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System Performance Summary

Types of Accounts:
FCM Systems
Multi-Advisor
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Sample Portfolio

Risk Disclosure



Option/Write Spread Program EC N OW


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Performance Dates … January 1, 1998 through March 31, 2008

Cumulative Net Profit (Per 50k CHF trading Unit) ... 917,655 CHF (Swiss)
Excluding interest income, prior to incentive. No compounding or pyramiding of positions or reinvestment of profit, deducting 50.00 CHF per round-turn trade for dealer spreads and order execution slippage.

Marked to the market combined performance on daily basis (txt file), monthly or current.

Best year 1999 +242.13%
Worst year 1997 +41.61%
Average +173.46%
Largest drawdown -31.58%

Greatest Net Drawdown on a Series of Trades Marked to Market Daily (Per Unit ) … (-15,791 CHF )
Drawdown calculations based on trading one standardized contract per market, per trade recommendation, from optimal equity peak to lowest low, prior to recovery, including dealer spreads, order execution slippage and unrealized profit or loss. No representation can be made that future drawdowns will be less or equal to historical performance. Drawdowns in this or any program can be larger than those represented by historical performance.

Qualifying risk tolerance 25k CHF per 50k CHF trading unit maximum permissible drawdown prior to program suspension.

For program description click here.

Equity Curve

Option Write/Spread Program EC N OW
Performance September 1, 1997 - March 31, 2008
Jump to current results.
Period Ending Beginning Equity Additions Withdrawals Net Performance Ending Equity Rate of Return
Sep-97 50,000 0 9,578 59,578 19.16%
Oct-97 59,578 0 0 (4,650) 54,928 -7.80%
Nov-97 54,928 0 0 5,715 60,643 10.40%
Dec-97 60,643 0 0 10,163 70,805 16.76%
----------- ----------- -----------
20,805 41.61%
 
Jan-98 70,805 0 (20,805) 2,753 52,753 3.89%
Feb-98 52,753 0 0 9,488 62,240 17.98%
Mar-98 62,240 0 0 7,170 69,410 11.52%
Apr-98 69,410 0 0 3,923 73,333 5.65%
May-98 73,333 0 0 9,330 82,663 12.72%
Jun-98 82,663 0 0 6,233 88,895 7.54%
Jul-98 88,895 0 0 6,818 95,713 7.67%
Aug-98 95,713 0 0 (2,678) 93,035 -2.80%
Sep-98 93,035 0 0 1,065 94,100 1.14%
Oct-98 94,100 0 0 (7,463) 86,638 -7.93%
Nov-98 86,638 0 0 (495) 86,143 -0.57%
Dec-98 86,143 0 0 (4,868) 81,275 -5.65%
----------- ----------- ----------- -----------
31,275 62.55%
 
Jan-99 81,275 0 (31,275) (203) 49,798 -0.41%
Feb-99 49,798 0 0 8,693 58,490 17.46%
Mar-99 58,490 0 0 11,153 69,643 19.07%
Apr-99 69,643 0 0 11,288 80,930 16.21%
May-99 80,930 0 0 8,595 89,525 10.62%
Jun-99 89,525 0 0 13,028 102,553 14.55%
Jul-99 102,553 0 0 13,140 115,693 12.81%
Aug-99 115,693 0 0 12,623 128,315 10.91%
Sep-99 128,315 0 0 12,930 141,245 10.08%
Oct-99 141,245 0 0 6,488 147,733 4.59%
Nov-99 147,733 0 0 9,998 157,730 6.77%
Dec-99 157,730 0 0 13,335 171,065 8.45%
----------- ----------- -----------
121,065 242.13%
   
Jan-00 171,065 0 (121,065) 11,408 61,408 22.82%
Feb-00 61,408 0 0 12,510 73,918 20.37%
Mar-00 73,918 0 0 6,653 80,570 9.00%
Apr-00 80,570 0 0 6,653 87,223 8.26%
May-00 87,223 0 0 1,163 88,385 1.33%
Jun-00 88,385 0 0 4,860 93,245 5.50%
Jul-00 93,245 0 0 8,100 101,345 8.69%
Aug-00 101,345 0 0 3,713 105,058 3.66%
Sep-00 105,058 0 0 (1,905) 103,153 -1.81%
Oct-00 103,153 0 0 3,383 106,535 3.28%
Nov-00 106,535 0 0 6,203 112,738 5.82%
Dec-00 112,738 0 0 6,210 118,948 5.51%
----------- ----------- -----------
68,948 137.90%
 
