Pegasus Mid-Size Sample Portfolio

Minimum Account Size: $40,000

Portfolio of 12 markets: Corn, Dollar Index, Palladium, Five Year T-Notes, Sugar, Euro Currency, Japanese Yen, Crude Oil, Natural Gas, Kansas City Wheat, 10 Yr T-Note, Eurodollar

• Tested Jan 1’st 1980 – Jan 1’st 2012. (32 years)
• $50 deducted per trade for commission & slippage
• No Starting Capital Applied. Only Net Profits Shown
• Based on single contracts per trade

*NOTE: the vertical green line on the chart above shows the release date. Performance to the left of the line is pre-release performance and performance to the right is post-release, i.e. performance on un-tested data that was not available (had not happened yet) when the system was released to the public back in October 2003.

Profit Analysis Summary:

Trade Analysis Summary

Annual Performance Breakdown

Drawdown Analysis

How to read this chart:

We first considered each trade as a possible starting point. Since there were 1821 trades that means that there were 1821 different possible starting points where a trader would have started trading the system. We then calculated the worst Start Trade Drawdown (STDD) for each of these possible 1821 starting points. These resulting drawdown figures were then sorted from smallest to largest and the above chart was constructed.

Example A: I want to know what percent of STDDs fell below $10,000?

Start on the Y axis and find $10,000. Then go across until it intercepts the curve on the chart. The corresponding value on the X axis is about 85% or so. This means that 85% of STDDs were less than $10,000 and thus 15% were above it. Hence you would have had a 85% chance that your STDD would have been below $10,000 and a 15% chance that it would have been above it.

Example B: I want to know what value did 90% of STDDs fall under?

This time start with the 90% value on the X axis and go to 90%. Move up to where it intersects with the curve and then check the corresponding value on the Y axis. In this example the above chart tells us that 90% of STDD for this particular portfolio were approximately below $12,000.

This is how you would read this chart. Notice that about 14% of STDDs were zero; this means that in about 14% of cases you would have suffered no STDD at all. You would have been profitable right from the start and never have been under at all.

The median score (50%) came in at around $3500. This means that half the STDDs out of a total of 1821 runs (one for each starting point) fell below this value and half were above it. This chart is obviously very useful than merely spitting out drawdown figures. It not only tells you what the STDDs were but more importantly also gives you the probabilities as well.

The highest of all STDDs came in at around $29,000. This means that out of 1821 different starting points over a 32 year period, the worst case scenario was a maximum STDD of that value. The maximum total daily drawdown over the 32 year period was $31,173.

See the “About Start Trade Drawdown” on this website for a detailed explanation about this type of drawdown.

Download free information pack on our systems. See “Download Free User Manuals & Demos” on this website.

*Note: Different traders have different risk tolerances. The sample minimum account size is for aggressive traders willing to incur higher risk. Conservative traders should substantially increase their starting account size, or consider a smaller portfolio.