Piston Trading : Fixed Income Blend (Proprietary)

archived programs
Year-to-Date
N / A
Jun Performance
1.28%
Min Investment
$ 300k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
9.37%
Sharpe (RFR=1%)
0.81
CAROR
8.50%
Assets
$ 900k
Worst DD
-14.79
S&P Correlation
-0.14

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
1/2004
Fixed Income Blend (Proprietary) 1.28 - - - - -4.46 21.54 200.66
S&P 500 0.33 - - - - 77.64 60.93 216.87
+/- S&P 500 0.95 - - - - -82.10 -39.39 -16.21

Strategy Description

Summary

Fixed Income Blend trading program is a short term, directional strategy. It capitalizes on short term market movements using intraday data. The program is fully systematic and trades the U.S. Treasury futures products. Fixed Income Blend establishes positions in anticipation of directional... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 300k
Trading Level Incremental Increase $ 300k
CTA Max Funding Factor 5.00
Management Fee 1.00%
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 8000 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months
4-12 Months
1-3 Months
1-30 Days 80.00%
Intraday 20.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Fixed Income Blend trading program is a short term, directional strategy. It capitalizes on short term market movements using intraday data. The program is fully systematic and trades the U.S. Treasury futures products. Fixed Income Blend establishes positions in anticipation of directional moves and is designed to adapt quickly as market conditions change. The program has been traded live since 2004. The performance shown from October 2014 to present is proprietary performance. The performance shown from January 2004 through September 2013 includes extracted proprietary performance. The performance shown is presented pro forma with a $2.50 round turn commission and exchange fee and a 1% management fee and a 20% performance fee. Performance presented pro forma or with extraction is considered hypothetical performance. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Investment Strategy

A position is initiated after evaluating price rotation in the intraday time frame. This analysis is ongoing and is used to determine when the strategy will adjust its positions. Position analysis is evaluated as the following components: ™™ Initiate Position: Identify reduced market velocity and congested conditions to initiate positions in advance of expected directional moves; ™™ Maintain Position: Utilize increased market velocity to maintain positions through impulsive market moves; and ™™ Adjust Position: Employ unique, proprietary and anticipatory indicator to adjust positions before new directional move develops. Disclaimer

