Swiss Managed Futures : Equity Index Gap Trade II

archived programsClosed to new investments
Year-to-Date
N / A
Oct Performance
1.01%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.33%
Sharpe (RFR=1%)
0.47
CAROR
-
Assets
$ 400k
Worst DD
-7.45
S&P Correlation
-0.26

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
3/2015
Equity Index Gap Trade II 1.01 - - - - 5.23 - 3.66
S&P 500 8.30 - - - - 75.70 - 67.55
+/- S&P 500 -7.29 - - - - -70.47 - -63.89

Strategy Description

Summary

This Program is an advanced Gap Trading System that trades across multiple Index Future markets in Europe and the US. The robots calculate the probability of todays opening price reverting to the previous days close, and trade that probability intraday long and short. This is behavioural... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 10.00%
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

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This Program is an advanced Gap Trading System that trades across multiple Index Future markets in Europe and the US. The robots calculate the probability of todays opening price reverting to the previous days close, and trade that probability intraday long and short. This is behavioural investing at its most pure.

Investment Strategy

To systematically trade the opening range of the SP500 Eurostoxx 50, FTSE 100, and Russell 2000 Futures contract using pure statistics. This totally overhauled version of the original Equity Index Gap Trade system is for the first time fully automated and takes advantage of well established behavioural patterns exhibited at the opening bell.

Risk Management

2 % Equity risk for SP 500 and Eurostoxx 50 contracts, and 1 % Risk for FTSE 100 and Russell 2000 contracts. Intraday trades only. No overnight positions.

   

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
-7.45 4 - 3/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
6.43 3 8/1/2015 10/1/2015
5.23 1 3/1/2015 3/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.45 4 4/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month
Number of Periods8.006.00
Percent Profitable50.0033.33
Average Period Return0.49-0.30
Average Gain2.895.33
Average Loss-1.91-3.12
Best Period5.236.43
Worst Period-3.04-6.43
Standard Deviation2.984.95
Gain Standard Deviation2.141.56
Loss Standard Deviation0.902.87
Sharpe Ratio (1%)0.14-0.11
Average Gain / Average Loss1.511.71
Profit / Loss Ratio1.510.85
Downside Deviation (10%)1.734.09
Downside Deviation (5%)1.523.42
Downside Deviation (0%)1.463.26
Sortino Ratio (10%)0.05-0.37
Sortino Ratio (5%)0.27-0.16
Sortino Ratio (0%)0.33-0.09

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.