Altus Trading, LLC : Managed Forex Program A

archived programs
Year-to-Date
N / A
Jan Performance
2.06%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
6.53%
Sharpe (RFR=1%)
0.61
CAROR
4.90%
Assets
$ 309k
Worst DD
-5.75
S&P Correlation
0.12

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
Managed Forex Program A 2.06 3.92 - -0.79 18.91 - - 18.22
S&P 500 -3.10 -1.14 - 11.92 52.01 - - 63.65
+/- S&P 500 5.16 5.07 - -12.70 -33.10 - - -45.43

Strategy Description

Summary

The Altus Trading Managed Forex Program A uses several exclusive proprietary trading systems that were developed in-house by using unique methods of optimization, utilizing in-sample and out-of-sample testing. The aim of the Altus Trading Managed Forex Program A program is to provide... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 1k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
15000 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
6.34%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
10.00%
Intraday
90.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Momentum
50.00%
Trend-following
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Altus Trading Managed Forex Program A uses several exclusive proprietary trading systems that were developed in-house by using unique methods of optimization, utilizing in-sample and out-of-sample testing. The aim of the Altus Trading Managed Forex Program A program is to provide an investment alternative in the spot foreign exchange markets with minimal correlation to equities and fixed income investment instruments. Note the performance shown through May 2013 is for LPOA client accounts directed by the Principal. ALTUS TRADING IS A 4.7 EXEMPT COMMODITY TRADING ADVISOR, ALL STRATEGIES OFFERED ARE OPEN ONLY TO THOSE WHO CAN DEMONSTRATE THEY ARE QUALIFIED ELIGIBLE PARTICIPANTS ("QEP"). Find out more at http://www.altus-trading.com

Investment Strategy

All of our trading systems utilize and are built around a technical analysis approach. The Altus Trading Managed Forex Program A trades the EUR/USD, AUD/USD, EUR/AUD, EUR/CAD, GBP/CHF, USD/CHF, EUR/CHF, EUR/GBP, USD/JPY, GBP/JPY, AUD/NZD, USD/CAD, EUR/JPY, AUD/JPY, NZD/USD and GBP/USD. Our average trade length is about 2.5 hours and we aim not to have open trades into a weekend to reduce market exposure. The approach that is utilized by Altus Trading, is to have a portfolio of strategies employing various trading techniques. These techniques include breakout, scalping, ranging, and trend-following. The strategies are intended to be short-term in nature. Our systems main objective is to observe the market’s price action and predict recognized chart patterns. The trading systems employ a mixture of standard technical indicators, including moving averages, relative strength index, and other exclusive proprietary indicators [developed internally] to help define present market conditions and generate trade signals, in pursuit of delightful risk-adjusted returns. These systems utilized together, creates a portfolio approach to trading, and the blend of the systems trading concurrently allows for a smooth equity curve, capitalizing on trading opportunities in a multitude of market conditions. Altus Trading also monitors liquidity, price availability and execution to ensure that they are competitive and in line with the market. These are important variables to keep in consideration, given that the market is Over The Counter (cash market) and we’re not trading over a central exchange where all brokers provide the exact same price. These principals carry over into our beliefs of maintaining trading systems that are short-term, in attempt to avoid over-exposure to the market.

Vital to the Altus Trading trading style, are low correlation between the different strategies employed and use of high liquidity currencies for efficient order execution. The actual number of strategies being used may vary and may change materially over time as determined by Altus Trading in their sole discretion.

Risk Management

The fundamental objective of the Altus Trading Managed Forex Program A trading program is preservation of capital, achieved through application of methodical technical analysis and very exact risk management protocols. Altus Trading’s edge in forex trading is recognized through our disciplined short term systematic approach toward the currency markets [average trade length is less than 3 hours]. Our target is to achieve and attain consistent capital appreciation, while attaining a low level of volatility. Exact risk management protocols are the means to successful trading outcomes over the long term. Every trade signal of Altus Trading’s models must take into account their respective risk to reward parameters and overall impact to yield. The initial risk per trade for our strategy ranges from 0.1 - 3.0% and a pre-determined maximum drawdown limit is set at 10% of the program’s daily beginning equity (variables can be adjusted for single allocations >$1m). These pre-determined drawdown limits are imposed, so any position(s) that realizes the pre-determined drawdown limit will be issued a close order immediately. In summary, the program’s multiple systems utilize / risk small amounts of trading capital per trade, and concurrently adhere to automated drawdown limits, continuously evaluating markets, and exercising efficient risk management processes, which hopefully leads to consistent, reliable and profitable results, whilst also preserving capital.

   

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
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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
-5.75 17 - 3/1/2013 8/1/2014
-4.56 1 3 8/1/2011 9/1/2011
-2.59 1 1 8/1/2012 9/1/2012
-1.22 2 1 12/1/2011 2/1/2012
-1.10 1 1 10/1/2012 11/1/2012
-0.64 1 2 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
9.58 4 12/1/2012 3/1/2013
7.30 4 5/1/2012 8/1/2012
5.17 1 10/1/2012 10/1/2012
4.91 3 10/1/2011 12/1/2011
4.14 5 9/1/2013 1/1/2014
3.92 3 11/1/2014 1/1/2015
2.06 1 3/1/2012 3/1/2012
2.05 1 9/1/2014 9/1/2014
0.75 1 6/1/2013 6/1/2013
0.19 1 8/1/2011 8/1/2011
0.12 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.56 1 9/1/2011 9/1/2011
-3.77 4 2/1/2014 5/1/2014
-3.42 2 7/1/2013 8/1/2013
-2.59 1 9/1/2012 9/1/2012
-1.77 2 4/1/2013 5/1/2013
-1.73 2 7/1/2014 8/1/2014
-1.22 2 1/1/2012 2/1/2012
-1.20 1 10/1/2014 10/1/2014
-1.10 1 11/1/2012 11/1/2012
-0.64 1 4/1/2012 4/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable59.5262.5064.8664.5276.00100.00
Average Period Return0.421.302.606.069.6212.51
Average Gain1.583.065.1710.3413.5412.51
Average Loss-1.38-1.62-2.15-1.70-2.77
Best Period5.177.9413.9719.0025.2021.60
Worst Period-4.56-3.08-4.64-3.09-4.322.19
Standard Deviation1.882.994.697.238.826.41
Gain Standard Deviation1.282.343.715.286.006.41
Loss Standard Deviation1.160.921.390.861.23
Sharpe Ratio (1%)0.180.350.450.700.921.64
Average Gain / Average Loss1.151.882.406.074.89
Profit / Loss Ratio1.793.144.4311.0315.48
Downside Deviation (10%)1.311.842.954.135.303.40
Downside Deviation (5%)1.141.271.761.692.16
Downside Deviation (0%)1.101.131.501.131.46
Sortino Ratio (10%)0.010.040.040.260.380.66
Sortino Ratio (5%)0.290.831.193.003.75
Sortino Ratio (0%)0.381.151.735.386.57

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 5.17 10/2012

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