Parkestone Capital Management, LLC : Collision Methodology

archived programs
Year-to-Date
N / A
Sep Performance
2.26%
Min Investment
$ 90k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
17.08%
Sharpe (RFR=1%)
0.15
CAROR
2.12%
Assets
$ 1.1M
Worst DD
-27.06
S&P Correlation
-0.12

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
Collision Methodology 2.26 - - - - 7.10 - 8.94
S&P 500 1.93 - - - - 74.61 - 113.18
+/- S&P 500 0.33 - - - - -67.51 - -104.24

Strategy Description

Summary

Collision Methodology® was born from trial and error, attempting to correlate to the Bond Market. In our opinion, it is impossible to make consistent predictions on anything, whether it is real estate, stocks, bonds, gold, etc. However, through 30 years of observation and trading,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 90k
Trading Level Incremental Increase $ 30k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2400 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -6.00%
Worst Peak-to-Trough 5.50%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
10.00%
Pattern Recognition
90.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Collision Methodology® was born from trial and error, attempting to correlate to the Bond Market. In our opinion, it is impossible to make consistent predictions on anything, whether it is real estate, stocks, bonds, gold, etc. However, through 30 years of observation and trading, the discovery that markets have discernible patterns that repeat over and over has been confirmed. This is referred to as “pattern recognition” strategy in the industry. Specifically to the Bond Market, I was able to take 30 years of observation and quantify price movement patterns into buy and sell signals. The “collision” part, or the “collisional” encounter, is the blending of these buy and sell signals with a rigorous risk management overlay. As in physics, the meeting of these two entities exert a force upon the other, causing an exchange of energy or momentum. CM exclusively trades the 10-Year Treasury Futures Market.It is my expert knowledge that has captured these movements into repeatable trade signals. Price movement patterns happen in all markets and the methodology could be applied to other securities. Specifically, it is the 30 years of Bond Market observation that leads us to stick to what we know. In addition, the 10-Year Treasury Bond is the most liquid market in the world, giving piece of mind when entering or exiting this market; there is a liquid market that can be accessed at the most transparent of characteristics and prices.

Investment Strategy

Collision Methodology® is a repeatable pattern recognition design that is combined with rigorous risk management. This “collision”, when taking the definition within the confines of physics, embodies the combination of quantitative buy and sell decisions with systematic profit/loss parameters, creating a powerful and decisive investment discipline. After more than 30 years of observing and trading the Bond Markets, Parkestone has been able to quantify buy and sell signals based on repeatable price behavior that occurs. Combining this with an objective and disciplined risk management overlay, Collision Methodology® was born. Collision Methodology® utilizes a short-term buy and sell discipline, generating five to eight quantitative trade signals per month. It is characterized as a short term pattern recognition methodology. It is 100% systematic and quantitative. There are no discretionary decisions that enter the discipline to Collision Methodology® and trading signals are never over-ridden. Collision Methodology® trades one instrument only, the 10-Year T-Note Futures. It is considered one of the most liquid trading vehicles on any stock or bond exchange. However, because it is concentrated only to the 10-Year T-Note Future, it is to be considered as a part of one's overall investment portfolio. Importantly, it is non-correlated to traditional asset classes (stocks, bonds, gold, real estate, etc.). The investment objective is to extract consistent returns in both up and down markets, with zero or little correlation to traditional markets.

