LEVEX Capital Management Inc. : Diamond Swing Trading (DST)

archived programs
Year-to-Date
N / A
Mar Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.50%
Perf. Fee
25.00%
Annualized Vol
40.22%
Sharpe (RFR=1%)
0.12
CAROR
-
Assets
$ 0k
Worst DD
-20.70
S&P Correlation
-0.39

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
Diamond Swing Trading (DST) 0.00 - - - - - -12.15 -0.88
S&P 500 -0.10 - - - - - 14.27 230.13
+/- S&P 500 0.10 - - - - - -26.42 -231.01

Strategy Description

Summary

The swing-trading managed futures program is based on an algorithm developed by Ilan Levy-Mayer which is used to identify medium term turning points in current market direction using a mathematical formula.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.50%
Performance Fee 25.00%
Average Commission $30.00
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 4000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -35.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 80.00%
Intraday 15.00%

Decision-Making

Discretionary 40.00%
Systematic 60.00%

Strategy

Counter-trend
20.00%
Momentum
30.00%
Technical
40.00%
Other
10.00%
Strategy Pie Chart

Composition

Currency Futures
15.00%
Energy
15.00%
Interest Rates
15.00%
Stock Indices
15.00%
Precious Metals
10.00%
Grains
10.00%
Softs
10.00%
Livestock
5.00%
Other
5.00%
Composition Pie Chart

Summary

The swing-trading managed futures program is based on an algorithm developed by Ilan Levy-Mayer which is used to identify medium term turning points in current market direction using a mathematical formula.

Investment Strategy

The algorithm, which is the corner stone of the trading program, is usually applied to daily, weekly and at times hourly charts. The algorithm tries to identify exhaustion in either selling or buying and attempts to identify possible turning points in the market, which at times can be a start of a new trend or a meaningful counter trend move. In every day terms, this algorithm tries to get an early read on “fear and greed” in the markets. In addition to the algorithm which signals a possible trade, the advisor utilizes some principles from Elliott Wave theory, Fibonacci levels and other technical analysis tools. The advisor also monitors fundamental data such as economic reports and schedules government data that may affect existing and potential trades.

Risk Management

The advisor scans different US futures markets which he deems to be liquid and suitable for trading. When the algorithm appears, the advisor will enter trades once price action confirms the validity of the signal. Once in a trade, the advisor will place simultaneous limit orders to take profits and stop orders to minimize losses. (Please keep in mind that If stop orders are used to enter or exit the market, the customer should be aware that such orders become market orders when “triggered” and do not ensure that the order will be filled at the price stated on the stop order) Currently the advisor is planning to trade market segments such as stock index futures, currency futures, grains, softs, interest rates, metals, energies, meats to name a few but not all possible market sectors. The advisor implies his own set of rules as far as profit levels, maximum number of markets he can be at in any given time and appropriate risk/reward per trade.

   

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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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
-20.70 5 - 9/1/2010 2/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
24.99 2 8/1/2010 9/1/2010
13.92 1 11/1/2010 11/1/2010
3.33 1 1/1/2011 1/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.42 1 10/1/2010 10/1/2010
-12.83 2 2/1/2011 3/1/2011
-10.74 1 12/1/2010 12/1/2010
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable50.0050.00
Average Period Return0.48-3.16
Average Gain10.227.52
Average Loss-12.33-13.83
Best Period13.929.26
Worst Period-13.42-19.60
Standard Deviation11.6112.21
Gain Standard Deviation4.772.18
Loss Standard Deviation1.415.10
Sharpe Ratio (1%)0.03-0.28
Average Gain / Average Loss0.830.54
Profit / Loss Ratio1.100.54
Downside Deviation (10%)7.8311.05
Downside Deviation (5%)7.6310.38
Downside Deviation (0%)7.5810.21
Sortino Ratio (10%)0.01-0.40
Sortino Ratio (5%)0.05-0.33
Sortino Ratio (0%)0.06-0.31

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.