Eagle Trading Systems Inc. : Eagle Customized Trend

Year-to-Date
3.94%
Oct Performance
-2.86%
Min Investment
$ 10,000k
Mgmt. Fee
Perf. Fee
Annualized Vol
11.13%
Sharpe (RFR=1%)
0.15
CAROR
2.05%
Assets
$ 53.0M
Worst DD
-12.93
S&P Correlation
-0.24

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2017
Eagle Customized Trend -2.86 -9.28 3.94 8.21 5.82 - - 7.54
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 35.76
+/- S&P 500 -0.09 -9.25 2.73 0.56 -21.15 - - -28.22

Strategy Description

Summary

Eagle Customized Trend is a technical, trend-following program developed, based on Eagle’s extensive experience in observing and trading the global markets, to capture a well-structured trading philosophy. The trading philosophy incorporates trend following elements, money management... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee
Performance Fee
Average Commission
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 776 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
29.00%
Interest Rates
29.00%
Stock Indices
29.00%
Energy
4.00%
Grains
4.00%
Industrial Metals
3.00%
Precious Metals
1.00%
Other
1.00%
Composition Pie Chart

Summary

Eagle Customized Trend is a technical, trend-following program developed, based on Eagle’s extensive experience in observing and trading the global markets, to capture a well-structured trading philosophy. The trading philosophy incorporates trend following elements, money management principles, predetermined risk parameters and volatility adjustment features. Eagle Customized Trend is designed to trade in a wide range of global futures markets including primarily currencies, fixed income and stock indices with additional exposure to energy, metals and agricultural commodities. Such markets must exhibit orderly intermediate and long-term trends and the program adjusts to changes in market environment with no predetermined allocation to any one sector. Eagle Customized Trend analyzes typical behavior and volatility patterns of various markets. The program seeks markets with potentially good risk/reward profiles while attempting to avoid markets characterized by excessive volatility and sharp price corrections.

   

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
-12.93 10 9 1/1/2018 11/1/2018
-9.28 3 - 7/1/2020 10/1/2020
-6.03 3 2 1/1/0001 6/1/2017
-5.62 2 4 8/1/2019 10/1/2019
-3.74 1 1 8/1/2017 9/1/2017
-2.77 2 1 10/1/2017 12/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
17.24 6 2/1/2020 7/1/2020
12.82 6 3/1/2019 8/1/2019
6.73 2 12/1/2018 1/1/2019
6.45 2 7/1/2017 8/1/2017
5.54 1 10/1/2017 10/1/2017
4.28 1 1/1/2018 1/1/2018
4.11 2 11/1/2019 12/1/2019
2.00 2 5/1/2018 6/1/2018
0.34 1 5/1/2017 5/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-9.66 5 7/1/2018 11/1/2018
-9.28 3 8/1/2020 10/1/2020
-5.62 2 9/1/2019 10/1/2019
-5.51 3 2/1/2018 4/1/2018
-3.88 1 6/1/2017 6/1/2017
-3.74 1 9/1/2017 9/1/2017
-2.77 2 11/1/2017 12/1/2017
-2.57 1 4/1/2017 4/1/2017
-2.52 1 2/1/2019 2/1/2019
-2.27 1 1/1/2020 1/1/2020
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable53.4963.4163.1659.3865.3875.00
Average Period Return0.221.092.885.117.469.79
Average Gain2.524.007.3511.7513.8813.78
Average Loss-2.43-3.95-4.79-4.59-4.67-2.19
Best Period9.9616.4418.4823.6031.2627.08
Worst Period-6.31-9.28-9.33-11.01-8.24-4.83
Standard Deviation3.215.337.469.8912.8910.14
Gain Standard Deviation2.444.135.326.7411.338.40
Loss Standard Deviation1.462.802.863.603.111.63
Sharpe Ratio (1%)0.040.160.320.420.460.77
Average Gain / Average Loss1.041.011.542.562.976.28
Profit / Loss Ratio1.191.752.633.745.6118.85
Downside Deviation (10%)2.173.554.746.597.856.94
Downside Deviation (5%)1.973.023.624.194.032.22
Downside Deviation (0%)1.922.903.353.663.251.32
Sortino Ratio (10%)-0.09-0.040.090.02-0.02-0.07
Sortino Ratio (5%)0.070.280.660.981.483.50
Sortino Ratio (0%)0.110.380.861.392.307.43

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 0.14 6/2020
Trend Following Strategy Index Month 9 5.80 2/2020

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