Risk Management

50% of our collisional encounter is risk management. It is objective, pre-defined, and non-emotional. "When we enter a room, the first thing we do is learn where the exits are". Combined with the buy and sell signals, Collision Methodology® is in a constant dynamic exchange of harmonious interaction. By design, a high percentage of time the outcome of buy and sell signals produces an immediate momentum of price that is favorable. This can happen very soon after trade initiation and is a result of the pattern recognition methodology. Once a pre-defined level of positive price action is achieved, a protection is put into place to create at worst a break-even result. It is a continual system of money management that is defensive in nature and always limiting losses and not letting profitable trades turn into losing transactions. The placement of contingent orders, such as a “stop-loss” or “stop limit” order, will not necessarily limit your losses to the intended amounts, since market conditions may make it impossible to execute such orders. To that end, a low percentage of the time the signal produces negative price action immediately and does not recover at all. In every trade signal that is produces, a worst case loss parameter is put into place at the outset to protect capital. Each and every signal goes in with a pre-defined maximum loss scenario. The result is a pattern of trades with many break even trades, and a win ratio over losses of approximately 2 to 1. This combination of high probability buy and sell signals with a highly restrictive risk management discipline is the back bone of Collision Methodology®. By definition, a meeting of two disciplines or forces exerting a force upon the other. The signals for trade opportunity come to Collision Methodology®. Nothing is fabricated or forced...it is not determined through emotion. It is objective and nonjudgmental. The trading decision is unveiled objectively and the core of Parkestone Capital Management is a balance of objectivity and discipline.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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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
-27.06 29 - 12/1/2014 5/1/2017
-5.65 2 2 1/1/2014 3/1/2014
-4.72 1 1 7/1/2014 8/1/2014
-2.83 1 1 1/1/0001 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
19.19 4 6/1/2017 9/1/2017
17.29 4 9/1/2016 12/1/2016
15.25 4 9/1/2014 12/1/2014
14.50 4 10/1/2013 1/1/2014
14.48 2 1/1/2016 2/1/2016
8.71 4 4/1/2014 7/1/2014
7.24 2 7/1/2015 8/1/2015
5.03 1 5/1/2016 5/1/2016
3.12 1 11/1/2015 11/1/2015
0.93 1 5/1/2015 5/1/2015
0.90 2 2/1/2017 3/1/2017
0.44 1 7/1/2016 7/1/2016
0.40 1 2/1/2015 2/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.28 2 3/1/2015 4/1/2015
-12.64 2 4/1/2017 5/1/2017
-12.62 2 3/1/2016 4/1/2016
-6.97 1 8/1/2016 8/1/2016
-6.80 1 6/1/2015 6/1/2015
-6.34 1 1/1/2017 1/1/2017
-5.65 2 2/1/2014 3/1/2014
-4.72 1 8/1/2014 8/1/2014
-4.67 2 9/1/2015 10/1/2015
-4.41 1 6/1/2016 6/1/2016
-2.83 1 9/1/2013 9/1/2013
-1.44 1 1/1/2015 1/1/2015
-1.11 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods49.0047.0044.0038.0032.0026.0014.00
Percent Profitable63.2753.1963.6444.7431.2523.0828.57
Average Period Return0.300.760.05-0.57-3.80-5.90-4.86
Average Gain3.336.836.069.838.664.142.97
Average Loss-4.93-6.13-10.47-8.99-9.46-8.92-7.99
Best Period10.6616.5514.0517.7624.017.795.06
Worst Period-13.84-18.95-23.00-19.73-23.88-16.04-18.39
Standard Deviation4.938.339.5411.0311.007.077.02
Gain Standard Deviation2.374.753.695.698.641.981.61
Loss Standard Deviation3.625.707.155.716.254.835.68
Sharpe Ratio (1%)0.040.06-0.05-0.14-0.48-1.12-1.12
Average Gain / Average Loss0.681.110.581.090.920.460.37
Profit / Loss Ratio1.161.271.010.890.420.140.15
Downside Deviation (10%)3.876.318.8611.2415.1617.5821.70
Downside Deviation (5%)3.715.797.828.5110.4110.4410.38
Downside Deviation (0%)3.675.677.577.879.348.848.14
Sortino Ratio (10%)-0.03-0.07-0.27-0.50-0.75-0.92-0.95
Sortino Ratio (5%)0.060.09-0.06-0.18-0.51-0.76-0.76
Sortino Ratio (0%)0.080.130.01-0.07-0.41-0.67-0.60

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.