J&M Trading, Inc. : Crossover Trend Trading

archived programs
Year-to-Date
N / A
Oct Performance
-39.83%
Min Investment
$ 30k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
83.30%
Sharpe (RFR=1%)
0.38
CAROR
-
Assets
$ 100k
Worst DD
-49.61
S&P Correlation
-0.71

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 YTD 1yr 3yr 5yr 10yr Since
2/2010
Crossover Trend Trading -39.83 - - - - - -49.61 0.96
S&P 500 3.69 - - - - - -17.22 213.64
+/- S&P 500 -43.52 - - - - - -32.39 -212.69

Strategy Description

Summary

The CTT managed futures program trades short term positions in the e-mini S@P which average about 15 trades per month. The program institutes a long position above a given moving average and a short position at a given point below the moving... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $5.00
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 9600 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 16.25%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 90.00%
Intraday 10.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The CTT managed futures program trades short term positions in the e-mini S@P which average about 15 trades per month. The program institutes a long position above a given moving average and a short position at a given point below the moving average. The advisor has developed a proprietary mehtodology which it believes minimizes "whipsaw" which is typically the largest problem with this style of trading.

Risk Management

Rigid stops are placed immediately upon entering a position. Stops are determined by a proprietary method the advisor has developed which has determined the maximum loss on a given trade before the trade turns profitable.

   

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
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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Sharpe Ratio: (RF=1%)
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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
-49.61 2 - 8/1/2010 10/1/2010
-7.10 1 2 1/1/0001 2/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
115.65 6 3/1/2010 8/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-49.61 2 9/1/2010 10/1/2010
-7.10 1 2/1/2010 2/1/2010
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable66.6771.43
Average Period Return2.7429.77
Average Gain14.6351.26
Average Loss-21.06-23.95
Best Period48.9182.81
Worst Period-39.83-43.91
Standard Deviation24.0547.21
Gain Standard Deviation17.3733.53
Loss Standard Deviation16.8928.23
Sharpe Ratio (1%)0.110.63
Average Gain / Average Loss0.692.14
Profit / Loss Ratio1.395.35
Downside Deviation (10%)14.7317.17
Downside Deviation (5%)14.5716.77
Downside Deviation (0%)14.5316.66
Sortino Ratio (10%)0.161.66
Sortino Ratio (5%)0.181.76
Sortino Ratio (0%)0.191.79

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.