1-Jan 118,948 0 (68,948) 5,453 55,452 10.91%
1-Feb 55,452 0 0 8,460 63,912 15.26%
1-Mar 63,912 0 0 12,195 76,107 19.08%
1-Apr 76,107 0 0 8,213 84,320 10.79%
1-May 84,320 0 0 9,060 93,380 10.74%
1-Jun 93,380 0 0 8,543 101,922 9.15%
1-Jul 101,922 0 0 8,573 110,495 8.41%
1-Aug 110,495 0 0 11,310 121,805 10.24%
1-Sep 121,805 0 0 (7,185) 114,620 -5.90%
1-Oct 114,620 0 0 9,000 123,620 7.85%
1-Nov 123,620 0 0 8,618 132,237 6.97%
1-Dec 132,237 0 0 5,813 138,050 4.40%
----------- ----------- -----------
88,050 176.10%
 
2-Jan 138,050 0 (88,050) 9,765 59,765 19.53%
2-Feb 59,765 0 0 10,073 69,837 16.85%
2-Mar 69,837 0 0 9,810 79,647 14.05%
2-Apr 79,647 0 0 12,878 92,525 16.17%
2-May 92,525 0 0 9,405 101,930 10.16%
2-Jun 101,930 0 0 8,325 110,255 8.17%
2-Jul 110,255 0 0 7,433 117,687 6.74%
2-Aug 117,687 0 0 9,848 127,535 8.37%
2-Sep 127,535 0 0 7,223 134,757 5.66%
2-Oct 134,757 0 0 12,188 146,945 9.04%
2-Nov 146,945 0 0 11,453 158,397 7.79%
2-Dec 158,397 0 0 5,948 164,345 3.75%
----------- ----------- -----------
114,345 228.69%
 
3-Jan 164,345 0 (114,345) 11,625 61,625 23.25%
3-Feb 61,625 0 0 11,145 72,770 18.09%
3-Mar 72,770 0 0 9,300 82,070 12.78%
3-Apr 82,070 0 0 5,813 87,882 7.08%
3-May 87,882 0 0 7,733 95,615 8.80%
3-Jun 95,615 0 0 4,523 100,137 4.73%
3-Jul 100,137 0 0 5,460 105,597 5.45%
3-Aug 105,597 0 0 5,273 110,870 4.99%
3-Sep 110,870 0 0 3,555 114,425 3.21%
3-Oct 114,425 0 0 10,905 125,330 9.53%
3-Nov 125,330 0 0 (728) 124,602 -0.58%
3-Dec 124,602 0 0 9,293 133,895 7.46%
----------- ----------- -----------
83,895 167.79%
 
4-Jan 133,895 0 (83,895) 5,228 55,227 10.46%
4-Feb 55,227 0 0 9,488 64,715 17.18%
4-Mar 64,715 0 0 2,408 67,122 3.72%
4-Apr 67,122 0 0 6,765 73,887 10.08%
4-May 73,887 0 0 7,238 81,125 9.80%
4-Jun 81,125 0 0 4,065 85,190 5.01%
4-Jul 85,190 0 0 8,168 93,357 9.59%
4-Aug 93,357 0 0 12,113 105,470 12.97%
4-Sep 105,470 0 0 9,323 114,792 8.84%
4-Oct 114,792 0 0 7,575 122,367 6.60%
4-Nov 122,367 0 0 9,968 132,335 8.15%
4-Dec 132,335 0 0 6,135 138,470 4.64%
----------- ----------- -----------
88,470 176.94%
 
