Issuu on Google+


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. FUTURES RISK DISCLOSURE STATEMENT The risk of loss in trading commodity futures contracts can be substantial. You should, therefore, carefully consider whether such trading is suitable for you in light of your circumstances and financial resources. You should be aware of the following points: (1) You may sustain a total loss of the funds that you deposit with your broker to establish or maintain a position in the commodity futures market, and you may incur losses beyond these amounts. If the market moves against your position, you may be called upon by your broker to deposit a substantial amount of additional margin funds, on short notice, in order to maintain your position. If you do not provide the required funds within the time required by your broker, your position may be liquidated at a loss, and you will be liable for any resulting deficit in your account. (2) Under certain market conditions, you may find it difficult or impossible to liquidate a position. This can occur, for example, when the market reaches a daily price fluctuation limit (“limit move”). (3) Placing contingent orders, such as “stop-loss” or “stop-limit” orders, will not necessarily limit your losses to the intended amounts, since market conditions on the exchange where the order is placed may make it impossible to execute such orders. (4) All futures positions involve risk, and a “spread” position may not be less risky than an outright “long” or “short” position. (5) The high degree of leverage (gearing) that is often obtainable in futures trading because of the small margin requirements can work against you as well as for you. Leverage (gearing) can lead to large losses as well as gains. (6) You should consult your broker concerning the nature of the protections available to safeguard funds or property deposited for your account.


ALL OF THE POINTS NOTED ABOVE APPLY TO ALL FUTURES TRADING WHETHER FOREIGN OR DOMESTIC. IN ADDITION, IF YOU ARE CONTEMPLATING TRADING FOREIGN FUTURES OR OPTIONS CONTRACTS, YOU SHOULD BE AWARE OF THE FOLLOWING ADDITIONAL RISKS: (7) Foreign futures transactions involve executing and clearing trades on a foreign exchange. This is the case even if the foreign exchange is formally “linked” to a domestic exchange, whereby a trade executed on one exchange liquidates or establishes a position on the other exchange. No domestic organization regulates the activities of a foreign exchange, including the execution, delivery, and clearing of transactions on such an exchange, and no domestic regulator has the power to compel enforcement of the rules of the foreign exchange or the laws of the foreign country. Moreover, such laws or regulations will vary depending on the foreign country in which the transaction occurs. For these reasons, customers who trade on foreign exchanges may not be afforded certain of the protections which apply to domestic transactions, including the right to use domestic alternative dispute resolution procedures. In particular, funds received from customers to margin foreign futures transactions may not be provided the same protections as funds received to margin futures transactions on domestic exchanges. Before you trade, you should familiarize yourself with the foreign rules which will apply to your particular transaction. (8) Finally, you should be aware that the price of any foreign futures or option contract and, therefore, the potential profit and loss resulting there from, may be affected by any fluctuation in the foreign exchange rate between the time the order is placed and the foreign futures contract is liquidated or the foreign option contract is liquidated or exercised. THIS BRIEF STATEMENT CANNOT, OF COURSE, DISCLOSE ALL THE RISKS AND OTHER ASPECTS OF THE COMMODITY MARKETS


Max Drawdown: Max Drawdown %: Max Drawdown Date: Longest Drawdown: Recovery Factor:

($32,820.00) 18.23% 5/3/2012 106 days 45.30

Total Trades: Winning Trades: Losing Trades: Even Trades: % Profitable:

8244 3445 4799 0 41.79%

Max Runup: Max Runup %: Max Runup Date: Longest Runup: Equity Peak:

$35,180.00 19.54% 5/30/2012 50 days $1,486,820.00

Avg. Trade Net Profit: Avg. Winning Trade: Avg. Losing Trade: Payoff Ratio:

$180.35 $1,132.38 ($503.07) 2.251

Return on Initial Capital: Annual Rate of Return: Avg. Monthly Return: Monthly Std. Dev.: % Profitable Months:

