Quick View: Performance Report - Hypothetical
Trading System: Lion II Alt
Developer: Gary Hart
Portfolio Size: $10,000
Program Overview:
Lion II Alt is the same strategy as Lion II except placed on a chart that is offset by 1 minute to not coincide with orders being sent by the original strategy. It is a mechanical day-trading strategy for the Russell 2000 mini that attempts to capture the major price movement of the day. It is the same as Lion but with an additional entry filter. It only trades on days shown statistically to be robust, and during those days it will make a maximum of two trades. No trades are held overnight. All orders are market or stop market to ensure real-time trades will be filled (no partial orders, unfilled limit orders, etc.).
Price: Contact Broker (800)894-8194
Portfolio Diversification
| 1 Sectors | Indices(1) |
Yearly Hypothetical Performance & Risk Analysis on a $10,000 Investment
| 2008 | 2009 | 2010 | 2011 | Average | |
| Annual $ Returns | $22,290 | $5,170 | $12,660 | $-3,970 | $9,038 |
| Annual % Return | 222.90% | 51.70% | 126.60% | -39.70% | |
| Max DrawDown | $-1 | $-2,900 | $-550 | $-4,650 | $-2,025 |
Hot Stats
Hypothetical Performance Data
2011 (YTD)
-$3,970
Rolling 12 Month
-$2,300
Rolling 36 Month
$34,760
Avg. 12 Month $
$9,345
Avg. 36 Month $
$34,550
Time Window Analysis
| 6 Month | 12 Month | 24 Month | 36 Month | 5 Years | |||
| Latest | -46.50% | -17.50% | 121.10% | 343.40% | 0.00% | ||
| Count | 32 | 26 | 14 | 2 | |||
| Percent Profitable | 81.25% | 92.31% | 100.00% | 100.00% | 0% | ||
| Average | 49.43% | 93.45% | 192.31% | 345.50% | 0% | ||
| Average Gain | 66.18% | 102.93% | 192.31% | 345.50% | 0% | ||
| Average Loss | -23.17% | -20.25% | 0% | 0% | 0% | ||
| Best Period | 240.20% | 246.60% | 370.60% | 347.60% | 0.00% | ||
| Worst Period | -46.50% | -23.00% | 0.00% | 0.00% | 0.00% |
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Lion II Alt
4,615
Barra S&P 500
1,074
-0.0775
CSFB Managed Futures
994
0.0013
ML 90 Day T-Bill
1,022
0.0300
Historical Yearly Averages Since 7/2008 (%)
| % | Avg Gain | Max Gain | Avg Risk | Max Risk | |
| Lion II Alt | 79.68 | 209.00 | -20.25 | -46.50 | |
| Barra S&P 500 | 8.68 | 34.44 | -10.82 | -33.53 | |
| CSFB Managed Futures | 6.03 | 19.19 | -7.37 | -18.72 | |
| ML 90 Day T-Bill | 3.30 | 5.59 | 0.00 | -0.00 |
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