Double Helix Capital Management : Double Helix

Year-to-Date: 9.21%
Feb Performance: -7.23%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 8.13%
Sharpe (RFR=1%): 0.47
CAROR: 4.55%

Assets: $ 10.2M
Worst DD: -13.49
S&P Correlation: 0.58

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Growth of 1,000 - VAMI

Monthly Performance

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 1/2012
Double Helix	-7.23	-7.50	-9.21	-4.89	1.40	4.39	-	43.77
S&P 500	-8.41	-5.95	-8.56	6.09	23.71	38.95	-	122.81
+/- S&P 500	1.18	-1.55	-0.65	-10.98	-22.31	-34.56	-	-79.04

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 50k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.50
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: 6000 RT/YR/$M
Avg. Margin-to-Equity: 40%
Targeted Worst DD: -12.00%
Worst Peak-to-Trough: 7.00%
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%

Summary

Two of the most time tested trading strategies are trend-following and options selling. Each have their own strengths and weaknesses. Trend-following does well in trending markets, but option selling can have difficulty. Trend-following slowly loses money in sideways markets, while options selling does well. Double Helix is a unique CTA that attempts to harness the power of both strategies. We sell weekly options on the S&P 500, but sell puts only – no calls. Double Helix employs a sophisticated algorithm that trend-follows the S&P 500 Index. As long as the algorithm is indicating a sideways to higher S&P 500, Double Helix will initiate a new position each day. When the program signals a “market caution”, and potentially a lower S&P 500, the program will cease new positions. Double Helix will continue to monitor markets and reenter when the S&P 500 is back in a sideways to higher pattern. Risk management is one of Double Helix’s strongest attributes. All positions are monitored 24-hrs a day and managed by our sophisticated risk management system. Each position has a specific risk management level and will be exited, day or night, if that level is reached.

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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.

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Index:

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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
-13.49	17	31	9/1/2014	2/1/2016
-9.21	2	-	12/1/2019	2/1/2020
-4.64	1	4	7/1/2019	8/1/2019
-3.71	3	3	9/1/2018	12/1/2018
-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
-1.56	1	1	4/1/2019	5/1/2019
-0.99	1	1	4/1/2013	5/1/2013
-0.06	1	1	11/1/2012	12/1/2012

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
7.03	9	10/1/2016	6/1/2017
6.96	6	3/1/2016	8/1/2016
6.46	4	9/1/2019	12/1/2019
6.39	4	9/1/2013	12/1/2013
5.36	4	1/1/2019	4/1/2019
5.19	2	8/1/2014	9/1/2014
4.50	2	10/1/2015	11/1/2015
4.45	5	5/1/2018	9/1/2018
3.69	5	9/1/2017	1/1/2018
3.36	2	6/1/2013	7/1/2013
2.16	2	6/1/2019	7/1/2019
1.37	1	11/1/2018	11/1/2018
1.10	1	11/1/2014	11/1/2014

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
-9.21	2	1/1/2020	2/1/2020
-6.52	3	12/1/2015	2/1/2016
-4.64	1	8/1/2019	8/1/2019
-4.21	1	12/1/2014	12/1/2014
-3.38	1	10/1/2018	10/1/2018
-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
-1.87	3	2/1/2018	4/1/2018
-1.69	1	12/1/2018	12/1/2018
-1.56	1	5/1/2019	5/1/2019
-1.16	2	7/1/2017	8/1/2017
-0.99	1	5/1/2013	5/1/2013
-0.06	1	12/1/2012	12/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	98.00	96.00	93.00	87.00	81.00	75.00	63.00	51.00	39.00
Percent Profitable	74.49	71.88	73.12	74.71	80.25	81.33	95.24	100.00	97.44
Average Period Return	0.40	1.29	2.48	4.75	6.68	8.27	10.32	12.32	17.35
Average Gain	1.44	3.09	4.74	7.53	9.65	11.18	10.99	12.32	17.83
Average Loss	-2.64	-3.32	-3.68	-3.44	-5.38	-4.42	-3.01		-1.14
Best Period	4.58	9.09	11.68	20.23	30.03	38.49	33.18	33.65	38.67
Worst Period	-9.33	-12.12	-10.13	-11.44	-12.99	-10.14	-4.39	0.46	-1.14
Standard Deviation	2.35	3.69	4.81	6.93	9.24	10.53	9.27	7.06	10.21
Gain Standard Deviation	0.89	1.92	3.05	5.47	7.67	9.43	8.98	7.06	9.88
Loss Standard Deviation	2.63	3.09	2.98	3.38	3.42	2.78	1.94
Sharpe Ratio (1%)	0.13	0.28	0.41	0.54	0.56	0.59	0.79	1.17	1.20
Average Gain / Average Loss	0.55	0.93	1.29	2.19	1.79	2.53	3.65		15.66
Profit / Loss Ratio	1.59	2.38	3.51	6.47	7.29	11.02	72.95		595.06
Downside Deviation (10%)	2.02	2.91	3.58	4.82	6.44	7.46	9.36	11.40	14.15
Downside Deviation (5%)	1.90	2.48	2.64	2.79	3.40	3.02	1.55	0.84	1.29
Downside Deviation (0%)	1.87	2.38	2.43	2.40	2.81	2.23	0.74		0.18
Sortino Ratio (10%)	0.00	0.02	0.00	-0.05	-0.14	-0.27	-0.58	-0.81	-0.73
Sortino Ratio (5%)	0.17	0.42	0.75	1.35	1.52	2.07	4.70	9.86	9.48
Sortino Ratio (0%)	0.21	0.54	1.02	1.98	2.38	3.70	13.89		95.13

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.

^#6

Top Performer

OPTION STRATEGY INDEX

JULY
2015

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Double Helix	4.55%

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Double Helix Capital Management : Double Helix

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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