Smanders Capital LLC : Opening Wave

archived programs
Year-to-Date
N / A
Jun Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.08%
Sharpe (RFR=1%)
-0.78
CAROR
-
Assets
$ 28k
Worst DD
-38.97
S&P Correlation
0.36

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
9/2014
Opening Wave 0.00 - - - - -18.57 - -27.67
S&P 500 0.09 - - - - 58.90 - 75.67
+/- S&P 500 -0.09 - - - - -77.47 - -103.34

Strategy Description

Summary

• Opening Wave currently targets the E-Mini S&P 500 (ES) only
• The system day trades and does not hold any overnight positions
• Opening Wave draws upon multiple independent subsystems each with different timeframes and parameters
• The system auto adjusts for Market... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
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 12000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough 5.65%
Sector Focus Stock Index 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

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

• Opening Wave currently targets the E-Mini S&P 500 (ES) only
• The system day trades and does not hold any overnight positions
• Opening Wave draws upon multiple independent subsystems each with different timeframes and parameters
• The system auto adjusts for Market Volatility
• The dataset used for trading is self-generated and moves with the markets
• The system pushes the limits of the trading technology beyond the capabilities of most platforms
• Opening Wave is very unique and uncorrelated to the S&P 500 Index
• Consistency and reliability through automation

Investment Strategy

The Opening Wave objective is to achieve appreciation of Clients’ assets through speculative trading in the US equity futures markets. Currently SMANDERS CAPITAL, LLC trades solely in the E-Mini S&P 500 (ES) but reserves the right to trade in other equity futures markets in the future. There is no representation being made that the trading program offered by SMANDERS CAPITAL, LLC will be successful in achieving this goal. The trading program utilized by SMANDERS CAPITAL, LLC proprietary and confidential. The description below is therefore general by necessity and is not intended to be exhaustive.
Opening Wave is a Day-Trading strategy. From days and minutes leading up to certain critical times throughout the day, market data is collected and analyzed. What makes the Opening Wave system unique is its ability to read historical trading results generated by the very same strategy in a feedback loop to make real-time trading decisions based on multiple independent subsystems. Each subsystem can identify a small wave in the market. When these subsystem waves align a much larger surge is created. The surge then also goes through another set of criteria to establish whether an opportunity is present to capitalize.
Entry orders such as stops or limits are placed at times throughout the morning based on the Opening Wave strategy. These entry orders may or may not be filled by the end of the day. If an entry order is filled and a position is taken, a Target Limit Order and Stop Loss order are put in place to offset the position. If by the end of the regular trading period neither the target nor the stop loss has been filled, the position is offset with a Market Order and the remaining unfilled orders are cancelled. The system is 100% non-discretionary.
The minimum initial investment to participate in this trading program is $50,000. SMANDERS CAPITAL, LLC reserves the right to accept a smaller account. The Advisor strongly recommends that its Clients view this managed futures trading program as a long-term investment and should not withdraw capital for at least two years.

Risk Management

Targeting MaxDD of 10% based on backtested results.

   

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
-38.97 9 - 3/1/2015 12/1/2015
-5.65 1 3 11/1/2014 12/1/2014
-3.64 1 1 1/1/0001 9/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
15.21 2 10/1/2014 11/1/2014
13.15 3 1/1/2015 3/1/2015
4.18 1 5/1/2015 5/1/2015
1.72 1 10/1/2015 10/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-27.31 4 6/1/2015 9/1/2015
-13.70 1 4/1/2015 4/1/2015
-8.20 8 11/1/2015 6/1/2016
-5.65 1 12/1/2014 12/1/2014
-3.64 1 9/1/2014 9/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods22.0020.0017.0011.00
Percent Profitable31.8220.0011.760.00
Average Period Return-1.28-4.46-11.07-28.30
Average Gain4.778.2816.64
Average Loss-6.84-10.19-15.82-28.30
Best Period11.3813.1523.00-11.17
Worst Period-13.70-19.92-34.64-38.97
Standard Deviation6.099.4414.487.61
Gain Standard Deviation3.465.668.99
Loss Standard Deviation4.496.5810.017.61
Sharpe Ratio (1%)-0.22-0.50-0.80-3.85
Average Gain / Average Loss0.700.811.05
Profit / Loss Ratio0.540.270.15
Downside Deviation (10%)5.3710.1218.7734.08
Downside Deviation (5%)5.199.4417.2030.18
Downside Deviation (0%)5.159.2816.8129.21
Sortino Ratio (10%)-0.31-0.56-0.72-0.98
Sortino Ratio (5%)-0.26-0.50-0.67-0.97
Sortino Ratio (0%)-0.25-0.48-0.66-0.97

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.