GT CAPITAL CTA : GT Systematic Day Trading Program

Year-to-Date
16.96%
Jun Performance
-6.86%
Min Investment
$ 60k
Mgmt. Fee
2.00%
Perf. Fee
33.00%
Annualized Vol
27.55%
Sharpe (RFR=1%)
0.19
CAROR
2.60%
Assets
$ 1.4M
Worst DD
-24.14
S&P Correlation
-0.31

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/2017
GT Systematic Day Trading Program -6.86 -6.86 16.96 24.38 3.43 - - 7.79
S&P 500 1.84 19.95 -4.04 5.39 26.82 - - 40.39
+/- S&P 500 -8.70 -26.81 21.00 18.99 -23.39 - - -32.61

Strategy Description

Summary

The Advisor seeks capital appreciation of Clients’ accounts through speculative trading in commodity futures and options on commodity futures. There is no representation being made that the trading programs offered by the Advisor will be successful in achieving this goal. The Advisor... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 60k
Trading Level Incremental Increase $ 30k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 33.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 16000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
Sector Focus Diversified 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 0%
Systematic 100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
35.00%
Currency Futures
15.00%
Interest Rates
15.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

The Advisor seeks capital appreciation of Clients’ accounts through speculative trading in commodity futures and options on commodity futures. There is no representation being made that the trading programs offered by the Advisor will be successful in achieving this goal. The Advisor currently offers the GT Dynamic Trading Program and the GT Systematic Day Trading Program.

Investment Strategy

The GT Systematic Day Trading Program utilizes trading techniques over short time frames and trades only futures, and not options. The market data is analyzed on an intraday basis with positions rarely (if ever) being held overnight. As such, the program involves “day-trading,” which involves initiating and exiting a position on the same trading day. The GT Systematic Day Trading Program relies primarily technical indicators, specifically the Elliot Wave Principle, in determining positions. The Elliott Wave Principle is a form of technical analysis used by trader to analyze financial market cycles and forecast market trends by identifying extremes in investor psychology, highs and lows in prices, and other collective factors. The Elliott Wave Principle posits that collective investor psychology, or crowd psychology, moves between optimism and pessimism in natural sequences. These mood swings create patterns evidenced in the price movements of markets at every degree of trend or time scale. The program will result on both trend following and counter trend following position.

Risk Management

The Advisor generally attempts to limit its daily risk to between one fourth of a percent (0.25%) and four percent (4%) of an account’s equity per day. However, there is no guarantee that losses will be limited to these amounts.

   

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
-24.14 5 26 8/1/2017 1/1/2018
-6.86 1 - 5/1/2020 6/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
39.54 4 2/1/2020 5/1/2020
17.86 2 10/1/2018 11/1/2018
15.92 4 4/1/2018 7/1/2018
14.22 2 1/1/2019 2/1/2019
14.10 1 2/1/2018 2/1/2018
9.04 3 8/1/2019 10/1/2019
4.21 1 8/1/2017 8/1/2017
2.85 2 4/1/2019 5/1/2019
2.02 1 12/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.14 5 9/1/2017 1/1/2018
-15.99 1 12/1/2018 12/1/2018
-13.44 2 8/1/2018 9/1/2018
-10.01 1 1/1/2020 1/1/2020
-9.95 1 3/1/2019 3/1/2019
-6.86 1 6/1/2020 6/1/2020
-5.68 2 6/1/2019 7/1/2019
-5.60 1 3/1/2018 3/1/2018
-1.85 1 11/1/2019 11/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable57.1445.4563.3345.8344.44
Average Period Return0.521.552.022.391.49
Average Gain5.7311.069.5015.0612.87
Average Loss-6.44-6.38-10.88-8.32-7.62
Best Period19.9839.2428.1132.2730.94
Worst Period-15.99-18.85-20.94-15.92-15.98
Standard Deviation7.9511.6912.8914.5413.20
Gain Standard Deviation5.9110.429.5711.6611.40
Loss Standard Deviation3.944.655.274.494.56
Sharpe Ratio (1%)0.050.110.120.100.00
Average Gain / Average Loss0.891.730.871.811.69
Profit / Loss Ratio1.191.441.511.531.35
Downside Deviation (10%)5.136.538.6610.3311.98
Downside Deviation (5%)4.945.927.537.567.53
Downside Deviation (0%)4.905.777.266.906.53
Sortino Ratio (10%)0.020.05-0.05-0.25-0.51
Sortino Ratio (5%)0.090.220.200.180.00
Sortino Ratio (0%)0.110.270.280.350.23

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 0.22 5/2020
Trend Following Strategy Index Month 7 3.22 4/2020
Trend Following Strategy Index Month 7 3.22 4/2020
Trend Following Strategy Index Month 6 19.98 3/2020
Diversified Trader Index Month 9 19.98 3/2020
Systematic Trader Index Month 7 12.43 2/2020
Diversified Trader Index Month 5 12.43 2/2020
Trend Following Strategy Index Month 6 12.43 2/2020
Diversified Trader Index Month 6 3.14 10/2019
Trend Following Strategy Index Month 4 3.14 10/2019
Systematic Trader Index Month 9 3.14 10/2019
Systematic Trader Index Month 8 2.97 9/2019
Trend Following Strategy Index Month 1 2.97 9/2019
Diversified Trader Index Month 3 2.97 9/2019

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