HYPOTHETICAL PERFORMANCE DISCLAIMER 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 IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR 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 OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. FOREX RISK DISCLOSURE STATEMENT OFF-EXCHANGE FOREIGN CURRENCY TRANSACTIONS INVOLVE THE LEVERAGED TRADING OF CONTRACTS DENOMINATED IN FOREIGN CURRENCY CONDUCTED WITH A FUTURES COMMISSION MERCHANT OR A RETAIL FOREIGN EXCHANGE DEALER AS YOUR COUNTERPARTY. BECAUSE OF THE LEVERAGE AND THE OTHER RISKS DISCLOSED HERE, YOU CAN RAPIDLY LOSE ALL OF THE FUNDS YOU DEPOSIT FOR SUCH TRADING AND YOU MAY LOSE MORE THAN YOU DEPOSIT. YOU SHOULD BE AWARE OF AND CAREFULLY CONSIDER THE FOLLOWING POINTS BEFORE DETERMINING WHETHER SUCH TRADING IS APPROPRIATE FOR YOU. (1) TRADING IS NOT ON A REGULATED MARKET OR EXCHANGE—YOUR DEALER IS YOUR TRADING PARTNER WHICH IS A DIRECT CONFLICT OF INTEREST. BEFORE YOU ENGAGE IN ANY RETAIL FOREIGN EXCHANGE TRADING, YOU SHOULD CONFIRM THE REGISTRATION STATUS OF YOUR COUNTERPARTY. The off-exchange foreign currency trading you are entering into is not conducted on an interbank market, nor is it conducted on a futures exchange subject to regulation as a designated contract market by the Commodity Futures Trading Commission. The foreign currency trades you transact are trades with the futures commission merchant or retail foreign exchange dealer as your counterparty. WHEN YOU SELL, THE DEALER IS THE BUYER. WHEN YOU BUY, THE DEALER IS THE SELLER. As a result, when you lose money trading, your dealer is making money on such trades, in addition to any fees, commissions, or spreads the dealer may charge. (2) AN ELECTRONIC TRADING PLATFORM FOR RETAIL FOREIGN CURRENCY TRANSACTIONS IS NOT AN EXCHANGE. IT IS AN ELECTRONIC CONNECTION FOR ACCESSING YOUR DEALER. THE TERMS OF AVAILABILITY OF SUCH A PLATFORM ARE GOVERNED ONLY BY YOUR CONTRACT WITH YOUR DEALER. Any trading platform that you may use to enter off-exchange foreign currency transactions is only connected to your futures commission merchant or retail foreign exchange dealer. You are accessing that trading platform only to transact with your dealer. You are not trading with any other entities or customers of the dealer by accessing such platform. The availability and operation of any such platform,
including the consequences of the unavailability of the trading platform for any reason, is governed only by the terms of your account agreement with the dealer. (3) YOUR DEPOSITS WITH THE DEALER HAVE NO REGULATORY PROTECTIONS. All of your rights associated with your retail forex trading, including the manner and denomination of any payments made to you, are governed by the contract terms established in your account agreement with the futures commission merchant or retail foreign exchange dealer. Funds deposited by you with a futures commission merchant or retail foreign exchange dealer for trading off-exchange foreign currency transactions are not subject to the customer funds protections provided to customers trading on a contract market that is designated by the Commodity Futures Trading Commission. Your dealer may commingle your funds with its own operating funds or use them for other purposes. In the event your dealer becomes bankrupt, any funds the dealer is holding for you in addition to any amounts owed to you resulting from trading, whether or not any assets are maintained in separate deposit accounts by the dealer, may be treated as an unsecured creditor’s claim. (4) YOU ARE LIMITED TO YOUR DEALER TO OFFSET OR LIQUIDATE ANY TRADING POSITIONS SINCE THE TRANSACTIONS ARE NOT MADE ON AN EXCHANGE OR MARKET, AND YOUR DEALER MAY SET ITS OWN PRICES. Your ability to close your transactions or offset positions is limited to what your dealer will offer to you, as there is no other market for these transactions. Your dealer may offer any prices it wishes, and it may offer prices derived from outside sources or not in its discretion. Your dealer may establish its prices by offering spreads from third party prices, but it is under no obligation to do so or to continue to do so. Your dealer may offer different prices to different customers at any point in time on its own terms. The terms of your account agreement alone govern the obligations your dealer has to you to offer prices and offer offset or liquidating transactions in your account and make any payments to you. The prices offered by your dealer may or may not reflect prices available elsewhere at any exchange, interbank, or other market for foreign currency. (5) PAID SOLICITORS MAY HAVE UNDISCLOSED CONFLICTS The futures commission merchant or retail foreign exchange dealer may compensate introducing brokers for introducing your account in ways which are not disclosed to you. Such paid solicitors are not required to have, and may not have, any special expertise in trading, and may have conflicts of interest based on the method by which they are compensated. Solicitors working on behalf of futures commission merchants and retail foreign exchange dealers are required to register. You should confirm that they are, in fact registered. You should thoroughly investigate the manner in which all such solicitors are compensated and be very cautious in granting any person or entity authority to trade on your behalf. You should always consider obtaining dated written confirmation of any information you are relying on from your dealer or a solicitor in making any trading or account decisions. FINALLY, YOU SHOULD THOROUGHLY INVESTIGATE ANY STATEMENTS BY ANY DEALERS OR SALES REPRESENTATIVES WHICH MINIMIZE THE IMPORTANCE OF, OR CONTRADICT, ANY OF THE TERMS OF THIS RISK DISCLOSURE. SUCH STATEMENTS MAY INDICATE POTENTIAL SALES FRAUD. THIS BRIEF STATEMENT CANNOT, OF COURSE, DISCLOSE ALL THE RISKS AND OTHER ASPECTS OF TRADING OFFEXCHANGE FOREIGN CURRENCY TRANSACTIONS WITH A FUTURES COMMISSION MERCHANT OR RETAIL FOREIGN EXCHANGE DEALER.