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
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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
-14.79 11 - 12/1/2015 11/1/2016
-14.19 13 11 11/1/2011 12/1/2012
-9.70 11 9 3/1/2009 2/1/2010
-7.37 4 2 2/1/2015 6/1/2015
-6.45 3 4 1/1/2011 4/1/2011
-5.47 2 2 9/1/2007 11/1/2007
-4.07 1 5 2/1/2007 3/1/2007
-4.07 1 2 3/1/2005 4/1/2005
-3.23 2 1 5/1/2008 7/1/2008
-2.74 2 1 10/1/2014 12/1/2014
-2.62 1 1 10/1/2015 11/1/2015
-2.21 1 2 11/1/2006 12/1/2006
-1.99 1 2 1/1/2006 2/1/2006
-1.65 1 1 11/1/2013 12/1/2013
-1.42 1 1 5/1/2014 6/1/2014
-1.05 1 1 1/1/2005 2/1/2005
-0.31 1 1 1/1/2004 2/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
29.83 8 8/1/2008 3/1/2009
22.36 11 3/1/2004 1/1/2005
20.05 6 12/1/2007 5/1/2008
18.71 6 8/1/2010 1/1/2011
17.17 9 5/1/2005 1/1/2006
14.97 6 5/1/2011 10/1/2011
14.63 9 3/1/2006 11/1/2006
13.45 4 7/1/2015 10/1/2015
12.13 5 7/1/2013 11/1/2013
7.01 3 7/1/2007 9/1/2007
6.77 5 1/1/2014 5/1/2014
6.05 2 3/1/2010 4/1/2010
5.85 2 12/1/2016 1/1/2017
5.40 1 1/1/2004 1/1/2004
5.05 2 1/1/2013 2/1/2013
4.82 1 12/1/2015 12/1/2015
4.63 2 7/1/2012 8/1/2012
4.47 1 2/1/2016 2/1/2016
4.21 4 7/1/2014 10/1/2014
3.76 2 6/1/2009 7/1/2009
3.39 2 1/1/2015 2/1/2015
3.19 3 7/1/2016 9/1/2016
3.15 1 3/1/2005 3/1/2005
2.95 1 5/1/2016 5/1/2016
2.75 1 3/1/2012 3/1/2012
2.60 1 3/1/2017 3/1/2017
2.44 2 1/1/2007 2/1/2007
2.27 1 12/1/2009 12/1/2009
1.96 1 4/1/2007 4/1/2007
1.87 2 5/1/2017 6/1/2017
1.72 2 4/1/2015 5/1/2015
1.33 2 4/1/2013 5/1/2013
1.30 1 10/1/2009 10/1/2009
0.20 1 1/1/2012 1/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.54 4 9/1/2012 12/1/2012
-7.85 2 10/1/2016 11/1/2016
-7.19 2 3/1/2016 4/1/2016
-6.97 2 4/1/2009 5/1/2009
-6.45 3 2/1/2011 4/1/2011
-5.80 1 6/1/2016 6/1/2016
-5.78 2 1/1/2010 2/1/2010
-5.72 1 3/1/2015 3/1/2015
-5.62 3 5/1/2010 7/1/2010
-5.47 2 10/1/2007 11/1/2007
-4.70 1 1/1/2016 1/1/2016
-4.69 3 4/1/2012 6/1/2012
-4.61 1 2/1/2012 2/1/2012
-4.07 1 3/1/2007 3/1/2007
-4.07 1 4/1/2005 4/1/2005
-3.41 1 6/1/2015 6/1/2015
-3.23 2 6/1/2008 7/1/2008
-3.14 2 11/1/2011 12/1/2011
-2.74 2 11/1/2014 12/1/2014
-2.62 1 11/1/2015 11/1/2015
-2.51 2 8/1/2009 9/1/2009
-2.21 1 12/1/2006 12/1/2006
-2.19 1 2/1/2017 2/1/2017
-1.99 1 2/1/2006 2/1/2006
-1.70 1 11/1/2009 11/1/2009
-1.65 1 12/1/2013 12/1/2013
-1.58 2 5/1/2007 6/1/2007
-1.42 1 6/1/2014 6/1/2014
-1.15 1 4/1/2017 4/1/2017
-1.15 1 6/1/2013 6/1/2013
-1.05 1 2/1/2005 2/1/2005
-0.47 1 3/1/2013 3/1/2013
-0.31 1 2/1/2004 2/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods162.00160.00157.00151.00145.00139.00127.00115.00103.00
Percent Profitable67.9067.5071.3476.8282.7691.3797.64100.0099.03
Average Period Return0.722.114.228.4313.0417.8327.6339.0649.96
Average Gain2.194.627.4612.5016.6819.8428.3039.0650.45
Average Loss-2.43-3.11-3.85-5.07-4.46-3.39-0.38-0.08
Best Period8.3715.5121.8134.5843.2153.1066.0386.78129.49
Worst Period-6.74-9.56-10.42-12.77-9.21-6.81-0.843.51-0.08
Standard Deviation2.704.676.6710.0812.3013.4816.9923.1329.47
Gain Standard Deviation1.623.214.817.4810.1712.3216.6223.1329.19
Loss Standard Deviation1.722.322.513.923.142.170.41
Sharpe Ratio (1%)0.250.420.590.791.001.251.541.601.61
Average Gain / Average Loss0.901.481.942.473.745.8573.86631.27
Profit / Loss Ratio1.943.084.838.1717.9661.903052.9364389.07
Downside Deviation (10%)1.862.813.665.255.375.094.684.486.31
Downside Deviation (5%)1.692.262.563.262.511.430.300.26
Downside Deviation (0%)1.672.212.453.072.251.170.080.01
Sortino Ratio (10%)0.170.310.480.651.011.492.543.913.54
Sortino Ratio (5%)0.400.881.552.434.8911.7885.86183.44
Sortino Ratio (0%)0.430.961.722.755.8015.26354.656344.34

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.