Pinstripe Trading, LLC : Standard

Year-to-Date
1.62%
Jun Performance
0.73%
Min Investment
$ 125k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
9.91%
Sharpe (RFR=1%)
0.53
CAROR
5.91%
Assets
$ 7.2M
Worst DD
-13.23
S&P Correlation
0.38

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/2009
Standard 0.73 0.05 -1.62 -2.18 3.34 22.71 - 76.76
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 185.25
+/- S&P 500 -6.16 -3.74 -18.96 -10.39 -35.39 -25.84 - -108.49

Strategy Description

Investment Strategy

The objective of the Advisor's Standard Trading Program is to achieve capital appreciation through the trading of stock index futures, with a focus on the E-mini S&P. The Advisor uses quantitative based, systematic strategies to identify high probability patterns that develop... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 125k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.50
Management Fee
0%
Performance Fee
25.00%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
700 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
2.00%
1-30 Days
98.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The objective of the Advisor's Standard Trading Program is to achieve capital appreciation through the trading of stock index futures, with a focus on the E-mini S&P. The Advisor uses quantitative based, systematic strategies to identify high probability patterns that develop in the U.S Index futures markets. The strategies attempt to purchase futures that experience a sharp, short term decline in the value, but are still within a long-term uptrend. Conversely, the strategies attempt to sell futures that experience a sharp, short term spike in value, but are still within a long-term down trend. The models are applied to multiple time frames. The average holding period for a trade is 2-5 days. The program only trades Emini futures - no options.

   

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
-13.23 16 - 1/1/2018 5/1/2019
-11.31 11 6 6/1/2011 5/1/2012
-6.87 1 3 12/1/2013 1/1/2014
-6.00 2 8 4/1/2010 6/1/2010
-5.17 1 4 7/1/2013 8/1/2013
-5.13 5 1 8/1/2014 1/1/2015
-3.10 5 4 9/1/2015 2/1/2016
-2.24 1 1 12/1/2009 1/1/2010
-2.01 1 1 5/1/2013 6/1/2013
-1.84 1 1 9/1/2016 10/1/2016
-1.40 1 1 7/1/2015 8/1/2015
-0.41 2 2 11/1/2016 1/1/2017
-0.34 1 1 9/1/2009 10/1/2009
-0.17 1 1 3/1/2015 4/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
15.14 7 12/1/2010 6/1/2011
13.29 2 2/1/2015 3/1/2015
11.30 7 2/1/2014 8/1/2014
10.16 2 6/1/2012 7/1/2012
9.52 5 5/1/2016 9/1/2016
8.03 3 10/1/2012 12/1/2012
7.08 3 5/1/2015 7/1/2015
5.95 1 9/1/2011 9/1/2011
5.66 2 8/1/2009 9/1/2009
5.02 2 8/1/2017 9/1/2017
5.01 3 3/1/2013 5/1/2013
4.61 1 11/1/2016 11/1/2016
4.50 2 3/1/2017 4/1/2017
4.49 2 11/1/2009 12/1/2009
4.46 2 3/1/2012 4/1/2012
4.41 1 7/1/2013 7/1/2013
3.44 1 12/1/2013 12/1/2013
2.97 2 7/1/2018 8/1/2018
2.80 1 12/1/2014 12/1/2014
2.64 1 10/1/2013 10/1/2013
2.60 1 4/1/2010 4/1/2010
2.57 1 2/1/2010 2/1/2010
1.71 1 11/1/2017 11/1/2017
1.71 1 10/1/2010 10/1/2010
1.48 1 9/1/2015 9/1/2015
1.43 1 4/1/2019 4/1/2019
1.13 1 7/1/2010 7/1/2010
0.99 2 4/1/2018 5/1/2018
0.73 1 6/1/2019 6/1/2019
0.21 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.26 2 7/1/2011 8/1/2011
-9.70 1 5/1/2012 5/1/2012
-6.98 4 12/1/2017 3/1/2018
-6.87 1 1/1/2014 1/1/2014
-6.00 2 5/1/2010 6/1/2010
-5.17 2 8/1/2013 9/1/2013
-4.89 1 6/1/2018 6/1/2018
-4.85 3 9/1/2014 11/1/2014
-3.10 7 10/1/2015 4/1/2016
-3.01 1 1/1/2015 1/1/2015
-2.68 2 9/1/2018 10/1/2018
-2.64 4 12/1/2018 3/1/2019
-2.24 1 1/1/2010 1/1/2010
-2.08 1 5/1/2019 5/1/2019
-2.01 1 6/1/2013 6/1/2013
-1.84 1 10/1/2016 10/1/2016
-1.44 2 8/1/2012 9/1/2012
-1.40 1 8/1/2015 8/1/2015
-1.19 1 11/1/2010 11/1/2010
-0.41 3 12/1/2016 2/1/2017
-0.34 1 10/1/2009 10/1/2009
-0.17 1 4/1/2015 4/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable51.2662.3963.1683.3389.2291.67100.00100.00100.00
Average Period Return0.521.492.936.1510.1314.3824.1034.0944.29
Average Gain2.344.046.668.6212.2316.0224.1034.0944.29
Average Loss-2.60-3.10-3.45-6.19-7.21-3.69
Best Period12.0113.0921.1123.1727.8831.6646.7955.0071.46
Worst Period-10.66-10.13-10.65-12.44-13.23-7.323.3410.0422.00
Standard Deviation2.864.215.967.448.528.4010.149.9111.88
Gain Standard Deviation1.972.763.925.216.166.6110.149.9111.88
Loss Standard Deviation2.722.332.313.584.522.59
Sharpe Ratio (1%)0.150.290.410.691.011.472.083.033.30
Average Gain / Average Loss0.901.311.931.391.704.34
Profit / Loss Ratio1.772.443.316.9614.0347.72
Downside Deviation (10%)2.062.843.884.935.424.462.812.381.03
Downside Deviation (5%)1.932.342.773.263.201.80
Downside Deviation (0%)1.902.232.512.902.761.27
Sortino Ratio (10%)0.050.090.120.230.470.932.975.2816.16
Sortino Ratio (5%)0.230.530.881.582.706.87
Sortino Ratio (0%)0.270.671.172.123.6711.28

