Wallwood Consultants LTD : Forex Program

archived programs
Year-to-Date
N / A
Oct Performance
0.00%
Min Investment
$ 30k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
22.28%
Sharpe (RFR=1%)
0.19
CAROR
2.52%
Assets
$ 0k
Worst DD
-55.42
S&P Correlation
0.09

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2001
Forex Program 0.00 - - - - - - 24.36
S&P 500 -1.98 - - - - - - 153.60
+/- S&P 500 1.98 - - - - - - -129.24

Strategy Description

Summary

Trading System of Wallwood Wallwood managed accounts are traded using their own swing trading system that was in development for three years it is a medium term trend-following system that does have in place a set of shorter term trading rules. Its profit goal is to establish a position... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 20 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 51.00%
Sector Focus Currency Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

Trading System of Wallwood Wallwood managed accounts are traded using their own swing trading system that was in development for three years it is a medium term trend-following system that does have in place a set of shorter term trading rules. Its profit goal is to establish a position as a persistent market move begins and stay with the move until it is exhausted and reverses direction. However, such persistent moves are not always present in the market, and many trend following systems fall victim to market congestion or choppiness while waiting for a trend to develop. If the system does not detect a price trend, a "neutral" trading signal will be generated. While this neutral signal is designed to filter out high-risk "whipsaw" markets when markets are range-bound within narrow bands, as there are fewer opportunities, however when any breaks occur, the trading system has orders in place to take advantage determining that a market trend could have been formed on a break. The system's overall objective is to return profits over time; its energy rules and focus are almost exclusively toward the management of risk from trade to trade. At onset of any position maximum loss is always defined. The system's starting point is to take a trade in the current market direction as the market rises, the system goes long. As the market falls, the system reverses and goes short. Ideally, the market will continue to go in the same direction for many days, in which case the system will profit from most of that trend. However, the system not only recognises that the ideal case isn't common, but it goes even further and makes an initial assumption on every trade that it has made a mistake about the market's direction. When an entry point is determined, the system also determines a loss/reversal point usually between 30 and 70 points depending on product and market volatility. If the market hits that point, the system will reverse and try again to the other side. If the market doesn't hit that loss point but also doesn't display profitable behaviour, then it becomes a waiting game and patience persists awaiting the next market trend. If the market moves a certain distance in the right direction, the system moves the stop to break-even and then to a small profitable level, the system looks to achieve "a free trade scenario" as often as markets allow, thus reducing risk on the trade (and also positioning the system to get an earlier and better reversal price if the market resumes its congestive behaviour). If the trade becomes sufficiently profitable, the system declares a trend to be in effect and it relaxes the reversal point to allow the market more room to correct. At some point, the market will reverse direction (or correct too strongly), and the system will reverse, returning to its original pessimistic state of tightly controlling its stop-and-reverse point. This type of trading system seeks to close out losing positions quickly and to hold portions of profitable positions for as long as the trading system determines that the particular market trend continues to offer reasonable profit potential. The number of losing transactions may exceed the number of profitable transactions. However, with Wallwoods approach, these losses should be more than offset by gains. The currency pairs traded on the forex program are USD/YEN and EURO/USD as these are the most liquid and cover the three global trading areas; at times by being long EUR/USD and long USD/YEN we have a synthetic EURO/YEN cross position. The company is a CTA regulated by FSA 190011 and is a member of the NFA 0332500 The company is also CNMV registered in Spain.

