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 Sectors | Grains(1) |
Yearly Hypothetical Performance & Risk Analysis on a $11,000 Investment
| 2008 | 2009 | 2010 | 2011 | Average | |
| Annual $ Returns | $9,013 | $9,963 | $100 | $7,663 | $6,684 |
| Annual % Return | 81.93% | 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 Gain | Max Gain | Avg Risk | Max Risk | |
| Soybeans DTII | 54.74 | 76.25 | -14.95 | -25.80 | |
| 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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