Quick View: Performance Report - Hypothetical
Trading System: Soybeans DTII
Developer: David Bean
Portfolio Size: $11,000
Program Overview:
Soybeans Daytrade II is a system based on a single rule that was added to Soybeans Python at the beginning of 2009 based on some market observations in Soybeans. Since 2009, Soybeans Python included two independent entry rules, on based on our Python strategy and the new rule that we added based on market observations. The Python trading systems has been used on stock indexes starting in 2000 and was gradually applied to other markets such as Soybeans. Since 2009, the Python based rule has not done well in most markets. The other independent rule that was added to the Soybeans Python at the beginning of 2009 when tested alone (in rule isolation) has done really well (performance summary below). I have separated this rule into a system of its own, Soybeans Daytrade II.
Price: Contact Broker (800)894-8194
Portfolio Diversification
1 SectorsGrains(1)
Yearly Hypothetical Performance & Risk Analysis on a $11,000 Investment
 2008200920102011Average
Annual $ Returns$9,013$9,963$100$7,663$6,684
Annual % Return81.93%90.57%0.91%69.66%
Max DrawDown$-1$-2,500$-2,838$-1,238$-1,644
Hot Stats
Hypothetical Performance Data
2011 (YTD)
$7,662
Rolling 12 Month
$7,462
Rolling 36 Month
$26,062
Avg. 12 Month $
$6,132
Avg. 36 Month $
$25,189
Time Window Analysis
      6 Month 12 Month 24 Month 36 Month 5 Years
  Latest   51.02% 76.81% 83.19% 221.03% 0.00%
  Count   32 26 14 2
  Percent Profitable   71.88% 84.62% 100.00% 100.00% 0%
  Average   36.77% 55.75% 105.33% 228.99% 0%
  Average Gain   55.10% 69.39% 105.33% 228.99% 0%
  Average Loss   -10.09% -19.31% 0% 0% 0%
  Best Period   106.69% 152.97% 169.11% 236.94% 0.00%
  Worst Period   -25.00% -45.79% 0.00% 0.00% 0.00%
Benchmarks Growth of $1000 since 7/2008
Benchmarks Growth of $1000 since 7/2008
Name
Vami
Correlation
Soybeans DTII
3,431
Barra S&P 500
1,074
-0.2106
CSFB Managed Futures
994
0.0020
ML 90 Day T-Bill
1,022
0.0451
Historical Yearly Averages Since 7/2008 (%)
 %Avg GainMax GainAvg RiskMax Risk
Soybeans DTII54.7476.25-14.95-25.80
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
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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.