Piston Trading : The Piston

archived programs
Year-to-Date
N / A
May Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
12.63%
Sharpe (RFR=1%)
0.30
CAROR
4.06%
Assets
$ 8.9M
Worst DD
-13.46
S&P Correlation
0.30

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
The Piston 0.00 - - - - -13.35 - 14.56
S&P 500 1.16 - - - - 84.06 - 81.64
+/- S&P 500 -1.16 - - - - -97.41 - -67.08

Strategy Description

Summary

The Piston trading program is a countertrend, mean-reversion strategy that exploits both intraday market volatility and longer term market movements in the emini S&P 500 and Russell 2000 index futures. The program uses quantitative indicators to generate trading signals and is systematic... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 3.00
Management Fee 0%
Performance Fee 30.00%
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 1250 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD 0.55%
Worst Peak-to-Trough -0.98%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 65.00%
Intraday 35.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Piston trading program is a countertrend, mean-reversion strategy that exploits both intraday market volatility and longer term market movements in the emini S&P 500 and Russell 2000 index futures. The program uses quantitative indicators to generate trading signals and is systematic in nature. A trading signal is generated when the quantitative indicators are triggered and the market is already moving towards a level of price exhaustion. Once a signal is generated, trading remains active until the signal ends at the price reversion level. The Piston has three distinct components: “Pistoning” or short-term intraday trading, position trading, and hedge position.

   

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:
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Risk
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-13.46 1 - 7/1/2015 8/1/2015
-0.98 3 1 4/1/2014 7/1/2014
-0.06 2 6 10/1/2014 12/1/2014
-0.03 1 1 8/1/2014 9/1/2014
-0.02 1 1 2/1/2014 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
14.10 1 8/1/2014 8/1/2014
7.87 2 1/1/2016 2/1/2016
7.26 1 2/1/2014 2/1/2014
6.99 1 10/1/2014 10/1/2014
1.69 2 6/1/2015 7/1/2015
0.73 1 9/1/2015 9/1/2015
0.38 1 4/1/2014 4/1/2014
0.02 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.46 1 8/1/2015 8/1/2015
-6.40 8 10/1/2016 5/1/2017
-1.56 6 3/1/2016 8/1/2016
-0.98 3 5/1/2014 7/1/2014
-0.06 7 11/1/2014 5/1/2015
-0.03 1 9/1/2014 9/1/2014
-0.02 1 3/1/2014 3/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable24.3941.0350.0043.3345.8355.56
Average Period Return0.401.082.073.272.062.81
Average Gain3.896.499.9916.6210.6813.06
Average Loss-1.62-3.63-5.84-6.94-5.24-10.01
Best Period14.1022.0421.9730.0132.2122.14
Worst Period-13.46-12.83-12.00-11.41-11.65-11.88
Standard Deviation3.656.669.8813.6011.0612.91
Gain Standard Deviation4.616.007.139.8710.846.90
Loss Standard Deviation3.494.314.212.513.272.33
Sharpe Ratio (1%)0.090.120.160.170.050.06
Average Gain / Average Loss2.401.791.712.392.041.31
Profit / Loss Ratio1.721.681.711.831.721.63
Downside Deviation (10%)2.314.276.579.199.9713.96
Downside Deviation (5%)2.213.765.336.255.498.15
Downside Deviation (0%)2.183.655.045.544.506.83
Sortino Ratio (10%)0.00-0.03-0.06-0.19-0.56-0.53
Sortino Ratio (5%)0.140.220.300.360.100.10
Sortino Ratio (0%)0.180.300.410.590.460.41

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 1.78 2/2016
Stock Index Trader Index Month 1 5.98 1/2016

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