Strategic Trading Associates, LLC : QWM-1x

archived programs
Year-to-Date
N / A
Jan Performance
2.15%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
18.57%
Sharpe (RFR=1%)
1.49
CAROR
30.68%
Assets
$ 0k
Worst DD
-20.73
S&P Correlation
-0.32

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 Since
11/2004
QWM-1x 2.15 - - - - - - 307.53
S&P 500 -3.70 - - - - - - 195.12
+/- S&P 500 5.85 - - - - - - 112.42

Strategy Description

Summary

Our strategies involves the use of quantitative approach to discern price fluctuation patterns and market direction cycles. These proprietary indicators are automated triggers driven by quantitative mathematical algorithms. The trading systems utilizes a new generation of programming... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD -11.78%
Worst Peak-to-Trough 20.70%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 11.00%
1-30 Days
Intraday 89.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
10.00%
Fundamental
8.00%
Seasonal/cyclical
21.00%
Spreading/hedging
29.00%
Trend-following
24.00%
Other
8.00%
Strategy Pie Chart

Summary

Our strategies involves the use of quantitative approach to discern price fluctuation patterns and market direction cycles. These proprietary indicators are automated triggers driven by quantitative mathematical algorithms. The trading systems utilizes a new generation of programming back-testing tools. Our proprietary approach based on compression/decompression techniques, these tools provide speed and quality of execution using real-time tick-price data, The trading system apply intra-day cycles to identify a number of unique chart patterns, and scalping trail profit from the trends. Pre-determined objectives are always established for each position taken, although they may be overridden by mathematical adjustments if the trend in question is not mature enough either in terms of price or time. Similarly, a mature trend, which has not met its objective, may be closed out. Each position usually has at least two objectives, which tends to smooth the volatility of returns.

Investment Strategy

Quantitative approach encompass rigorous compiling and synchronizing entry levels based on the chart patterns, with special emphasis placed on the use of intra-day tick-bar charts. To determine position entry and exit, the models uses a combination of proprietary internal strength and volatility measurements and inter-market analysis techniques as well as pattern recognition algorithms to gauge both the direction and power of the underlying intraday cycle. Our developed strategies designed mathematically to apply formulas to calculate new entry levels which confirm past and future pattern completions to establish trends by reaching projected targets. Our Quantitative analytical team continuously evolving the methodology derived from Real-Time Market Results utilizing the most sophisticated dynamic tools easyLanguage, C++ MetaLab available thus to create and achieve unparalleled performance on 100 strategies in more than a dozen markets simultaneously opening and closing positions, placing, moving and canceling corresponding trailing stop and limit orders; allocate instantaneous theoretical systematic order execution.

Risk Management

A number of strict disciplines concerning risk management are employed and these have been incorporated into the Trading Program over several years of trading. - Percentage of portfolio assets risked for each individual position is limited to a maximum of 6%. However, the figure is usually below 3%, with an average closer to 0.2%. - Opening positions at a leverage between 0.5 and 1.0 in order to avoid and stay away from the maximum allowed leverage in the trading platform in case the markets moves stronger expected and to keep enough room for trading various other currency pairs at the same time. Positions are being build up with 1 more position (also with the equivalent leverage of between 0.5 and 1.0)) in the correlated currency pair if the markets moves adverse between around 60 and 120 pips. - Geometric progression principles are applied to diversify risk across a range of relatively unrelated currency pairs, although when a strong opportunity is identified, the portfolio may become more concentrated. This diversification across different country sectors reduces the risk of the Program being exposed to adverse price movements in a number of positions prompted by a single event. - Lastly, there is a limit on the total percentage of portfolio assets that may be utilized as initial margin at any one time across the portfolio. This is typically set within the 10%-15% range (of the portfolio assets), depending on market conditions. The key elements of the risk management profile of the Program at the point at which it enters the market are as follows: o portfolio diversification: minimum 6 positions (typically 15-25) o position exposure limits: maximum 2% (typically 0.5-1% of initial risk) o sector exposure limits: maximum 5% of initial risk o margin utilization: typically 8-15%

   

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
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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
-20.73 3 2 2/1/2008 5/1/2008
-16.73 4 3 1/1/2007 5/1/2007
-5.26 1 5 6/1/2006 7/1/2006
-4.70 1 3 4/1/2009 5/1/2009
-2.02 1 1 11/1/2005 12/1/2005
-1.93 1 2 6/1/2005 7/1/2005
-1.69 1 1 1/1/0001 11/1/2004
-1.56 1 2 8/1/2009 9/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
66.28 11 6/1/2008 4/1/2009
64.93 9 6/1/2007 2/1/2008
46.29 6 1/1/2006 6/1/2006
40.23 7 12/1/2004 6/1/2005
10.17 4 8/1/2005 11/1/2005
5.69 4 10/1/2009 1/1/2010
5.28 3 6/1/2009 8/1/2009
5.28 4 10/1/2006 1/1/2007
1.74 1 8/1/2006 8/1/2006
1.31 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.73 3 3/1/2008 5/1/2008
-10.67 1 2/1/2007 2/1/2007
-7.99 2 4/1/2007 5/1/2007
-5.26 1 7/1/2006 7/1/2006
-4.70 1 5/1/2009 5/1/2009
-2.02 1 12/1/2005 12/1/2005
-1.93 1 7/1/2005 7/1/2005
-1.69 1 11/1/2004 11/1/2004
-1.56 1 9/1/2009 9/1/2009
-0.45 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable79.3781.9786.2194.23100.00100.00100.00100.00
Average Period Return2.397.5514.9331.4950.7467.56113.63192.69
Average Gain4.1810.7018.4833.9750.7467.56113.63192.69
Average Loss-4.51-6.79-7.28-9.10
Best Period24.6633.8646.2958.47109.80116.56162.37247.48
Worst Period-11.78-20.73-15.65-12.9310.2813.8373.60164.50
Standard Deviation5.3610.5615.2117.5423.0924.1626.0324.95
Gain Standard Deviation4.188.4713.1314.7423.0924.1626.0324.95
Loss Standard Deviation3.516.454.863.32
Sharpe Ratio (1%)0.430.690.951.742.132.714.257.56
Average Gain / Average Loss0.931.582.543.73
Profit / Loss Ratio3.577.1715.8760.95
Downside Deviation (10%)2.714.294.013.45
Downside Deviation (5%)2.593.973.352.51
Downside Deviation (0%)2.563.893.192.28
Sortino Ratio (10%)0.731.473.117.67
Sortino Ratio (5%)0.891.844.3112.13
Sortino Ratio (0%)0.941.944.6813.80

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.