GraniteStar Capital, Inc. : Discretionary Strategy

archived programs
Year-to-Date
N / A
Dec Performance
0.38%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
6.29%
Sharpe (RFR=1%)
0.98
CAROR
7.20%
Assets
$ 16.8M
Worst DD
-8.45
S&P Correlation
0.11

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
8/1997
Discretionary Strategy 0.38 - - - - - 0.67 192.08
S&P 500 0.71 - - - - - 62.07 285.13
+/- S&P 500 -0.33 - - - - - -61.40 -93.05

Strategy Description

Summary

GraniteStar Capital is a Commodity Trading Advisor(CTA) based in Lake Forest, Illinois. Since 1993, we have provided money management services to individual investors, family offices, and multi-manager funds by trading futures markets with an emphasis on conservative risk management... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $2.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 14000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 8.45%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

GraniteStar Capital is a Commodity Trading Advisor(CTA) based in Lake Forest, Illinois. Since 1993, we have provided money management services to individual investors, family offices, and multi-manager funds by trading futures markets with an emphasis on conservative risk management principles. Our primary investment objective is to provide long-term capital appreciation for our clients at acceptable levels of volatility, while maintaining a low level of correlation to other investment strategies and asset classes. Given our 38,000+ hours of trading experience, we believe our edge is the ability to identify and execute favorable risk-reward trades in all market conditions. We do this through a disciplined trading approach focused on key market indicators, along with conservative money management principles that help us preserve capital in more difficult trading environments.

Investment Strategy

Our Discretionary Strategy capitalizes on intraday breakouts and movements within a trading range in the E-Mini S&P 500 futures market. We use a combination of technical tools including dynamic moving averages, overbought-oversold indicators, Fibonacci percentages, Market Profile, proprietary research and pattern recognition in an attempt to identify high probability, favorable, asymmetric risk-reward trading opportunities. We us stop losses on every trade and no overnight positions are held.

Risk Management

We use two rules in an effort to manage risk: a maximum allowable $ risk per trade (R) and a maximum allowable $ loss per day (4R) based on AUM. We enter a stop-loss order shortly after every position is opened. The price of the stop-loss order is based on support and resistance levels and may never be placed at a price level such that, if executed at that price, would allow the maximum allowable risk per trade to be exceeded. Contract sizes are adjusted based on market volatility to maintain a constant R per trade as position of stop loss orders are adjusted. If support or resistance levels dictate a risk greater than the maximum allowable loss, the trade cannot be initiated. We let the market dictate how much profit to take on any given trade. In a trending market, for example, we will usually wait for market momentum to slow substantially or reverse direction to take profits. In other words, as long as the momentum and the trend remain favorable, we will hold onto the position. As a protective measure, stop-loss orders are actively adjusted as key levels of support or resistance are penetrated to lock in profits. In a non-trending market, however, profits may be taken as soon as the market reaches short-term support or resistance or an overbought or oversold condition.

   

