In the April issue of RINA Systems' Performance Update:

         Feature Highlight – Exporting Data Files from Portfolio Graphs
         Strategies Updated – CBO & BBO Strategies Are Updated through February
         New Information – Sneak Preview at our Upcoming Product Releases
         Offers – Pre-Release Purchase and Upgrade pricing now available

Feature Highlight - Did you know that starting in PortfolioStream 5 and Portfolio Evaluator 7 users are able to export any performance data that appears on a chart to text files for external use? Previously exports were limited to the equity curve or reports. This new feature can be useful if you would like to reproduce chart data in other applications, such as Excel, for additional graphing or analysis. To save the data simply select the disk icon on the graphs toolbar (the tool tip reads Save Chart Data) and select the directory and name of the file you wish to save. This was one of the many improvements to the graphs that were implemented in PortfolioStream 5 and Portfolio Evaluator 7.

Strategies Updated - We have been running several portfolios derived from 2 trading strategies and multiple parameters (specifically 3 parameters for each strategy) over the last few years. The purpose was to take a well-documented trading strategy from published literature (in our case Perry Kaufman’s Trading Systems and Methods) and follow it going forward using PortfolioStream 5. We recently updated the strategies and report on their recent performance below. We last updated the strategies through August 2004 so our test will cover the September 2004 through February (18th) 2005, as well as starting dates of October 2003(when we first began tracking), and October 1995 (the beginning date for the original backtest). The tests were conducted using PortfolioStream 5 and TradeStation 8 on the same set of North American futures markets used in the previous test described in the previous Performance Update for October, 2004.

The strategies all yielded poor performance in varying degrees since August 2004 (Displayed in Figure 1). Interestingly the strategies that used channels based on standard deviation bands as the entry and exit signals in general did worse than those that used simple N period highs and lows for purposes of creating the channels. Figure 2 shows the equity curve of various strategy parameters over the August 2004 through February 2005 period.

Figure 1 - Results since August 2004

Figure 2 - Performance Since September 2004

Looking back a little further, we originally reviewed these strategies in Performance Update for October, 2003.

Figure 3 displays the equity curves of 2 of the parameters for the channel breakout (CBO) strategies (40 and 80 period lookback) since October, 2003. Over this lookback, arguably the fairest period period for establishing "out-of-sample" results, the results have also been poor. We believe one can reasonably assume that a trader who implemented these or comparable strategies (intermediate to long term trend following on a basket of diversified North American futures) would likely have suffered losses, possibly extreme, over that period.

Figure 3 - Performance from October 2003

Figure 4 - Performance from October 1995

Reviewing these hypothetical portfolios recent results draws our attention to how sensitive historical models are to the starting date of the study. The figure above displays the whole period performance, including "in-sample" data over which the strategies were originally tested. While the overall strategies appear to be profitable, we see that from the moment the strategies were tracked they have suffered poor performance. Moreover, the trader starting in the out-of-sample period in 2003 would not have the benefit of having the subsequent drawdown mitigated by previous accumulated gains that occurred from 1995 through 2003. Of course finding strategies that will perform well in the future, whose results were not random or will be competed away by their previous success and/or popularity as other traders adopt them, is one of the primary tasks of the trader/systems analyst. It will be interesting to see in future updates if the recent failures were cyclical, or indicative of model that has either failed or was the result of too much hindsight in the first place.

Future Updates - While no tool can remove the risk of strategies performing poorly in the future, we are designing a tool to help mitigate the impact of using too much hindsight in market selection. Our next major release of PortfolioStream, version 6, will have the ability to split a historical study into two sub-periods and after making market selections based on performance in the "in-sample" period, it will simulate trading the of the selected markets going forward. While this may not be the antidote to one of the many possible causes for the results of the strategies tracked in the Performance Update, which in fact may not even be a fundamentally profitable approach, it will be another tool at the disposal of researchers especially with regards to market selection. Is it better to build a portfolio from markets that test well with the system over some period, or with a much broader basket of markets regardless of individual system/market performance? This is what we intend to test (using the same studies) in forthcoming editions of Performance Update.

New Information - Sneak Preview at our Upcoming Product Releases

Currently the latest and most powerful versions of our award winning Performance Suite and PortfolioStream applications are being developed. As the development of the new features near completion we would like to give our customers a small glimpse into some of the features that will be in the forthcoming release of these applications:

"In-Sample / Out-of-Sample" Portfolio Selection – users will be able to automate the splitting of portfolios into a sample over which the portfolio components are selected from a larger basket based on performance criteria, and a forward "blind testing" period where prospective returns for that selected portfolio are calculated. This feature helps system testers reduce the amount of “fitting” that occurs when selecting markets and systems for a portfolio.

Global setting of Margin and Sectors for a database – Many users are aware of our exposure and margin usage graphs that let system testers see how much capital their strategies were using over time. Now you can set the margin for a symbol root (ES for e-mini S&P for example) across all portfolios in the database. This will save you substantial time when setting up portfolio margins. In addition, we have added the ability for equities to set the margin to be equal a percent of the share price. Thus if a share of MSFT is 25 and the user would like the initial margin to be equal to 50 percent of the share price, this percentage can be expressed mathematically to establish margins for all stocks in the portfolio.

Save Summary Returns – Use the feature to save off high-level calculated results to a separate database helping you to better organize calculated portfolio results. This reduces the time necessary to access an already calculated result while at the same time providing a central repository for previously generated portfolio results. This is important because over time a typical PortfolioStream user can accumulate many databases of studies and it’s convenient and efficient to consolidate the high-level performance results of disparate studies into one location (database) versus searching through many files.

We will publish additional features on our website when we announce the exact release date. The estimated release data is May 1, 2005 (subject to change).

Offers - Pre-Release Purchase and Upgrade pricing now available

We are now accepting pre-release orders for the PortfolioStream 6 - purchase and upgrade options. $1000 OFF - New customers may purchase PortfolioStream 6 for the special pre-release sale price of $3,995 (regularly $4,995). $300 OFF - Existing users of PortfolioStream who upgrade to version 6 (from version 5) can do so for the reduced price of $695 (regularly $995). To receive this savings mention the sale code - 282635 and the savings will be applied towards your purchase. This offer will be valid through May 15, 2005 - at which time the cost will be the standard upgrade pricing. As a service to our clients we always provide access to one year worth of new releases for free from the date of purchase. To read more information from RINA Systems' Testimonials page click HERE. If you would like to contact RINA Systems, Inc. you may do so via phone at (513)-469-7462, via fax at (513)-469-2223, or via e-mail at info@rinasystems.com

The purpose of the Performance Update newsletter is to offer ideas and educational samples of strategies through the use of RINA Systems software applications. The strategies described in the Performance Update newsletter are not intended to be used as actual trading strategies, but are included for educational purposes only. No offer or solicitation to buy or sell securities, commodities or securities derivative products of any kind, or any type of trading or investment advice, recommendation or strategy, is made, given or in any manner provided by RINA Systems or any of its affiliates. If such advice is sought, the services of a licensed professional should be obtained. Past performance, whether actual or indicated by historical, simulated tests of strategies, is no guarantee of future performance or success. Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record simulations do not represent actual trading. Also since the trades have not actually been executed the results may have under - or over - compensated for the impact if any, of certain market factors such as liquidity. Simulated trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. There is a significant risk of loss involved in futures and securities trading. RINA Systems, Inc. will not be responsible for any losses or lost profits resulting from investment decisions based on any RINA Systems product or service information obtained through use of any RINA Systems product or service or otherwise. TradeStation® and EasyLanguage® are registered trademarks of TradeStation Technologies, Inc.