William L. Crowley & Associates : Flag Trading System

archived programs
Year-to-Date
N / A
Jun Performance
13.62%
Min Investment
$ 5,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
38.28%
Sharpe (RFR=1%)
0.70
CAROR
22.67%
Assets
$ 77.0M
Worst DD
-46.98
S&P Correlation
0.17

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
11/2003
Flag Trading System 13.62 - - - - - - 159.51
S&P 500 -8.60 - - - - - - 214.52
+/- S&P 500 22.22 - - - - - - -55.01

Strategy Description

Summary

-System Summary The Flag trading system analyzes market fluctuations using a highly non-linear state model paradigm. A proprietary evolutionary genetic algorithm is used to select, for each market, an optimal subset of all possible state models. The position in any given market on... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-System Summary The Flag trading system analyzes market fluctuations using a highly non-linear state model paradigm. A proprietary evolutionary genetic algorithm is used to select, for each market, an optimal subset of all possible state models. The position in any given market on any given day is a function of the output of the models selected for that market, which utilize as inputs a relatively short time-span of that market's most recent history. The resulting process nevertheless tends to hold a given position (i.e., long or short) for months at a time. The Flagship system trades 56 different exchange traded commodity futures contacts executed only on organized exchanges, located around the globe. 10-YEAR US TREASURY NOTE 2-YEAR US TREASURY NOTES 5-YEAR US TREASURY NOTE ALL ORDINARIES INDEX AUSTRALIAN BOND (10 YEAR) AUSTRALIAN BOND (3 YEAR) AUSTRALIAN DOLLAR BRENT CRUDE OIL BRITISH POUND CAC 40 INDEX CANADIAN DOLLAR COCOA COFFEE COPPER CORN COTTON CRUDE OIL DAX INDEX DOW JONES INDEX MINNEAPOLIS WHEAT NASDAQ NATURAL GAS NIKKEI INDEX NY GOLD NY SILVER ORANGE JUICE S & P 500 SHORT STERLING SOYBEAN MEAL SOYBEAN OIL SOYBEANS SWISS FRANC TOPPIX INDEX UNLEADED GAS US TREASURY BOND WHEAT WORLD SUGAR EURIBOR EURO BOBL EURO BUND EURO CURRENCY EURO SCHATZ EURO STOXX EURODOLLAR FEEDER CATTLE FT-SE 100 INDEX GAS OIL HANG SENG INDEX HEATING OIL JAPANESE BOND (10 YEAR) JAPANESE YEN KANSAS CITY WHEAT LEAN HOGS LIVE CATTLE LONG GILT MEXICAN PESO

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-46.98 2 - 6/1/2007 8/1/2007
-27.17 5 8 4/1/2006 9/1/2006
-20.93 4 4 3/1/2004 7/1/2004
-14.60 1 2 9/1/2005 10/1/2005
-11.44 5 2 11/1/2004 4/1/2005
-2.50 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
59.85 4 12/1/2003 3/1/2004
55.81 3 12/1/2007 2/1/2008
42.10 3 11/1/2005 1/1/2006
34.13 5 5/1/2005 9/1/2005
32.75 4 10/1/2006 1/1/2007
30.59 4 8/1/2004 11/1/2004
24.02 3 4/1/2007 6/1/2007
22.32 2 9/1/2007 10/1/2007
20.44 2 3/1/2006 4/1/2006
13.62 1 6/1/2008 6/1/2008
3.80 1 3/1/2005 3/1/2005
0.50 1 1/1/2005 1/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-46.98 2 7/1/2007 8/1/2007
-27.17 5 5/1/2006 9/1/2006
-20.93 4 4/1/2004 7/1/2004
-18.03 3 3/1/2008 5/1/2008
-14.60 1 10/1/2005 10/1/2005
-11.79 2 2/1/2007 3/1/2007
-7.50 1 2/1/2005 2/1/2005
-7.30 1 4/1/2005 4/1/2005
-6.69 1 11/1/2007 11/1/2007
-2.50 1 2/1/2006 2/1/2006
-1.00 1 12/1/2004 12/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable58.9362.9666.6768.8982.0575.76100.00
Average Period Return2.336.7211.1517.3130.9342.8166.24
Average Gain9.3118.6525.4730.5042.5959.5266.24
Average Loss-8.05-13.56-17.50-11.88-22.40-9.44
Best Period35.2355.8177.8391.1389.57107.32123.52
Worst Period-27.31-45.99-38.36-24.23-32.45-15.698.34
Standard Deviation11.0520.2624.8526.5732.3537.6637.62
Gain Standard Deviation6.8113.7015.1020.6821.8826.1137.62
Loss Standard Deviation7.7111.4812.278.3910.605.22
Sharpe Ratio (1%)0.200.320.430.610.911.081.68
Average Gain / Average Loss1.161.381.462.571.906.31
Profit / Loss Ratio1.742.342.915.688.6919.71
Downside Deviation (10%)7.1011.2813.4210.4413.3810.001.62
Downside Deviation (5%)6.9510.8112.468.4810.956.13
Downside Deviation (0%)6.9110.7012.228.0210.365.23
Sortino Ratio (10%)0.270.490.651.181.743.2631.17
Sortino Ratio (5%)0.320.600.851.922.696.66
Sortino Ratio (0%)0.340.630.912.162.988.18

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.