Winkler Capital Management : Storojinets-FX

archived programs
Year-to-Date
N / A
Oct Performance
0.06%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
4.32%
Sharpe (RFR=1%)
1.37
CAROR
7.04%
Assets
$ 53k
Worst DD
-1.67
S&P Correlation
-0.07

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
9/2004
Storojinets-FX 0.06 - - - - - - 15.88
S&P 500 3.15 - - - - - - 221.57
+/- S&P 500 -3.09 - - - - - - -205.70

Strategy Description

Summary

-Storojinets-FX Program Todd Winkler is the sole developer of the Storojinets-FX Program. The Storojinets-FX Program trades the spot (cash) foreign exchange (forex or FX) market exclusively. The Advisor has decided to trade the cash forex market instead of the futures forex market... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
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

-Storojinets-FX Program Todd Winkler is the sole developer of the Storojinets-FX Program. The Storojinets-FX Program trades the spot (cash) foreign exchange (forex or FX) market exclusively. The Advisor has decided to trade the cash forex market instead of the futures forex market because of the greater liquidity of the cash forex market versus the futures forex market, which WCM believes results in better order execution. WCM also believes that the cash forex market provides greater flexibility as compared to the futures market in terms of trade size and allocation of proceeds amongst multiple client accounts. The Storojinets-FX Program is a short-term, systematic trading system that does not have a long-side or short-side bias. Positions are typically held anywhere from less than one day to five days. All positions are closed at approximately the close of the trading day on Friday afternoon; no positions are held over to the following trading week. It is WCM's opinion that it is easier to predict short-term changes in price rather than long-term price changes. For example, given the price of a particular foreign currency pair, it is WCM's opinion that it is easier to make a judgment as to what the approximate price of that currency will be three days from now as opposed to three months from now. Stop-loss orders are always in place, with the maximum risk per trade set at approximately 4% of assets, and leverage per trade set at approximately 2x assets. Risk is further mitigated by not maintaining constant exposure to the currency markets. The program is out of the market approximately 50% of the time. The Storojinets-FX Program is systematic and technical in nature, not dependent upon fundamental analysis. Furthermore, it utilizes a trading methodology that is not dependent upon long-term trend following techniques, and therefore has the potential to be profitable in various market environments. The Storojinets-FX Program attempts to exploit the price movements of the cross rates between the Euro and Japanese Yen, between the Euro and the British Pound, and the Euro and the Swiss Franc.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-1.67 2 2 3/1/2006 5/1/2006
-0.99 1 1 10/1/2004 11/1/2004
-0.93 1 4 1/1/2005 2/1/2005
-0.56 1 1 7/1/2006 8/1/2006
-0.25 2 1 8/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
5.66 5 11/1/2005 3/1/2006
4.50 2 9/1/2004 10/1/2004
3.62 2 12/1/2004 1/1/2005
2.91 3 6/1/2005 8/1/2005
1.91 2 6/1/2006 7/1/2006
0.71 2 9/1/2006 10/1/2006
0.58 1 3/1/2005 3/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.67 2 4/1/2006 5/1/2006
-0.99 1 11/1/2004 11/1/2004
-0.93 1 2/1/2005 2/1/2005
-0.56 1 8/1/2006 8/1/2006
-0.34 2 4/1/2005 5/1/2005
-0.25 2 9/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable65.3887.50100.00100.00100.00
Average Period Return0.581.542.986.229.77
Average Gain1.161.852.986.229.77
Average Loss-0.53-0.66
Best Period4.185.196.219.5615.03
Worst Period-1.34-1.290.032.997.93
Standard Deviation1.251.681.721.772.38
Gain Standard Deviation1.131.541.721.772.38
Loss Standard Deviation0.460.58
Sharpe Ratio (1%)0.400.771.442.953.47
Average Gain / Average Loss2.202.81
Profit / Loss Ratio4.1619.67
Downside Deviation (10%)0.610.840.850.70
Downside Deviation (5%)0.440.360.11
Downside Deviation (0%)0.400.29
Sortino Ratio (10%)0.280.370.601.75
Sortino Ratio (5%)1.123.5522.07
Sortino Ratio (0%)1.445.37

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.