2Blue Capital, LLC : Tactical ES

archived programs
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

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 Since
5/2017
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

Summary

The 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The 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 Strategy

The 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 Management

Predefined 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
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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
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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
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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.