Bullet Hill Capital LLC : Ricochet

archived programs
Year-to-Date
N / A
Feb Performance
-11.73%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.64%
Sharpe (RFR=1%)
-0.39
CAROR
-5.13%
Assets
$ 2.7M
Worst DD
-20.34
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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
6/2014
Ricochet -11.73 -11.11 - -6.22 - - - -13.47
S&P 500 3.72 7.50 - 22.33 - - - 16.26
+/- S&P 500 -15.45 -18.61 - -28.54 - - - -29.73

Strategy Description

Summary

BHC trading systems cover’s 37 markets including financial and commodity markets. They are actively monitored and invested in, encompassing a broad range of asset classes that include indexes, fixed income, currencies, energy, precious metals, and agriculture. By statistically... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$15.00
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
30%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
10.00%
Other
90.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Precious Metals
15.00%
Energy
15.00%
Interest Rates
15.00%
Grains
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

BHC trading systems cover’s 37 markets including financial and commodity markets. They are actively monitored and invested in, encompassing a broad range of asset classes that include indexes, fixed income, currencies, energy, precious metals, and agriculture. By statistically spreading this approach across multiple markets, the system's performance is designed to follow the overall statistical performance of the historical behavior using artificial intelligence. This Machine Learning system perpetually acquires and archives data on a daily basis. So in this sense the system is perpetually growing and getting smarter as it acquires more history that lends to the statistical forecasts it produces.

Investment Strategy

The database collects daily sentiment numbers (market consensus) to analyze market behavior in a “bottom up” fashion in order to determine the state of market opinion and predict the likely hood of market movements based on contrary opinion and historical price action based on archived behavioral patterns. By looking at sentiment in a historical and behavioral manner of market movement (dating back to 1964), various mathematical concepts such as Random Walk and Bernoulli are used to qualify and measure the path and statistical characteristics of behavioral patterns. The measurements are calculated and stored within archives that are recalled and provide performance statistics to measure the market's tendency to be either overbought or oversold. This systematic approach is technically based on a proprietary model that evaluates price over time combined with market consensus to create a system signal; both must be met before taking a position. We look at the patterns of consensus numbers over a certain time frame, not just the latest number. Consensus is the instrument that provides the main filter to determine the strength of price breakouts and whether the system should initiate a position against these breakouts. When a market does break out of a trading range, this system will attempt to participate by entering on a re-test of the breakout. A comprehensive database of string patterns and analysis of trade action has been created and is used to gauge statistical probabilities of future direction.

Risk Management

Our edge lies in that we have a large enough historical sample to gauge how markets behave (based on a particular behavior pattern) over a history of varying market and economic conditions. This vast historical dataset allows us to identify what side of the market is wrong and will need to correct and place our bet based on statistical outcomes that have occurred over a 40 plus year timeframe, in varying market conditions. We illustrate this by applying the Random Walk principle and superimpose actual behavior with what the Random Walk would look like in order to see what happens over multiple years and where we think the "street" is likely to be making the same mistakes as in the past. Measurements are calculated and stored by archives that we can recall based on specific aggregations of behavior. The system exploits these distortions by taking directional positions in the major liquid commodity, currency and bond markets.

   

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
-20.34 8 - 8/1/2014 4/1/2015
-1.25 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
14.09 6 5/1/2015 10/1/2015
7.26 8 6/1/2016 1/1/2017
2.47 3 12/1/2014 2/1/2015
1.64 1 8/1/2014 8/1/2014
1.35 2 3/1/2016 4/1/2016
1.29 1 6/1/2014 6/1/2014
0.89 1 10/1/2014 10/1/2014
0.40 2 12/1/2015 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.71 1 9/1/2014 9/1/2014
-11.73 1 2/1/2017 2/1/2017
-4.70 2 3/1/2015 4/1/2015
-4.07 1 11/1/2014 11/1/2014
-2.27 1 5/1/2016 5/1/2016
-1.25 1 7/1/2014 7/1/2014
-0.36 1 2/1/2016 2/1/2016
-0.19 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable72.7370.9771.4377.2768.75
Average Period Return-0.36-0.450.263.285.64
Average Gain1.192.524.587.5211.54
Average Loss-4.48-7.69-10.54-11.13-7.33
Best Period6.569.7714.0915.4618.90
Worst Period-15.71-18.42-17.58-13.70-9.25
Standard Deviation3.946.168.288.539.40
Gain Standard Deviation1.282.093.093.082.84
Loss Standard Deviation5.576.907.192.922.25
Sharpe Ratio (1%)-0.11-0.11-0.030.270.44
Average Gain / Average Loss0.270.330.430.681.57
Profit / Loss Ratio0.710.801.092.303.46
Downside Deviation (10%)3.755.967.857.798.42
Downside Deviation (5%)3.635.536.915.915.06
Downside Deviation (0%)3.605.436.685.454.25
Sortino Ratio (10%)-0.20-0.28-0.28-0.22-0.23
Sortino Ratio (5%)-0.12-0.13-0.030.390.82
Sortino Ratio (0%)-0.10-0.080.040.601.33

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 1.48 8/2016
Systematic Trader Index Month 10 1.48 8/2016

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