Quick View: Performance Report - Hypothetical
Trading System: Gold Spike
Developer: David Bean
Portfolio Size: $18,000
Program Overview:
Gold Spike is a trading system taken from our stock index portfolio used to fade short term spikes in the Gold futures markets. Strategies from the stock index portfolio are tested on commodity markets when price action in those commodity markets represents the type of system that has already been designed for stock indexes. The strategy was changed by limiting the entries per day to 3, expanding the trading window to 2 hours earlier, starting at 7:30 am EST, and adding a stochastic condition to the entry rules to make sure that short trades are not entered in oversold markets and long trades aren’t entered in overbought markets. The strategy trades five minute charts The Gold Spike trading system enters trades between 7:30 am – 2:30 pm EST and exits by 4:00 pm EST for any open positions so that no trades are held overnight. The stop loss is set to $800 with a maximum of 3 trades per day.
Price: Contact Broker (800)894-8194
Portfolio Diversification
1 SectorsMetals(1)
Yearly Hypothetical Performance & Risk Analysis on a $18,000 Investment
 2008200920102011Average
Annual $ Returns$3,185$2,420$12,830$9,893$7,082
Annual % Return17.69%13.44%71.28%54.96%
Max DrawDown$-6,248$-8,600$-2,548$-2,845$-5,060
Hot Stats
Hypothetical Performance Data
2011 (YTD)
$9,892
Rolling 12 Month
$14,470
Rolling 36 Month
$25,815
Avg. 12 Month $
$9,351
Avg. 36 Month $
$27,369
Time Window Analysis
      6 Month 12 Month 24 Month 36 Month 5 Years
  Latest   35.32% 72.42% 144.39% 160.66% 0.00%
  Count   32 26 14 2
  Percent Profitable   81.25% 88.46% 100.00% 100.00% 0%
  Average   28.45% 51.95% 106.18% 152.05% 0%
  Average Gain   39.49% 59.26% 106.18% 152.05% 0%
  Average Loss   -19.37% -4.09% 0% 0% 0%
  Best Period   80.93% 94.10% 144.39% 160.66% 0.00%
  Worst Period   -35.97% -5.81% 0.00% 0.00% 0.00%
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Gold Spike
2,574
Barra S&P 500
1,074
-0.1260
CSFB Managed Futures
994
0.0078
ML 90 Day T-Bill
1,022
0.0510
Historical Yearly Averages Since 7/2008 (%)
 %Avg GainMax GainAvg RiskMax Risk
Gold Spike29.3157.65-28.11-47.78
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.