Detailed: 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
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$55,200 7 4/2002 10/2002
$36,575 3 3/2000 5/2000
$29,350 3 3/2001 5/2001
$20,325 4 7/2001 10/2001
$17,375 2 1/2002 2/2002
$15,975 4 3/2003 6/2003
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-9,950 2 11/2001 12/2001
$-9,075 1 9/2000 9/2000
$-7,925 1 6/2000 6/2000
$-7,375 1 5/2005 5/2005
$-6,975 1 7/2003 7/2003
$-4,800 1 11/2000 11/2000
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.17% $-9,950 10/2001 12/2001 2 2
-30.25% $-9,075 8/2000 9/2000 1 1
-29.08% $-8,725 4/2005 7/2005 2 4 +
-26.42% $-7,925 5/2000 6/2000 1 2
-24.17% $-7,250 10/2000 2/2001 2 2
-23.25% $-6,975 6/2003 7/2003 1 3
Hypothetical Performance Data
2005 (YTD)
-$5,150
Rolling 12 Month
-$4,525
Rolling 24 Month
$8,375
Rolling 36 Month
$24,025
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$3,268
Rolling 12 Month
$3,144
Rolling 24 Month
$3,130
Rolling 36 Month
$3,424
Maximum (YTD) Drawdown
-$8,725

Rolling 3

Sharpe Ratio
-0.09
Largest Run Up
$3,575
Largest Drawdown
-$2,800
Correlation to S&P 500
NA
Average Profitable Month
$3,575
Average Unprofitable Month
-$1,800
% of Profitable Months
33.33
% of Unprofitable Months
66.67

Rolling 12

Sharpe Ratio
-1.65
Largest Run Up
$4,800
Largest Drawdown
-$8,725
Correlation to S&P 500
0.0990
Average Profitable Month
$1,921
Average Unprofitable Month
-$3,595
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
2.36
Largest Run Up
$8,475
Largest Drawdown
-$8,725
Correlation to S&P 500
0.2865
Average Profitable Month
$2,552
Average Unprofitable Month
-$2,255
% of Profitable Months
54.17
% of Unprofitable Months
45.83

Rolling 36

Sharpe Ratio
6.60
Largest Run Up
$15,975
Largest Drawdown
-$8,725
Correlation to S&P 500
0.3759
Average Profitable Month
$2,743
Average Unprofitable Month
-$2,595
% of Profitable Months
61.11
% of Unprofitable Months
38.89

All Data

Sharpe Ratio
28.46
Largest Run Up
$55,200
Largest Drawdown
-$9,950
Correlation to S&P 500
-0.3206
Average Profitable Month
$5,376
Average Unprofitable Month
-$3,196
% of Profitable Months
66.20
% of Unprofitable Months
33.80
Benchmarks Growth of $1000 since 1/2000
Benchmarks Growth of $1000 since 1/2000
Name
Vami
Correlation
R-Mesa
6,866
3 Month Libor
1,164
0.1894
Barclay Commodity
1,335
0.3847
Barclay Systematic
1,346
0.4164
Barra S&P 500
980
-0.3206
CSFB Managed Futures
1,465
0.4704
Lehman Aggregate Bonds
1,381
0.4168
ML 90 Day T-Bill
1,162
0.1962
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   -9.33% 2.59% -5.91% -17.16% 2.43% 24.09% 88.67% 311.52% 429.70%
  Count   71 69 66 60 54 48 36 24 12
  Percent Profitable   66.20% 69.57% 86.36% 88.33% 98.15% 100.00% 100.00% 100.00% 100.00%
  Average   8.26% 24.02% 45.30% 94.44% 150.17% 205.52% 314.78% 411.04% 472.19%
  Average Gain   17.92% 38.90% 54.26% 108.09% 153.03% 205.52% 314.78% 411.04% 472.19%
  Average Loss   -10.65% -10.00% -11.47% -8.96% -1.24% 0% 0% 0% 0%
  Best Period   89.00% 121.91% 158.51% 222.85% 328.19% 359.70% 474.11% 532.93% 564.77%
  Worst Period   -30.25% -29.08% -17.25% -17.16% -1.24% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$2,479
Avg. Yearly Returns
$29,329
Cummulative Returns
$175,975
Max Intra-Mo. DD(loss)
-$13,800
Max Monthly DD(Loss)
-$9,075
Max Yearly DD(Loss)
-$9,950
Maxx DD(Loss) All Periods
-$9,950
YTD Equity Low
-$9,725
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$26,700
Greatest Down Month
-$9,075
Asset Class
Futures
Release Date
01/1997
Developer
John Ehlers & Mike Barna
System Price
$2995
Max MoGain/Max MoDD
2.68
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$26,700
Max Yearly Gain
$66,850
Standard Deviation YTD
$3,268
Standard Deviation(Life)
$6,012
YTD Equity Peak
$1,575
Assumptions
Commissions / Slippage
$75 RT
Data
TS8 (Intra 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.