| All the material in this section is based on hypothetical performance. The following disclaimer should be carefully reviewed. Additionally, prospective clients should be aware that futures trading involves considerable risk, and you can lose money. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| NOTICE: "HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GLOBAL PORTFOLIO | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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The software implements the same fixed risk strategy as Aberration, with the user inputting the percentage of risk he would like to use. The recommended portfolio for Large-Account trading is the Global portfolio which consists of the following commodity basket: Kansas City Wheat, Corn, Wheat, Soybeans, Pork Bellies, Lean Hogs, Cotton, Coffee, Lumber, Copper, London Nickel, London Aluminum, Palladium, London Aluminum Alloy, Unleaded Gas, Crude Oil, Natural Gas, Heating Oil, Propane, Japanese Yen, British Pound, Dollar Index, Swiss Franc, Euro-Currency, the Australian Dollar, T-Notes, Australian Bond, US Bonds, 5-Year Notes, Muni-Bonds, the Eurodollar, the Euro Bund, the Long Gilt, and the Nikkei. To illustrate fixed-risk performance, the Global portfolio was run on data from 1980 through August 2002. A starting equity of $1,000,000 was used and 1.0 percent of equity was risked on each trade. The figure below shows the resultant equity curve. Note the exponential, rather than linear, increase in equity. 
Aztec Global Portfolio Equity Growth, 1.0-Percent Risk and Profit-Taking
The following is a year-by-year breakout of this performance:
GLOBAL PERFORMANCE SUMMARYUsing the Global portfolio and the profit-taking strategy, the percentage risked was varied to yield a spectrum of trading solutions. The graph below shows return and risk as a function of the percent risked. The figure illustrates the point that traders should be able to find a trading solution that suits them. If they are interested in a low annual largest drawdown, they can achieve a 16.02 percent annual return and suffer only a 4.1 percent largest annual drawdown by trading at 0.25 percent of equity per trade. If they are interested in a very high return, they can achieve a 150.1 percent annual return, but suffer a 26.2 percent largest annual drawdown by trading at 2 percent of equity per trade. Compromise solutions are also available between 0.25 and 2 percent of equity risked. The figure below illustrates a further point. As the percent of equity risked increases, return increases at a faster rate than drawdown. This can be seen in the slopes of the two lines on the graph, the return line is much steeper than the drawdown line. This is an important point. It means that the more drawdown you can stand, the greater the relative reward. 
Global Portfolio, Return and Drawdown as a Function of Percent of Equity Risked | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||