Detailed: Performance Report - Hypothetical
Trading System: AberrationPlus
Developer: Keith Fitschen
Portfolio Size: $113,000
Program Overview:
The Aberration Plus trading system was developed in 1999. It is an enhanced version of the original Aberration program. It trades eight commodity groups: the grains, meats, softs, metals, petroleum products, currencies, financials and stock indices.
Price: Contact Broker (800)894-8194
DIVERSIFIED ASSETS
8 Sectors
Consecutive Profitable Periods
Run-Up Length Start Date End Date
$49,957 8 9/2005 4/2006
$48,215 4 11/2007 2/2008
$37,409 3 12/2003 2/2004
$33,403 4 11/1999 2/2000
$26,656 5 5/2002 9/2002
$24,710 4 12/2000 3/2001
Consecutive Losing Periods
Run-Down Length Start Date End Date
$-25,323 6 11/2001 4/2002
$-25,044 6 3/2005 8/2005
$-22,000 5 3/2008 7/2008
$-21,010 3 5/1996 7/1996
$-18,994 3 2/2003 4/2003
$-16,851 4 3/2004 6/2004
DRAWDOWN ANALYSIS
% Depth $ Depth Prior Peak Valley Length Recovery
-33.13% $-37,441 12/2004 8/2005 7 6
-30.18% $-34,105 4/2006 7/2007 9 7
-29.12% $-32,911 1/2003 9/2003 5 5
-22.41% $-25,323 10/2001 4/2002 6 5
-19.47% $-22,000 2/2008 7/2008 5 4
-18.59% $-21,010 4/1996 7/1996 3 7
Hypothetical Performance Data
2009 (YTD)
$1,562
Rolling 12 Month
$30,958
Rolling 24 Month
$45,479
Rolling 36 Month
$37,999
Risk Analysis (Anualized Standard Deviation)
2009 (YTD)
$ 0
Rolling 12 Month
$9,601
Rolling 24 Month
$7,822
Rolling 36 Month
$7,025
Maximum (YTD) Drawdown
$ 0

Rolling 3

Sharpe Ratio
5.65
Largest Run Up
$5,940
Largest Drawdown
$ 0
Correlation to S&P 500
NA
Average Profitable Month
$1,980
Average Unprofitable Month
$ 0
% of Profitable Months
100.00
% of Unprofitable Months
0.00

Rolling 12

Sharpe Ratio
2.73
Largest Run Up
$25,265
Largest Drawdown
-$22,000
Correlation to S&P 500
-0.2720
Average Profitable Month
$7,565
Average Unprofitable Month
-$4,400
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 24

Sharpe Ratio
4.48
Largest Run Up
$48,215
Largest Drawdown
-$22,000
Correlation to S&P 500
0.0867
Average Profitable Month
$6,240
Average Unprofitable Month
-$4,188
% of Profitable Months
58.33
% of Unprofitable Months
41.67

Rolling 36

Sharpe Ratio
3.34
Largest Run Up
$48,215
Largest Drawdown
-$34,105
Correlation to S&P 500
0.4915
Average Profitable Month
$5,375
Average Unprofitable Month
-$4,343
% of Profitable Months
55.56
% of Unprofitable Months
44.44

All Data

Sharpe Ratio
26.73
Largest Run Up
$49,957
Largest Drawdown
-$37,441
Correlation to S&P 500
0.8686
Average Profitable Month
$5,286
Average Unprofitable Month
-$4,306
% of Profitable Months
57.63
% of Unprofitable Months
40.11
Click here to view help on the Confidence Band Chart.
Benchmarks Growth of $1000 since 5/1994
Benchmarks Growth of $1000 since 5/1994
Name
Vami
Correlation
AberrationPlus
3,066
3 Month Libor
1,603
0.5877
Barclay Commodity
1,988
0.6845
Barclay Systematic
2,026
0.7095
Barra S&P 500
2,505
0.8686
CSFB Managed Futures
2,009
0.6614
Lehman Aggregate Bonds
1,926
0.7125
ML 90 Day T-Bill
1,576
0.5759
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   1.38% 2.33% 20.58% 2.88% 48.76% 42.11% 29.22% 43.70% 35.48%
  Count   177 175 172 166 160 154 142 130 118
  Percent Profitable   57.63% 61.14% 73.26% 79.52% 87.50% 94.81% 91.55% 98.46% 100.00%
  Average   1.17% 3.53% 7.04% 13.29% 19.24% 24.70% 37.87% 50.32% 64.72%
  Average Gain   4.68% 9.52% 13.45% 19.98% 23.74% 26.41% 41.78% 51.21% 64.72%
  Average Loss   -3.61% -5.89% -10.53% -12.69% -12.27% -6.60% -4.48% -6.66% 0%
  Best Period   24.51% 35.03% 45.88% 40.30% 52.86% 65.40% 84.53% 97.45% 109.35%
  Worst Period   -13.28% -18.59% -27.23% -27.15% -30.38% -16.21% -13.20% -11.05% 0.00%
Click here to view help on Time Window Analysis
Additional Statistics
Avg. Monthly Returns
$1,319
Avg. Yearly Returns
$14,472
Cummulative Returns
$231,553
Max Intra-Mo. DD(loss)
-$36,191
Max Monthly DD(Loss)
-$15,009
Max Yearly DD(Loss)
-$32,911
Maxx DD(Loss) All Periods
-$37,441
YTD Equity Low
-$ 790
Risk Class L/M/H
TBD
Sys Style
Diversified
Sys Type
Long Term
Greatest Up Month
$27,694
Greatest Down Month
-$15,009
Asset Class
Futures
Release Date
01/1999
Developer
Keith Fitschen
System Price
$1995
Max MoGain/Max MoDD
0.84
Max YrGain/Max YrDD
?
Max Intra-Mo Gain
TBD
Max Monthly Gain
$27,694
Max Yearly Gain
$41,199
Standard Deviation YTD
$6,166
Standard Deviation(Life)
$6,302
YTD Equity Peak
$1,862
Assumptions
Commissions / Slippage
$75 RT
Data
CSI (End of Day)
Broker
Trade Center, LLC.
System Assist
Yes
Auto Trade
No
The above trading system uses $75 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.