Mar 22, 2016
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
Performance Summary
Total Net Profit:
Gross Profit:
Gross Loss:
Profit Factor:
Pessimistic RR:
Total Trades:
Winning Trades:
Losing Trades:
Even Trades:
% Profitable:
Avg. Trade Net Profit:
Avg. Winning Trade:
Avg. Losing Trade:
Payoff Ratio:
Largest Win:
Largest Loss:
Max Cons. Winners:
Max Cons. Losers:
Trading Period:
Longest Flat Period:
Max Shares/Contracts:
Max Drawdown:
Max Drawdown %:
Max Drawdown Date:
Longest Drawdown:
Recovery Factor:
Max Runup:
Max Runup %:
Max Runup Date:
Longest Runup:
Equity Peak:
Return on Initial Capital:
Annual Rate of Return:
Avg. Monthly Return:
Monthly Std. Dev.:
% Profitable Months:
Sharpe Ratio:
Sortino Ratio:
Sterling Ratio:
MAR Ratio:
Total Commission:
Total Slippage:
$175,810.00
$464,510.00
($288,700.00)
1.609
1.459
854
371
483
0
43.44%
$205.87
$1,252.05
($597.72)
2.095
$3,490.00, 0.75%
($2,000.00), 0.69%
8
12
7.93 years
11/26/2003-11/1/2011
48 days
1
($8,220.00)
41.10%
2/25/2009
185 days
21.39
$12,680.00
63.40%
5/19/2009
98 days
$180,940.00
879.05%
110.83%
$1,847.16, 9.24%
$3,041.44
70.53%
2.07
3.81
2.84
2.70
$4,270.00
$21,350.00
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Closed Trade Equity Curve
Accumulative Monthly Net Profit
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Monthly Net Profit
Monthly Profit Distribution
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Drawdown Analysis
Largest Drawdowns
$ Amount Length
-$8,220.00 126 days
-$7,580.00 76 days
-$7,580.00 185 days
-$7,540.00 104 days
-$7,140.00 56 days
Total Drawdowns:
Average Amount:
Average Length:
83
-$2,026.14
24 days
Closed Trade Drawdowns
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Drawdown Depth Distribution
Drawdown Length Distribution
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Periodical Returns
Annual Returns
Year Net Profit % Return Profit Factor # Trades % Profitable
2011 $12,240.00 61.20% 1.23 129 39.53%
2010 ($390.00) -1.95% 0.99 123 34.96%
2009 $32,190.00 160.95% 1.62 145 42.07%
2008 $28,280.00 141.40% 1.56 127 41.73%
2007 $35,130.00 175.65% 2.18 109 48.62%
2006 $23,400.00 117.00% 1.95 85 45.88%
2005 $22,100.00 110.50% 2.05 70 42.86%
2004 $20,660.00 103.30% 2.49 62 56.45%
2003 $2,200.00 11.00% 100.00 4 100.00%
Monthly Returns
Year Net Profit % Return Profit Factor # Trades % Profitable
11/2011 ($970.00) -4.85% 0.00 1 0.00%
10/2011 ($70.00) -0.35% 0.98 10 50.00%
9/2011 ($1,020.00) -5.10% 0.89 16 25.00%
8/2011 $2,310.00 11.55% 1.44 15 40.00%
7/2011 ($2,440.00) -12.20% 0.64 15 33.33%
6/2011 ($490.00) -2.45% 0.79 9 55.56%
5/2011 $7,670.00 38.35% 3.34 11 63.64%
4/2011 ($2,620.00) -13.10% 0.57 11 27.27%
3/2011 $6,830.00 34.15% 2.45 19 47.37%
2/2011 $1,380.00 6.90% 1.26 10 30.00%
1/2011 $1,660.00 8.30% 1.27 12 33.33%
12/2010 ($1,060.00) -5.30% 0.87 24 20.83%
11/2010 $2,520.00 12.60% 2.71 7 57.14%
10/2010 $520.00 2.60% 1.16 11 45.45%
9/2010 $90.00 0.45% 1.02 15 33.33%
8/2010 $740.00 3.70% 1.68 4 50.00%
7/2010 ($830.00) -4.15% 0.81 14 28.57%
6/2010 ($3,790.00) -18.95% 0.39 13 30.77%
5/2010 $1,450.00 7.25% 1.58 5 40.00%
4/2010 $2,400.00 12.00% 1.63 10 50.00%
3/2010 ($1,810.00) -9.05% 0.66 14 42.86%
2/2010 ($620.00) -3.10% 0.64 6 16.67%
1/2010 $0.00 0.00% 0.00 0 0.00%
12/2009 $760.00 3.80% 1.40 4 25.00%
11/2009 $5,540.00 27.70% 2.60 13 69.23%
