Quick View: Performance Report - Hypothetical
Trading System: R-Mesa
Developer: John Ehlers & Mike Barna
Portfolio Size: $30,000
Program Overview:
R-MESA5 is a mechanical S&P day-trading system, applied to 45 minute windows or prices data, also known as bars. The system attempts to reduce risk by avoiding trading of the first highly volatile bar of the day. The system also attempts to limit overnight risk by being a strict day-trader it always exits its trading position at the end of the day. R-MESA5 does not overtrade, trading about twice a week on the average, and never trades more than twice a day.
Price: Contact Broker (800)894-8194
Portfolio Diversification
1 SectorsIndecies(1)
Yearly Hypothetical Performance & Risk Analysis on a $30,000 Investment
 200020012002200320042005Average
Annual $ Returns$47,075$35,450$66,850$19,375$12,375$-4,000$29,521
Annual % Return156.92%118.17%222.83%64.58%41.25%-13.33%
Max DrawDown$-9,075$-9,950$-4,525$-6,975$-2,025$-8,725$-6,879
Hot Stats
Hypothetical Performance Data
2005 (YTD)
-$4,000
Rolling 12 Month
-$3,375
Rolling 36 Month
$25,175
Avg. 12 Month $
$28,368
Avg. 36 Month $
$94,500
Time Window Analysis
      6 Month 12 Month 24 Month 36 Month 5 Years
  Latest   -2.08% -13.33% 27.92% 92.50% 433.53%
  Count   66 60 48 36 12
  Percent Profitable   86.36% 88.33% 100.00% 100.00% 100.00%
  Average   45.41% 94.56% 205.68% 315.00% 472.82%
  Average Gain   54.33% 108.09% 205.68% 315.00% 472.82%
  Average Loss   -11.05% -7.87% 0% 0% 0%
  Best Period   158.51% 222.85% 359.70% 474.11% 564.77%
  Worst Period   -17.25% -13.33% 0.00% 0.00% 0.00%
Benchmarks Growth of $1000 since 1/2000
Benchmarks Growth of $1000 since 1/2000
Name
Vami
Correlation
R-Mesa
6,904
Barra S&P 500
980
-0.3214
CSFB Managed Futures
1,465
0.4710
ML 90 Day T-Bill
1,162
0.1966
Historical Yearly Averages Since 1/2000 (%)
 %Avg GainMax GainAvg RiskMax Risk
R-Mesa90.94208.33-22.93-33.17
Barra S&P 5009.7429.87-9.90-31.93
CSFB Managed Futures6.5519.19-7.68-18.72
ML 90 Day T-Bill3.535.590.00-0.00
How to Get Stated
Open A Futures Trading Account
Open A Forex Trading Account
Wire Instructions PDF
Systems Monitoring Agreement
About the Clearing Firm
About the Introducing Brokers
About Your Broker
Financial Safeguards
Regulatory Agencies
Why Trade Futures
Trading Systems Explained
Additional Risk Disclosures
The above trading system uses $75 RT for commssion and slippage on a round turn basis. The cost or lease of the system is NOT factored into the perfomance values.

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.