Soaring Pelican, LLC : S&P Multiday Hybrid Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.93% Dec Performance -1.65% Min Investment $ 175k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.62% Sharpe (RFR=1%) 0.39 CAROR 4.40% Assets $ 3.5M Worst DD -13.63 S&P Correlation -0.03 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 Dec Qtr 2019 1yr 3yr 5yr 10yr Since5/2017 S&P Multiday Hybrid Program -1.65 -2.67 3.93 3.93 - - - 12.18 S&P 500 2.86 8.53 28.87 28.87 - - - 32.59 +/- S&P 500 -4.51 -11.20 -24.94 -24.94 - - - -20.42 Strategy Description SummaryThis 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% Composition Stock Indices 100.00% SummaryThis 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 StrategyWhen 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 ManagementPositions are sized so that max loss per position should not exceed 2%. There may be multiple entries per position. 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 -13.63 10 6 4/1/2018 2/1/2019 -2.67 3 - 9/1/2019 12/1/2019 -1.27 1 1 11/1/2017 12/1/2017 -0.31 1 1 9/1/2017 10/1/2017 Show More 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 Show More 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 -2.67 3 10/1/2019 12/1/2019 -1.27 1 12/1/2017 12/1/2017 -0.31 1 10/1/2017 10/1/2017 -0.14 1 7/1/2019 7/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable50.0053.3362.9666.6786.67 Average Period Return0.401.443.043.474.21 Average Gain2.355.268.088.135.03 Average Loss-2.08-3.41-5.52-5.85-1.07 Best Period7.3712.7916.5413.7612.33 Worst Period-6.60-12.53-11.30-11.33-1.75 Standard Deviation2.785.748.317.824.14 Gain Standard Deviation2.094.255.303.983.81 Loss Standard Deviation1.863.854.524.170.96 Sharpe Ratio (1%)0.110.210.310.320.66 Average Gain / Average Loss1.131.541.461.394.69 Profit / Loss Ratio1.512.062.492.7830.48 Downside Deviation (10%)1.883.775.556.725.07 Downside Deviation (5%)1.723.294.504.541.02 Downside Deviation (0%)1.683.184.254.050.46 Sortino Ratio (10%)-0.010.060.10-0.23-0.67 Sortino Ratio (5%)0.180.360.570.542.67 Sortino Ratio (0%)0.240.450.720.869.10 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 2 0.66 9/2019 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. x {{title}} x {{title}} Add Cancel