Double Helix Capital Management : Double Helix

Year-to-Date
4.16%
Apr Performance
0.46%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.71%
Sharpe (RFR=1%)
0.72
CAROR
7.14%
Assets
$ 12.6M
Worst DD
-13.49
S&P Correlation
0.51

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Double Helix 0.46 3.32 4.16 8.37 1.52 29.82 - 44.44
S&P 500 0.91 4.62 6.49 15.44 26.55 70.55 - 80.03
+/- S&P 500 -0.45 -1.30 -2.33 -7.07 -25.04 -40.73 - -35.59

Strategy Description

Summary

DOUBLE HELIX is a fully mechanical, computerized option selling system. It consists of two independent but intertwined programs. Only S & P 500 futures and options on futures contracts both full size and mini, may be traded. The first program produces trade recommendations every... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 2k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
7900 RT/YR/$M
Avg. Margin-to-Equity
45%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
11.00%
Sector Focus
Stock Index 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
10.00%
Systematic
90.00%

Strategy

Option-writing
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

DOUBLE HELIX is a fully mechanical, computerized option selling system. It consists of two independent but intertwined programs. Only S & P 500 futures and options on futures contracts both full size and mini, may be traded. The first program produces trade recommendations every four to six days. The second programs monitors a variety of inputs such as implied volatility, options skew, moving averages, and trade performance. Based on these inputs, the current market will receive a "market score" at the end of each day. If the "market score" is below a specific threshold on the day of a new trade suggestion, the trade is not taken. This may allow the system to sidestep large market declines.

   

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
-13.49 17 - 9/1/2014 2/1/2016
-2.63 1 1 4/1/2012 5/1/2012
-2.39 1 2 12/1/2013 1/1/2014
-1.93 1 1 6/1/2014 7/1/2014
-1.91 1 1 7/1/2013 8/1/2013
-0.99 1 1 4/1/2013 5/1/2013
-0.06 1 1 11/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
11.33 7 1/1/2015 7/1/2015
11.26 4 1/1/2012 4/1/2012
11.05 6 6/1/2012 11/1/2012
8.51 5 2/1/2014 6/1/2014
7.87 4 1/1/2013 4/1/2013
6.96 6 3/1/2016 8/1/2016
6.39 4 9/1/2013 12/1/2013
6.22 7 10/1/2016 4/1/2017
5.19 2 8/1/2014 9/1/2014
4.50 2 10/1/2015 11/1/2015
3.36 2 6/1/2013 7/1/2013
1.10 1 11/1/2014 11/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.48 2 8/1/2015 9/1/2015
-9.26 1 10/1/2014 10/1/2014
-6.52 3 12/1/2015 2/1/2016
-4.21 1 12/1/2014 12/1/2014
-2.89 1 9/1/2016 9/1/2016
-2.63 1 5/1/2012 5/1/2012
-2.39 1 1/1/2014 1/1/2014
-1.93 1 7/1/2014 7/1/2014
-1.91 1 8/1/2013 8/1/2013
-0.99 1 5/1/2013 5/1/2013
-0.06 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods64.0062.0059.0053.0047.0041.0029.0017.00
Percent Profitable78.1375.8172.8866.0468.0970.73100.00100.00
Average Period Return0.611.693.075.557.489.5913.0119.63
Average Gain1.633.596.1010.3313.5215.5113.0119.63
Average Loss-3.03-4.26-5.08-3.73-5.41-4.72
Best Period4.589.0911.6820.2330.0338.4933.1833.65
Worst Period-9.33-12.12-10.13-11.44-12.99-10.140.1311.38
Standard Deviation2.524.165.748.4711.8113.7711.655.92
Gain Standard Deviation0.981.972.835.859.1211.9711.655.92
Loss Standard Deviation2.983.552.823.613.532.89
Sharpe Ratio (1%)0.210.350.450.540.510.550.862.63
Average Gain / Average Loss0.540.841.202.772.503.28
Profit / Loss Ratio1.922.643.235.395.337.94
Downside Deviation (10%)2.093.194.195.637.858.959.004.94
Downside Deviation (5%)1.982.793.233.434.363.940.73
Downside Deviation (0%)1.952.693.002.983.612.96
Sortino Ratio (10%)0.100.140.140.10-0.01-0.07-0.31-0.39
Sortino Ratio (5%)0.270.520.791.331.371.9213.64
Sortino Ratio (0%)0.310.631.021.862.073.24

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 6 2.60 7/2015
Option Strategy Index Month 9 1.62 5/2015
Option Strategy Index Month 9 1.57 4/2015
Option Strategy Index Month 9 3.34 2/2015
Option Strategy Index Month 6 4.58 8/2014
Stock Index Trader Index Month 8 4.58 8/2014
Option Strategy Index Month 10 2.03 5/2014
Stock Index Trader Index Month 9 2.03 5/2014
Option Strategy Index Month 7 1.69 4/2014
Option Strategy Index Month 10 2.70 3/2014
Option Strategy Index Month 10 0.78 2/2014
Option Strategy Index Month 10 2.28 9/2013
Option Strategy Index Month 8 2.06 7/2013
Option Strategy Index Month 4 2.21 4/2013
Stock Index Trader Index Month 2 3.66 3/2013
Option Strategy Index Month 2 3.66 3/2013
Option Strategy Index Month 8 1.09 1/2013
Option Strategy Index Month 4 3.09 6/2012
Option Strategy Index Month 8 2.76 3/2012

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