Eagle Trading Systems Inc. : Eagle Strategic Trend Macro

Year-to-Date: 0.88%
Oct Performance: -2.06%

Min Investment: $ 10,000k
Mgmt. Fee: 1.00%
Perf. Fee: 0%

Annualized Vol: 7.87%
Sharpe (RFR=1%): -0.60
CAROR: -4.00%

Assets: $ 27.0M
Worst DD: -18.96
S&P Correlation: 0.10

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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	2019	1yr	3yr	5yr	10yr	Since 4/2016
Eagle Strategic Trend Macro	-2.06	-5.43	-0.88	2.49	-11.96	-	-	-13.60
S&P 500	2.04	1.92	21.16	12.01	41.41	-	-	45.58
+/- S&P 500	-4.10	-7.35	-22.04	-9.51	-53.38	-	-	-59.18

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 10,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.00
Management Fee: 1.00%
Performance Fee: 0%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: No
Subscription Frequency
Redemption Frequency
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 350 RT/YR/$M
Avg. Margin-to-Equity: 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

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

Summary

We designed Eagle Strategic Trend Macro (ESTM) in response to growing investor interest in strategies that endeavor to deliver more targeted outcomes with a more attractive fee structure. We have engineered this strategy to build on some of Eagle’s longstanding successful strategies which were modified to lighten tactical filters, increase market participation and more closely map widely followed times series momentum risk factors. Eagle Strategic Trend Macro Highlights: • Objective: Seeks to deliver attractive risk adjusted returns through tactical timing of short term price momentum and intermediate-long term trend opportunities in a broad universe of exchange traded futures. • Engineered for attractive skew characteristics. • Seeks to diversify Global Growth/Equity Risk Factor in down equity markets without detracting from positive equity risk factor periods. • Foundation predicated on long standing tactical trend and tactical momentum trading strategies. • Highly Liquid • Competitive Fee Structure (1% flat management fee for approximately 10% annualized standard deviation). Can tailor to targeted client risk preferences.

Investment Strategy

Please see above.

Risk Management

Please see above.

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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.

Compare to:

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
-18.96	22	-	12/1/2016	10/1/2018
-4.60	4	2	6/1/2016	10/1/2016
-3.21	1	1	4/1/2016	5/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
7.54	6	3/1/2019	8/1/2019
5.99	2	11/1/2016	12/1/2016
4.48	1	6/1/2016	6/1/2016
3.41	2	11/1/2018	12/1/2018
2.51	1	10/1/2017	10/1/2017
2.05	2	5/1/2018	6/1/2018
1.77	1	7/1/2017	7/1/2017
1.73	1	4/1/2016	4/1/2016
0.83	1	2/1/2017	2/1/2017
0.75	1	8/1/2018	8/1/2018
0.64	1	1/1/2018	1/1/2018
0.61	1	9/1/2016	9/1/2016
0.47	1	5/1/2017	5/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-8.58	3	2/1/2018	4/1/2018
-6.62	2	9/1/2019	10/1/2019
-5.86	2	3/1/2017	4/1/2017
-4.30	1	6/1/2017	6/1/2017
-3.65	2	8/1/2017	9/1/2017
-3.56	2	7/1/2016	8/1/2016
-3.21	1	5/1/2016	5/1/2016
-2.95	2	9/1/2018	10/1/2018
-1.93	2	11/1/2017	12/1/2017
-1.68	1	10/1/2016	10/1/2016
-1.30	2	1/1/2019	2/1/2019
-1.07	1	1/1/2017	1/1/2017
-0.82	1	7/1/2018	7/1/2018

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	43.00	41.00	38.00	32.00	26.00	20.00
Percent Profitable	48.84	43.90	39.47	25.00	11.54	0.00
Average Period Return	-0.31	-0.80	-1.75	-4.93	-8.50	-11.76
Average Gain	1.55	2.25	2.54	3.24	3.07
Average Loss	-2.09	-3.18	-4.55	-7.65	-10.01	-11.76
Best Period	4.48	4.85	7.54	6.52	5.64	-2.34
Worst Period	-6.00	-8.58	-9.77	-15.58	-16.43	-17.08
Standard Deviation	2.27	3.37	4.53	5.99	5.93	4.66
Gain Standard Deviation	1.17	1.40	2.41	2.03	2.26
Loss Standard Deviation	1.51	2.37	3.18	4.01	4.34	4.66
Sharpe Ratio (1%)	-0.17	-0.31	-0.50	-0.99	-1.69	-2.95
Average Gain / Average Loss	0.74	0.71	0.56	0.42	0.31
Profit / Loss Ratio	0.71	0.55	0.36	0.14	0.04
Downside Deviation (10%)	2.07	3.73	6.04	11.54	17.11	22.48
Downside Deviation (5%)	1.88	3.10	4.62	8.23	11.54	14.50
Downside Deviation (0%)	1.83	2.94	4.29	7.45	10.23	12.61
Sortino Ratio (10%)	-0.35	-0.54	-0.70	-0.86	-0.94	-0.98
Sortino Ratio (5%)	-0.21	-0.34	-0.49	-0.72	-0.87	-0.95
Sortino Ratio (0%)	-0.17	-0.27	-0.41	-0.66	-0.83	-0.93

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.

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More Programs by Eagle Trading Systems Inc.

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Eagle Customized Trend	1.24%

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Eagle Trading Systems Inc. : Eagle Strategic Trend Macro

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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