CFTC RULE 4.41 - HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.
Backtesting Results (2002-2008)
The following charts show historical backtesting results on 10 different U.S. stocks from late 2002 to 2008. This period started with a trendless market bottom in 2002 and ended with the credit crisis meltdown in 2008. Also included is a comparison of our 10 stock portfolio using the Model versus Buy and Hold. Notice the Model's outperformance as the market crashes, and close mirroring of Buy and Hold equity during the long uptrend from 2003-2007. Also notice the Model's Sharpe Ratio of 2.35 versus 1.11 (indicating greater returns for riskiness of returns), and high annualized return over the test period.
Portfolio Equity vs. Buy and Hold Equity
Apple Computer (AAPL)
Randgold Resources (GOLD)
Occidental Petroleum (OXY)
Yum Brands (YUM)
Backtesting Results (1998-2004)
The following charts show historical backtesting results on 10 different U.S. stocks from late 1998 to 2004. This period started with a strong market uptrend, had a major market top and the crash of the tech bubble in 2001, a trendless period from 2002-2003, and ended at the beginning of the market recovery in 2004.
Diamond Offshore (DO)
International Business Machines (IBM)
Lehman Brothers (LEH - now bankrupt)
Southwest Airlines (LUV)
Wind River Systems (WIND)
NOTE: The results shown represent testing performance only, using historical securities data in a controlled environment. While they are roughly indicative of actual historical trading returns, system performance may vary depending upon securities traded, market conditions, transaction costs, and economic factors which cannot be controlled or predicted. Past performance is not an indication or guarantee of future returns.