Detailed: Performance Report - Hypothetical
Trading System: Stat
Developer: Randy Stuckey
Portfolio Size: $275,000
Program Overview:
According to the developer of the Stat system, “the worldwide productivity increase has in large part been due to controlling processes through the use of Statistical Process Control (SPC)”. The Stat program is a commodity trading system that uses this SPC technique to provide trading signals for trading the commodity markets. In the developers opinion, “the reason many systems use similar approaches and have similar problems is because they assume commodity prices are "normal"”. Other trading systems try to take advantage of the probability characteristics of a normal distribution. Other systems assume that they will be successful because prices fit a bell shaped curve or normal frequency distribution.
The way some other systems operate is by using a moving average crossover or a variation of this approach to generate trading signal. They also usually tack on a couple of standard deviation on the Bollinger bands to try to keep from taking too many false trades. The STAT system follows a principal that commodity prices do not form normal distributions. STAT does not follow what other systems key off to generate its trading signals. It uses it’s own special techniques to generate a normal probability distribution out of market prices. Then STAT uses the well-developed SPC concept to take its trades.
Price: Contact Broker (800)894-8194
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-51,519 | 4 | 11/2004 | 2/2005 |
| $-50,019 | 2 | 9/2005 | 10/2005 |
| $-45,367 | 3 | 9/2003 | 11/2003 |
| $-29,146 | 2 | 6/2003 | 7/2003 |
| $-28,702 | 2 | 10/2002 | 11/2002 |
| $-28,360 | 1 | 3/2003 | 3/2003 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.31% | $-91,613 | 2/2003 | 10/2005 | 8 | 1 + |
| -10.44% | $-28,702 | 9/2002 | 11/2002 | 2 | 3 |
| -8.41% | $-23,132 | 10/2001 | 5/2002 | 7 | 1 |
| -7.95% | $-21,873 | 2/2000 | 3/2000 | 1 | 4 |
| -7.65% | $-21,051 | 10/1998 | 11/1998 | 1 | 3 |
| -7.43% | $-20,431 | 1/2001 | 2/2001 | 1 | 3 |
Hypothetical Performance Data
2005 (YTD)
-$36,306
Rolling 12 Month
-$37,373
Rolling 24 Month
$9,134
Rolling 36 Month
-$18,073
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$22,822
Rolling 12 Month
$21,859
Rolling 24 Month
$17,504
Rolling 36 Month
$17,220
Maximum (YTD) Drawdown
-$63,258
Rolling 3
Sharpe Ratio
-1.02
Largest Run Up
$26,952
Largest Drawdown
-$50,019
Correlation to S&P 500
NA
Average Profitable Month
$26,952
Average Unprofitable Month
-$25,010
% of Profitable Months
33.33
% of Unprofitable Months
66.67
Rolling 12
Sharpe Ratio
-1.99
Largest Run Up
$38,021
Largest Drawdown
-$64,325
Correlation to S&P 500
0.1011
Average Profitable Month
$18,055
Average Unprofitable Month
-$18,235
% of Profitable Months
41.67
% of Unprofitable Months
58.33
Rolling 24
Sharpe Ratio
0.01
Largest Run Up
$38,021
Largest Drawdown
-$65,951
Correlation to S&P 500
0.3632
Average Profitable Month
$14,201
Average Unprofitable Month
-$13,440
% of Profitable Months
50.00
% of Unprofitable Months
50.00
Rolling 36
Sharpe Ratio
-1.80
Largest Run Up
$38,021
Largest Drawdown
-$91,613
Correlation to S&P 500
0.2521
Average Profitable Month
$13,671
Average Unprofitable Month
-$14,675
% of Profitable Months
50.00
% of Unprofitable Months
50.00
All Data
Sharpe Ratio
18.90
Largest Run Up
$85,876
Largest Drawdown
-$91,613
Correlation to S&P 500
0.7641
Average Profitable Month
$10,760
Average Unprofitable Month
-$9,806
% of Profitable Months
58.99
% of Unprofitable Months
37.41
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Stat
2,354
3 Month Libor
1,475
0.5947
Barclay Commodity
1,769
0.6577
Barclay Systematic
1,804
0.6936
Barra S&P 500
2,340
0.7641
CSFB Managed Futures
1,778
0.6166
Lehman Aggregate Bonds
1,766
0.6966
ML 90 Day T-Bill
1,454
0.5852
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 | 9.80% | 0.89% | 5.31% | -13.19% | -6.31% | -4.61% | -12.48% | -5.08% | 8.64% | |||
| Count | 139 | 137 | 134 | 128 | 122 | 116 | 104 | 92 | 80 | |||
| Percent Profitable | 58.99% | 63.50% | 74.63% | 80.47% | 77.87% | 83.62% | 88.46% | 91.30% | 100.00% | |||
| Average | 0.97% | 2.89% | 6.01% | 12.33% | 19.51% | 27.06% | 43.53% | 62.48% | 83.31% | |||
| Average Gain | 3.91% | 7.04% | 10.41% | 17.87% | 27.10% | 34.58% | 50.66% | 69.07% | 83.31% | |||
| Average Loss | -3.25% | -4.32% | -6.93% | -10.50% | -7.19% | -11.37% | -11.18% | -6.76% | 0% | |||
| Best Period | 15.90% | 28.07% | 31.05% | 45.62% | 59.11% | 72.27% | 88.34% | 106.04% | 120.29% | |||
| Worst Period | -12.59% | -18.14% | -23.58% | -23.97% | -20.25% | -28.05% | -22.14% | -20.60% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$2,679
Avg. Yearly Returns
$31,033
Cummulative Returns
$372,401
Max Intra-Mo. DD(loss)
-$91,426
Max Monthly DD(Loss)
-$34,635
Max Yearly DD(Loss)
-$73,795
Maxx DD(Loss) All Periods
-$91,613
YTD Equity Low
-$69,871
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$43,715
Greatest Down Month
-$34,635
Asset Class
Futures
Release Date
05/2002
Developer
Randy Stuckey
System Price
$1475
Max MoGain/Max MoDD
0.59
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$43,715
Max Yearly Gain
$125,444
Standard Deviation YTD
$22,822
Standard Deviation(Life)
$13,096
YTD Equity Peak
$3,264
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No