Future Trade AG : Thales Swing Trading Programme

Year-to-Date
0.90%
Apr Performance
-0.15%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.52%
Sharpe (RFR=1%)
0.23
CAROR
3.77%
Assets
$ 5.3M
Worst DD
-55.70
S&P Correlation
-0.26

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
6/2007
Thales Swing Trading Programme -0.15 -0.68 -0.90 -29.49 -54.82 -54.81 -19.09 55.49
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 93.94
+/- S&P 500 -4.08 -9.62 -18.41 -40.73 -96.01 -109.59 -253.14 -38.45

Strategy Description

Summary

Future Trade AG utilizes a systematic and discretionary trading system of globally diversified Futures Interest Contracts operating over multiple time frames with volatility and market risk control. Signals from the trading systems, market liquidity along side with discretionary trading... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5760 RT/YR/$M
Avg. Margin-to-Equity
16%
Targeted Worst DD
-35.00%
Worst Peak-to-Trough
29.15%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
3.00%
1-3 Months
15.00%
1-30 Days
80.00%
Intraday
2.00%

Decision-Making

Discretionary
15.00%
Systematic
85.00%

Composition

Softs
30.00%
Grains
20.00%
Livestock
20.00%
Precious Metals
8.00%
Energy
8.00%
Currency Futures
5.00%
Interest Rates
5.00%
Stock Indices
3.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

Future Trade AG utilizes a systematic and discretionary trading system of globally diversified Futures Interest Contracts operating over multiple time frames with volatility and market risk control. Signals from the trading systems, market liquidity along side with discretionary trading are combined to determine the contract allocation. Position sizes are a function of equity, money management and market volatility. Positions can either be long, short or neutral on a given Futures Interest Contract. In addition, Future Trade AG may utilize spreading positions (intra-market spreads and inter-market spreads). All positions, except for spreading positions, have stop losses placed at the time a trade is opened. The systems have been designed to achieve substantial portfolio diversification and initially consists of two main strategies: long term and short term. Inside of these two strategies, Future Trade AG will use different trading sub-strategies designed to result in the required portfolio diversification. The short term programs will be engineered to attempt to extract profits from short to medium term price movements and often operate counter to identified long term major trends while the long term strategies attempt to profit from major trends. It is expected that Future Trade AG will introduce additional strategies and sub-strategies in the future with the overarching goal of preserving capital while targeting strong investment returns.

Investment Strategy

Some of the indicators the system uses developed by Future Trade AG are based on moving averages of prices, or multiple averages, including exponential, weighted (single or multiple), chart patterns (head & shoulders, triangles, flags, etc.) on bar charts, momentum oscillators (rate of change of price and/or volume), support and resistance levels, overbought/oversold indicators as well as Cyclic Analysis. There is no concentration limit on a single Futures Interest Contract nor is the Account required to re-balance positions as a consequence of market movements.

Risk Management

Future Trade AG use a "Anti-Martingale-Strategy for Risk- and Money Management. The Number of traded contracts per market are adjusted by algorithmic formulas according to changing market conditions under consideration because of volatility, as well as in relation to the total asset value of the accounts. Markets are not weighted, as is the case for every commodity market, but rather a separate trading signal with the corresponding number of contracts, entry and exit point including "stop-loss" is generated. Pro-active risk management is included within each of these strategies which will be designed to protect open profits, limit downside risk and minimize exposure to non-directional markets. There is active money management of cash balances whether or not required for margin at any given time with funds maintained in Government or Corporate Debt with an average credit rating of no less than AA. All open positions, except for spreading positions, will have a stop loss placed at the time the position is opened. We calculate the trade risk and the position size depending from the market volatility with following formula: (Trade Risk * Account Value in US-Dollar) / (Average True Range of last 20 days * Big Point Value in US-Dollar)

   