826.01% 137.76% $20,664.42, 11.48% $16,744.98 87.67%

Largest Win: Largest Loss: Max Cons. Winners: Max Cons. Losers:

$8,940.00, 0.23% ($2,220.00), 0.09% 12 22

Sharpe Ratio: Sortino Ratio: Sterling Ratio: MAR Ratio:

4.21 8.44 8.83 7.56

Trading Period:

6.0 years 6/6/2006-6/4/2012 8 days 9

Total Commission: Total Slippage:

$0.00 $494,640.00

Longest Flat Period: Max Shares/Contracts:

hypothetical

$1,486,820.00 $3,901,055.00 ($2,414,235.00) 1.616 1.566

hypothetical

Total Net Profit: Gross Profit: Gross Loss: Profit Factor: Pessimistic RR:

hypothetical

Performance Summary


hypothetical

Accumulative Monthly Net Profit

hypothetical

hypothetical

Closed Trade Equity Curve


hypothetical

Monthly Profit Distribution

hypothetical

hypothetical

Monthly Net Profit


Largest Drawdowns -$32,820.00 -$26,347.50 -$25,097.50 -$22,092.50 -$18,685.00

50 days 44 days 26 days 32 days 18 days

Total Drawdowns: Average Amount: Average Length:

492 -$2,823.42 3 days

Closed Trade Drawdowns

hypothetical

Length

hypothetical

$ Amount

hypothetical

Drawdown Analysis


hypothetical

Drawdown Length Distribution

hypothetical

hypothetical

Drawdown Depth Distribution


Periodical Returns Year 2012 2011 2010 2009 2008 2007 2006

Net Profit $88,095.00 $295,705.00 $193,827.50 $244,802.50 $499,960.00 $123,387.50 $41,042.50

% Return 48.94% 164.28% 107.68% 136.00% 277.76% 68.55% 22.80%

Profit Factor 1.44 1.57 1.50 1.55 2.11 1.46 1.28

# Trades 644 1612 1321 1465 1460 1129 613

% Profitable 40.06% 40.14% 41.94% 41.09% 46.23% 40.30% 39.31%

Net Profit $14,250.00 $29,097.50 ($14,615.00) $5,142.50 $33,110.00 $21,110.00 $29,082.50 ($14,465.00) $30,037.50 $50,017.50 $38,310.00 $45,570.00 $12,490.00 $25,722.50 $21,502.50 $9,400.00 $15,925.00 $32,112.50 ($4,892.50) $24,430.00 $18,597.50 $19,100.00 $8,782.50 $9,642.50 $15,057.50 $39,190.00 $18,020.00 $18,462.50 $18,820.00 $8,617.50 $28,060.00

% Return 7.92% 16.17% -8.12% 2.86% 18.39% 11.73% 16.16% -8.04% 16.69% 27.79% 21.28% 25.32% 6.94% 14.29% 11.95% 5.22% 8.85% 17.84% -2.72% 13.57% 10.33% 10.61% 4.88% 5.36% 8.37% 21.77% 10.01% 10.26% 10.46% 4.79% 15.59%

Profit Factor 100.00 1.90 0.71 1.13 1.97 1.50 1.65 0.79 1.75 1.98 1.61 2.28 1.35 1.61 1.72 1.21 1.43 2.31 0.90 1.99 1.61 1.55 1.28 1.30 1.40 2.81 1.60 1.62 1.69 1.23 2.05

# Trades 5 95 164 140 113 127 135 178 133 148 193 126 116 131 99 137 125 91 149 91 106 116 108 114 132 76 103 126 83 117 91

