Detailed: Performance Report - Hypothetical
Trading System: Mesa Notes
Developer: John Ehlers & Mike Barna
Portfolio Size: $47,000
Program Overview:
MESA Notes V7 is a mechanical trading system for the trading of 10 Year Treasury Note Futures contracts. The system was developed specifically for the Treasury Bonds Notes Futures markets because the Notes are rapidly becoming the favored financial cotract. MESA Notes V7 offers traders a option to diversify their portfolio using a modest amount of margin. MESA Notes V7 features an exceptionally high reward-to-risk ratio measured as the ratio of net profit to maximum drawdown. MESA Bonds V7 is always in the market, both long and short, to enable capturing of significant moves. The system concept is that short term prices trade within a channel, and when the edge of the channel is reached the prices will revert to the channel mean or swing to the other channel edge. MESA Bonds V7 senses when the channel edge is reached to issue its trading signals. MESA Bonds V7 does not overtrade trading about every two weeks on the average.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$10,340 5 4/2002 8/2002
$10,300 7 12/1994 6/1995
$10,097 6 10/2003 3/2004
$10,068 4 7/2001 10/2001
$8,797 3 8/1998 10/1998
$8,488 9 5/2000 1/2001
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-6,375 4 5/1999 8/1999
$-4,844 4 12/1996 3/1997
$-4,535 2 4/2004 5/2004
$-4,522 4 10/1999 1/2000
$-4,060 5 2/2001 6/2001
$-3,994 1 3/2002 3/2002
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.14% $-15,575 10/1998 1/2000 10 20
-10.31% $-4,844 11/1996 3/1997 4 4
-9.65% $-4,535 3/2004 5/2004 2 11
-8.50% $-3,994 2/2002 3/2002 1 3
-7.33% $-3,447 8/1994 11/1994 3 3
-6.42% $-3,016 1/1996 2/1996 1 1
Hypothetical Performance Data
2005 (YTD)
-$1,333
Rolling 12 Month
-$ 889
Rolling 24 Month
$3,582
Rolling 36 Month
$18,265
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$1,519
Rolling 12 Month
$1,462
Rolling 24 Month
$1,466
Rolling 36 Month
$1,672
Maximum (YTD) Drawdown
-$4,250

Rolling 3

Sharpe Ratio
-4.79
Largest Run Up
$ 0
Largest Drawdown
-$3,735
Correlation to S&P 500
NA
Average Profitable Month
$ 0
Average Unprofitable Month
-$1,245
% of Profitable Months
0.00
% of Unprofitable Months
100.00

Rolling 12

Sharpe Ratio
-1.33
Largest Run Up
$4,011
Largest Drawdown
-$4,250
Correlation to S&P 500
0.2983
Average Profitable Month
$ 965
Average Unprofitable Month
-$1,528
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
1.40
Largest Run Up
$4,011
Largest Drawdown
-$4,535
Correlation to S&P 500
0.8256
Average Profitable Month
$1,007
Average Unprofitable Month
-$1,566
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 36

Sharpe Ratio
9.60
Largest Run Up
$10,097
Largest Drawdown
-$4,535
Correlation to S&P 500
0.5400
Average Profitable Month
$1,519
Average Unprofitable Month
-$1,283
% of Profitable Months
63.89
% of Unprofitable Months
36.11

All Data

Sharpe Ratio
26.24
Largest Run Up
$10,340
Largest Drawdown
-$15,575
Correlation to S&P 500
0.7201
Average Profitable Month
$1,594
Average Unprofitable Month
-$1,146
% of Profitable Months
58.99
% of Unprofitable Months
39.57
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Mesa Notes
2,441
3 Month Libor
1,475
0.5905
Barclay Commodity
1,769
0.7124
Barclay Systematic
1,804
0.7447
Barra S&P 500
2,340
0.7201
CSFB Managed Futures
1,778
0.6900
Lehman Aggregate Bonds
1,766
0.7387
ML 90 Day T-Bill
1,454
0.5834
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   -0.23% -3.35% -9.04% -2.85% 2.64% 4.81% 31.86% 52.73% 73.66%
  Count   139 137 134 128 122 116 104 92 80
  Percent Profitable   58.99% 65.69% 79.10% 86.72% 86.07% 87.07% 100.00% 100.00% 100.00%
  Average   1.04% 3.16% 6.61% 13.75% 20.78% 28.12% 41.36% 53.57% 62.73%
  Average Gain   3.39% 7.10% 10.21% 17.53% 25.59% 32.97% 41.36% 53.57% 62.73%
  Average Loss   -2.35% -4.40% -7.06% -10.93% -8.94% -4.58% 0% 0% 0%
  Best Period   13.72% 18.72% 28.81% 40.22% 49.68% 65.86% 80.72% 101.03% 105.01%
  Worst Period   -8.56% -8.90% -16.42% -30.39% -22.63% -14.55% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$ 487
Avg. Yearly Returns
$5,642
Cummulative Returns
$67,707
Max Intra-Mo. DD(loss)
-$12,053
Max Monthly DD(Loss)
-$4,025
Max Yearly DD(Loss)
-$12,053
Maxx DD(Loss) All Periods
-$15,575
YTD Equity Low
-$1,973
Risk Class L/M/H
TBD
Sys Style
Interest Rates
Sys Type
Medium Term
Greatest Up Month
$6,447
Greatest Down Month
-$4,025
Asset Class
Futures
Release Date
09/2003
Developer
John Ehlers & Mike Barna
System Price
$1995
Max MoGain/Max MoDD
0.53
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$6,447
Max Yearly Gain
$12,715
Standard Deviation YTD
$1,519
Standard Deviation(Life)
$1,766
YTD Equity Peak
$3,464
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.