Ceros AG : Dax Managed Futures

archived programs
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

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 Since
1/2000
Dax Managed Futures 9.31 - - - - - - 15,980.66
S&P 500 -5.39 - - - - - - 148.42
+/- S&P 500 14.70 - - - - - - 15,832.24

Strategy Description

Summary

Since 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%
Strategy Pie Chart

Composition

Summary

Since 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 Strategy

The 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 Management

On 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.

   

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
-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
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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
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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
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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.