Max Drawdown: Max Drawdown %: Max Drawdown Date: Longest Drawdown: Recovery Factor:
($19,097.00) 11.94% 6/1/2007 155 days 28.20
Total Trades: Winning Trades: Losing Trades: Even Trades: % Profitable:
5443 2601 2842 0 47.79%
Max Runup: Max Runup %: Max Runup Date: Longest Runup: Equity Peak:
$36,301.00 22.69% 10/28/2008 78 days $546,062.80
Avg. Trade Net Profit: Avg. Winning Trade: Avg. Losing Trade: Payoff Ratio:
$98.96 $629.05 ($386.19) 1.629
Return on Initial Capital: Annual Rate of Return: Avg. Monthly Return: Monthly Std. Dev.: % Profitable Months:
336.64% 56.12% $7,482.56, 4.68% $9,249.35 69.86%
Largest Win: Largest Loss: Max Cons. Winners: Max Cons. Losers:
$15,949.00, 0.97% ($1,296.00), 0.12% 15 20
Sharpe Ratio: Sortino Ratio: Sterling Ratio: MAR Ratio:
2.70 5.37 5.45 4.70
Trading Period:
6.0 years 6/6/2006-6/5/2012 9 days 800000
Total Commission: Total Slippage:
$0.00 $326,580.00
Longest Flat Period: Max Shares/Contracts:
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$538,621.40 $1,636,160.90 ($1,097,539.50) 1.491 1.435
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Total Net Profit: Gross Profit: Gross Loss: Profit Factor: Pessimistic RR:
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Performance Summary
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Accumulative Monthly Net Profit
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Closed Trade Equity Curve
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Monthly Profit Distribution
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Monthly Net Profit
Largest Drawdowns -$19,097.00 -$16,344.00 -$14,020.30 -$12,327.00 -$12,280.00
155 days 127 days 60 days 45 days 45 days
Total Drawdowns: Average Amount: Average Length:
209 -$2,727.21 8 days
Closed Trade Drawdowns
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Length
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$ Amount
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Drawdown Analysis
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Drawdown Length Distribution
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Drawdown Depth Distribution
Periodical Returns Year 2012 2011 2010 2009 2008 2007 2006
Net Profit $15,732.70 $106,562.70 $71,944.00 $126,538.00 $167,104.00 $41,086.00 $9,654.00
% Return 9.83% 66.60% 44.96% 79.09% 104.44% 25.68% 6.03%
Profit Factor 1.23 1.51 1.46 1.57 1.81 1.27 1.11
# Trades 371 1002 737 994 948 896 495
% Profitable 43.40% 50.80% 48.98% 51.21% 50.32% 42.08% 41.41%
Net Profit ($722.40) ($222.20) ($2,758.00) $4,452.20 $1,606.40 $13,376.70 $1,593.10 ($2,210.40) $12,849.30 $14,924.60 $3,489.40 $12,047.60 $9,445.50 $18,721.50 $9,357.10 ($1,003.00) $5,813.00 $21,535.00 ($1,188.00) $4,246.00 $17,089.00 $20,688.00 ($77.00) $24,423.00 $2,435.00 ($129.00) $6,654.00 ($3,888.00) $5,013.00 ($3,322.00) $7,891.00
% Return -0.45% -0.14% -1.72% 2.78% 1.00% 8.36% 1.00% -1.38% 8.03% 9.33% 2.18% 7.53% 5.90% 11.70% 5.85% -0.63% 3.63% 13.46% -0.74% 2.65% 10.68% 12.93% -0.05% 15.26% 1.52% -0.08% 4.16% -2.43% 3.13% -2.08% 4.93%
Profit Factor 0.00 0.98 0.87 1.47 1.09 2.68 1.07 0.93 1.58 1.87 1.11 2.03 2.17 2.14 1.78 0.92 1.37 3.65 0.93 1.64 2.91 3.12 1.00 4.07 1.13 0.98 1.65 0.68 1.35 0.83 1.64
