Global Wealth Analytics, Inc. : LS-8

archived programs
Year-to-Date
N / A
Feb Performance
0.43%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
8.12%
Sharpe (RFR=1%)
-0.06
CAROR
-
Assets
$ 997k
Worst DD
-4.04
S&P Correlation
0.34

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
8/2016
LS-8 0.43 - - - -1.71 - - 0.34
S&P 500 -3.89 - - - 27.65 - - 59.59
+/- S&P 500 4.32 - - - -29.36 - - -59.26

Strategy Description

Summary

Short term pattern recognition program that monitors daily price data compression and expansion characteristics to capture highly directional segments of market momentum. Positions are held on average 1 week (SHORT TERM HOLD) Trades deep liquid options and futures markets to enhance... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $0
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 3500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified 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 0%
Systematic 100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Stock Indices
30.00%
Currency Futures
20.00%
Precious Metals
20.00%
Composition Pie Chart

Summary

Short term pattern recognition program that monitors daily price data compression and expansion characteristics to capture highly directional segments of market momentum. Positions are held on average 1 week (SHORT TERM HOLD) Trades deep liquid options and futures markets to enhance capacity, liquidity, and gain precision price execution. Markets traded thus far are crude oil, natural gas, euro, treasury bonds, treasury notes, SP 500, and gold. 20% currency, inter rates, metals, and stock indicies.

   

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
-4.04 13 - 12/1/2016 1/1/2018
-4.01 1 1 9/1/2016 10/1/2016
-0.20 1 1 1/1/0001 8/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
7.93 2 11/1/2016 12/1/2016
2.23 1 7/1/2017 7/1/2017
1.35 1 9/1/2017 9/1/2017
1.13 1 2/1/2017 2/1/2017
1.01 1 12/1/2017 12/1/2017
0.70 1 9/1/2016 9/1/2016
0.43 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.01 1 10/1/2016 10/1/2016
-3.58 4 3/1/2017 6/1/2017
-3.13 2 10/1/2017 11/1/2017
-1.31 1 1/1/2018 1/1/2018
-1.24 1 1/1/2017 1/1/2017
-0.41 1 8/1/2017 8/1/2017
-0.20 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable42.1147.0642.8650.00
Average Period Return0.040.110.11-0.08
Average Gain1.842.532.642.97
Average Loss-1.27-2.05-1.78-3.12
Best Period7.526.594.934.12
Worst Period-4.01-3.53-3.70-3.51
Standard Deviation2.342.852.673.31
Gain Standard Deviation2.372.211.740.82
Loss Standard Deviation1.210.951.210.37
Sharpe Ratio (1%)-0.02-0.05-0.14-0.33
Average Gain / Average Loss1.461.241.480.95
Profit / Loss Ratio1.061.101.110.95
Downside Deviation (10%)1.552.503.395.95
Downside Deviation (5%)1.351.791.922.93
Downside Deviation (0%)1.311.631.592.22
Sortino Ratio (10%)-0.24-0.45-0.69-0.85
Sortino Ratio (5%)-0.03-0.08-0.20-0.37
Sortino Ratio (0%)0.030.070.07-0.04

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.