Marmon Trading : Program 1 - Algorithmic VIX Futures

archived programs
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

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
Program 1 - Algorithmic VIX Futures 0.20 - - - -8.70 - - 27.05
S&P 500 3.43 - - - 28.55 - - 52.04
+/- S&P 500 -3.23 - - - -37.25 - - -24.98

Strategy Description

Summary

Program 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%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

Program 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 Strategy

Long/Short VIX futures contracts exclusively, intra-day trend following, anti-discretionary.

Risk Management

Conservative max daily loss, conservative margin to equity, position resizing based on contract price, light footprint after hours.

   

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
-9.70 2 - 9/1/2017 11/1/2017
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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
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.70 2 10/1/2017 11/1/2017
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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.