# Trades 3 52 120 56 93 47 100 136 108 85 151 64 38 87 58 70 69 36 78 35 51 62 94 57 90 29 52 51 63 75 54
% Profitable 0.00% 34.62% 39.17% 55.36% 40.86% 57.45% 50.00% 38.97% 45.37% 57.65% 51.66% 57.81% 52.63% 58.62% 56.90% 51.43% 49.28% 52.78% 43.59% 60.00% 64.71% 64.52% 39.36% 50.88% 51.11% 44.83% 53.85% 45.10% 46.03% 37.33% 46.30%
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Annual Returns
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Year 6/2012 5/2012 4/2012 3/2012 2/2012 1/2012 12/2011 11/2011 10/2011 9/2011 8/2011 7/2011 6/2011 5/2011 4/2011 3/2011 2/2011 1/2011 12/2010 11/2010 10/2010 9/2010 8/2010 7/2010 6/2010 5/2010 4/2010 3/2010 2/2010 1/2010 12/2009
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Monthly Returns
0.74 1.56 1.68 3.19 1.01 2.04 1.38 0.84 2.74 1.11 2.54 1.98 1.33 2.21 2.58 2.39 1.40 1.24 0.72 2.67 4.64 3.02 0.96 1.84 0.93 0.80 1.97 1.75 1.94 2.00 0.49 0.96 1.03 0.87 2.02 0.77 2.05 1.58 0.78 0.66 2.75 1.40
97 73 96 62 88 75 79 57 96 136 81 79 125 85 85 35 95 71 99 89 32 70 83 59 95 56 75 60 79 66 109 74 88 60 75 65 56 70 91 123 42 48
40.21% 50.68% 52.08% 58.06% 44.32% 62.67% 44.30% 43.86% 58.33% 52.94% 59.26% 53.16% 46.40% 44.71% 56.47% 37.14% 48.42% 49.30% 41.41% 65.17% 65.62% 58.57% 43.37% 42.37% 37.89% 39.29% 48.00% 48.33% 39.24% 51.52% 33.03% 39.19% 40.91% 45.00% 48.00% 32.31% 41.07% 45.71% 28.57% 39.84% 57.14% 62.50%
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-4.12% 4.79% 8.91% 12.33% 0.14% 8.12% 4.66% -1.65% 21.60% 2.33% 17.05% 10.43% 7.11% 18.83% 19.09% 8.97% 4.47% 1.94% -3.74% 12.74% 12.22% 12.86% -0.47% 7.21% -0.95% -1.29% 6.77% 4.60% 5.70% 4.14% -5.78% -0.28% 0.24% -1.01% 6.33% -2.08% 5.22% 2.87% -2.40% -5.58% 6.71% 1.30%
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($6,593.00) $7,668.00 $14,263.00 $19,728.00 $230.00 $12,988.00 $7,450.00 ($2,643.00) $34,561.00 $3,720.00 $27,275.00 $16,684.00 $11,371.00 $30,123.00 $30,548.00 $14,345.00 $7,146.00 $3,106.00 ($5,982.00) $20,380.00 $19,552.00 $20,579.00 ($748.00) $11,541.00 ($1,518.00) ($2,068.00) $10,824.00 $7,356.00 $9,123.00 $6,630.00 ($9,250.00) ($455.00) $391.00 ($1,619.00) $10,131.00 ($3,336.00) $8,350.00 $4,595.00 ($3,835.00) ($8,930.00) $10,729.00 $2,081.00
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11/2009 10/2009 9/2009 8/2009 7/2009 6/2009 5/2009 4/2009 3/2009 2/2009 1/2009 12/2008 11/2008 10/2008 9/2008 8/2008 7/2008 6/2008 5/2008 4/2008 3/2008 2/2008 1/2008 12/2007 11/2007 10/2007 9/2007 8/2007 7/2007 6/2007 5/2007 4/2007 3/2007 2/2007 1/2007 12/2006 11/2006 10/2006 9/2006 8/2006 7/2006 6/2006
System EURUSD21 HLC_VB_ENTRY, SL_A... EURUSD23 HLC_VB_ENTRY, Stop... FX Universal FX Viper FX Ranger FX Scout
22.05%
Avg. Profit per Market: Avg. Profit Factor: Avg. Trades per Market: Avg. % Profitable Trades:
Net Profit % Return Profit Factor $118,766.10 74.23% 1.61 $75,620.10 47.26% 1.61 $74,468.50 46.54% 1.56 $73,067.50 45.67% 1.45 $70,830.60 44.27% 1.66 $51,729.00 32.33% 1.45 $51,170.80 31.98% 1.32 $22,968.80 14.36% 1.23
$67,327.67 1.49 680 47.53%
# Trades 880 452 672 823 593 762 668 593
% Profitable 43.86% 44.25% 46.13% 47.27% 41.32% 57.87% 50.15% 49.41%
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Market EURUSD GBPUSD EURUSD EURUSD EURUSD EURUSD GBPUSD EURUSD
8 100.00%
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Total Markets in Portfolio: % Profitable Markets: Most Profitable Market as % of Total Net Profit:
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Market Analysis