% Profitable 100.00% 38.95% 35.98% 40.71% 38.05% 44.88% 41.48% 32.02% 43.61% 39.19% 37.82% 47.62% 41.38% 42.75% 40.40% 36.50% 37.60% 48.35% 32.21% 43.96% 43.40% 41.38% 39.81% 42.11% 46.97% 47.37% 44.66% 46.03% 43.37% 36.75% 41.76%

hypothetical

Annual Returns

hypothetical

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

hypothetical

Monthly Returns


2.05 1.64 1.56 1.29 1.62 1.25 1.25 1.24 1.89 1.38 1.68 2.14 1.30 1.95 3.08 1.23 2.37 2.22 2.85 2.22 2.37 2.74 2.23 1.39 2.13 1.42 2.78 1.66 1.86 1.20 0.75 0.78 1.22 1.16 1.95 0.69 0.93 2.47 1.47 0.72 3.89 0.65

119 119 138 134 109 110 101 121 133 167 123 145 164 147 118 117 114 135 108 119 120 86 87 91 93 74 78 110 101 76 98 118 119 97 74 105 108 91 95 116 51 47

44.54% 46.22% 32.61% 39.55% 38.53% 38.18% 43.56% 37.19% 42.11% 43.11% 46.34% 44.14% 40.85% 45.58% 45.76% 34.19% 47.37% 48.89% 50.93% 51.26% 48.33% 51.16% 51.72% 42.86% 45.16% 44.59% 51.28% 41.82% 40.59% 32.89% 30.61% 33.90% 36.13% 45.36% 43.24% 32.38% 37.96% 53.85% 38.95% 30.17% 56.86% 34.04%

hypothetical

19.49% 11.99% 12.31% 6.70% 9.69% 5.32% 4.11% 5.37% 20.12% 11.32% 14.00% 31.30% 9.42% 26.61% 42.04% 6.18% 24.80% 28.05% 27.65% 20.15% 26.20% 18.69% 16.65% 6.19% 17.18% 4.12% 14.91% 8.62% 8.95% 2.17% -3.51% -3.40% 3.36% 2.08% 7.86% -4.26% -1.24% 13.40% 6.10% -4.95% 16.15% -2.40%

hypothetical

$35,087.50 $21,577.50 $22,155.00 $12,062.50 $17,437.50 $9,567.50 $7,395.00 $9,657.50 $36,222.50 $20,372.50 $25,207.50 $56,342.50 $16,962.50 $47,892.50 $75,670.00 $11,132.50 $44,647.50 $50,497.50 $49,765.00 $36,267.50 $47,165.00 $33,642.50 $29,975.00 $11,150.00 $30,927.50 $7,417.50 $26,842.50 $15,520.00 $16,117.50 $3,902.50 ($6,310.00) ($6,117.50) $6,040.00 $3,750.00 $14,147.50 ($7,667.50) ($2,225.00) $24,127.50 $10,980.00 ($8,910.00) $29,062.50 ($4,325.00)

hypothetical

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 Gold-Shooter CL_Hegemon Crude Mogul Gold-Bar Gold_Rocket EC-Sprinter-20 CL-Rocket EuroOmega EC-Razor-2

20.21%

Avg. Profit per Market: Avg. Profit Factor: Avg. Trades per Market: Avg. % Profitable Trades:

Net Profit % Return Profit Factor $300,520.00 166.96% 1.84 $226,520.00 125.84% 1.46 $212,260.00 117.92% 1.63 $184,180.00 102.32% 2.00 $150,500.00 83.61% 1.59 $113,487.50 63.05% 1.49 $108,780.00 60.43% 1.51 $99,525.00 55.29% 1.50 $91,047.50 50.58% 1.63

$165,202.22 1.63 916 41.46%

# Trades 1071 1422 839 613 850 1055 950 820 624

% Profitable 48.74% 37.97% 39.93% 39.80% 38.71% 37.63% 52.42% 41.22% 36.70%

hypothetical

Market @GC @CL @CL.C @GC @GC.C @EC.C @CL.C @EC @EC.C

9 100.00%

hypothetical

Total Markets in Portfolio: % Profitable Markets: Most Profitable Market as % of Total Net Profit:

hypothetical

Market Analysis


AST Futures Portfolio