Soaring Pelican, LLC : S&P Multiday Hybrid Program

Year-to-Date
6.21%
Oct Performance
-0.53%
Min Investment
$ 175k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.84%
Sharpe (RFR=1%)
0.50
CAROR
5.62%
Assets
$ 3.8M
Worst DD
-13.63
S&P Correlation
-0.01

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
5/2017
S&P Multiday Hybrid Program -0.53 7.51 6.21 5.57 - - - 14.64
S&P 500 2.04 1.92 21.16 12.01 - - - 24.66
+/- S&P 500 -2.57 5.59 -14.95 -6.43 - - - -10.02

Strategy Description

Summary

This methodology was created in 2006-2007 and traded live until 2011 when the decision was made to shift to the intraday timeframe. The signals have remained valid and robust, particularly during periods of lower volatility when intraday trading has not been effective. The system... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 175k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
4.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
12.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
60.00%
Intraday
40.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This methodology was created in 2006-2007 and traded live until 2011 when the decision was made to shift to the intraday timeframe. The signals have remained valid and robust, particularly during periods of lower volatility when intraday trading has not been effective. The system focuses on mean reversion trading on the daily time frame, but will take trend breakout trades intraday when volatility is high. A core strength of the approach is the ability to locate the timeframe where volatility is occurring, and adjust holding time accordingly.

Investment Strategy

When volatility is lower, trade-able volatility is does take place on higher timeframes. This means holding periods are longer, positions are smaller, and stops are wider. Since the flagship program is strictly intraday, the Hybrid program will outperform during periods of low volatility as it can adjust to a longer holding period. The program will take intraday breakout trades only when volatility is high and the flagship program identifies a trade.

Risk Management

Positions are sized so that max loss per position should not exceed 2%. There may be multiple entries per 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:
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
-13.63 10 6 4/1/2018 2/1/2019
-1.27 1 1 11/1/2017 12/1/2017
-0.53 1 - 9/1/2019 10/1/2019
-0.31 1 1 9/1/2017 10/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
14.74 4 1/1/2018 4/1/2018
8.69 4 3/1/2019 6/1/2019
8.08 2 8/1/2019 9/1/2019
3.44 1 11/1/2018 11/1/2018
2.99 3 7/1/2018 9/1/2018
0.61 1 11/1/2017 11/1/2017
0.12 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.53 3 12/1/2018 2/1/2019
-4.15 2 5/1/2018 6/1/2018
-3.30 1 10/1/2018 10/1/2018
-1.27 1 12/1/2017 12/1/2017
-0.53 1 10/1/2019 10/1/2019
-0.31 1 10/1/2017 10/1/2017
-0.14 1 7/1/2019 7/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable53.3357.1460.0063.1684.62
Average Period Return0.501.652.593.554.47
Average Gain2.355.268.009.035.47
Average Loss-2.28-3.78-5.52-5.85-1.07
Best Period7.3712.7916.5413.7612.33
Worst Period-6.60-12.53-11.30-11.33-1.75
Standard Deviation2.845.888.428.234.41
Gain Standard Deviation2.094.255.493.514.00
Loss Standard Deviation1.974.114.524.170.96
Sharpe Ratio (1%)0.150.240.250.310.67
Average Gain / Average Loss1.031.391.451.545.10
Profit / Loss Ratio1.652.232.172.6528.07
Downside Deviation (10%)1.903.825.777.025.08
Downside Deviation (5%)1.743.354.674.771.09
Downside Deviation (0%)1.703.254.424.250.50
Sortino Ratio (10%)0.050.110.02-0.21-0.62
Sortino Ratio (5%)0.240.420.450.532.71
Sortino Ratio (0%)0.290.510.590.838.98

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 0.66 9/2019
Stock Index Trader Index Month 3 7.37 8/2019

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