Pairs Trading 787

Hypothetical Monthly Returns (includes typical commissions and system fees)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2012					(0.2%)	+0.8%	(0.2%)	(0.5%)	(0.4%)	-	-	-
2013	-	-	-	-	-

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Technical Analysis: Moving Average daysX

Instruments	Mostly Stocks; (some options)
Strategies	Arbitrage
System started	5/13/2012 (12 months ago)
System developer	Options Trading 787 (Last login to C2: 5/17/13 9:52) C2 Score: 996 Vendor has created 1 other system. Show
Status	This system is no longer supported.

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System creator requested that closed trades data below be delayed by one day.

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Price	Risk	P/L
8/15/12 9:46	SELL	464	AEP	AMERICAN ELECTRIC POWER	43.05	9/12 9:30	43.47	Low	($202)
8/15/12 9:45	BUY	321	ED	CONSOLIDATED EDISON INC	62.36	9/12 9:30	60.43	Low	($625)
9/5/12 11:27	SELL	169	DTE	DTE ENERGY CO	59.19	9/12 9:30	59.67	Low	($84)
9/5/12 11:27	BUY	152	SRE	SEMPRA ENERGY	65.70	9/12 9:30	66.64	Low	$140
7/31/12 9:41	SELL	218	PM	PHILIP MORRIS INTL INC	92.05	8/17 9:37	93.02	Low	($215)
7/31/12 9:42	BUY	475	LO	LORILLARD INC	42.10	8/17 9:36	42.45	Low	$158
8/6/12 10:39	BUY	154	ECL	ECOLAB INC	64.77	8/8 9:34	64.20	Low	($91)
8/6/12 10:38	SELL	277	MO	ALTRIA GROUP INC	36.06	8/8 9:34	34.72	Low	$365
8/2/12 10:00	SELL	8	SLV1222U23.5	SLV Sep12 23.50 put (exp 09/22/2012)	0.26	8/3 9:46	0.23	Low	$9
7/11/12 11:08	SELL	163	EWW	ISHARES MSCI MEXICO INVESTAB	61.52	7/27 9:40	62.31	Low	($132)
7/11/12 11:07	BUY	189	EWY	ISHARES MSCI SOUTH KOREA IND	52.98	7/27 9:40	53.84	Low	$159
6/26/12 9:34	SELL	155.923	VWO	VANGUARD EMERGING MARKETS ST	38.11	7/2 9:39	39.88	Low	($279)
6/26/12 9:34	BUY	159.494	EEM	ISHARES MSCI EMERGING MARKET	37.28	7/2 9:39	39.08	Low	$284
6/19/12 9:46	SELL	66.059	HYG	ISHARES IBOXX $ HIGH YIELD C	89.70	7/2 9:39	90.53	Low	($57)
6/19/12 9:45	BUY	153.542	JNK	SPDR BARCLAYS CAPITAL HIGH Y	38.79	7/2 9:39	39.14	Low	$51

