Quick View: Performance Report - Hypothetical
Trading System: Gap Fill Rank ES
Developer: David Bean
Portfolio Size: $10,000
Program Overview:
A strategy revealed in my book , "Seven Trading Systems for the S&P Futures" uses conventional wisdom and intermarket analysis to determine when to trade a gap. It has a $200 profit target and $500 stop loss, trading off of one minute bars. It is very selective taking about 2-3 trades per month and shows historical accuracy of almost 9 winners for every 10 trades. This strategy trades in the Low Frequency Portfolio.
Price: Contact Broker (800)894-8194
Portfolio Diversification
1 SectorsIndices(1)
Yearly Hypothetical Performance & Risk Analysis on a $10,000 Investment
 2008200920102011Average
Annual $ Returns$325$2,650$3,263$-25$1,553
Annual % Return3.25%26.50%32.63%-0.25%
Max DrawDown$-1$-375$-300$-963$-410
Hot Stats
Hypothetical Performance Data
2011 (YTD)
-$ 25
Rolling 12 Month
$ 425
Rolling 36 Month
$6,212
Avg. 12 Month $
$2,545
Avg. 36 Month $
$6,218
Time Window Analysis
      6 Month 12 Month 24 Month 36 Month 5 Years
  Latest   -6.37% 3.27% 38.79% 62.18% 0.00%
  Count   32 26 14 2
  Percent Profitable   90.63% 100.00% 100.00% 100.00% 0%
  Average   12.07% 25.45% 51.99% 62.18% 0%
  Average Gain   13.78% 25.45% 51.99% 62.18% 0%
  Average Loss   -4.45% 0% 0% 0% 0%
  Best Period   26.76% 37.27% 63.79% 62.18% 0.00%
  Worst Period   -6.37% 0.00% 0.00% 0.00% 0.00%
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Gap Fill Rank ES
1,621
Barra S&P 500
1,074
-0.2238
CSFB Managed Futures
994
0.0032
ML 90 Day T-Bill
1,022
0.0653
Historical Yearly Averages Since 7/2008 (%)
 %Avg GainMax GainAvg RiskMax Risk
Gap Fill Rank ES12.2829.38-4.10-9.63
Barra S&P 5008.6834.44-10.82-33.53
CSFB Managed Futures6.0319.19-7.37-18.72
ML 90 Day T-Bill3.305.590.00-0.00
How to Get Stated
About the Introducing Brokers
About Your Broker
Financial Safeguards
Regulatory Agencies
Why Trade Futures
Trading Systems Explained
Additional Risk Disclosures
The above trading system uses $37.50 RT 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.