MFT

What it trades: Futures Strategies: Market timing

Hypothetical Monthly Results

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2009	-	-	-	+0.2%	+0.4%	(1.8%)	-	-	-	-	-	-
2010	-	-	-	-	-	-	-	-	-

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Strategy Description

Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
6/12/09 13:53	BUY	1	@NQM9	E-MINI NASDAQ 100	1479.25	6/12 14:06	1476.50	Low	($55)
6/11/09 19:47	SELL	1	@ESM9	E-MINI S&P 500	940.75	6/11 21:01	942.00	Low	($63)
6/9/09 11:55	SELL	1	@ESM9	E-MINI S&P 500	937.00	6/9 12:07	938.75	Low	($88)
6/4/09 9:48	SELL	1	@ESM9	E-MINI S&P 500	931.75	6/4 9:50	931.25	Low	$25
5/28/09 12:29	SELL	1	@ESM9	E-MINI S&P 500	894.25	5/28 12:47	893.94	Low	$16
5/12/09 19:13	SELL	1	@ESM9	E-MINI S&P 500	907.50	5/12 19:22	907.00	Low	$25
4/21/09 20:12	SELL	1	@ESM9	E-MINI S&P 500	844.25	4/21 20:49	843.75	Low	$25

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System has been audited since	1/25/2009 (20 months ago)
Trades	7
# Profitable	4 (57.1%)
# months tracked	21
Profitable months	2 (9.5%)
Avg trade duration	23.3 minutes
Annual return (compounded)	-0.7%
Average win	$22
Average loss	$68
Profit factor	0.4:1
Max peak-to-valley drawdown (historical)	2.03%
drawdown period	June 04, 2009 to June 12, 2009
Correlation w/ S&P	-0.016
Sharpe ratio	-2.164
C2Realism Factor	0%
Keep after worst-case slippage	100.0%
Probabilities of future account loss
Chance of 10% account loss	0.0%
Chance of 20% account loss	0.0%
Chance of 30% account loss	0.0%

Chance of 50% account loss	0.0%
Chance of 100% account loss	0.0%
Average Profit to Drawdown (APD)	-0.32
Average P/L per unit traded	($16.43)