Risk Management

maximum leverage is 6:1

   

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:
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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-55.42 43 - 1/1/2006 8/1/2009
-33.94 12 7 8/1/2002 8/1/2003
-16.63 3 4 3/1/2004 6/1/2004
-8.17 1 1 6/1/2002 7/1/2002
-5.95 2 2 4/1/2001 6/1/2001
-5.56 2 3 12/1/2001 2/1/2002
-1.43 1 1 11/1/2005 12/1/2005
-0.41 1 1 5/1/2005 6/1/2005
-0.32 1 1 8/1/2005 9/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
64.17 7 9/1/2003 3/1/2004
26.11 8 10/1/2004 5/1/2005
26.10 4 1/1/2001 4/1/2001
26.08 4 7/1/2001 10/1/2001
25.13 4 3/1/2002 6/1/2002
18.77 2 7/1/2004 8/1/2004
15.99 2 11/1/2008 12/1/2008
15.18 1 8/1/2002 8/1/2002
9.75 2 12/1/2002 1/1/2003
9.43 1 3/1/2003 3/1/2003
9.12 3 1/1/2007 3/1/2007
9.02 5 6/1/2007 10/1/2007
8.84 1 5/1/2008 5/1/2008
5.47 1 1/1/2006 1/1/2006
5.45 2 10/1/2005 11/1/2005
5.15 2 7/1/2005 8/1/2005
3.17 1 3/1/2006 3/1/2006
2.70 1 6/1/2009 6/1/2009
2.45 1 12/1/2007 12/1/2007
1.17 1 4/1/2009 4/1/2009
1.10 1 2/1/2008 2/1/2008
0.17 1 7/1/2006 7/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-49.82 5 6/1/2008 10/1/2008
-24.99 5 4/1/2003 8/1/2003
-20.17 3 9/1/2002 11/1/2002
-16.63 3 4/1/2004 6/1/2004
-15.77 3 1/1/2009 3/1/2009
-10.69 5 8/1/2006 12/1/2006
-8.17 1 7/1/2002 7/1/2002
-8.15 1 2/1/2003 2/1/2003
-5.95 2 5/1/2001 6/1/2001
-5.81 1 2/1/2006 2/1/2006
-5.56 4 11/1/2001 2/1/2002
-5.53 1 5/1/2009 5/1/2009
-5.13 2 3/1/2008 4/1/2008
-5.03 2 4/1/2007 5/1/2007
-4.88 4 7/1/2009 10/1/2009
-3.70 1 1/1/2008 1/1/2008
-3.69 1 9/1/2004 9/1/2004
-3.06 1 11/1/2007 11/1/2007
-1.43 1 12/1/2005 12/1/2005
-0.66 3 4/1/2006 6/1/2006
-0.41 1 6/1/2005 6/1/2005
-0.32 1 9/1/2005 9/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods105.00104.00101.0095.0089.0083.0071.0059.0047.00
Percent Profitable52.3851.9258.4260.0061.8067.4777.4676.2778.72
Average Period Return0.441.042.105.119.4414.0529.5445.8953.53
Average Gain4.879.5613.6123.1730.1033.9750.8072.6576.49
Average Loss-4.92-8.17-14.07-21.98-23.98-27.27-43.55-40.15-31.44
Best Period15.1838.2261.2762.5683.37106.75111.38112.59164.47
Worst Period-26.15-41.61-45.39-56.40-62.00-61.70-61.68-60.82-50.17
Standard Deviation6.4312.4318.5428.0335.0239.2145.4953.7255.90
Gain Standard Deviation3.888.2412.3715.8724.3128.8824.0025.7837.65
Loss Standard Deviation5.039.2112.7718.9320.9821.3615.0413.1610.54
Sharpe Ratio (1%)0.060.060.090.150.230.310.580.780.87
Average Gain / Average Loss0.991.170.971.051.251.251.171.812.43
Profit / Loss Ratio1.211.261.361.582.032.584.015.829.00
Downside Deviation (10%)4.779.0813.4220.7823.4224.6729.0530.7028.13
Downside Deviation (5%)4.628.6012.4318.7320.2820.5423.1722.4017.48
Downside Deviation (0%)4.588.4912.1918.2419.5719.6221.8020.5115.22
Sortino Ratio (10%)0.01-0.02-0.030.010.080.150.470.790.92
Sortino Ratio (5%)0.080.090.130.220.390.591.141.872.77
Sortino Ratio (0%)0.100.120.170.280.480.721.362.243.52

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.