BK Systematic Strategies : Novum Quantitative Trading Program (Proprietary)

archived programs
Year-to-Date
N / A
Apr Performance
0.48%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.61%
Sharpe (RFR=1%)
5.58
CAROR
-
Assets
$ 275k
Worst DD
N/A
S&P Correlation
0.03

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
3/2016
Novum Quantitative Trading Program (Proprietary) 0.48 - - - - - - 19.71
S&P 500 0.91 - - - - - - 57.14
+/- S&P 500 -0.43 - - - - - - -37.43

Strategy Description

Summary

Novum Quantitative Trading Program(NQTP) trades currency markets with a counter-trend approach and is designed to identify and trade short term trend exhaustion levels.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 350 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD -1.00%
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Novum Quantitative Trading Program(NQTP) trades currency markets with a counter-trend approach and is designed to identify and trade short term trend exhaustion levels.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
19.71 14 3/1/2016 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable100.00100.00100.00
Average Period Return1.304.098.39
Average Gain1.304.098.39
Average Loss
Best Period3.206.5711.82
Worst Period0.381.304.31
Standard Deviation0.751.912.84
Gain Standard Deviation0.751.912.84
Loss Standard Deviation
Sharpe Ratio (1%)1.612.012.78
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)0.01
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)121.25
Sortino Ratio (5%)
Sortino Ratio (0%)

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.