Hypothetical Trading Results
Opened ET	B/S	#	Symbol		Price	Closed	Close Price	Risk	P/L
8/15/12 9:46	SELL	464	AEP	AMERICAN ELECTRIC POWER	43.05	9/12 9:30	43.47	Low	($202)
8/15/12 9:46	STO	231	AEP		43.23
8/20/12 10:38	STO	233	AEP		42.88
9/12/12 9:30	BTC	464	AEP		43.47
8/15/12 9:45	BUY	321	ED	CONSOLIDATED EDISON INC	62.36	9/12 9:30	60.43	Low	($625)
8/15/12 9:45	BTO	159	ED		63.11
8/20/12 10:38	BTO	162	ED		61.62
9/12/12 9:30	STC	321	ED		60.43
9/5/12 11:27	SELL	169	DTE	DTE ENERGY CO	59.19	9/12 9:30	59.67	Low	($84)
9/5/12 11:27	STO	169	DTE		59.19
9/12/12 9:30	BTC	169	DTE		59.67
9/5/12 11:27	BUY	152	SRE	SEMPRA ENERGY	65.70	9/12 9:30	66.64	Low	$140
9/5/12 11:27	BTO	152	SRE		65.70
9/12/12 9:30	STC	152	SRE		66.64
7/31/12 9:41	SELL	218	PM	PHILIP MORRIS INTL INC	92.05	8/17 9:37	93.02	Low	($215)
7/31/12 9:41	STO	110	PM		91.44
8/6/12 10:40	STO	108	PM		92.68
8/17/12 9:37	BTC	218	PM		93.02
7/31/12 9:42	BUY	475	LO	LORILLARD INC	42.10	8/17 9:36	42.45	Low	$158
7/31/12 9:42	BTO	236	LO		42.42
8/6/12 10:40	BTO	239	LO		41.77
8/17/12 9:36	STC	476	LO		42.45
8/6/12 10:39	BUY	154	ECL	ECOLAB INC	64.77	8/8 9:34	64.20	Low	($91)
8/6/12 10:39	BTO	154	ECL		64.77
8/8/12 9:34	STC	154	ECL		64.20
8/6/12 10:38	SELL	277	MO	ALTRIA GROUP INC	36.06	8/8 9:34	34.72	Low	$365
8/6/12 10:38	STO	277	MO		36.06
8/8/12 9:34	BTC	277	MO		34.72
8/2/12 10:00	SELL	8	SLV1222U23.5	SLV Sep12 23.50 put (exp 09/22/2012)	0.26	8/3 9:46	0.23	Low	$9
8/2/12 10:00	STO	8	SLV1222U23.5		0.26
8/3/12 9:46	BTC	8	SLV1222U23.5		0.23
7/11/12 11:08	SELL	163	EWW	ISHARES MSCI MEXICO INVESTAB	61.52	7/27 9:40	62.31	Low	($132)
7/11/12 11:08	STO	163	EWW		61.52
7/27/12 9:40	BTC	163	EWW		62.31
7/11/12 11:07	BUY	189	EWY	ISHARES MSCI SOUTH KOREA IND	52.98	7/27 9:40	53.84	Low	$159
7/11/12 11:07	BTO	189	EWY		52.98
7/27/12 9:40	STC	189	EWY		53.84
6/26/12 9:34	SELL	155.923	VWO	VANGUARD EMERGING MARKETS ST	38.11	7/2 9:39	39.88	Low	($279)
6/26/12 9:34	STO	155.923	VWO		38.11
7/2/12 9:39	BTC	155.923	VWO		39.88
Auto Close: 7/02/12 (9:39)
6/26/12 9:34	BUY	159.494	EEM	ISHARES MSCI EMERGING MARKET	37.28	7/2 9:39	39.08	Low	$284
6/26/12 9:34	BTO	159.494	EEM		37.28
7/2/12 9:39	STC	159.494	EEM		39.08
Auto Close: 7/02/12 (9:39)
6/19/12 9:46	SELL	66.059	HYG	ISHARES IBOXX $ HIGH YIELD C	89.70	7/2 9:39	90.53	Low	($57)
6/19/12 9:46	STO	66.059	HYG		89.70
7/2/12 9:39	BTC	66.059	HYG		90.53
Auto Close: 7/02/12 (9:39)
6/19/12 9:45	BUY	153.542	JNK	SPDR BARCLAYS CAPITAL HIGH Y	38.79	7/2 9:39	39.14	Low	$51
6/19/12 9:45	BTO	153.542	JNK		38.79
7/2/12 9:39	STC	153.542	JNK		39.14
Auto Close: 7/02/12 (9:39)

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Statistics

Analytics

All Statistics Based on Hypothetical Results
Trades	39
# Profitable	21 (53.8%)
# months tracked	13
Profitable months	1 (7.7%)
Avg trade duration	10.8 days
Annual return (compounded)	-0.1%
Average win	$140
Average loss	$161
Profit factor	1.0:1
Max peak-to-valley drawdown (historical)	1.22%
drawdown period	Aug 22, 2012 to Sept 11, 2012
Correlation w/ S&P	0.154
Sharpe ratio	-0.708
Keep after worst-case slippage	76.5%
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)	0.01
Average P/L per unit traded	$0.15

Reviews

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Dividends Itemized
Started	$59,513
Buy Power	$59,422
Cash	$1
Equity	$1
Cumulative $*	($90)
Total System Equity	$59,422
Margined	$1
Open P/L	$0
System vendor has delayed data by 1 day for non-subs.

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