Trend Traders LLC : Turtle Trader 100

archived programs
Year-to-Date
N / A
Dec Performance
7.70%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
56.58%
Sharpe (RFR=1%)
-0.33
CAROR
-
Assets
$ 268k
Worst DD
-49.88
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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
Turtle Trader 100 7.70 - - - - - - -28.21
S&P 500 2.36 - - - - - - 131.27
+/- S&P 500 5.34 - - - - - - -159.48

Strategy Description

Summary

This program is based on the Original Turtle rules.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $6.00
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 3500 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 30.00%
1-30 Days 70.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Softs
30.00%
Precious Metals
15.00%
Grains
15.00%
Livestock
15.00%
Energy
10.00%
Interest Rates
10.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

This program is based on the Original Turtle rules.

Investment Strategy

We utilize channel breakouts to enter positions and a volatility based algorithm for position sizing.

Risk Management

We employ strict risk control and initially only risk 2% of the account value for each trade. The risk can increase to 5% as the position grows.

   

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
-49.88 8 - 3/1/2013 11/1/2013
-5.19 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
35.70 1 3/1/2013 3/1/2013
10.01 1 8/1/2013 8/1/2013
7.70 1 12/1/2013 12/1/2013
3.37 1 1/1/2013 1/1/2013
2.89 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.75 1 4/1/2013 4/1/2013
-27.83 3 9/1/2013 11/1/2013
-10.10 2 6/1/2013 7/1/2013
-5.19 1 2/1/2013 2/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods12.0010.007.00
Percent Profitable41.6710.000.00
Average Period Return-1.49-9.19-21.06
Average Gain11.9332.99
Average Loss-11.09-13.88-21.06
Best Period35.7032.99-5.75
Worst Period-31.75-34.85-38.85
Standard Deviation16.3318.2310.83
Gain Standard Deviation13.62
Loss Standard Deviation10.3911.2610.83
Sharpe Ratio (1%)-0.10-0.52-1.99
Average Gain / Average Loss1.082.38
Profit / Loss Ratio0.770.26
Downside Deviation (10%)11.4517.5225.58
Downside Deviation (5%)11.2616.7723.78
Downside Deviation (0%)11.2116.5823.33
Sortino Ratio (10%)-0.17-0.59-0.92
Sortino Ratio (5%)-0.14-0.56-0.91
Sortino Ratio (0%)-0.13-0.55-0.90

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.