Wallwood Consultants LTD : Swing FX Forex Programme

archived programs
Year-to-Date
N / A
Nov Performance
-0.52%
Min Investment
$ 30k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
9.17%
Sharpe (RFR=1%)
-0.22
CAROR
-1.39%
Assets
$ 250k
Worst DD
-12.74
S&P Correlation
-0.41

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
11/2010
Swing FX Forex Programme -0.52 - - - - - - -4.23
S&P 500 2.80 - - - - - - 193.43
+/- S&P 500 -3.32 - - - - - - -197.67

Strategy Description

Summary

This is a forex programme which is a modification of the trading system the firm has employed since 2001... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 30k
Trading Level Incremental Increase $ 30k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $100.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 750 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD 2.38%
Worst Peak-to-Trough -2.38%
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 20.00%
Intraday 80.00%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Momentum
30.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

This is a forex programme which is a modification of the trading system the firm has employed since 2001

Investment Strategy

The Swing Forex FX Programme is an embryonic process of modifying the old Wallwood Swing FX (CRT) Trading system which had been in operation since 2001. Following the amicable departure of Daryl Swain fellow principal Mario Kelly has looked at reducing the volatility of the old system and proceeded in development of the new Swing/Forex System. This is a system of identifying potential reversions and breakouts, and opening positions to take advantage of the anticipated movements. The system is now also twinned with Manager Discretion to allow and develop alpha in the system. Any position will have a maximum exposure of 10% of the account, by allowing for a stop loss that rides the interim volatility in reaching the trade objective. Note: There are limitations associated with stop loss orders which could result in a gap in the market meaning the stop loss is executed with slippage from past experience (eight years) the most slippage seen on a stop loss order is 50 pips. All stop loss orders are placed GTC (good till cancelled). In order to compensate for the potential missing of good trends, buy and sell orders are placed anticipating a probable breakout when the market moves away from set specific pivot points which hitherto was displaying coiling characteristics. The orders placed are governed by set propriety rules which look to limit losses. Whilst no guarantees can be offered regarding maximum monthly loss should there be a 10 % drawdown in a month trading is suspended for the rest of the month. .Maximum drawdown on the account can be tailored to the clients risk threshold with the programme having a maximum drawdown permitted of 30% during the first 6 months. The currencies traded are all liquid G7 currencies with main concentration on EUR/USD USD/JPY GBP/USD and a fourth position maybe taking (subject to chart patterns) in either USD/CHF EUR/JPY EUR/GBP AUD/JPY USD/CAD.

Risk Management

The maximum leverage is 4*1 all positions have stops in place with risk of maximum 1% of account equity on each position.

   

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
-12.74 7 - 11/1/2010 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
11.16 2 8/1/2011 9/1/2011
5.13 3 12/1/2012 2/1/2013
3.99 2 7/1/2012 8/1/2012
2.90 1 11/1/2010 11/1/2010
2.36 1 12/1/2011 12/1/2011
1.84 1 1/1/2011 1/1/2011
0.91 1 4/1/2013 4/1/2013
0.57 1 10/1/2012 10/1/2012
0.54 3 8/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.23 6 2/1/2011 7/1/2011
-8.01 2 10/1/2011 11/1/2011
-4.71 1 9/1/2012 9/1/2012
-2.60 3 5/1/2013 7/1/2013
-2.38 1 12/1/2010 12/1/2010
-0.85 1 3/1/2013 3/1/2013
-0.52 1 11/1/2013 11/1/2013
-0.22 1 11/1/2012 11/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable40.5445.7150.0057.6960.0050.00
Average Period Return-0.08-0.34-0.610.070.370.20
Average Gain1.943.122.793.323.455.53
Average Loss-2.15-4.12-4.29-4.37-4.25-5.14
Best Period9.6011.165.876.757.218.70
Worst Period-6.26-9.44-12.23-10.77-8.66-9.18
Standard Deviation2.654.394.734.714.575.99
Gain Standard Deviation2.283.022.051.612.132.32
Loss Standard Deviation1.962.824.173.773.002.42
Sharpe Ratio (1%)-0.06-0.14-0.24-0.20-0.25-0.30
Average Gain / Average Loss0.900.760.650.760.811.08
Profit / Loss Ratio0.900.810.691.041.221.08
Downside Deviation (10%)2.033.975.476.758.4911.59
Downside Deviation (5%)1.863.374.294.214.065.30
Downside Deviation (0%)1.823.244.033.683.223.96
Sortino Ratio (10%)-0.24-0.40-0.56-0.73-0.85-0.87
Sortino Ratio (5%)-0.09-0.18-0.26-0.22-0.28-0.34
Sortino Ratio (0%)-0.05-0.11-0.150.020.110.05

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.