Blake Capital Management, Inc. : SRD Energies

archived programs
Year-to-Date
N / A
Mar Performance
-0.38%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
33.30%
Annualized Vol
1.07%
Sharpe (RFR=1%)
-1.88
CAROR
-1.02%
Assets
$ 96k
Worst DD
-3.69
S&P Correlation
0.06

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
SRD Energies -0.38 -0.38 - -1.94 -2.90 - - -3.69
S&P 500 -1.74 0.44 - 10.44 46.82 - - 72.87
+/- S&P 500 1.36 -0.82 - -12.38 -49.72 - - -76.56

Strategy Description

Summary

The SRD Energies program trades electronic NYMEX Crude Oil and Natural Gas future contracts. This program endeavors to “buy supports” and “sell resistances,” in each case using stops for protection and seeking a multiple of any amount risked. Proprietary pattern recognition models... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
33.30%
Average Commission
$6.00
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
3000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
0%
Sector Focus
Energy 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
50.00%
Systematic
50.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The SRD Energies program trades electronic NYMEX Crude Oil and Natural Gas future contracts. This program endeavors to “buy supports” and “sell resistances,” in each case using stops for protection and seeking a multiple of any amount risked. Proprietary pattern recognition models generate trade signals. This program trades 99% outright futures, 1% future options, mostly on an intraday basis. For risk management purposes, future positions are not held over the weekend.

Investment Strategy

The Support & Resistance Diversified ("SRD") programs focus on trading organic support & resistance levels, which are often former highs and lows. By buying futures near perceived supports (floors) and selling futures near perceived resistances (ceilings), the manager takes a somewhat counter-trend approach, looking to benefit from short-term buying or selling exhaustion. This program utilizes proprietary pattern recognition systems to generate trade ideas.

Risk Management

The Manager enters stop-orders to exit losing positions, alongside limit orders to initiate positions. The Manager intends to keep daily V.A.R. at approximately 2%, or less. Market liquidity, Order book behavior, economic reports, margin requirements and profitability goals are all factored into decisions.

   

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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Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-3.69 43 - 8/1/2011 3/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
0.68 1 7/1/2013 7/1/2013
0.65 1 11/1/2013 11/1/2013
0.54 1 1/1/2014 1/1/2014
0.30 1 4/1/2013 4/1/2013
0.23 1 3/1/2012 3/1/2012
0.19 1 2/1/2015 2/1/2015
0.18 1 10/1/2012 10/1/2012
0.17 1 12/1/2014 12/1/2014
0.15 2 12/1/2011 1/1/2012
0.11 1 2/1/2013 2/1/2013
0.07 1 6/1/2012 6/1/2012
0.03 1 10/1/2014 10/1/2014
0.03 1 9/1/2013 9/1/2013
0.02 1 4/1/2014 4/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.33 5 5/1/2014 9/1/2014
-0.91 1 10/1/2013 10/1/2013
-0.88 3 7/1/2012 9/1/2012
-0.51 3 11/1/2012 1/1/2013
-0.49 2 2/1/2014 3/1/2014
-0.49 2 4/1/2012 5/1/2012
-0.45 4 8/1/2011 11/1/2011
-0.41 1 1/1/2015 1/1/2015
-0.38 1 3/1/2015 3/1/2015
-0.36 1 11/1/2014 11/1/2014
-0.29 2 5/1/2013 6/1/2013
-0.26 1 2/1/2012 2/1/2012
-0.15 1 8/1/2013 8/1/2013
-0.12 1 3/1/2013 3/1/2013
-0.05 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable34.0926.1917.9515.150.000.00
Average Period Return-0.09-0.25-0.48-0.89-1.15-1.40
Average Gain0.220.270.390.31
Average Loss-0.25-0.43-0.67-1.10-1.15-1.40
Best Period0.681.140.680.78-0.04-0.88
Worst Period-0.91-1.10-1.56-2.36-2.33-2.04
Standard Deviation0.310.440.570.780.640.31
Gain Standard Deviation0.220.340.260.28
Loss Standard Deviation0.210.300.430.620.640.31
Sharpe Ratio (1%)-0.54-1.14-1.71-2.43-4.15-11.00
Average Gain / Average Loss0.880.630.580.28
Profit / Loss Ratio0.470.220.130.05
Downside Deviation (10%)0.581.543.005.948.7611.65
Downside Deviation (5%)0.320.641.132.042.733.42
Downside Deviation (0%)0.260.450.721.161.311.43
Sortino Ratio (10%)-0.85-0.96-0.98-0.99-1.00-1.00
Sortino Ratio (5%)-0.53-0.77-0.87-0.93-0.97-1.00
Sortino Ratio (0%)-0.33-0.55-0.67-0.76-0.88-0.98

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.