Aurapoint Asset Management LLC : Vakt

archived programs
Year-to-Date
N / A
Jul Performance
-3.25%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
19.24%
Sharpe (RFR=1%)
2.73
CAROR
-
Assets
$ 60k
Worst DD
-3.25
S&P Correlation
0.28

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2011
Vakt -3.25 - - - - - - 123.50
S&P 500 1.26 - - - - - - 169.36
+/- S&P 500 -4.51 - - - - - - -45.86

Strategy Description

Summary

Strategy is based on an overnight scalping on a few pairs (currently only EURCAD is being used). A risk limit condition is applied. To maintain the current state of the system parameters the neural networks are used. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 4.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $100.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 5.00%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Strategy is based on an overnight scalping on a few pairs (currently only EURCAD is being used). A risk limit condition is applied. To maintain the current state of the system parameters the neural networks are used.

Investment Strategy

Entries and exits are executed after a search for a calm market and a price channel for making short-term trades. Runs best with ECN brokers with floating spreads and low fees.

Risk Management

Strategy uses one order to enter the market. It has fixed stop loss of forty pips. Uses 0.1 lot (10000 c.u.) per 1000 usd of deposit. That means that the maximum risk will be 40pips * ~1usd = 40 usd or 4.0% assuming normal market conditions (Using 1 pip of 0.1 lot on EURCAD cost equal to 1 usd).

   

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:
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
-3.25 1 - 6/1/2012 7/1/2012
-1.86 1 2 7/1/2011 8/1/2011
-1.35 1 1 4/1/2012 5/1/2012
-0.45 1 1 12/1/2011 1/1/2012
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
81.32 7 1/1/2011 7/1/2011
15.14 3 2/1/2012 4/1/2012
12.26 4 9/1/2011 12/1/2011
2.27 1 6/1/2012 6/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.25 1 7/1/2012 7/1/2012
-1.86 1 8/1/2011 8/1/2011
-1.35 1 5/1/2012 5/1/2012
-0.45 1 1/1/2012 1/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable78.9594.12100.00100.00
Average Period Return4.4615.3331.4865.87
Average Gain6.1116.4431.4865.87
Average Loss-1.73-2.39
Best Period19.5843.7976.0499.76
Worst Period-3.25-2.399.6723.26
Standard Deviation5.5513.8721.7630.19
Gain Standard Deviation5.0513.5321.7630.19
Loss Standard Deviation1.17
Sharpe Ratio (1%)0.791.091.422.15
Average Gain / Average Loss3.546.88
Profit / Loss Ratio13.26110.09
Downside Deviation (10%)1.090.88
Downside Deviation (5%)0.950.64
Downside Deviation (0%)0.920.58
Sortino Ratio (10%)3.7316.08
Sortino Ratio (5%)4.6023.57
Sortino Ratio (0%)4.8526.46

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.