Detailed: Performance Report - Hypothetical
Trading System: Aztec
Developer: Keith Fitschen
Portfolio Size: $475,000
Program Overview:
Aztec is a multi-commodity, shorter-term trading system. In contrast, Aberration, which is another TradeSystem, Inc. multi-commodity system, is longer-term. Aztec uses trend and volatility cues in the market to make trading decisions, and is really two systems in one. In Mode 1, the system is almost always in the market, alternating between long and short positions. In Mode 2, the system uses similar entry logic, but only takes trades in the direction of the longer-term trend. Mode 1 enters on a stop, while Mode 2 enters and exits on the open (like Aberration does).
Both modes use a volatility-based protective stop. The Aztec Starter portfolio is suited for accounts starting in the $20,000 to $40,000 range and trades 8 commodity markets. The portfolio is diversified across 7 commodity groups to gain exposure in uncorrelated markets. As Aztec provides the level of risk at the initiation of each trade, the trader can also limit risk by entering trades that are below a certain risk threshold. .
Both modes use a volatility-based protective stop. The Aztec Starter portfolio is suited for accounts starting in the $20,000 to $40,000 range and trades 8 commodity markets. The portfolio is diversified across 7 commodity groups to gain exposure in uncorrelated markets. As Aztec provides the level of risk at the initiation of each trade, the trader can also limit risk by entering trades that are below a certain risk threshold. .
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 7 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-97,878 | 3 | 10/2006 | 12/2006 |
| $-71,449 | 1 | 3/2008 | 3/2008 |
| $-69,467 | 1 | 11/2008 | 11/2008 |
| $-67,103 | 5 | 2/2007 | 6/2007 |
| $-58,854 | 2 | 9/2005 | 10/2005 |
| $-33,970 | 1 | 1/2005 | 1/2005 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.27% | $-158,040 | 9/2006 | 6/2007 | 8 | 16 |
| -12.39% | $-58,854 | 8/2005 | 10/2005 | 2 | 3 |
| -9.74% | $-46,256 | 2/2006 | 7/2006 | 3 | 2 |
| -8.55% | $-40,606 | 2/2003 | 6/2003 | 3 | 3 |
| -7.15% | $-33,970 | 12/2004 | 1/2005 | 1 | 4 |
| -4.77% | $-22,645 | 9/2003 | 11/2003 | 2 | 5 |
Hypothetical Performance Data
2009 (YTD)
-$27,362
Rolling 12 Month
$164,232
Rolling 24 Month
$139,261
Rolling 36 Month
$83,554
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$61,599
Rolling 24 Month
$45,358
Rolling 36 Month
$40,043
Maximum (YTD) Drawdown
-$27,362
Rolling 3
Sharpe Ratio
-3.01
Largest Run Up
$6,071
Largest Drawdown
-$90,758
Correlation to S&P 500
NA
Average Profitable Month
$6,071
Average Unprofitable Month
-$48,414
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 12
Sharpe Ratio
2.34
Largest Run Up
$154,582
Largest Drawdown
-$90,758
Correlation to S&P 500
-0.1584
Average Profitable Month
$43,166
Average Unprofitable Month
-$45,275
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 24
Sharpe Ratio
2.10
Largest Run Up
$154,582
Largest Drawdown
-$90,758
Correlation to S&P 500
0.0683
Average Profitable Month
$33,751
Average Unprofitable Month
-$22,146
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 36
Sharpe Ratio
0.56
Largest Run Up
$154,582
Largest Drawdown
-$158,040
Correlation to S&P 500
0.4083
Average Profitable Month
$28,078
Average Unprofitable Month
-$23,436
% of Profitable Months
50.00
% of Unprofitable Months
50.00
All Data
Sharpe Ratio
30.43
Largest Run Up
$154,582
Largest Drawdown
-$158,040
Correlation to S&P 500
0.8438
Average Profitable Month
$16,405
Average Unprofitable Month
-$12,942
% of Profitable Months
62.15
% of Unprofitable Months
36.16
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Aztec
3,055
3 Month Libor
1,603
0.5796
Barclay Commodity
1,988
0.6836
Barclay Systematic
2,026
0.7076
Barra S&P 500
2,505
0.8438
CSFB Managed Futures
2,009
0.6638
Lehman Aggregate Bonds
1,926
0.7107
ML 90 Day T-Bill
1,576
0.5683
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 | -5.76% | -4.48% | 10.74% | 12.30% | 37.83% | 32.50% | 12.19% | 44.14% | 59.47% | |||
| Count | 177 | 175 | 172 | 166 | 160 | 154 | 142 | 130 | 118 | |||
| Percent Profitable | 62.15% | 72.00% | 85.47% | 89.16% | 91.25% | 90.26% | 100.00% | 100.00% | 100.00% | |||
| Average | 1.16% | 3.56% | 7.25% | 14.06% | 20.65% | 27.22% | 41.92% | 56.12% | 70.37% | |||
| Average Gain | 3.45% | 6.46% | 9.68% | 17.33% | 24.12% | 30.96% | 41.92% | 56.12% | 70.37% | |||
| Average Loss | -2.60% | -3.92% | -7.00% | -12.88% | -15.47% | -7.41% | 0% | 0% | 0% | |||
| Best Period | 32.54% | 31.22% | 42.78% | 54.97% | 57.63% | 56.00% | 66.56% | 77.40% | 105.24% | |||
| Worst Period | -15.04% | -20.60% | -23.90% | -27.11% | -25.64% | -17.92% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$5,515
Avg. Yearly Returns
$62,308
Cummulative Returns
$996,921
Max Intra-Mo. DD(loss)
-$119,630
Max Monthly DD(Loss)
-$71,449
Max Yearly DD(Loss)
-$97,878
Maxx DD(Loss) All Periods
-$158,040
YTD Equity Low
-$29,764
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$154,582
Greatest Down Month
-$71,449
Asset Class
Futures
Release Date
?
Developer
Keith Fitschen
System Price
Retail $1995.00 Special Offer Through TCI $995.00
Max MoGain/Max MoDD
1.58
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$154,582
Max Yearly Gain
$194,644
Standard Deviation YTD
$57,423
Standard Deviation(Life)
$23,092
YTD Equity Peak
$ 0
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No