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PerformanceTrac
Checkmate
Detailed report
Developed By: Dean Hoffman
Portfolio Size: $45,000
Program Overview:
Checkmate is a commodity trading system that trades the entire spectrum of commodities and does so with identical rule and parameter sets. The primary performance goal with Checkmate is not to maximum profit, but rather to achieve a consistency of returns and minimization of drawdown. Checkmate is very selective when entering the market, even when monitoring a large number of commodities Checkmate will usually only be in a small number of trades. The average margin requirement for Checkmate is often much less than other systems tracking the same markets.
The systems logic is designed to capture mid-term trends. The system uses advanced trend filtering when entering and a combination of exits. Checkmate attempts to get out of profitable trades very near the recent high (or low) of the trend. The system attempts to reduce the huge give back in open trade equity often seen in many trend following systems.
Price: $1995
| DIVERSIFIED ASSETS | |
|---|---|
| 8 Sectors | |
| |||||||||||||||||||||||||||||||||
| Consecutive Losing Periods | |||
|---|---|---|---|
| Run-Down | Length | Start Date | End Date |
| $-14,984 | 4 | 11/2001 | 2/2002 |
| $-14,581 | 2 | 2/1996 | 3/1996 |
| $-9,818 | 3 | 9/2000 | 11/2000 |
| $-9,104 | 2 | 12/1994 | 1/1995 |
| $-8,720 | 1 | 4/1998 | 4/1998 |
| $-8,272 | 1 | 6/1997 | 6/1997 |
| DRAWDOWN ANALYSIS | |||||
|---|---|---|---|---|---|
| % Depth | $ Depth | Prior Peak | Valley | Length | Recovery |
| -33.30% | $-14,984 | 10/2001 | 2/2002 | 4 | 4 |
| -32.40% | $-14,581 | 1/1996 | 3/1996 | 2 | 10 |
| -25.50% | $-11,475 | 6/2000 | 11/2000 | 3 | 11 |
| -23.18% | $-10,431 | 5/1997 | 10/1997 | 2 | 3 |
| -21.86% | $-9,838 | 3/1998 | 7/1998 | 3 | 7 |
| -20.23% | $-9,104 | 11/1994 | 1/1995 | 2 | 2 |
Performance Data
2005 (YTD)
$1,899
Rolling 12 Month
$12,630
Rolling 24 Month
$26,822
Rolling 36 Month
$54,662
Risk Analysis (Anualized Standard Deviation)
2005 (YTD)
$1,442
Rolling 12 Month
$3,382
Rolling 24 Month
$3,076
Rolling 36 Month
$3,571
Maximum (YTD) Drawdown
-$ 782
Rolling 3
Sharpe Ratio
1.20
Largest Run Up
$2,682
Largest Drawdown
-$ 782
Correlation to S&P 500
NA
Average Profitable Month
$1,341
Average Unprofitable Month
-$ 782
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 12
Sharpe Ratio
3.59
Largest Run Up
$10,762
Largest Drawdown
-$6,286
Correlation to S&P 500
-0.0339
Average Profitable Month
$2,707
Average Unprofitable Month
-$2,256
% of Profitable Months
66.67
% of Unprofitable Months
33.33
Rolling 24
Sharpe Ratio
8.37
Largest Run Up
$10,985
Largest Drawdown
-$6,286
Correlation to S&P 500
0.8588
Average Profitable Month
$2,886
Average Unprofitable Month
-$1,830
% of Profitable Months
62.50
% of Unprofitable Months
37.50
Rolling 36
Sharpe Ratio
14.75
Largest Run Up
$18,543
Largest Drawdown
-$6,286
Correlation to S&P 500
-0.1765
Average Profitable Month
$3,208
Average Unprofitable Month
-$1,862
% of Profitable Months
66.67
% of Unprofitable Months
33.33
All Data
Sharpe Ratio
33.72
Largest Run Up
$42,002
Largest Drawdown
-$14,984
Correlation to S&P 500
0.7608
Average Profitable Month
$4,278
Average Unprofitable Month
-$2,836
% of Profitable Months
57.25
% of Unprofitable Months
38.17
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
Checkmate
4,978
3 Month Libor
1,449
0.5064
Barclay Commodity
1,707
0.6188
Barclay Systematic
1,753
0.6537
Barra S&P 500
2,210
0.7608
CSFB Managed Futures
1,662
0.5783
Lehman Aggregate Bonds
1,752
0.6264
ML 90 Day T-Bill
1,434
0.5124
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 | 0.15% | 5.96% | 25.32% | 18.77% | 28.70% | 60.33% | 130.81% | 121.42% | 136.11% | |||
| Count | 131 | 129 | 126 | 120 | 114 | 108 | 96 | 84 | 72 | |||
| Percent Profitable | 57.25% | 66.67% | 80.95% | 88.33% | 93.86% | 99.07% | 100.00% | 100.00% | 100.00% | |||
| Average | 3.04% | 9.25% | 18.82% | 37.19% | 54.31% | 71.68% | 105.22% | 137.46% | 179.01% | |||
| Average Gain | 9.51% | 17.47% | 25.60% | 42.99% | 58.55% | 72.37% | 105.22% | 137.46% | 179.01% | |||
| Average Loss | -5.63% | -7.19% | -9.99% | -6.75% | -10.48% | -2.91% | 0% | 0% | 0% | |||
| Best Period | 50.57% | 63.85% | 84.37% | 118.71% | 121.56% | 143.59% | 163.21% | 189.12% | 240.85% | |||
| Worst Period | -22.49% | -22.74% | -27.02% | -17.96% | -27.89% | -2.91% | 0.00% | 0.00% | 0.00% | |||
| Click here to view help on Time Window Analysis |
Additional Statistics
Avg. Monthly Returns
$1,366
Avg. Yearly Returns
$14,917
Cummulative Returns
$179,008
Max Intra-Mo. DD(loss)
-$17,019
Max Monthly DD(Loss)
-$10,120
Max Yearly DD(Loss)
-$14,581
Maxx DD(Loss) All Periods
-$14,984
YTD Equity Low
-$2,322
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Medium Term
Greatest Up Month
$22,757
Greatest Down Month
-$10,120
Asset Class
Futures
Release Date
Developer
Dean Hoffman
System Price
$1995
Max MoGain/Max MoDD
1.56
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$22,757
Max Yearly Gain
$36,510
Standard Deviation YTD
$3,392
Standard Deviation(Life)
$4,729
YTD Equity Peak
$2,206
Assumptions
Commissions
TBD
Slippage
TBD
Data
CSI (End of Day)
Broker
Trade Center, Inc.
System Assist
Yes
Auto Trade
No