Old Park Capital : Confluence

archived programs
Year-to-Date
N / A
Jan Performance
0.56%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.31%
Sharpe (RFR=1%)
1.01
CAROR
9.42%
Assets
$ 1.4M
Worst DD
-5.07
S&P Correlation
-0.09

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
3/2012
Confluence 0.56 - - - - 0.87 - 42.29
S&P 500 -5.07 - - - - 50.84 - 145.99
+/- S&P 500 5.63 - - - - -49.97 - -103.70

Strategy Description

Summary

The Confluence Strategy employs a systematic process that considers volatility, harmonic price patterns and auction theory to participate in rational trends and contra to irrational trends over several time intervals in only highly liquid exchange-traded futures and foreign exchange... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 7000 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD -4.00%
Worst Peak-to-Trough 10.20%
Sector Focus Diversified 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

Counter-trend
10.00%
Momentum
20.00%
Pattern Recognition
30.00%
Technical
30.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Currency Futures
37.00%
Stock Indices
27.00%
Precious Metals
18.00%
Industrial Metals
9.00%
Energy
9.00%
Composition Pie Chart

Summary

The Confluence Strategy employs a systematic process that considers volatility, harmonic price patterns and auction theory to participate in rational trends and contra to irrational trends over several time intervals in only highly liquid exchange-traded futures and foreign exchange markets.

Investment Strategy

At Old Park Capital we have observed that price movement replicates itself in readable, reliable patterns. We trade highly liquid exchange traded futures and foreign-exchange pairs that have enough volume to present these patterns with a high degree of clarity. This combined with our strategy instils a high degree of confidence in our trading team. We have found that the most reliable patterns, those which monetise in a reasonable amount of time, form on the 60 minute time frame. This interval is much less prone to erratic behaviour from institutional orders or noise generated by HFT. The 60 minute timeframe prescribes a direction that the trader should follow, and allows for higher probability trades to be determined and triggered on lower time intervals with more confidence for a more frequent, additional return.

Risk Management

Overnight liquidity: the strategy will have >94% in cash overnight. No more than 1.4% of capital will be at risk at any single point in time. Dedicated Risk Managers monitor traders’ positions in real time. Drawdown limits are in place in each trader’s account to mitigate unauthorised risk being taken.

   

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
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
-5.07 1 20 8/1/2012 9/1/2012
-4.02 3 3 5/1/2014 8/1/2014
-1.68 3 - 5/1/2015 8/1/2015
-0.76 1 2 2/1/2015 3/1/2015
-0.45 1 1 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
31.27 6 3/1/2012 8/1/2012
10.02 4 9/1/2014 12/1/2014
5.00 3 3/1/2014 5/1/2014
4.80 4 2/1/2013 5/1/2013
4.03 2 10/1/2012 11/1/2012
1.02 2 4/1/2015 5/1/2015
0.94 1 2/1/2015 2/1/2015
0.84 2 11/1/2013 12/1/2013
0.73 2 12/1/2015 1/1/2016
0.64 1 9/1/2015 9/1/2015
0.35 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.07 1 9/1/2012 9/1/2012
-4.02 3 6/1/2014 8/1/2014
-3.68 2 12/1/2012 1/1/2013
-1.74 3 8/1/2013 10/1/2013
-1.68 3 6/1/2015 8/1/2015
-1.06 2 1/1/2014 2/1/2014
-0.76 1 3/1/2015 3/1/2015
-0.50 2 10/1/2015 11/1/2015
-0.45 1 1/1/2015 1/1/2015
-0.23 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable59.5762.2269.0583.3396.6795.83
Average Period Return0.782.183.405.908.1710.55
Average Gain2.004.275.577.198.5311.07
Average Loss-1.02-1.27-1.46-0.56-2.15-1.39
Best Period10.7122.4931.2725.9530.9128.45
Worst Period-5.07-4.02-4.24-1.12-2.15-1.39
Standard Deviation2.405.346.706.546.946.62
Gain Standard Deviation2.265.807.026.426.776.25
Loss Standard Deviation1.171.141.080.31
Sharpe Ratio (1%)0.290.360.430.750.961.29
Average Gain / Average Loss1.973.383.8212.913.977.98
Profit / Loss Ratio2.905.568.5264.57115.16183.45
Downside Deviation (10%)1.161.742.402.933.303.59
Downside Deviation (5%)1.001.161.240.670.700.70
Downside Deviation (0%)0.971.031.000.260.390.28
Sortino Ratio (10%)0.320.550.390.310.180.08
Sortino Ratio (5%)0.701.672.357.309.4712.19
Sortino Ratio (0%)0.812.113.4123.0620.8437.24

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.