LEVEX Capital Management Inc. : 3636 DayTrading

archived programs
Year-to-Date
N / A
Dec Performance
-7.92%
Min Investment
$ 36k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
53.60%
Sharpe (RFR=1%)
-0.37
CAROR
-28.51%
Assets
$ 74k
Worst DD
-66.61
S&P Correlation
0.30

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
1/2017
3636 DayTrading -7.92 - - - -46.93 - - -48.90
S&P 500 -9.18 - - - 21.41 - - 52.04
+/- S&P 500 1.26 - - - -68.34 - - -100.93

Strategy Description

Summary

The 3636 DAYTRADING program uses multiple algorithms in several markets as well as using few different time frames in the same market with the objective of utilizing the following methods as seems necessary by market conditions: Counter trend strategies Break out strategies Trend following... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 36k
Trading Level Incremental Increase $ 36k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
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 30000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -35.00%
Worst Peak-to-Trough 50.00%
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 5.00%
Systematic 95.00%

Strategy

Counter-trend
40.00%
Momentum
40.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Precious Metals
40.00%
Energy
40.00%
Softs
20.00%
Composition Pie Chart

Summary

The 3636 DAYTRADING program uses multiple algorithms in several markets as well as using few different time frames in the same market with the objective of utilizing the following methods as seems necessary by market conditions: Counter trend strategies Break out strategies Trend following strategies. The advisor believes that markets go through cycles of low volatility and high volatility, cycles of trending price action and choppy price action as well as cycles of higher volumes compare to lower volumes. Hence the need to incorporate multiple time frames and multiple strategies in an attempt to achieve smoother equity curve and reduce volatility in program performance. Once the algorithm identifies a possible trade, the system generates automated orders and employs another algorithm, this time to enter the market at the best price possible. Once in a trade the system triggers correlated targets, stops and trailing stops if certain profit is achieved. The system ends each day FLAT with no open positions.

Investment Strategy

The program will look for day-trades in several markets each day in order to have diversification between market segments. The program relies on automatic, software execution in order to make trading more mechanical rather than emotional. The advisor also monitors fundamental data such as economic reports and schedules government data that may affect existing and potential trades.

Risk Management

Stops are entered when positions are entered. System closes all positions before the close of the trading session.

   

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%)
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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
-66.61 7 - 3/1/2018 10/1/2018
-29.23 5 3 1/1/2017 6/1/2017
-15.65 2 3 9/1/2017 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
49.20 4 12/1/2017 3/1/2018
42.73 3 7/1/2017 9/1/2017
30.74 1 11/1/2018 11/1/2018
14.48 1 8/1/2018 8/1/2018
2.91 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-52.36 2 9/1/2018 10/1/2018
-38.77 4 4/1/2018 7/1/2018
-27.54 4 1/1/2017 4/1/2017
-15.65 2 10/1/2017 11/1/2017
-7.92 1 12/1/2018 12/1/2018
-5.10 1 6/1/2017 6/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable41.6736.3647.3746.150.00
Average Period Return-1.56-5.75-4.790.22-22.18
Average Gain12.9324.5322.8732.77
Average Loss-12.83-23.06-29.67-27.68-22.18
Best Period30.7443.4830.9958.27-9.59
Worst Period-34.66-45.46-61.23-54.75-41.42
Standard Deviation15.4726.4530.6836.8211.10
Gain Standard Deviation9.0615.486.1720.68
Loss Standard Deviation9.1910.7019.8919.6711.10
Sharpe Ratio (1%)-0.11-0.23-0.17-0.02-2.13
Average Gain / Average Loss1.011.060.771.18
Profit / Loss Ratio0.780.610.691.01
Downside Deviation (10%)11.7121.0427.0427.4831.50
Downside Deviation (5%)11.5120.3325.8224.9325.82
Downside Deviation (0%)11.4620.1525.5124.3224.44
Sortino Ratio (10%)-0.17-0.33-0.27-0.17-0.95
Sortino Ratio (5%)-0.14-0.30-0.20-0.03-0.92
Sortino Ratio (0%)-0.14-0.29-0.190.01-0.91

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.