The Geometric Technical Analysis Group : FX Trading Program

archived programs
Year-to-Date
N / A
Jul Performance
0.00%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
26.37%
Sharpe (RFR=1%)
0.30
CAROR
5.81%
Assets
$ 605k
Worst DD
-26.04
S&P Correlation
0.01

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
FX Trading Program 0.00 - - - - - -24.44 32.63
S&P 500 1.26 - - - - - 51.28 135.02
+/- S&P 500 -1.26 - - - - - -75.72 -102.39

Strategy Description

Summary

The Geometric Technical Analysis Group, LLC “GTA” offers professional money management to retail clients, high net worth individuals, and mid market institutions. GTA is a registered Commodity Trading Advisor (“CTA”) whose primary goal is to generate the highest quality of risk-adjusted... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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 1350 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD -4.00%
Worst Peak-to-Trough 10.00%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 85.00%
Intraday 15.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Pattern Recognition
50.00%
Technical
50.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

The Geometric Technical Analysis Group, LLC “GTA” offers professional money management to retail clients, high net worth individuals, and mid market institutions. GTA is a registered Commodity Trading Advisor (“CTA”) whose primary goal is to generate the highest quality of risk-adjusted returns for our clients.

Investment Strategy

GTA uses proprietary pattern recognition techniques to develop trade convictions based on a broad set of interrelated market movements. Our strategy is to take advantage of market patterns in asset classes where our technical analysis program has a proven competitive edge. Advanced pattern recognition, coupled with several other technical analysis techniques, supports the teams ability to formulate an opinion on interrelated markets. The result is a clear understanding of where we are in a market cycle. This view determines which asset classes and sectors to emphasize in our technical analysis, and which sectors to avoid. Extensive pattern observation for each asset class reveals a trade thesis to include risk/reward considerations such as position stops and profit targets. Our trading approach is systematic yet discretionary in its application. Trading decisions are based upon the Investment Managers knowledge, experience, and interpretation of technical information.

Risk Management

GTA’s trading program is a low leverage low frequency strategy allowing for selective thus optimal risk/reward trade profile. GTA need only generate trades when a pattern is recognized. This translates into better risk adjusted entry and exit points. These points are protected through the systematic application of predetermined trade stops, capping individual trade risk on every trade. Our strategy doctrine dictate that we never add to losing trade. All downside risk is eliminated on any open trade before additional trades are executed.

   

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
-26.04 10 - 8/1/2011 6/1/2012
-23.77 1 1 1/1/2008 2/1/2008
-17.45 15 6 8/1/2008 11/1/2009
-10.86 3 1 9/1/2007 12/1/2007
-5.52 4 1 6/1/2010 10/1/2010
-4.68 5 3 12/1/2010 5/1/2011
-2.28 1 1 6/1/2008 7/1/2008
-0.17 1 1 4/1/2008 5/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
58.70 2 3/1/2008 4/1/2008
22.54 5 2/1/2010 6/1/2010
16.40 1 1/1/2008 1/1/2008
14.47 1 12/1/2009 12/1/2009
13.79 2 8/1/2007 9/1/2007
6.88 2 11/1/2010 12/1/2010
5.72 1 6/1/2008 6/1/2008
5.37 3 6/1/2011 8/1/2011
5.36 1 4/1/2009 4/1/2009
4.96 1 8/1/2008 8/1/2008
2.75 2 11/1/2011 12/1/2011
1.82 1 9/1/2009 9/1/2009
1.72 1 10/1/2008 10/1/2008
1.31 1 8/1/2010 8/1/2010
0.88 1 4/1/2011 4/1/2011
0.34 1 6/1/2009 6/1/2009
0.04 1 2/1/2009 2/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.77 1 2/1/2008 2/1/2008
-19.25 7 1/1/2012 7/1/2012
-10.86 3 10/1/2007 12/1/2007
-10.86 2 9/1/2011 10/1/2011
-8.07 2 10/1/2009 11/1/2009
-7.47 1 9/1/2008 9/1/2008
-5.40 2 7/1/2009 8/1/2009
-4.83 2 9/1/2010 10/1/2010
-3.64 3 1/1/2011 3/1/2011
-3.35 3 11/1/2008 1/1/2009
-2.28 1 7/1/2008 7/1/2008
-2.05 1 5/1/2009 5/1/2009
-2.01 1 7/1/2010 7/1/2010
-1.94 1 5/1/2011 5/1/2011
-1.25 1 1/1/2010 1/1/2010
-1.07 1 3/1/2009 3/1/2009
-0.17 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable45.0046.5556.3663.2767.4486.4984.0069.23
Average Period Return0.741.764.148.5312.2417.2828.6733.82
Average Gain5.7510.1813.5820.0023.9022.3835.2552.22
Average Loss-3.46-5.58-8.05-11.22-11.91-15.40-5.87-7.60
Best Period37.6958.4371.7956.3451.5162.0397.2876.62
Worst Period-23.77-16.46-19.25-24.91-25.71-24.99-7.99-12.02
Standard Deviation7.6111.5616.5219.9719.8716.9029.4432.96
Gain Standard Deviation7.8811.6716.0615.4711.2610.8927.4919.57
Loss Standard Deviation4.254.035.427.138.4410.442.004.40
Sharpe Ratio (1%)0.090.130.220.380.540.900.870.90
Average Gain / Average Loss1.661.821.691.782.011.456.006.87
Profit / Loss Ratio1.401.592.183.074.169.3031.5115.46
Downside Deviation (10%)4.165.767.8110.7412.0910.089.1216.32
Downside Deviation (5%)4.005.156.648.518.957.263.636.80
Downside Deviation (0%)3.975.006.377.998.236.622.454.72
Sortino Ratio (10%)0.080.090.210.330.380.701.410.75
Sortino Ratio (5%)0.160.290.550.881.202.107.074.37
Sortino Ratio (0%)0.190.350.651.071.492.6111.717.17

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.