Time Series FX LLC : Currency Trading - Spot, Futures and Options (CT-SFO)

archived programs
Year-to-Date
N / A
Jan Performance
13.16%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
61.09%
Sharpe (RFR=1%)
0.98
CAROR
-
Assets
$ 159k
Worst DD
-32.84
S&P Correlation
-0.05

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
7/2014
Currency Trading - Spot, Futures and Options (CT-SFO) 13.16 - - - - 21.14 - 99.65
S&P 500 -5.07 - - - - 50.84 - 67.65
+/- S&P 500 18.23 - - - - -29.70 - 32.00

Strategy Description

Summary

CT-SFO is traded with pure discretion by the manager, assisted by his proprietary algorithms. The program trades using multiple strategies and various approaches including but not limited to Pattern recognition, quantitative analysis, technical analysis and utilizes spot, futures and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough -32.80%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Currency Futures
80.00%
Currency FX
20.00%
Composition Pie Chart

Summary

CT-SFO is traded with pure discretion by the manager, assisted by his proprietary algorithms. The program trades using multiple strategies and various approaches including but not limited to Pattern recognition, quantitative analysis, technical analysis and utilizes spot, futures and options-on-futures as the instruments. The program uses leverage, typically about 10 times, but may use maximum allowed by regulation, based on the sole discretion of the manager.

Time Series FX LLC employs proprietary computer systems and analytical tools to interpret the market behavior at any given time. All trading is technical based and seeks to take advantage of short and long term trends by grading the correlation of the "Time Series" of price against proprietary indicators across different time frames. Our core long term trades are entered with an eye toward the correlations in the higher time frames. These trades may be held from minutes to hours to weeks or longer. Similarly, short term trades are taken based on the signals in the shorter time frames but closed and opened more frequently. These short term trades are taken based on technical data at the moment of trade execution and usually last minutes to hours, but can also last several days. By utilizing this combination of temporal strategies, we feel we can best manage the reward potential while being agile in terms of our risk exposure. For further information on the program, the instruments used and other details, please refer to the Disclosure Document of the program.

   

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
-32.84 3 2 7/1/2014 10/1/2014
-23.51 1 - 5/1/2015 6/1/2015
-14.06 1 2 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
132.75 3 11/1/2014 1/1/2015
48.96 3 3/1/2015 5/1/2015
25.76 5 9/1/2015 1/1/2016
8.41 1 7/1/2015 7/1/2015
1.63 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-32.84 3 8/1/2014 10/1/2014
-23.51 1 6/1/2015 6/1/2015
-14.06 1 2/1/2015 2/1/2015
-5.87 1 8/1/2015 8/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable68.4270.5985.71100.00
Average Period Return5.0717.3442.9376.13
Average Gain13.6032.8952.8776.13
Average Loss-13.40-19.98-16.71
Best Period38.72132.75195.63141.45
Worst Period-23.51-32.84-18.3325.67
Standard Deviation17.6340.3158.9538.61
Gain Standard Deviation14.0937.6657.9038.61
Loss Standard Deviation6.6711.582.29
Sharpe Ratio (1%)0.280.420.721.95
Average Gain / Average Loss1.021.653.16
Profit / Loss Ratio2.203.9518.98
Downside Deviation (10%)8.4812.807.27
Downside Deviation (5%)8.3112.336.53
Downside Deviation (0%)8.2712.216.35
Sortino Ratio (10%)0.551.265.56
Sortino Ratio (5%)0.601.396.49
Sortino Ratio (0%)0.611.426.77

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.