Detailed: Performance Report - Hypothetical
Trading System: Synergy
Developer: Dean Hoffman
Portfolio Size: $101,000
Program Overview:
Synergy is a multi-market portfolio based trading system. Synergy has been designed generate signals that attempt to capture maximum profits utilizing tight per trade risk controls. The parts of Synergy that make it so dynamic include, relatively small initial risk per trade, adaptive market based position sizing, simultaneous trend and counter trend following elements, partial exits, portfolio interaction and much more. All of this is done within the framework of a completely non-optimized set of parameters.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
8 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$47,801 6 4/2002 9/2002
$43,724 6 8/1995 1/1996
$43,202 4 10/2000 1/2001
$40,745 3 12/2002 2/2003
$35,576 4 11/1999 2/2000
$32,791 3 3/1995 5/1995
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-22,521 2 6/2003 7/2003
$-18,609 3 5/1997 7/1997
$-18,071 5 12/2004 4/2005
$-16,581 2 11/2003 12/2003
$-14,266 3 4/2004 6/2004
$-13,858 1 7/1996 7/1996
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.03% $-33,363 5/2003 12/2003 4 23 +
-25.41% $-25,660 4/1997 11/1997 4 7
-19.39% $-19,588 10/2001 3/2002 3 4
-13.94% $-14,083 3/2001 7/2001 3 3
-13.72% $-13,858 6/1996 7/1996 1 4
-11.05% $-11,163 2/2003 3/2003 1 2
Hypothetical Performance Data
2005 (YTD)
-$8,754
Rolling 12 Month
-$10,410
Rolling 24 Month
$8,637
Rolling 36 Month
$22,441
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$3,715
Rolling 12 Month
$3,565
Rolling 24 Month
$5,724
Rolling 36 Month
$7,742
Maximum (YTD) Drawdown
-$18,535

Rolling 3

Sharpe Ratio
0.98
Largest Run Up
$6,032
Largest Drawdown
-$3,646
Correlation to S&P 500
NA
Average Profitable Month
$4,146
Average Unprofitable Month
-$3,646
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
-3.55
Largest Run Up
$7,394
Largest Drawdown
-$20,191
Correlation to S&P 500
0.1282
Average Profitable Month
$3,502
Average Unprofitable Month
-$3,052
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 24

Sharpe Ratio
0.93
Largest Run Up
$23,711
Largest Drawdown
-$20,191
Correlation to S&P 500
0.4601
Average Profitable Month
$5,923
Average Unprofitable Month
-$3,614
% of Profitable Months
41.67
% of Unprofitable Months
58.33

Rolling 36

Sharpe Ratio
2.28
Largest Run Up
$23,711
Largest Drawdown
-$33,363
Correlation to S&P 500
0.3720
Average Profitable Month
$7,196
Average Unprofitable Month
-$5,257
% of Profitable Months
47.22
% of Unprofitable Months
52.78

All Data

Sharpe Ratio
35.30
Largest Run Up
$47,801
Largest Drawdown
-$33,363
Correlation to S&P 500
0.7194
Average Profitable Month
$6,800
Average Unprofitable Month
-$4,981
% of Profitable Months
58.99
% of Unprofitable Months
35.97
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
Synergy
4,055
3 Month Libor
1,475
0.5793
Barclay Commodity
1,769
0.6586
Barclay Systematic
1,804
0.6917
Barra S&P 500
2,340
0.7194
CSFB Managed Futures
1,778
0.6331
Lehman Aggregate Bonds
1,766
0.6958
ML 90 Day T-Bill
1,454
0.5708
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   5.97% 2.36% 7.62% -8.69% 5.09% 14.45% 1.11% 58.77% 67.74%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   58.27% 67.15% 76.12% 80.47% 90.16% 92.24% 100.00% 100.00% 100.00%
  Average   2.20% 6.65% 13.51% 28.03% 43.19% 58.06% 90.27% 124.88% 162.03%
  Average Gain   6.82% 13.27% 20.88% 36.96% 48.74% 63.86% 90.27% 124.88% 162.03%
  Average Loss   -4.25% -6.89% -9.97% -8.80% -7.77% -10.82% 0% 0% 0%
  Best Period   22.68% 40.34% 53.68% 81.99% 102.62% 115.66% 161.38% 186.81% 227.75%
  Worst Period   -14.08% -22.29% -27.12% -22.94% -16.69% -25.59% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$2,220
Avg. Yearly Returns
$25,712
Cummulative Returns
$308,545
Max Intra-Mo. DD(loss)
-$35,772
Max Monthly DD(Loss)
-$14,226
Max Yearly DD(Loss)
-$33,363
Maxx DD(Loss) All Periods
-$33,363
YTD Equity Low
-$20,328
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$22,907
Greatest Down Month
-$14,226
Asset Class
Futures
Release Date
Developer
Dean Hoffman
System Price
$1995
Max MoGain/Max MoDD
0.69
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$22,907
Max Yearly Gain
$72,508
Standard Deviation YTD
$3,715
Standard Deviation(Life)
$7,441
YTD Equity Peak
$1,520
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.