Detailed: Performance Report - Hypothetical
Trading System: I-Master
Developer: Keith Fitchen
Portfolio Size: $927,000
Program Overview:
I-Master is an index futures trading system. I-Master was developed on a basket of seven US futures indices: the S&P500, NASDAQ, New York Stock Exchange (NYSE), Russell 1000, Russell 2000, Mini-Value Line, and the S&P Midcap.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$1,069,337 12 9/2000 8/2001
$791,013 8 12/1999 7/2000
$345,490 7 2/2002 8/2002
$198,243 4 7/1998 10/1998
$131,500 2 10/2002 11/2002
$95,574 5 1/1997 5/1997
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-179,200 6 4/2005 9/2005
$-126,900 4 11/2004 2/2005
$-71,520 1 8/2003 8/2003
$-54,765 2 12/2003 1/2004
$-54,325 2 9/2001 10/2001
$-46,265 1 8/2000 8/2000
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.31% $-308,745 3/2004 9/2005 11 2 +
-7.72% $-71,520 7/2003 8/2003 1 7
-5.86% $-54,325 8/2001 10/2001 2 1
-4.99% $-46,265 7/2000 8/2000 1 1
-4.07% $-37,740 3/1998 4/1998 1 4
-3.65% $-33,856 9/1999 11/1999 2 1
Hypothetical Performance Data
2005 (YTD)
-$225,310
Rolling 12 Month
-$254,875
Rolling 24 Month
-$276,065
Rolling 36 Month
-$181,875
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$30,170
Rolling 12 Month
$28,994
Rolling 24 Month
$29,508
Rolling 36 Month
$31,365
Maximum (YTD) Drawdown
-$244,305

Rolling 3

Sharpe Ratio
0.13
Largest Run Up
$53,605
Largest Drawdown
-$34,610
Correlation to S&P 500
NA
Average Profitable Month
$53,605
Average Unprofitable Month
-$21,095
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
-9.51
Largest Run Up
$53,605
Largest Drawdown
-$273,870
Correlation to S&P 500
0.0730
Average Profitable Month
$27,360
Average Unprofitable Month
-$30,960
% of Profitable Months
16.67
% of Unprofitable Months
83.33

Rolling 24

Sharpe Ratio
-10.38
Largest Run Up
$68,450
Largest Drawdown
-$308,745
Correlation to S&P 500
0.1447
Average Profitable Month
$24,879
Average Unprofitable Month
-$26,484
% of Profitable Months
29.17
% of Unprofitable Months
70.83

Rolling 36

Sharpe Ratio
-7.19
Largest Run Up
$90,165
Largest Drawdown
-$308,745
Correlation to S&P 500
0.1710
Average Profitable Month
$23,438
Average Unprofitable Month
-$27,844
% of Profitable Months
44.44
% of Unprofitable Months
55.56

All Data

Sharpe Ratio
46.52
Largest Run Up
$1,069,337
Largest Drawdown
-$308,745
Correlation to S&P 500
0.5971
Average Profitable Month
$40,424
Average Unprofitable Month
-$19,686
% of Profitable Months
61.87
% of Unprofitable Months
35.25
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
I-Master
3,710
3 Month Libor
1,475
0.5425
Barclay Commodity
1,769
0.6075
Barclay Systematic
1,804
0.6394
Barra S&P 500
2,340
0.5971
CSFB Managed Futures
1,778
0.6165
Lehman Aggregate Bonds
1,766
0.6586
ML 90 Day T-Bill
1,454
0.5360
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   -3.73% 2.05% -4.55% -24.30% -29.05% -29.06% -16.03% 28.12% 92.78%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   61.87% 72.26% 78.36% 82.81% 86.89% 89.66% 95.19% 100.00% 100.00%
  Average   1.95% 5.96% 12.17% 26.13% 42.29% 59.91% 100.57% 146.35% 197.51%
  Average Gain   4.36% 9.60% 17.45% 34.20% 51.09% 69.05% 106.27% 146.35% 197.51%
  Average Loss   -1.96% -3.53% -6.93% -12.71% -16.04% -19.31% -12.20% 0% 0%
  Best Period   23.09% 48.02% 72.00% 128.77% 183.09% 199.77% 242.38% 258.52% 281.39%
  Worst Period   -7.72% -12.73% -21.74% -30.91% -33.30% -29.77% -19.60% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$18,071
Avg. Yearly Returns
$209,319
Cummulative Returns
$2,511,831
Max Intra-Mo. DD(loss)
-$238,890
Max Monthly DD(Loss)
-$71,520
Max Yearly DD(Loss)
-$196,275
Maxx DD(Loss) All Periods
-$308,745
YTD Equity Low
-$256,040
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$214,075
Greatest Down Month
-$71,520
Asset Class
Futures
Release Date
10/2001
Developer
Keith Fitchen
System Price
$2995
Max MoGain/Max MoDD
1.09
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$214,075
Max Yearly Gain
$1,116,125
Standard Deviation YTD
$30,170
Standard Deviation(Life)
$44,941
YTD Equity Peak
$ 0
Assumptions
Commissions / Slippage
$300 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.