Trading Study : TSP500 – E-Mini S&P 500 Futures and Options

archived programs
Year-to-Date
N / A
Apr Performance
0.00%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
20.22%
Sharpe (RFR=1%)
-1.54
CAROR
-
Assets
$ 40k
Worst DD
-15.85
S&P Correlation
-0.72

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/2018
TSP500 – E-Mini S&P 500 Futures and Options 0.00 - - - - - - -12.56
S&P 500 3.93 - - - - - - 39.62
+/- S&P 500 -3.93 - - - - - - -52.18

Strategy Description

Summary

TSP 500 is systematic, non-discretionary, trend following, swing program based on the technical analysis approach of the Japanese KAGI and the statistical research of market behavior. The strategy is offered through separately managed accounts that produce daily transparency and l... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.50
Management Fee 2.00%
Performance Fee 0%
Average Commission $20.00
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 3000 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Fundamental
5.00%
Option-purchasing
5.00%
Option-spreads
10.00%
Technical
40.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

TSP 500 is systematic, non-discretionary, trend following, swing program based on the technical analysis approach of the Japanese KAGI and the statistical research of market behavior. The strategy is offered through separately managed accounts that produce daily transparency and liquidity.

Investment Strategy

The TSP 500 Strategy is systematic and is founded on Trading Study execution model connected to the movement and S&P 500 pricing. The decision to buy or sell E-Mini SP500 futures contracts or option strategy is made based upon signals from Japan KAGI charts. The program will transact currently in equity index futures options and the e-mini futures contracts. The minimum investment for this program is $20,000 although the Advisor can use discretion to allow smaller investment amounts.

   

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
-15.85 3 - 12/1/2018 3/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
3.90 1 12/1/2018 12/1/2018
0.77 1 2/1/2019 2/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.99 1 1/1/2019 1/1/2019
-7.22 2 3/1/2019 4/1/2019
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable40.00
Average Period Return-2.51
Average Gain2.34
Average Loss-8.61
Best Period3.90
Worst Period-9.99
Standard Deviation5.84
Gain Standard Deviation2.21
Loss Standard Deviation1.96
Sharpe Ratio (1%)-0.44
Average Gain / Average Loss0.27
Profit / Loss Ratio0.27
Downside Deviation (10%)5.77
Downside Deviation (5%)5.56
Downside Deviation (0%)5.51
Sortino Ratio (10%)-0.51
Sortino Ratio (5%)-0.47
Sortino Ratio (0%)-0.45

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.