Sequoia Hill Capital Management : SHCM British Pound AP

archived programs
Year-to-Date
N / A
Oct Performance
-5.26%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.56%
Sharpe (RFR=1%)
0.45
CAROR
6.64%
Assets
$ 50k
Worst DD
-19.90
S&P Correlation
-0.42

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
8/2011
SHCM British Pound AP -5.26 6.23 - 22.26 21.75 - - 23.25
S&P 500 2.32 4.53 - 14.89 61.01 - - 65.54
+/- S&P 500 -7.58 1.70 - 7.37 -39.26 - - -42.29

Strategy Description

Summary

SHCM's British Pound AP program is a short term counter trend strategy that trades only the BP futures contract. There is an average of 1 trade per day. Notional funding is accepted starting at $25,000. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
15000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
10.00%
Intraday
90.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

SHCM's British Pound AP program is a short term counter trend strategy that trades only the BP futures contract. There is an average of 1 trade per day. Notional funding is accepted starting at $25,000.

Investment Strategy

2 lots is traded in BP per trading level. It is a counter trend system based on short term charting. The program is fully automated with stops and targets, however we constantly monitor the trades in case of any service disruption or data failures.

Risk Management

Average win is approx 1% and average loss is 0.5%. Stops are dynamic but will never exceed 1.5% of account size per trade.

   

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
-19.90 17 11 5/1/2012 10/1/2013
-6.32 1 1 9/1/2011 10/1/2011
-5.94 2 2 1/1/2012 3/1/2012
-5.26 1 - 9/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
22.45 5 11/1/2013 3/1/2014
20.62 3 11/1/2011 1/1/2012
13.96 3 7/1/2014 9/1/2014
9.57 2 4/1/2012 5/1/2012
8.07 2 8/1/2011 9/1/2011
5.31 3 7/1/2013 9/1/2013
4.19 2 7/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.84 10 9/1/2012 6/1/2013
-7.52 3 4/1/2014 6/1/2014
-6.92 1 10/1/2013 10/1/2013
-6.32 1 10/1/2011 10/1/2011
-5.94 2 2/1/2012 3/1/2012
-5.26 1 10/1/2014 10/1/2014
-4.54 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable51.2851.3567.6560.7131.8243.75
Average Period Return0.621.822.642.69-1.63-0.85
Average Gain4.017.508.0112.3211.663.28
Average Loss-3.49-4.41-8.58-12.20-7.84-4.06
Best Period9.2320.6222.1122.6822.657.47
Worst Period-7.02-12.62-16.15-17.81-15.78-8.37
Standard Deviation4.207.5110.0213.7810.634.63
Gain Standard Deviation2.135.366.757.556.142.57
Loss Standard Deviation2.373.845.164.414.862.97
Sharpe Ratio (1%)0.130.210.210.12-0.30-0.62
Average Gain / Average Loss1.151.700.931.011.490.81
Profit / Loss Ratio1.441.901.951.560.690.63
Downside Deviation (10%)2.904.596.9011.1813.3311.97
Downside Deviation (5%)2.724.055.878.688.645.05
Downside Deviation (0%)2.683.915.628.097.553.70
Sortino Ratio (10%)0.070.130.02-0.21-0.69-0.93
Sortino Ratio (5%)0.200.390.360.19-0.36-0.57
Sortino Ratio (0%)0.230.470.470.33-0.22-0.23

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 10 6.25 1/2014
Systematic Trader Index Month 8 9.23 11/2011

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