Blackwater Capital Management : ForesightML

archived programs
Year-to-Date
N / A
Dec Performance
-1.90%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.86%
Sharpe (RFR=1%)
0.04
CAROR
1.08%
Assets
$ 22.0M
Worst DD
-8.02
S&P Correlation
0.33

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/2016
ForesightML -1.90 -0.56 - -5.83 - - - 2.72
S&P 500 -9.18 -13.97 - -6.24 - - - 14.17
+/- S&P 500 7.28 13.41 - 0.41 - - - -11.45

Strategy Description

Summary

ForesightML is a joint venture between Blackwater Capital Management and VeridianML that utilizes rapid machine learning to trade global futures markets. Predictive models are built using a combination of technical indicators and market inputs. Rapid machine learing then constructs... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified 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

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
30.00%
Energy
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Industrial Metals
7.00%
Precious Metals
3.00%
Composition Pie Chart

Summary

ForesightML is a joint venture between Blackwater Capital Management and VeridianML that utilizes rapid machine learning to trade global futures markets. Predictive models are built using a combination of technical indicators and market inputs. Rapid machine learing then constructs millions of models using all possible combinations of inputs. These predictive models are then screened through a series of statistical tests such as correlations, clustering analysis and a proprietary model input enrichment tool to determine the most predictive and stable input combinations. Post prediction analysis determines signal strength resulting in a long, short or neutral state on both short term (six day average holding period) and intermediate term (24 day average holding period) time frames. Once a market state is determined, trading rules and money management criteria are then applied. Rapid machine learning allows the program to quickly adapt to changing market environments resulting in low correlations to other trading programs and asset classes.

Investment Strategy

Quantitative/AI

Risk Management

Quantitative

   

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
-8.02 11 - 1/1/2018 12/1/2018
-5.09 7 4 7/1/2016 2/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
17.15 11 3/1/2017 1/1/2018
1.56 1 11/1/2018 11/1/2018
1.08 1 9/1/2016 9/1/2016
0.44 1 7/1/2016 7/1/2016
0.30 1 12/1/2016 12/1/2016
0.01 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.68 6 5/1/2018 10/1/2018
-3.31 2 10/1/2016 11/1/2016
-2.13 2 2/1/2018 3/1/2018
-1.90 1 12/1/2018 12/1/2018
-1.83 2 1/1/2017 2/1/2017
-1.37 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable53.3350.0052.0073.68100.00
Average Period Return0.100.431.265.308.20
Average Gain1.213.055.938.318.20
Average Loss-1.17-2.18-3.80-3.13
Best Period2.385.259.9416.3011.58
Worst Period-2.23-4.00-5.85-5.831.38
Standard Deviation1.403.045.476.683.15
Gain Standard Deviation0.721.792.884.873.15
Loss Standard Deviation0.741.131.611.74
Sharpe Ratio (1%)0.010.060.140.642.13
Average Gain / Average Loss1.031.401.562.65
Profit / Loss Ratio1.181.401.697.43
Downside Deviation (10%)1.192.554.494.422.16
Downside Deviation (5%)0.991.883.162.270.03
Downside Deviation (0%)0.941.732.841.79
Sortino Ratio (10%)-0.26-0.31-0.270.070.28
Sortino Ratio (5%)0.020.100.241.90191.36
Sortino Ratio (0%)0.110.250.442.95

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.