LEVEX Capital Management Inc. : REN18

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
1/2014
REN18 -22.67 - - - - 22.43 - -5.10
S&P 500 1.53 - - - - 55.85 - 81.64
+/- S&P 500 -24.20 - - - - -33.42 - -86.74

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Interest Rates
35.00%
Stock Indices
35.00%
Energy
30.00%
Composition Pie Chart

Summary

The 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 Strategy

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.

Risk Management

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. Max daily loss limit enforced on clearing house/ trading software side.

   

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
-49.61 13 - 5/1/2014 6/1/2015
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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
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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
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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.