GalleonFX - Performance Data

08/12/07 UPDATE: After experiencing a significant draw down in July 2007 and new market conditions that can somewhat be traced back to the instability and failures of US sub-primie mortgage lenders, new strategies have been added/implemented as of 8/12/07 to take advantage of predominately choppy and counter trending conditions. These new strategies have been tuned to take advantage of choppy non-trending months with positive profits while the net contribution to the system during trending months is near 0% over time. This allows our previous trending and break out strategies to do their thing in trending months while performance is not adversely affected by the new counter-trend strategies.

01/24/07 UPDATE: Reports from new daily strategies have been included on the bottom of this page. These 4 new daily strategies have been added to the C25 System as of 01/24/07

Overview

Galleon has been trading private currency accounts and producing trading systems since 2003. Our results and transparency are unlike anything else you will find in the Forex world. Our predictive algorithms continue to evolve and mature to becoming more profitable each year. Back testing of our strategies over 12 years in the Forex market and even longer time periods in other markets continue to show that the core of our unique strategies is extremely powerful and profitable.

Cannon 25 (C25) Trading System

The "Cannon 25" employs approximately 25 synchronistic strategies to trade two currency pairs, EURUSD and USDCHF. These strategies are optimized and balanced to capitalize on 1-5 day movements of the US Dollar. Unlike other Forex systems that trade using very high leverage of 50:1 and 100:1, the C25 system uses no leverage or what would be called 1:1 leverage which is considerably safer than trading at higher leveraged amounts.

Cannon 25 (C25) is based on the core of our earlier system called C150 which is made up of 150 strategies. You can find more details on how and why C150 evolved to C25 in this News Item announcing C25

The table below shows Monthly Trading Results representing 12 full years of back testing the "Cannon 25". Our back testing incorporates slippage, commissions and spreads. Even more details are available in this Excel Report (1.35MB)

Negative months are represented by the yellow background. All other months are positive. Monthly percentage returns are based on 1:1 leverage. The blue backgrounds and on are results from actual trading our our demo account and calculated assuming 1:1 leverage.

The right side of this table are the approximate totals for each year as well as the Maximum Draw Downs for that year.

Monthly Return Summary for C25

	Jan	Feb	Mar	Apr	May	June	Jul	Aug	Sept	Oct	Nov	Dec	Totals	MaxDD
1994	-2.6%	9.3%	8.9%	19.7%	2.6%	31.7%	18.1%	9.2%	1.3%	22.0%	-2.8%	8.4%	125.8%	----
1995	20.5%	16.4%	14.9%	25.8%	44.3%	6.7%	9.3%	8.8%	22.0%	7.1%	16.2%	-2.9%	189.1%	----
1996	12.9%	7.8%	-0.6%	21.5%	19.8%	3.2%	11.7%	-1.6%	11.8%	10.7%	19.0%	17.2%	133.4%	----
1997	7.7%	9.8%	1.5%	3.3%	13.2%	19.6%	17.2%	6.9%	14.3%	22.3%	8.8%	18.5%	143.1%	-6.6%
1998	16.4%	9.1%	27.7%	23.9%	-3.2%	12.4%	6.1%	20.2%	15.0%	17.6%	18.4%	10.3%	173.9%	-6.7%
1999	14.5%	3.8%	10.4%	15.7%	16.3%	6.9%	29.3%	17.9%	21.7%	17.6%	10.1%	17.6%	181.8%	-7.4%
2000	16.7%	17.9%	0.3%	10.2%	22.3%	14.5%	26.1%	27.4%	20.3%	19.4%	24.3%	34.0%	233.4%	-7.7%
2001	19.9%	12.8%	20.0%	23.4%	15.2%	9.7%	15.2%	18.7%	15.7%	9.8%	8.3%	18.5%	187.2%	-4.7%
2002	34.5%	12.1%	-0.8%	15.3%	23.3%	22.4%	28.9%	14.2%	10.1%	18.6%	14.7%	16.6%	209.9%	-4.2%
2003	20.1%	5.9%	14.8%	16.3%	26.9%	19.6%	11.3%	14.2%	18.4%	15.4%	30.3%	15.1%	208.3%	-5.4%
2004	9.3%	24.9%	18.2%	13.2%	14.2%	9.9%	25.2%	14.7%	10.2%	9.7%	13.1%	10.4%	173.0%	-12.9%
2005	12.7%	4.5%	22.3%	-1.4%	22.6%	6.8%	11.9%	8.3%	3.6%	8.0%	11.4%	-1.1%	109.6%	- 6%
2006	13.0%	12.8%	13.2%	28.0%	13.3%	22.1%	2.8%	2.6%	3.9%	1.3%	11.95%	-1.8%	126.8%
2007	7.7%	13.6%	3.3%	15.9%	-2.4%	3.02%	~-15.9%

One may argue that these are hypothetical results based on back testing and not live trading. The truth is we have found that the live trading results of our earlier C150 System closely matched the hypothetical back tested results. You can review the previous performance and statements of C150 here which shows the core strategies are perfectly capable of producing outstanding results.

