2Blue Capital, LLC : Tactical ES Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Feb Performance -15.93% Min Investment $ 100k Mgmt. Fee 0% Perf. Fee 20.00% Annualized Vol 19.27% Sharpe (RFR=1%) -0.42 CAROR - Assets $ 1.1M Worst DD -15.93 S&P Correlation 0.67 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since5/2017 Tactical ES -15.93 - - - -13.18 - - -7.20 S&P 500 -3.89 - - - 27.65 - - 43.66 +/- S&P 500 -12.04 - - - -40.83 - - -50.85 Strategy Description SummaryThe Tactical ES Program strategy is a fully automated system that analyzes price trend and current price levels within the trend to determine optimum entry and exit points for the S&P 500 index futures.... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 0% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 600 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -15.00% Worst Peak-to-Trough 4.00% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 70.00% Trend-following 30.00% Composition Stock Indices 100.00% SummaryThe Tactical ES Program strategy is a fully automated system that analyzes price trend and current price levels within the trend to determine optimum entry and exit points for the S&P 500 index futures.Investment StrategyThe underlying tested assumption is that the S&P 500 is a primarily mean reverting market and this system attempts to take advantage of price excursions that fall outside of well-defined standard deviation levels. In addition, there is a trend following component that will attempt to follow larger moves in the market.Risk ManagementPredefined hard stop loss orders are not typically used in this strategy in order to avoid premature exits during market volatility. However, risk is controlled by prudent position sizing and margin usage. Black swan stop loss orders are deployed in rare circumstances during extreme market volatility. The system will exit only when underlying market conditions signal the optimum exit time. Therefore, risk estimates are instead based on the average trade loss which is approximately 2% of starting trading equity. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -15.93 1 - 1/1/2018 2/1/2018 -0.58 1 1 11/1/2017 12/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 10.05 7 5/1/2017 11/1/2017 0.89 1 1/1/2018 1/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.93 1 2/1/2018 2/1/2018 -0.58 1 12/1/2017 12/1/2017 Show More Time Windows Analysis 1 Month3 Month Number of Periods10.008.00 Percent Profitable80.0087.50 Average Period Return-0.590.43 Average Gain1.332.73 Average Loss-8.26-15.67 Best Period4.536.77 Worst Period-15.93-15.67 Standard Deviation5.566.73 Gain Standard Deviation1.401.86 Loss Standard Deviation10.85 Sharpe Ratio (1%)-0.120.03 Average Gain / Average Loss0.160.17 Profit / Loss Ratio0.641.22 Downside Deviation (10%)5.185.98 Downside Deviation (5%)5.075.63 Downside Deviation (0%)5.045.54 Sortino Ratio (10%)-0.19-0.13 Sortino Ratio (5%)-0.130.03 Sortino Ratio (0%)-0.120.08 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel