Tech Trading Corporation : Maximum Alpha Managed Futures - Proprietary

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-5.37%
Min Investment
$ 25k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
72.37%
Sharpe (RFR=1%)
1.13
CAROR
80.46%
Assets
$ 163k
Worst DD
-39.43
S&P Correlation
-0.75

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 YTD 1yr 3yr 5yr 10yr Since
1/2009
Maximum Alpha Managed Futures - Proprietary -5.37 - - - - - -5.37 225.65
S&P 500 6.53 - - - - - -4.74 333.99
+/- S&P 500 -11.90 - - - - - -0.63 -108.34

Strategy Description

Summary

TechTrading's approach to trading is to take positions and to assume market risk only when technical models identify high confidence patterns typically associated with profitable trades. This approach may result in the system avoiding trade entries for markets experiencing initial... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 75 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -40.00%
Worst Peak-to-Trough 50.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months
4-12 Months
1-3 Months 10.00%
1-30 Days 85.00%
Intraday 5.00%

Decision-Making

Discretionary 25.00%
Systematic 75.00%

Strategy

Option-purchasing
10.00%
Option-spreads
10.00%
Option-writing
10.00%
Technical
70.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
20.00%
Currency FX
10.00%
Energy
10.00%
Composition Pie Chart

Summary

TechTrading's approach to trading is to take positions and to assume market risk only when technical models identify high confidence patterns typically associated with profitable trades. This approach may result in the system avoiding trade entries for markets experiencing initial sharp trend changes. The system will wait for a lower-risk entry point before entering the trade in order to minimize the draw-down, and confirm the market’s new trend direction. TechTrading uses trend following systems that incorporate some of the qualities of reversal/trading-range systems, which allow the system to trade in many different market environments.

Investment Strategy

TechTrading considers the underlying economic fundamentals and uses sophisticated computerized trading systems to: 1) Monitor market trends and overbought/oversold levels, 2) Optimize trade entry and exit points, 3) Model futures and option structured positions to manage risk, and enhance profitability, and 4) Compute price/time probability, and 5) Consider a market’s correlation to other markets being traded, in order to manage overall risk of the portfolio.

Risk Management

TechTrading strongly believes that return of principle is much more important than return on principle which means we focus more on minimizing risk than maximizing reward. However being risk averse does not imply that substantial and consistent total returns are not achievable. The firm will attempt to reduce risk by: ♦ using computer models to determine optimal entry/exit points, ♦ limiting involvement in markets with low liquidity, ♦ hedging via the use of options, ♦ limiting position size, and ♦ trading system controlled stop-loss limits.

   

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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-39.43 6 9 2/1/2009 8/1/2009
-22.49 2 - 8/1/2010 10/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
118.95 4 5/1/2010 8/1/2010
114.90 2 1/1/2009 2/1/2009
34.85 2 9/1/2009 10/1/2009
25.66 1 12/1/2009 12/1/2009
20.11 1 11/1/2010 11/1/2010
16.18 1 2/1/2010 2/1/2010
10.43 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.41 3 6/1/2009 8/1/2009
-22.49 2 9/1/2010 10/1/2010
-21.81 1 11/1/2009 11/1/2009
-20.04 2 3/1/2009 4/1/2009
-9.60 1 1/1/2010 1/1/2010
-6.79 2 3/1/2010 4/1/2010
-5.37 1 12/1/2010 12/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable50.0059.0968.4276.92100.00
Average Period Return6.9015.3231.7366.5990.63
Average Gain24.0835.4455.2189.7890.63
Average Loss-10.28-13.74-19.15-10.74
Best Period54.65104.41104.08183.99170.43
Worst Period-21.81-31.41-39.43-15.7264.08
Standard Deviation20.8934.7146.0568.1437.04
Gain Standard Deviation15.2131.2434.1459.8937.04
Loss Standard Deviation6.109.5517.217.80
Sharpe Ratio (1%)0.330.430.680.962.41
Average Gain / Average Loss2.342.582.888.36
Profit / Loss Ratio2.343.726.2527.87
Downside Deviation (10%)8.6111.1715.028.24
Downside Deviation (5%)8.4110.6414.146.42
Downside Deviation (0%)8.3610.5113.926.00
Sortino Ratio (10%)0.751.261.957.48
Sortino Ratio (5%)0.811.422.2110.22
Sortino Ratio (0%)0.831.462.2811.10

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.