Rcube Asset Management : Walnut Singularity Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.53% Jan Performance 1.53% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 10.00% Annualized Vol 9.55% Sharpe (RFR=1%) 0.71 CAROR 7.60% Assets $ 3.5M Worst DD -9.55 S&P Correlation 0.01 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since7/2017 Walnut Singularity 1.53 -4.26 1.53 -1.39 18.78 - - 27.90 S&P 500 -1.11 13.59 -1.11 15.15 31.52 - - 57.91 +/- S&P 500 2.64 -17.84 2.64 -16.54 -12.75 - - -30.01 Strategy Description SummarySingularity 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% Composition Stock Indices 70.00% Currency Futures 20.00% Precious Metals 5.00% Energy 5.00% SummarySingularity 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 StrategyThe 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 ManagementHard 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -9.55 3 11 8/1/2018 11/1/2018 -5.70 1 - 11/1/2020 12/1/2020 -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 Show More 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 1.53 1 1/1/2021 1/1/2021 0.33 1 12/1/2018 12/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.55 3 9/1/2018 11/1/2018 -5.70 2 11/1/2020 12/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods43.0041.0038.0032.0026.0020.00 Percent Profitable62.7965.8573.6893.75100.00100.00 Average Period Return0.652.003.947.2610.2214.43 Average Gain2.094.346.487.7710.2214.43 Average Loss-1.90-2.53-3.17-0.33 Best Period8.8011.3412.7124.2516.3924.06 Worst Period-5.70-8.09-7.98-0.502.496.32 Standard Deviation2.764.045.196.183.805.43 Gain Standard Deviation2.152.283.076.053.805.43 Loss Standard Deviation1.802.522.460.24 Sharpe Ratio (1%)0.210.430.661.012.292.29 Average Gain / Average Loss1.101.722.0423.63 Profit / Loss Ratio1.983.315.72354.43 Downside Deviation (10%)1.712.623.152.161.451.52 Downside Deviation (5%)1.562.162.230.36 Downside Deviation (0%)1.522.052.020.09 Sortino Ratio (10%)0.140.290.471.051.822.75 Sortino Ratio (5%)0.360.811.5417.50 Sortino Ratio (0%)0.430.971.9578.23 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. x {{title}} x {{title}} Add Cancel