Detailed: Performance Report - Hypothetical
Trading System: Capstone DT
Developer: David Bean
Portfolio Size: $25,000
Program Overview:
Capstone uses price and volume patterns to day-trade the stock index futures. Capstone can take several trades a day but averages slightly less than 1 trade per day, uses a $250 stop loss per contract, takes trades between 11:15 am 3:30 pm EST and exits toward the close of the day.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
1 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$36,020 8 5/2008 12/2008
$35,513 6 10/2007 3/2008
$12,823 4 2/2005 5/2005
$12,410 3 6/2007 8/2007
$11,300 6 11/2003 4/2004
$9,355 1 6/2006 6/2006
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-7,550 3 7/2006 9/2006
$-5,495 2 12/2006 1/2007
$-3,653 1 4/2008 4/2008
$-2,313 3 5/2003 7/2003
$-2,135 1 9/2007 9/2007
$-1,925 1 5/2006 5/2006
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-30.20% $-7,550 6/2006 9/2006 3 7
-14.61% $-3,653 3/2008 4/2008 1 3
-9.25% $-2,313 4/2003 7/2003 3 2
-8.54% $-2,135 8/2007 9/2007 1 1
-7.70% $-1,925 4/2006 5/2006 1 1
-7.41% $-1,853 8/2004 11/2004 3 3
Hypothetical Performance Data
2009 (YTD)
-$ 420
Rolling 12 Month
$41,665
Rolling 24 Month
$85,470
Rolling 36 Month
$92,448
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$4,540
Rolling 24 Month
$4,168
Rolling 36 Month
$4,330
Maximum (YTD) Drawdown
-$ 420

Rolling 3

Sharpe Ratio
3.89
Largest Run Up
$15,798
Largest Drawdown
-$ 420
Correlation to S&P 500
NA
Average Profitable Month
$7,899
Average Unprofitable Month
-$ 420
% of Profitable Months
66.67
% of Unprofitable Months
33.33

Rolling 12

Sharpe Ratio
8.95
Largest Run Up
$36,020
Largest Drawdown
-$3,652
Correlation to S&P 500
-0.0918
Average Profitable Month
$4,574
Average Unprofitable Month
-$2,036
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 24

Sharpe Ratio
19.95
Largest Run Up
$36,020
Largest Drawdown
-$3,652
Correlation to S&P 500
0.0312
Average Profitable Month
$4,629
Average Unprofitable Month
-$1,776
% of Profitable Months
83.33
% of Unprofitable Months
16.67

Rolling 36

Sharpe Ratio
20.61
Largest Run Up
$36,020
Largest Drawdown
-$7,550
Correlation to S&P 500
0.2474
Average Profitable Month
$4,405
Average Unprofitable Month
-$2,208
% of Profitable Months
72.22
% of Unprofitable Months
27.78

All Data

Sharpe Ratio
34.72
Largest Run Up
$36,020
Largest Drawdown
-$7,550
Correlation to S&P 500
0.5989
Average Profitable Month
$3,260
Average Unprofitable Month
-$1,317
% of Profitable Months
65.75
% of Unprofitable Months
34.25
Benchmarks Growth of $1000 since 1/2003
Benchmarks Growth of $1000 since 1/2003
Name
Vami
Correlation
Capstone DT
5,943
3 Month Libor
1,176
0.1977
Barclay Commodity
1,341
0.2925
Barclay Systematic
1,312
0.2515
Barra S&P 500
1,562
0.5989
CSFB Managed Futures
1,441
0.3780
Lehman Aggregate Bonds
1,250
0.2569
ML 90 Day T-Bill
1,161
0.1811
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   -1.68% 30.42% 86.58% 135.37% 261.30% 340.17% 367.25% 418.11% 465.11%
  Count   73 71 68 62 56 50 38 26 14
  Percent Profitable   65.75% 80.28% 91.18% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
  Average   6.77% 20.59% 40.51% 79.33% 113.84% 143.50% 206.94% 282.43% 396.21%
  Average Gain   13.04% 27.85% 45.28% 79.33% 113.84% 143.50% 206.94% 282.43% 396.21%
  Average Loss   -5.27% -8.97% -8.83% 0% 0% 0% 0% 0% 0%
  Best Period   51.61% 90.94% 142.05% 210.09% 303.06% 341.88% 383.02% 433.16% 474.47%
  Worst Period   -21.26% -30.20% -25.71% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,693
Avg. Yearly Returns
$17,810
Cummulative Returns
$124,672
Max Intra-Mo. DD(loss)
-$9,308
Max Monthly DD(Loss)
-$5,315
Max Yearly DD(Loss)
-$7,550
Maxx DD(Loss) All Periods
-$7,550
YTD Equity Low
-$1,140
Risk Class L/M/H
TBD
Sys Style
Index
Sys Type
Short Term
Greatest Up Month
$12,902
Greatest Down Month
-$5,315
Asset Class
Futures
Release Date
12/2005
Developer
David Bean
System Price
Ask Broker
Max MoGain/Max MoDD
1.71
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$12,902
Max Yearly Gain
$52,132
Standard Deviation YTD
$4,539
Standard Deviation(Life)
$3,443
YTD Equity Peak
$ 805
Assumptions
Commissions / Slippage
$35RT
Data
TS8 (Intra Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $35RT for commission and slippage on a round turn basis. The cost or lease of the system is NOT factored into the performance values. All trades are based on 1 contract with profits NOT being reinvested. No management or incentive fees are charged. The method used to determine purchase and sale prices for each trade is established by a mathematical computation that is proprietary to the individual system developer.

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.