,455
Max Intra-Mo. DD(loss)
-$122,018
Max Monthly DD(Loss)
-$43,482
Max Yearly DD(Loss)
-$92,978
Maxx DD(Loss) All Periods
-$92,978
YTD Equity Low
-$19,614
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$51,314
Greatest Down Month
-$43,482
Asset Class
Futures
Release Date
09/2003
Developer
Miles Dunbar
System Price
$2195
Max MoGain/Max MoDD
0.55
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$51,314
Max Yearly Gain
$144,339
Standard Deviation YTD
$25,656
Standard Deviation(Life)
$13,284
YTD Equity Peak
$ 0
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.