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 1.43 4/2019
Stock Index Trader Index Month 9 1.35 8/2018
Stock Index Trader Index Month 8 1.71 11/2017
Stock Index Trader Index Month 1 4.80 8/2017
Stock Index Trader Index Month 4 2.64 4/2017
Stock Index Trader Index Month 3 4.61 11/2016
Stock Index Trader Index Month 8 2.62 9/2016
Stock Index Trader Index Month 4 3.84 6/2016
Stock Index Trader Index Month 9 0.00 1/2016
Stock Index Trader Index Month 7 3.87 7/2015
Stock Index Trader Index Month 1 12.01 2/2015
IASG CTA Index Month 3 12.01 2/2015
Systematic Trader Index Month 3 12.01 2/2015
Stock Index Trader Index Month 5 2.80 12/2014
Stock Index Trader Index Month 8 0.76 7/2014
Stock Index Trader Index Month 7 2.22 4/2014
Stock Index Trader Index Month 4 5.01 3/2014
Systematic Trader Index Month 10 5.01 3/2014
Stock Index Trader Index Month 7 3.57 12/2013
Stock Index Trader Index Month 7 2.72 10/2013
Stock Index Trader Index Month 4 4.61 7/2013
Stock Index Trader Index Month 7 3.48 4/2013
Stock Index Trader Index Month 4 4.06 11/2012
Stock Index Trader Index Month 7 3.52 10/2012
Stock Index Trader Index Month 2 5.87 7/2012
Stock Index Trader Index Month 5 3.85 3/2012
Stock Index Trader Index Month 8 5.82 9/2011
Stock Index Trader Index Month 10 1.26 6/2011
Stock Index Trader Index Month 8 4.24 5/2011
Stock Index Trader Index Month 10 2.99 3/2011
Stock Index Trader Index Month 10 2.09 12/2010
Stock Index Trader Index Month 4 2.68 4/2010
Stock Index Trader Index Month 10 4.07 11/2009
Stock Index Trader Index Month 6 2.65 9/2009

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