10/2009 $220.00 1.10% 1.06 10 60.00%
9/2009 $7,190.00 35.95% 2.89 12 50.00%
8/2009 ($4,960.00) -24.80% 0.41 17 29.41%
7/2009 $4,100.00 20.50% 2.03 10 40.00%
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6/2009 $6,230.00 31.15% 5.68 8 62.50%
5/2009 $6,470.00 32.35% 4.35 7 57.14%
4/2009 $5,780.00 28.90% 1.84 19 42.11%
3/2009 $3,690.00 18.45% 2.12 13 46.15%
2/2009 ($1,790.00) -8.95% 0.78 22 18.18%
1/2009 ($1,040.00) -5.20% 0.79 10 30.00%
12/2008 $2,550.00 12.75% 1.48 14 42.86%
11/2008 ($2,160.00) -10.80% 0.72 12 33.33%
10/2008 ($1,070.00) -5.35% 0.00 3 0.00%
9/2008 $4,600.00 23.00% 11.00 5 60.00%
8/2008 $530.00 2.65% 1.07 16 37.50%
7/2008 ($1,020.00) -5.10% 0.79 9 33.33%
6/2008 $3,720.00 18.60% 1.73 15 40.00%
5/2008 $6,430.00 32.15% 7.07 10 70.00%
4/2008 $6,130.00 30.65% 2.51 12 41.67%
3/2008 $4,040.00 20.20% 1.52 18 38.89%
2/2008 $3,870.00 19.35% 2.39 7 57.14%
1/2008 $660.00 3.30% 1.24 6 33.33%
12/2007 $1,960.00 9.80% 1.38 13 38.46%
11/2007 $2,100.00 10.50% 1.44 11 36.36%
10/2007 $9,900.00 49.50% 20.41 7 85.71%
9/2007 $8,440.00 42.20% 12.41 8 75.00%
8/2007 $3,650.00 18.25% 5.62 7 57.14%
7/2007 $5,390.00 26.95% 9.84 7 85.71%
6/2007 $6,210.00 31.05% 8.86 8 62.50%
5/2007 ($130.00) -0.65% 0.97 11 18.18%
4/2007 ($2,400.00) -12.00% 0.55 12 41.67%
3/2007 $3,150.00 15.75% 4.89 9 55.56%
2/2007 ($3,500.00) -17.50% 0.44 14 28.57%
1/2007 $360.00 1.80% 13.00 2 50.00%
12/2006 $1,040.00 5.20% 1.39 9 44.44%
11/2006 ($1,290.00) -6.45% 0.74 10 40.00%
10/2006 $5,450.00 27.25% 2.70 10 60.00%
9/2006 $1,690.00 8.45% 2.72 4 25.00%
8/2006 $3,180.00 15.90% 4.57 6 50.00%
7/2006 $30.00 0.15% 1.01 6 33.33%
6/2006 $2,150.00 10.75% 1.63 14 42.86%
5/2006 $1,300.00 6.50% 2.51 5 60.00%
4/2006 $1,970.00 9.85% 1.80 7 42.86%
3/2006 $6,550.00 32.75% 27.20 7 57.14%
2/2006 ($1,520.00) -7.60% 0.31 5 20.00%
1/2006 $2,850.00 14.25% 100.00 2 100.00%
12/2005 $3,680.00 18.40% 3.01 6 50.00%
11/2005 $3,020.00 15.10% 1.86 11 45.45%
10/2005 $2,940.00 14.70% 3.35 5 40.00%
9/2005 ($1,250.00) -6.25% 0.42 7 28.57%
8/2005 $810.00 4.05% 1.36 6 33.33%
7/2005 ($1,990.00) -9.95% 0.34 6 16.67%
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6/2005 $6,210.00 31.05% 100.00 5 100.00%
5/2005 ($930.00) -4.65% 0.27 5 40.00%
4/2005 $3,800.00 19.00% 4.76 4 75.00%
3/2005 $1,750.00 8.75% 2.80 2 50.00%
2/2005 $600.00 3.00% 1.29 5 20.00%
1/2005 $3,460.00 17.30% 3.00 8 37.50%
12/2004 ($250.00) -1.25% 0.75 4 75.00%
11/2004 ($840.00) -4.20% 0.72 7 28.57%
10/2004 $3,830.00 19.15% 5.40 5 60.00%
9/2004 $2,520.00 12.60% 4.00 5 60.00%
8/2004 $1,840.00 9.20% 100.00 1 100.00%
7/2004 $6,110.00 30.55% 17.97 6 66.67%
6/2004 $2,410.00 12.05% 81.33 5 80.00%
5/2004 $2,490.00 12.45% 2.23 5 40.00%
4/2004 ($1,410.00) -7.05% 0.43 8 50.00%
3/2004 $1,010.00 5.05% 2.11 6 33.33%
2/2004 $2,920.00 14.60% 100.00 2 100.00%
1/2004 $30.00 0.15% 1.01 8 62.50%
12/2003 $2,200.00 11.00% 100.00 4 100.00%
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Market Analysis
Total Markets in Portfolio:
% Profitable Markets:
Most Profitable Market
as % of Total Net Profit:
Avg. Profit per Market:
Avg. Profit Factor:
Avg. Trades per Market:
Avg. % Profitable Trades:
1
100.00%
100.00%
$175,810.00
1.61
854
43.21%
Market System Net Profit % Return Profit Factor # Trades % Profitable
@CL.C CL_Texas $175,810.00 879.05% 1.61 854 43.21%
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