Marmon Trading : Program 1 - Algorithmic VIX Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 0.20% Min Investment $ 150k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 15.42% Sharpe (RFR=1%) 1.58 CAROR - Assets $ 1.3M Worst DD -9.70 S&P Correlation -0.02 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since1/2017 Program 1 - Algorithmic VIX Futures 0.20 - - - 0.00 - - 27.05 S&P 500 3.43 - - - 28.55 - - 63.14 +/- S&P 500 -3.23 - - - -28.55 - - -36.09 Strategy Description SummaryProgram 1 is a systematic intraday trend following strategy. The dynamic orders follow the VIX index trend on a daily basis as closely as possible. We buy and sell front month VIX futures contracts to achieve this goal. We avoid spreads or hedging with VIX/SPX options that can dilute... Read More Account & Fees Type Managed Account Minimum Investment $ 150k Trading Level Incremental Increase $ 10k CTA Max Funding Factor 3.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 5100 RT/YR/$M Avg. Margin-to-Equity 8% Targeted Worst DD 12.00% Worst Peak-to-Trough -6.45% Sector Focus Financial & Metals Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 20.00% Intraday 80.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Momentum 15.00% Technical 70.00% Trend-following 15.00% Composition VIX 100.00% SummaryProgram 1 is a systematic intraday trend following strategy. The dynamic orders follow the VIX index trend on a daily basis as closely as possible. We buy and sell front month VIX futures contracts to achieve this goal. We avoid spreads or hedging with VIX/SPX options that can dilute our performance. We use reversals, dynamic trailing stops and time-delay execution orders in a highly liquid market to maximize our results. Optimized to serve as a counterweight to S&P corrections while also providing gains during periods of S&P calm.Investment StrategyLong/Short VIX futures contracts exclusively, intra-day trend following, anti-discretionary.Risk ManagementConservative max daily loss, conservative margin to equity, position resizing based on contract price, light footprint after hours. 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 -9.70 2 - 9/1/2017 11/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 40.42 9 1/1/2017 9/1/2017 0.20 1 12/1/2017 12/1/2017 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.70 2 10/1/2017 11/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month Number of Periods12.0010.007.00 Percent Profitable83.3380.0071.43 Average Period Return2.117.5118.36 Average Gain3.5111.6926.70 Average Loss-4.90-9.20-2.49 Best Period9.3719.5731.93 Worst Period-8.60-9.52-3.69 Standard Deviation4.4510.1214.88 Gain Standard Deviation2.845.655.22 Loss Standard Deviation5.230.451.71 Sharpe Ratio (1%)0.450.721.20 Average Gain / Average Loss0.721.2710.73 Profit / Loss Ratio3.585.0826.83 Downside Deviation (10%)2.644.672.73 Downside Deviation (5%)2.534.231.72 Downside Deviation (0%)2.514.121.48 Sortino Ratio (10%)0.641.355.83 Sortino Ratio (5%)0.801.7210.37 Sortino Ratio (0%)0.841.8312.42 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. x {{title}} x {{title}} Add Cancel