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
-8.45 5 14 10/1/2002 3/1/2003
-7.01 2 3 1/1/2001 3/1/2001
-5.40 5 4 10/1/1998 3/1/1999
-5.17 2 3 12/1/1999 2/1/2000
-4.67 10 5 12/1/2007 10/1/2008
-3.30 1 1 4/1/1998 5/1/1998
-2.91 2 1 7/1/2000 9/1/2000
-2.86 1 2 1/1/0001 8/1/1997
-1.89 1 4 6/1/2004 7/1/2004
-1.86 1 1 1/1/2002 2/1/2002
-1.79 4 4 9/1/2009 1/1/2010
-1.36 5 1 7/1/2005 12/1/2005
-1.28 4 - 6/1/2012 10/1/2012
-1.07 1 1 10/1/1999 11/1/1999
-1.02 3 5 3/1/2011 6/1/2011
-0.96 2 1 7/1/2006 9/1/2006
-0.82 1 5 9/1/2010 10/1/2010
-0.75 1 1 7/1/2009 8/1/2009
-0.74 1 2 7/1/1998 8/1/1998
-0.66 1 1 4/1/2005 5/1/2005
-0.62 1 2 5/1/2007 6/1/2007
-0.56 4 1 1/1/2012 5/1/2012
-0.26 1 1 2/1/2005 3/1/2005
-0.15 1 1 6/1/2010 7/1/2010
-0.02 1 1 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
34.69 10 4/1/2001 1/1/2002
25.86 8 3/1/2002 10/1/2002
17.43 8 9/1/1997 4/1/1998
16.26 4 10/1/2000 1/1/2001
13.40 9 11/1/2008 7/1/2009
12.16 5 3/1/2000 7/1/2000
12.13 7 4/1/1999 10/1/1999
7.46 4 3/1/2004 6/1/2004
6.92 7 1/1/2006 7/1/2006
5.06 2 6/1/1998 7/1/1998
4.23 3 4/1/2003 6/1/2003
4.18 7 8/1/2004 2/1/2005
3.09 2 10/1/2006 11/1/2006
2.98 1 4/1/2008 4/1/2008
2.84 3 8/1/2003 10/1/2003
2.20 1 12/1/1999 12/1/1999
2.20 2 5/1/2010 6/1/2010
1.74 5 1/1/2007 5/1/2007
1.55 2 6/1/2005 7/1/2005
1.53 4 10/1/2011 1/1/2012
1.35 2 7/1/2007 8/1/2007
1.29 1 9/1/2009 9/1/2009
1.02 2 9/1/1998 10/1/1998
0.72 1 2/1/2010 2/1/2010
0.71 2 2/1/2011 3/1/2011
0.66 2 8/1/2010 9/1/2010
0.60 2 11/1/2012 12/1/2012
0.58 1 6/1/2012 6/1/2012
0.50 1 2/1/1999 2/1/1999
0.40 2 7/1/2011 8/1/2011
0.32 1 4/1/2005 4/1/2005
0.31 1 7/1/2008 7/1/2008
0.30 2 11/1/2010 12/1/2010
0.29 1 2/1/2003 2/1/2003
0.23 1 9/1/2008 9/1/2008
0.16 1 12/1/2003 12/1/2003
0.09 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.01 2 2/1/2001 3/1/2001
-6.67 3 11/1/2002 1/1/2003
-5.17 2 1/1/2000 2/1/2000
-3.98 3 11/1/1998 1/1/1999
-3.53 7 9/1/2007 3/1/2008
-3.30 1 5/1/1998 5/1/1998
-2.91 2 8/1/2000 9/1/2000
-2.86 1 8/1/1997 8/1/1997
-2.20 2 5/1/2008 6/1/2008
-2.19 1 3/1/2003 3/1/2003
-2.04 1 10/1/2008 10/1/2008
-1.97 1 3/1/1999 3/1/1999
-1.92 2 1/1/2004 2/1/2004
-1.89 1 7/1/2004 7/1/2004
-1.86 1 2/1/2002 2/1/2002
-1.81 1 7/1/2003 7/1/2003
-1.79 4 10/1/2009 1/1/2010
-1.36 5 8/1/2005 12/1/2005
-1.28 4 7/1/2012 10/1/2012
-1.07 1 11/1/1999 11/1/1999
-1.02 3 4/1/2011 6/1/2011
-0.96 2 8/1/2006 9/1/2006
-0.85 1 11/1/2003 11/1/2003
-0.82 1 10/1/2010 10/1/2010
-0.75 1 8/1/2009 8/1/2009
-0.74 1 8/1/1998 8/1/1998
-0.66 1 5/1/2005 5/1/2005
-0.64 2 3/1/2010 4/1/2010
-0.62 1 6/1/2007 6/1/2007
-0.40 2 4/1/2012 5/1/2012
-0.38 1 8/1/2008 8/1/2008
-0.26 1 3/1/2005 3/1/2005
-0.25 1 2/1/2012 2/1/2012
-0.18 1 1/1/2011 1/1/2011
-0.15 1 7/1/2010 7/1/2010
-0.05 1 9/1/2011 9/1/2011
-0.02 1 12/1/2006 12/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods185.00183.00180.00174.00168.00162.00150.00138.00126.00
Percent Profitable63.7869.4076.6785.6392.2696.91100.00100.00100.00
Average Period Return0.601.853.747.6111.8416.6927.3038.6248.42
Average Gain1.503.295.409.1912.9417.2327.3038.6248.42
Average Loss-1.05-1.48-1.73-1.76-1.21-0.42
Best Period8.3112.6024.3535.7660.1273.6587.7899.19127.09
Worst Period-5.21-6.67-6.92-4.67-3.61-1.210.568.999.26
Standard Deviation1.823.635.559.1513.3817.1924.3230.6436.62
Gain Standard Deviation1.513.335.248.9613.3617.1924.3230.6436.62
Loss Standard Deviation1.091.601.671.240.910.46
Sharpe Ratio (1%)0.280.440.580.720.770.851.001.131.18
Average Gain / Average Loss1.432.233.135.2210.6641.14
Profit / Loss Ratio2.675.2310.2831.10127.101291.67
Downside Deviation (10%)1.061.752.353.183.814.285.105.887.80
Downside Deviation (5%)0.911.271.341.150.820.560.31
Downside Deviation (0%)0.881.181.160.810.420.10
Sortino Ratio (10%)0.180.350.540.821.121.502.262.902.66
Sortino Ratio (5%)0.561.262.415.7512.6225.9879.33
Sortino Ratio (0%)0.681.573.249.4028.43161.27

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.