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
-55.70 34 - 6/1/2016 4/1/2019
-30.45 12 10 5/1/2012 5/1/2013
-25.93 7 2 11/1/2010 6/1/2011
-24.85 5 3 2/1/2008 7/1/2008
-23.39 7 10 4/1/2014 11/1/2014
-19.27 4 16 12/1/2008 4/1/2009
-16.67 8 1 9/1/2015 5/1/2016
-12.11 2 6 9/1/2011 11/1/2011
-0.13 1 1 6/1/2007 7/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
97.58 5 8/1/2008 12/1/2008
60.54 7 8/1/2007 2/1/2008
39.79 3 7/1/2011 9/1/2011
39.48 4 1/1/2014 4/1/2014
25.25 5 7/1/2010 11/1/2010
20.97 1 6/1/2016 6/1/2016
18.57 3 6/1/2013 8/1/2013
17.78 1 5/1/2009 5/1/2009
15.05 8 2/1/2015 9/1/2015
14.84 1 12/1/2014 12/1/2014
12.45 1 5/1/2012 5/1/2012
10.17 1 1/1/2010 1/1/2010
10.09 2 3/1/2016 4/1/2016
9.69 3 3/1/2010 5/1/2010
9.09 1 11/1/2009 11/1/2009
8.93 1 12/1/2011 12/1/2011
7.33 1 9/1/2016 9/1/2016
5.67 3 8/1/2014 10/1/2014
5.24 1 3/1/2011 3/1/2011
4.77 2 2/1/2012 3/1/2012
4.49 2 5/1/2008 6/1/2008
2.96 1 1/1/2017 1/1/2017
2.83 2 8/1/2012 9/1/2012
2.18 2 12/1/2012 1/1/2013
1.91 2 10/1/2017 11/1/2017
1.90 2 7/1/2017 8/1/2017
1.18 1 12/1/2015 12/1/2015
0.39 1 4/1/2018 4/1/2018
0.10 1 1/1/2018 1/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.49 12 5/1/2018 4/1/2019
-26.71 4 2/1/2013 5/1/2013
-23.03 5 2/1/2017 6/1/2017
-20.93 3 5/1/2014 7/1/2014
-19.27 4 1/1/2009 4/1/2009
-17.19 3 12/1/2010 2/1/2011
-15.69 1 5/1/2016 5/1/2016
-15.37 1 7/1/2008 7/1/2008
-15.02 2 3/1/2008 4/1/2008
-15.01 3 4/1/2011 6/1/2011
-14.31 5 6/1/2009 10/1/2009
-12.11 2 10/1/2011 11/1/2011
-11.25 3 10/1/2016 12/1/2016
-8.88 2 10/1/2015 11/1/2015
-8.83 1 12/1/2009 12/1/2009
-8.33 2 7/1/2016 8/1/2016
-8.31 1 11/1/2014 11/1/2014
-7.52 2 2/1/2018 3/1/2018
-7.40 1 2/1/2010 2/1/2010
-6.46 2 10/1/2012 11/1/2012
-5.15 1 12/1/2017 12/1/2017
-4.11 1 1/1/2012 1/1/2012
-3.45 2 6/1/2012 7/1/2012
-2.63 2 1/1/2016 2/1/2016
-0.81 1 9/1/2017 9/1/2017
-0.63 1 4/1/2012 4/1/2012
-0.36 1 6/1/2010 6/1/2010
-0.24 4 9/1/2013 12/1/2013
-0.13 2 6/1/2007 7/1/2007
-0.01 1 1/1/2015 1/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods143.00141.00138.00132.00126.00120.00108.0096.0084.00
Percent Profitable47.5547.5250.0057.5862.7066.6770.3778.1372.62
Average Period Return0.591.883.606.4110.6312.8221.2228.0235.29
Average Gain5.9912.3918.6524.0629.8631.9741.8544.4558.30
Average Loss-4.55-7.75-11.44-17.55-21.69-25.49-27.77-30.67-25.72
Best Period33.6271.7882.41106.03138.05126.36143.31172.55199.85
Worst Period-19.63-24.89-31.99-36.97-47.51-53.85-54.82-50.36-54.81
Standard Deviation7.6614.6720.1327.6635.2637.3346.2950.4258.17
Gain Standard Deviation6.7914.1916.8722.3029.5828.8338.0743.8251.40
Loss Standard Deviation4.446.108.5111.3613.9217.6319.1718.5514.06
Sharpe Ratio (1%)0.070.110.150.200.260.290.390.480.52
Average Gain / Average Loss1.321.601.631.371.381.251.511.452.27
Profit / Loss Ratio1.261.471.631.862.312.513.585.186.01
Downside Deviation (10%)4.687.7911.5216.4319.8023.0926.0826.5329.58
Downside Deviation (5%)4.517.2210.3514.1316.4718.7919.6618.3317.67
Downside Deviation (0%)4.477.0810.0613.5815.6917.8218.2816.6615.26
Sortino Ratio (10%)0.040.080.100.090.150.110.210.240.26
Sortino Ratio (5%)0.110.230.300.380.550.580.931.311.71
Sortino Ratio (0%)0.130.270.360.470.680.721.161.682.31