Another View Of Cumulative Returns and Max Draw Downs of C25

	1997	1998	1999	2000	2001	2002	2003	2004	2005	2006
Cumulative Return	591.06%	765.12%	946.88%	1180.33%	1367.62%	1577.73%	1786.26%	1959.09%	2068.60%	2182.15%
Annual Return	143.18%	174.06%	181.76%	233.45%	187.29%	210.11%	208.53%	172.83%	109.50%	113.55%
Max Drawdown	(6.62%)	(6.72%)	(7.45%)	(7.72%)	(4.68%)	(4.19%)	(5.38%)	(12.92%)	(5.97%)	(7.82%)

Below are the Performance Statistics of all trades over the 12 year period as taken from the full Excel Report (1.35MB)

Performance Statistics

CumulativeP/L	2182.1460%
Avg Annual Return	167.8574%	Std Dev of Annual Returns	39.5445%
Avg Monthly Return	14.0784%	Std Dev of Monthly Return	8.4391%
Avg Weekly Return	3.2521%	Std Dev of Weekly Returns	4.4083%
Avg Daily Return	0.5484%	Std Dev of Daily Returns	1.8103%
Best 12-Month Period	264.4340%	Skewness	0.2483
Worst 12-Month Period	106.8800%	Kurtosis	0.3698
% Years Profitable	100.0000%	Sharpe Ratio	5.6079
% Months Profitable	94.1935%	Sortino Ratio	96.5613
% Weeks Profitable	77.9434%	CMGR	13.7697%
% Days Profitable	56.9490%	CAGR	370.2413%
Largest Drawdowns		Maximum Drawdown %	(12.9180%)
04/07/04	(12.9180%)	Months in Max Drawdown	0.8877
04/09/06	(7.8240%)	Max Drawdown Date	04/07/04
04/16/00	(7.7180%)	Average Months to Recovery	0.0839
01/14/99	(7.4520%)	Longest Period Between Equity Peaks (months)	1.4137
11/09/00	(7.3620%)	Average Months to New Equity Peak	0.2189

Four New Daily Strategies (added to C25 as of 01/24/07)

Back tested for over 30 years, these 4 new "Daily" Bar strategies add on average, about 2 trades per month and about 2% more return per month to the already powerful C25 System. You can read more about the implementation of these strategies in this news item.

Below you will find the yearly returns from these 4 new strategies based on a $100,000 account. To really dig into the details, you can download the full Rina MS Excel Report (560kb)

Annual Analysis (Mark-To-Market): Based on a $100,000 account
Period	$Return Amount	% Return	# Trades	% Profitable
2006	$22,550.0000	22.5500%	32	50.00%
2005	$13,660.0000	13.6600%	42	38.10%
2004	$25,160.0000	25.1600%	34	35.29%
2003	$39,730.0000	39.7300%	34	52.94%
2002	$16,780.0000	16.7800%	38	44.74%
2001	$28,670.0000	28.6700%	33	45.45%
2000	$27,770.0000	27.7700%	40	27.50%
1999	$31,450.0000	31.4500%	33	60.61%
1998	$7,710.0000	7.7100%	38	42.11%
1997	$38,140.0000	38.1400%	29	44.83%
1996	$31,610.0000	31.6100%	30	43.33%
1995	$17,830.0000	17.8300%	33	42.42%
1994	$18,410.0000	18.4100%	26	53.85%
1993	$28,780.0000	28.7800%	37	43.24%
1992	$74,340.0000	74.3400%	38	50.00%
1991	$76,820.0000	76.8200%	45	48.89%
1990	$8,830.0000	8.8300%	34	35.29%
1989	$64,160.0000	64.1600%	46	56.52%
1988	$22,190.0000	22.1900%	40	57.50%
1987	$33,190.0000	33.1900%	38	55.26%
1986	$9,420.0000	9.4200%	50	30.00%
1985	$26,530.0000	26.5300%	34	50.00%
1984	$67,710.0000	67.7100%	43	51.16%
1983	$11,140.0000	11.1400%	45	42.22%
1982	$79,440.0000	79.4400%	61	49.18%
1981	$42,000.0000	42.0000%	45	31.11%
1980	$61,310.0000	61.3100%	46	41.30%
1979	$27,340.0000	27.3400%	31	54.84%
1978	$27,010.0000	27.0100%	17	29.41%
1977	$16,160.0000	16.1600%	11	54.55%
1976	($1,530.0000)	(1.5300%)	17	47.06%
1975	$5,210.0000	5.2100%	9	33.33%

Thanks for taking the time to read this far and study these numbers. We present all the relevant information we have on our systems so that you are making an informed decision when deciding to open an account with Galleon.