Trading Study : SPK – E-Mini S&P 500 Option

Year-to-Date: 0.00%
Mar Performance: 0.00%

Min Investment: $ 15k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 7.50%
Sharpe (RFR=1%): 0.10
CAROR: 1.47%

Assets: $ 0k
Worst DD: -12.79
S&P Correlation: -0.19

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 10/2009
SPK – E-Mini S&P 500 Option	0.00	-	0.00	-2.40	4.28	0.89	-	14.73
S&P 500	1.79	-	13.07	7.33	36.22	49.85	-	170.73
+/- S&P 500	-1.79	-	-13.07	-9.73	-31.94	-48.96	-	-156.00

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 15k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 2.00
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: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 6500 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD: -10.00%
Worst Peak-to-Trough: 8.37%
Sector Focus: Stock Index Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 5.00%
1-30 Days: 95.00%
Intraday: 0%

Summary

SPK option trading is the proprietary model which has personally developed by Alexander Shpak and offered to our clients since September 2009. The SPK trading model is based on a technical analysis (Scheme Charts - charts compression technique) and statistical research of the last 20 years (since 1996) of the daily and intra-day changes of the United States stock markets.The strategy involves the trading of various series mini S&P puts and calls options on the S&P 500 future (ES, EW, EOM option series).

Investment Strategy

The trading involves combination of options strategies by buying and selling E-Mini S&P 500 options, usually between 2-6 weeks until expiration and depending on the current market conditions.

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Index: Chart Type:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Compare to:

Index:

Monthly Annual

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
-12.79	8	2	6/1/2017	2/1/2018
-10.96	3	-	6/1/2018	9/1/2018
-8.37	3	7	9/1/2014	12/1/2014
-6.43	3	12	7/1/2015	10/1/2015
-3.95	5	5	6/1/2010	11/1/2010
-2.48	2	5	8/1/2013	10/1/2013
-2.26	2	3	4/1/2014	6/1/2014
-1.76	4	3	10/1/2016	2/1/2017
-1.56	1	3	4/1/2013	5/1/2013
-0.80	3	1	1/1/2010	4/1/2010
-0.48	20	1	7/1/2011	3/1/2013
-0.17	1	1	1/1/0001	10/1/2009
-0.02	1	1	5/1/2011	6/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
24.50	4	3/1/2018	6/1/2018
7.40	5	1/1/2015	5/1/2015
6.64	3	11/1/2009	1/1/2010
4.59	3	8/1/2016	10/1/2016
4.51	6	12/1/2010	5/1/2011
4.48	4	1/1/2014	4/1/2014
4.19	2	5/1/2010	6/1/2010
2.86	1	7/1/2015	7/1/2015
2.37	3	4/1/2016	6/1/2016
2.11	1	9/1/2015	9/1/2015
2.01	2	11/1/2015	12/1/2015
1.57	2	5/1/2017	6/1/2017
1.45	1	9/1/2014	9/1/2014
1.37	1	3/1/2017	3/1/2017
1.36	1	4/1/2013	4/1/2013
1.28	1	6/1/2013	6/1/2013
1.19	1	11/1/2014	11/1/2014
1.05	1	2/1/2016	2/1/2016
1.03	1	7/1/2014	7/1/2014
0.93	1	8/1/2013	8/1/2013
0.75	1	7/1/2011	7/1/2011
0.33	1	11/1/2013	11/1/2013
0.20	1	12/1/2017	12/1/2017
0.10	1	12/1/2016	12/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.96	9	7/1/2018	3/1/2019
-7.60	5	7/1/2017	11/1/2017
-6.24	1	10/1/2014	10/1/2014
-6.22	1	8/1/2015	8/1/2015
-5.81	2	1/1/2018	2/1/2018
-3.95	5	7/1/2010	11/1/2010
-3.42	1	12/1/2014	12/1/2014
-2.48	2	9/1/2013	10/1/2013
-2.29	1	10/1/2015	10/1/2015
-2.26	2	5/1/2014	6/1/2014
-1.56	1	5/1/2013	5/1/2013
-1.14	2	1/1/2017	2/1/2017
-1.00	1	3/1/2016	3/1/2016
-0.82	1	1/1/2016	1/1/2016
-0.80	3	2/1/2010	4/1/2010
-0.73	1	11/1/2016	11/1/2016
-0.52	1	7/1/2013	7/1/2013
-0.48	20	8/1/2011	3/1/2013
-0.37	1	7/1/2016	7/1/2016
-0.17	1	10/1/2009	10/1/2009
-0.14	1	6/1/2015	6/1/2015
-0.11	1	8/1/2014	8/1/2014
-0.02	1	4/1/2017	4/1/2017
-0.02	1	6/1/2011	6/1/2011
-0.01	1	12/1/2013	12/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	113.00	112.00	109.00	103.00	97.00	91.00	79.00	67.00	55.00
Percent Profitable	42.48	50.00	55.05	63.11	67.01	68.13	81.01	79.10	87.27
Average Period Return	0.14	0.45	0.59	1.31	1.58	2.13	2.90	3.41	3.97
Average Gain	1.59	3.05	3.53	3.42	3.85	4.24	4.23	4.83	5.05
Average Loss	-1.39	-3.10	-4.10	-2.73	-3.02	-2.39	-2.76	-1.96	-3.41
Best Period	13.58	19.69	18.29	10.85	10.50	14.41	14.08	14.79	15.15
Worst Period	-6.24	-12.84	-22.39	-10.23	-15.74	-14.25	-9.82	-7.48	-9.02
Standard Deviation	2.16	4.39	5.21	3.79	4.23	4.52	3.89	3.97	4.37
Gain Standard Deviation	2.05	3.99	3.95	2.49	2.53	3.51	2.83	2.96	3.31
Loss Standard Deviation	1.73	3.21	4.45	2.79	3.11	2.80	2.46	2.40	3.65
Sharpe Ratio (1%)	0.03	0.04	0.02	0.08	0.02	0.03	-0.03	-0.16	-0.26
Average Gain / Average Loss	1.14	0.98	0.86	1.25	1.27	1.77	1.53	2.47	1.48
Profit / Loss Ratio	1.27	1.41	1.44	2.54	2.59	3.79	6.53	9.34	10.15
Downside Deviation (10%)	1.54	3.22	4.70	5.19	7.33	9.27	13.43	18.56	24.05
Downside Deviation (5%)	1.39	2.72	3.66	2.60	3.15	2.99	2.87	3.23	3.71
Downside Deviation (0%)	1.36	2.62	3.45	2.16	2.47	2.06	1.59	1.38	1.71
Sortino Ratio (10%)	-0.17	-0.24	-0.40	-0.71	-0.82	-0.88	-0.96	-0.98	-0.98
Sortino Ratio (5%)	0.04	0.07	0.03	0.12	0.03	0.04	-0.05	-0.20	-0.30
Sortino Ratio (0%)	0.11	0.17	0.17	0.61	0.64	1.03	1.83	2.46	2.32