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 2.96 1/2017
IASG CTA Index Month 5 7.33 9/2016
Systematic Trader Index Month 5 7.33 9/2016
Trend Following Strategy Index Month 4 7.33 9/2016
Diversified Trader Index Month 4 7.33 9/2016
IASG CTA Index Month 1 20.97 6/2016
Trend Following Strategy Index Month 1 20.97 6/2016
Systematic Trader Index Month 1 20.97 6/2016
Diversified Trader Index Month 1 20.97 6/2016
Systematic Trader Index Month 9 5.41 4/2016
IASG CTA Index Month 9 5.41 4/2016
Trend Following Strategy Index Month 5 5.41 4/2016
Diversified Trader Index Month 9 5.41 4/2016
Diversified Trader Index Month 10 4.44 3/2016
IASG CTA Index Month 8 4.44 3/2016
Trend Following Strategy Index Month 4 4.44 3/2016
Trend Following Strategy Index Month 8 1.18 12/2015
Diversified Trader Index Month 9 2.85 6/2015
Trend Following Strategy Index Month 4 2.85 6/2015
Systematic Trader Index Month 2 14.60 12/2014
Diversified Trader Index Month 2 14.60 12/2014
IASG CTA Index Month 2 14.60 12/2014
Trend Following Strategy Index Month 2 14.60 12/2014
Trend Following Strategy Index Month 2 8.86 4/2014
Systematic Trader Index Month 3 8.86 4/2014
Diversified Trader Index Month 4 8.86 4/2014
IASG CTA Index Month 5 8.86 4/2014
Diversified Trader Index Month 1 16.47 3/2014
Systematic Trader Index Month 1 16.47 3/2014
IASG CTA Index Month 1 16.47 3/2014
Trend Following Strategy Index Month 1 16.47 3/2014
Trend Following Strategy Index Month 2 7.84 1/2014
Diversified Trader Index Month 4 7.84 1/2014
Systematic Trader Index Month 5 7.84 1/2014
IASG CTA Index Month 8 7.84 1/2014
Diversified Trader Index Month 9 4.35 8/2013
Trend Following Strategy Index Month 4 4.35 8/2013
Systematic Trader Index Month 9 4.35 8/2013
Trend Following Strategy Index Month 10 4.21 6/2013
Diversified Trader Index Month 4 8.39 12/2011
Trend Following Strategy Index Month 1 8.39 12/2011
Systematic Trader Index Month 5 8.39 12/2011
IASG CTA Index Month 7 8.39 12/2011
IASG CTA Index Month 5 18.35 7/2011
Trend Following Strategy Index Month 3 18.35 7/2011
Systematic Trader Index Month 3 18.35 7/2011
Diversified Trader Index Month 3 18.35 7/2011
Trend Following Strategy Index Month 5 4.48 3/2011
Trend Following Strategy Index Month 7 1.78 11/2010
Diversified Trader Index Month 5 10.91 7/2010
IASG CTA Index Month 6 10.91 7/2010
Systematic Trader Index Month 4 10.91 7/2010
Trend Following Strategy Index Month 2 10.91 7/2010
Systematic Trader Index Month 2 10.17 1/2010
Trend Following Strategy Index Month 1 10.17 1/2010
Diversified Trader Index Month 2 10.17 1/2010
IASG CTA Index Month 4 10.17 1/2010
Trend Following Strategy Index Month 6 17.78 5/2009
Systematic Trader Index Month 6 17.78 5/2009
IASG CTA Index Month 9 17.78 5/2009
Diversified Trader Index Month 8 17.78 5/2009
IASG CTA Index Year Rolling 7 106.03 2007 - 2008
Trend Following Strategy Index Month 7 33.62 10/2008
Systematic Trader Index Month 7 33.62 10/2008
Diversified Trader Index Month 7 33.62 10/2008
IASG CTA Index Month 7 33.62 10/2008
Diversified Trader Index Month 2 15.41 9/2008
Systematic Trader Index Month 2 15.41 9/2008
Trend Following Strategy Index Month 2 15.41 9/2008
IASG CTA Index Month 2 15.41 9/2008
Trend Following Strategy Index Month 8 11.39 8/2008
Diversified Trader Index Month 8 11.39 8/2008
Systematic Trader Index Month 10 11.39 8/2008
Diversified Trader Index Month 9 27.83 2/2008
IASG CTA Index Month 10 27.83 2/2008
Trend Following Strategy Index Month 8 27.83 2/2008
Systematic Trader Index Month 8 27.83 2/2008

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