Rcube Asset Management : Walnut Singularity

Year-to-Date
6.88%
Oct Performance
1.72%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
9.23%
Sharpe (RFR=1%)
0.93
CAROR
9.61%
Assets
$ 2.0M
Worst DD
-9.55
S&P Correlation
0.06

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2017
Walnut Singularity 1.72 2.78 6.88 6.20 32.31 - - 32.07
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 31.23
+/- S&P 500 4.49 2.82 5.67 -1.45 5.34 - - 0.84

Strategy Description

Summary

Singularity is a short-term systematic managed futures program. Following 5 years of applied machine learning R&D, Walnut Algorithms has built a proprietary infrastructure to design and run powerful machine learning investment strategies.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 10.00%
Average Commission
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 20%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 9.84%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

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

Composition

Stock Indices
70.00%
Currency Futures
20.00%
Precious Metals
5.00%
Energy
5.00%
Composition Pie Chart

Summary

Singularity is a short-term systematic managed futures program. Following 5 years of applied machine learning R&D, Walnut Algorithms has built a proprietary infrastructure to design and run powerful machine learning investment strategies.

Investment Strategy

The investment strategy uses machine learning to detect long and short momentum and mean reversion signals on futures instruments. Trading is performed intraday exclusively, and no position is held overnight. round turns last from a few minutes to a few hours Positions are closed every evening before the closing of the exchanges.The strategy is focused on liquid futures (US & European equity indices, bond indices, fx and commodities). The program offers daily liquidity and low correlation to underlying markets as well as other managed futures programs.

Risk Management

Hard coded risk management constraints are implemented into the system and embeded into model optimization. Constraints include a wide range of non flexible rules such as max acceptable daily loss, max leverage, max risk allocation per trading model, direction & instrument. Every position is protected by a stop loss. The high number of trades per day ensures diversification, statistical robustness and more stable returns over time.

   

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:
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Average Gain:
Gain Deviation:
Risk
Standard Deviation:
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Loss Frequency:
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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
-9.55 3 11 8/1/2018 11/1/2018
-5.13 2 2 2/1/2020 4/1/2020
-2.73 2 3 11/1/2017 1/1/2018
-2.12 1 1 1/1/0001 7/1/2017
-1.19 1 3 6/1/2020 7/1/2020
-1.05 3 1 10/1/2019 1/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
14.08 4 8/1/2017 11/1/2017
13.50 7 2/1/2018 8/1/2018
9.86 6 2/1/2019 7/1/2019
6.91 2 5/1/2020 6/1/2020
4.69 2 9/1/2019 10/1/2019
4.20 1 2/1/2020 2/1/2020
2.78 3 8/1/2020 10/1/2020
0.33 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.55 3 9/1/2018 11/1/2018
-5.13 2 3/1/2020 4/1/2020
-2.73 2 12/1/2017 1/1/2018
-2.12 1 7/1/2017 7/1/2017
-1.19 1 7/1/2020 7/1/2020
-1.05 3 11/1/2019 1/1/2020
-0.41 1 8/1/2019 8/1/2019
-0.21 1 1/1/2019 1/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable65.0068.4277.1493.10100.00100.00
Average Period Return0.802.274.247.7110.6514.32
Average Gain2.114.446.518.3010.6514.32
Average Loss-1.63-2.43-3.43-0.33
Best Period8.8011.3412.7124.2516.3924.06
Worst Period-4.50-8.09-7.98-0.502.496.32
Standard Deviation2.664.025.186.313.685.83
Gain Standard Deviation2.192.273.136.133.685.83
Loss Standard Deviation1.512.732.660.24
Sharpe Ratio (1%)0.270.500.721.062.492.11
Average Gain / Average Loss1.301.831.9025.24
Profit / Loss Ratio2.413.966.40340.72
Downside Deviation (10%)1.482.533.082.091.291.65
Downside Deviation (5%)1.332.102.220.38
Downside Deviation (0%)1.292.012.030.10
Sortino Ratio (10%)0.270.410.571.292.382.47
Sortino Ratio (5%)0.540.961.6817.83
Sortino Ratio (0%)0.621.132.0978.99

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.