SuperTrend Capital Management : High Frequency Forex

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
25.27%
Sharpe (RFR=1%)
1.31
CAROR
-
Assets
$ 0k
Worst DD
-7.20
S&P Correlation
-0.34

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/2010
High Frequency Forex 0.00 - - - - - 0.00 29.30
S&P 500 -0.23 - - - - - -10.22 201.34
+/- S&P 500 0.23 - - - - - 10.22 -172.04

Strategy Description

Summary

KENNETH F. MCCADDEN, is the Managing Member of SuperTrend. He is responsible for all trading decisions for SuperTrend . Mr. McCadden's career has spanned nearly 2 decades of trading positions with international banking institutions. Mr. McCadden enlisted into the United States Marine... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2800 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

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

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

KENNETH F. MCCADDEN, is the Managing Member of SuperTrend. He is responsible for all trading decisions for SuperTrend . Mr. McCadden's career has spanned nearly 2 decades of trading positions with international banking institutions. Mr. McCadden enlisted into the United States Marine Corps in 1983, after which time he attended Hosftra University before graduating in 1990 with a BA in finance. Upon his graduation, Mr. McCadden worked in the Institutional Fixed Income Department at JP Morgan before moving up to a trading position in the International Arbitrage Department at Deutsche Bank. In 1996 Mr. McCadden accepted a position with the newly formed Schwab Capital Markets (which he continued with UBS after its acquisition of Schwab Capital Markets in 2004) where he was consistently ranked in the top tier of his peers for nearly a decade. He left UBS in September 2007 to form SuperTrend .

Investment Strategy

SuperTrend conducts extensive research in the Forex market to develop it's algorithms. The main focus is to quantify risk with several high frequency models. The algorithms are fully automated, trade 24 hours 5 days a week and carry zero weekend exposure.

   

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
-7.20 1 - 8/1/2010 9/1/2010
-4.24 1 1 3/1/2010 4/1/2010
-3.98 1 1 5/1/2010 6/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
22.06 2 7/1/2010 8/1/2010
12.14 2 2/1/2010 3/1/2010
10.71 1 5/1/2010 5/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.20 3 9/1/2010 11/1/2010
-4.24 1 4/1/2010 4/1/2010
-3.98 1 6/1/2010 6/1/2010
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable50.0087.50
Average Period Return2.838.57
Average Gain8.7510.82
Average Loss-5.14-7.20
Best Period14.6317.20
Worst Period-7.20-7.20
Standard Deviation7.298.30
Gain Standard Deviation4.765.75
Loss Standard Deviation1.79
Sharpe Ratio (1%)0.381.00
Average Gain / Average Loss1.701.50
Profit / Loss Ratio2.8410.52
Downside Deviation (10%)3.152.98
Downside Deviation (5%)2.972.63
Downside Deviation (0%)2.932.55
Sortino Ratio (10%)0.772.46
Sortino Ratio (5%)0.933.16
Sortino Ratio (0%)0.973.37

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.