5-Jan 138,470 0 (88,470) 12,375 62,375 24.75%
5-Feb 62,375 0 0 4,073 66,447 6.53%
5-Mar 66,447 0 0 10,958 77,405 16.49%
5-Apr 77,405 0 0 11,153 88,557 14.41%
5-May 88,557 0 0 11,903 100,460 13.44%
5-Jun 100,460 0 0 7,493 107,952 7.46%
5-Jul 107,952 0 0 9,938 117,890 9.21%
5-Aug 117,890 0 0 11,955 129,845 10.14%
5-Sep 129,845 0 0 10,875 140,720 8.38%
5-Oct 140,720 0 0 9,675 150,395 6.88%
5-Nov 150,395 0 0 11,700 162,095 7.78%
5-Dec 162,095 0 0 7,193 169,287 4.44%
----------- ----------- -----------
119,288 238.58%
 
6-Jan 169,287 (119,287) 8,370 58,370 4.94%
6-Feb 58,370 0 0 11,685 70,055 20.02%
6-Mar 70,055 0 0 11,250 81,305 16.06%
6-Apr 81,305 0 0 6,308 87,613 7.76%
6-May 87,613 0 0 5,003 92,615 5.71%
6-Jun 92,615 0 0 9,390 102,005 10.14%
6-Jul 102,005 0 0 9,788 111,793 9.60%
6-Aug 111,793 0 0 13,215 125,008 11.82%
6-Sep 125,008 0 0 8,768 133,775 7.01%
6-Oct 133,775 0 0 11,460 145,235 8.57%
6-Nov 145,235 0 0 9,735 154,970 6.70%
6-Dec 154,970 0 0 9,113 164,083 5.88%
----------- ----------- -----------
114,083 228.17%
 
7-Jan 164,083 0 (114,082) 10,598 60,598 21.20%
7-Feb 60,598 0 0 6,555 67,153 10.82%
7-Mar 67,153 0 0 4,568 71,721 6.80%
7-Apr 71,721 0 0 6,608 78,328 9.21%
7-May 78,328 0 0 10,575 88,903 13.50%
7-Jun 88,903 0 0 6,540 95,443 7.36%
7-Jul 95,443 0 0 9,180 104,623 9.62%
7-Aug 104,623 0 0 4,155 108,778 3.97%
7-Sep 108,778 0 0 6,713 115,491 6.17%
7-Oct 115,491 0 0 5,850 121,341 5.07%
7-Nov 121,341 0 0 (608) 120,733 -0.50%
7-Dec 120,733 0 0 3,705 124,438 3.07%
----------- ----------- -----------
74,438 148.88%
 
8-Jan 124,438 0 (74,438) (8,393) 41,608 -6.74%
8-Feb 41,608 0 0 5,685 47,293 13.66%
8-Mar 47,293 0 0 (4,388) 42,905 -9.28%
----------- ----------- -----------
(7,096) -14.19%

Program Description

This program “sells at the money” “naked” one week put and call options, one 50K CHF call and one 50K CHF put Monday-through Friday The objective is to collect more “time value premium” than the overall movement during the one week write period.

For example

The Average weekly range for the EUR/CHF 1997-2008 = 64 points T
he Average weekly premium collected for the one week for at the money calls and puts = 108
Click here for 1997 though 2008 history.

A profit is generated by any weekly move that is less than the amount collected

For Example
The average premium collected on a rolling one week basis from September 1, 1997 through March 14, 2008 =108 Out of 2944 write periods ( rolling one week periods ) 2420 periods were less than 108, 525 periods greater than 108.

Change Collected Point + or - Profit Loss Occurances Weekly Change
0 108 108 540.00
(10) 108 98 490.00 309 10 Points or Less
(20) 108 88 440.00 313 20 Points or less
(30) 108 78 390.00 287 30 Points or less
(40) 108 68 340.00 262 40 points or less
(50) 108 58 290.00 223 50 points or less
(60) 108 48 240.00 219 60 points or less
(70) 108 38 190.00 417 70 points or less
(80) 108 28 140.00 149 80 points or less
(90) 108 18 90.00 124 90 points or less
(100) 108 8 40.00 117 100 points or less
(110) 108 (2) (10.00) 82 110 points or less
(120) 108 (12) (60.00) 92 120 points or less
(130) 108 (22) (110.00) 61 130 points or less
(140) 108 (32) (160.00) 62 140 points or less
(150) 108 (42) (210.00) 30 150 points or less
(160)