Ceros AG : Dax Managed Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jun Performance 9.31% Min Investment $ 50k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 44.24% Sharpe (RFR=1%) 1.31 CAROR 62.23% Assets $ 0k Worst DD -53.53 S&P Correlation -0.16 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since1/2000 Dax Managed Futures 9.31 - - - - - - 15,980.66 S&P 500 -5.39 - - - - - - 191.11 +/- S&P 500 14.70 - - - - - - 15,789.55 Strategy Description SummarySince 2000 the DAX system was only trading 254 with a very high accuracy of 71.7% resulting in only 72 losing and 182 winnig trades. The average profit per trade is 987€. Most consec winning trades were 15 whereas most consec losses were counting to 4 only. Average wining trade... Read More Account & Fees Type Managed Account Minimum Investment $ 50k Trading Level Incremental Increase $ 15k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $25.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 743 RT/YR/$M Avg. Margin-to-Equity 35% Targeted Worst DD -45.00% Worst Peak-to-Trough 65.00% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 100.00% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 30.00% Trend-following 50.00% Other 20.00% Composition SummarySince 2000 the DAX system was only trading 254 with a very high accuracy of 71.7% resulting in only 72 losing and 182 winnig trades. The average profit per trade is 987€. Most consec winning trades were 15 whereas most consec losses were counting to 4 only. Average wining trade is 2705€, the average loss is 3357€. Profit factor is 2.04 These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown. There is risk of loss in futures. MANAGED ACCOUNT BUSINESS WILL START SOON.Investment StrategyThe Dax system is based on a pattern recognition algorithm to spot entries and short term trend following parameters to ride every position as far as possible.Risk ManagementOn a managed account basis traded the minimum investment is 30,000 USD whereas 50,000 USD are recommended in order to create a margin of safety. Normal stop in use is about 100 Dax points. Exceptions confirm the rule. For some highly successfull patterns the stop is only placed the very next day but this happens only form time to time. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -53.53 5 7 3/1/2000 8/1/2000 -39.01 4 5 2/1/2006 6/1/2006 -35.64 2 5 6/1/2002 8/1/2002 -33.41 8 5 10/1/2003 6/1/2004 -22.95 2 3 3/1/2001 5/1/2001 -19.85 2 3 11/1/2009 1/1/2010 -19.03 1 5 2/1/2003 3/1/2003 -9.89 3 3 1/1/2005 4/1/2005 -8.54 1 1 6/1/2008 7/1/2008 -7.87 1 3 1/1/2009 2/1/2009 -6.67 1 1 5/1/2007 6/1/2007 -3.67 1 2 1/1/2008 2/1/2008 -3.37 1 1 9/1/2007 10/1/2007 -1.87 1 2 7/1/2009 8/1/2009 -1.61 1 1 11/1/2007 12/1/2007 -1.46 1 1 12/1/2001 1/1/2002 -1.26 1 1 5/1/2009 6/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 101.48 6 9/1/2002 2/1/2003 89.46 4 12/1/2000 3/1/2001 85.67 5 2/1/2010 6/1/2010 83.09 5 2/1/2002 6/1/2002 77.07 3 1/1/2000 3/1/2000 73.89 4 8/1/2008 11/1/2008 60.88 3 1/1/2007 3/1/2007 40.77 2 9/1/2000 10/1/2000 40.27 2 7/1/2007 8/1/2007 37.05 3 4/1/2008 6/1/2008 30.19 2 10/1/2004 11/1/2004 29.38 3 11/1/2005 1/1/2006 28.73 5 5/1/2005 9/1/2005 27.69 1 7/1/2004 7/1/2004 25.02 1 11/1/2006 11/1/2006 22.92 1 7/1/2006 7/1/2006 22.76 3 10/1/2001 12/1/2001 22.57 4 7/1/2003 10/1/2003 19.33 1 1/1/2008 1/1/2008 18.91 1 8/1/2001 8/1/2001 18.38 2 10/1/2009 11/1/2009 17.59 1 5/1/2007 5/1/2007 16.44 2 4/1/2003 5/1/2003 15.46 1 1/1/2009 1/1/2009 15.35 1 5/1/2009 5/1/2009 12.32 1 9/1/2006 9/1/2006 10.62 1 6/1/2001 6/1/2001 8.90 1 4/1/2004 4/1/2004 5.80 1 11/1/2007 11/1/2007 5.25 1 7/1/2000 7/1/2000 3.92 1 1/1/2004 1/1/2004 3.78 1 3/1/2005 3/1/2005 3.54 1 5/1/2006 5/1/2006 3.13 1 7/1/2009 7/1/2009 2.83 1 1/1/2005 1/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -39.49 3 4/1/2000 6/1/2000 -37.02 3 2/1/2006 4/1/2006 -35.64 2 7/1/2002 8/1/2002 -27.04 1 8/1/2000 8/1/2000 -23.82 2 2/1/2004 3/1/2004 -22.95 2 4/1/2001 5/1/2001 -19.85 2 12/1/2009 1/1/2010 -19.03 1 3/1/2003 3/1/2003 -12.18 2 5/1/2004 6/1/2004 -12.05 2 11/1/2003 12/1/2003 -8.62 2 8/1/2004 9/1/2004 -8.54 1 7/1/2008 7/1/2008 -7.90 1 2/1/2005 2/1/2005 -7.87 3 2/1/2009 4/1/2009 -6.67 1 6/1/2007 6/1/2007 -6.47 1 6/1/2006 6/1/2006 -5.72 1 4/1/2005 4/1/2005 -3.67 2 2/1/2008 3/1/2008 -3.37 2 9/1/2007 10/1/2007 -1.87 2 8/1/2009 9/1/2009 -1.61 1 12/1/2007 12/1/2007 -1.46 1 1/1/2002 1/1/2002 -1.26 1 6/1/2009 6/1/2009 -1.01 1 6/1/2003 6/1/2003 -0.68 1 8/1/2006 8/1/2006 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods126.00124.00121.00115.00109.00103.0091.0079.0067.00 Percent Profitable60.3275.0080.9989.5797.2599.03100.00100.00100.00 Average Period Return4.9014.4229.5769.40120.84188.68364.12543.86787.07 Average Gain12.5024.3040.8178.49124.48190.55364.12543.86787.07 Average Loss-10.05-15.21-18.29-8.62-7.75-1.23 Best Period46.8377.08113.61247.76327.06601.921196.382211.282064.87 Worst Period-31.36-39.49-53.47-18.89-11.12-1.2316.7241.24236.10 Standard Deviation12.7723.2235.4160.2091.72144.73279.73423.03476.14 Gain Standard Deviation9.0416.7228.9356.9790.38144.20279.73423.03476.14 Loss Standard Deviation8.0511.9513.797.012.92 Sharpe Ratio (1%)0.380.610.821.141.301.291.291.281.64 Average Gain / Average Loss1.241.602.239.1016.07155.29 Profit / Loss Ratio2.864.799.5178.15567.6715839.64 Downside Deviation (10%)6.7210.1110.804.922.771.13 Downside Deviation (5%)6.599.7110.093.791.590.32 Downside Deviation (0%)6.559.619.913.531.350.12 Sortino Ratio (10%)0.671.312.5113.0840.82157.53 Sortino Ratio (5%)0.731.462.8818.0575.02585.27 Sortino Ratio (0%)0.751.502.9819.6789.841560.63 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. x {{title}} x {{title}} Add Cancel