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	7	0.00	2/2019
Option Strategy Index	Month	6	0.00	12/2018
Option Strategy Index	Month	6	0.00	10/2018
Option Strategy Index	Month	10	-3.90	7/2018
Option Strategy Index	Month	1	4.02	6/2018
Stock Index Trader Index	Month	1	4.02	6/2018
Discretionary Trader Index	Month	5	4.02	6/2018
Option Strategy Index	Month	7	0.11	5/2018
Stock Index Trader Index	Month	3	5.26	4/2018
IASG CTA Index	Month	3	5.26	4/2018
Discretionary Trader Index	Month	3	5.26	4/2018
Option Strategy Index	Month	2	5.26	4/2018
IASG CTA Index	Month	3	5.26	4/2018
Stock Index Trader Index	Month	3	5.26	4/2018
Discretionary Trader Index	Month	3	5.26	4/2018
Option Strategy Index	Month	2	5.26	4/2018
Stock Index Trader Index	Month	1	13.58	3/2018
Option Strategy Index	Month	1	13.58	3/2018
IASG CTA Index	Month	2	13.58	3/2018
Discretionary Trader Index	Month	2	13.58	3/2018
Option Strategy Index	Month	5	-1.13	2/2018
Option Strategy Index	Month	7	0.20	12/2017
Option Strategy Index	Month	10	-0.21	7/2017
Option Strategy Index	Month	10	1.37	3/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#7

Top Performer

OPTION STRATEGY INDEX

FEBRUARY
2019

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Trading Study : SPK – E-Mini S&P 500 Option

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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