LEVEX Capital Management Inc. : REN18 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance -22.67% Min Investment $ 25k Mgmt. Fee 0% Perf. Fee 25.00% Annualized Vol 50.43% Sharpe (RFR=1%) 0.19 CAROR -2.14% Assets $ 62k Worst DD -49.61 S&P Correlation 0.03 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 May Qtr 2020 1yr 3yr 5yr 10yr Since1/2014 REN18 -22.67 - - - - 1.30 - -5.10 S&P 500 1.53 - - - - 55.85 - 108.57 +/- S&P 500 -24.20 - - - - -54.55 - -113.67 Strategy Description SummaryThe REN 18 program is based on a few different algorithms developed by Ilan Levy-Mayer which is used to identify Intra-Day trends as well as peaks and valleys during the daytrading period, using a mathematical/statistical formula. The advisor has customized different trading templates... Read More Account & Fees Type Managed Account Minimum Investment $ 25k Trading Level Incremental Increase $ 25k CTA Max Funding Factor Management Fee 0% Performance Fee 25.00% Average Commission $8.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 45000 RT/YR/$M Avg. Margin-to-Equity 0% 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 0% 1-30 Days 0% Intraday 100.00% Decision-Making Discretionary 2.00% Systematic 98.00% Strategy Pattern Recognition 15.00% Technical 85.00% Composition Interest Rates 35.00% Stock Indices 35.00% Energy 30.00% SummaryThe REN 18 program is based on a few different algorithms developed by Ilan Levy-Mayer which is used to identify Intra-Day trends as well as peaks and valleys during the daytrading period, using a mathematical/statistical formula. The advisor has customized different trading templates for the different markets he will trade as he believes that daytrading action in US bonds is quite different than daytrading action in crude oil futures for example. The result was a system created based on the following foundation: 1. Diversification using different markets with different "personalities" offers an edge versus only trading one market. 2. Different indicators will have different results in different markets. 3. The advisor believes that it is possible to identify activity of "heavier volume, larger trades" via mathematical analysis of technical indicators. 4. The markets are an evolving energy and trading systems used must have the ability to adapt and evolve as well. 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. 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. Investment StrategyThe advisor has customized different trading templates for the different markets he will trade as he believes that daytrading action in US bonds is quite different than daytrading action in crude oil futures for example. The result was a system created based on the following foundation: 1. Diversification using different markets with different "personalities" offers an edge versus only trading one market. 2. Different indicators will have different results in different markets. 3. The advisor believes that it is possible to identify activity of "heavier volume, larger trades" via mathematical analysis of technical indicators. 4. The markets are an evolving energy and trading systems used must have the ability to adapt and evolve as well. 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. Risk ManagementOnce 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. Max daily loss limit enforced on clearing house/ trading software side. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -49.61 13 - 5/1/2014 6/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 56.14 3 7/1/2015 9/1/2015 46.32 3 2/1/2016 4/1/2016 28.15 5 1/1/2014 5/1/2014 24.50 1 12/1/2015 12/1/2015 19.15 1 4/1/2015 4/1/2015 11.85 3 8/1/2014 10/1/2014 10.64 1 2/1/2015 2/1/2015 8.23 1 12/1/2014 12/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -32.35 2 5/1/2015 6/1/2015 -26.24 1 3/1/2015 3/1/2015 -25.37 2 10/1/2015 11/1/2015 -22.67 1 5/1/2016 5/1/2016 -18.61 1 11/1/2014 11/1/2014 -17.45 2 6/1/2014 7/1/2014 -10.47 1 1/1/2016 1/1/2016 -5.82 1 1/1/2015 1/1/2015 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods29.0027.0024.0018.0012.00 Percent Profitable62.0748.1550.0027.7816.67 Average Period Return0.882.670.15-10.17-17.22 Average Gain10.4919.7818.0618.313.48 Average Loss-14.84-13.23-17.76-21.12-21.36 Best Period24.5056.1451.3544.473.72 Worst Period-26.24-23.14-38.05-49.28-41.29 Standard Deviation14.5620.5722.8722.7415.13 Gain Standard Deviation7.1915.9317.1618.020.34 Loss Standard Deviation8.206.859.9612.4912.86 Sharpe Ratio (1%)0.060.12-0.02-0.49-1.24 Average Gain / Average Loss0.711.501.020.870.16 Profit / Loss Ratio1.161.391.020.330.03 Downside Deviation (10%)10.5511.4415.8224.4528.73 Downside Deviation (5%)10.3810.8014.5621.3923.65 Downside Deviation (0%)10.3310.6414.2520.6522.45 Sortino Ratio (10%)0.050.13-0.15-0.62-0.86 Sortino Ratio (5%)0.080.22-0.02-0.52-0.79 Sortino Ratio (0%)0.090.250.01-0.49-0.77 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 7 6.04 4/2016 Diversified Trader Index Month 7 6.04 4/2016 Diversified Trader Index Month 1 19.78 3/2016 Systematic Trader Index Month 1 19.78 3/2016 Systematic Trader Index Month 1 15.20 2/2016 Diversified Trader Index Month 1 15.20 2/2016 Systematic Trader Index Month 1 24.50 12/2015 Diversified Trader Index Month 1 24.50 12/2015 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel