Witter & Lester, Inc. : Diversified Trading Program

Year-to-Date
1.12%
Apr Performance
1.23%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.60%
Sharpe (RFR=1%)
0.35
CAROR
3.66%
Assets
$ 417k
Worst DD
-10.88
S&P Correlation
0.04

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
4/2013
Diversified Trading Program 1.23 0.33 1.12 -0.30 -4.01 4.86 - 24.44
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 82.53
+/- S&P 500 -2.70 -8.61 -16.39 -11.54 -45.20 -49.92 - -58.10

Strategy Description

Summary

In 2010, we began the process of sifting through our S&P evaluation software with the idea of evaluating the practicality of using a subset of 20 years of S&P research to analyze any 30 years of daily closing prices for any market of interest. We have taken six of our favorite S&P... 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
$15.00
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
800 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
-4.67%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
90.00%
Systematic
10.00%

Strategy

Pattern Recognition
60.00%
Seasonal/cyclical
30.00%
Technical
10.00%
Strategy Pie Chart

Composition

Currency FX
30.00%
Grains
20.00%
Stock Indices
20.00%
Currency Futures
10.00%
Interest Rates
10.00%
Precious Metals
5.00%
Energy
5.00%
Composition Pie Chart

Summary

In 2010, we began the process of sifting through our S&P evaluation software with the idea of evaluating the practicality of using a subset of 20 years of S&P research to analyze any 30 years of daily closing prices for any market of interest. We have taken six of our favorite S&P models and added two models to form the basis of our Diversified Trading Program (DTP). We began the trading of this program on Oct 23, 2012 with the intent of documenting the first 100 trades. As of two years later, it has 209 trades under its belt and is now being offered to interest clients. The program trades in $100,000 denominations, with the philosophy of focusing on those 7-8 high probability trades each month in which one of the 14 candidate markets which we evaluate grades out extremely well across the eight different evaluation criteria.

   

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
-10.88 24 - 8/1/2016 8/1/2018
-6.84 2 9 9/1/2015 11/1/2015
-4.78 1 3 5/1/2015 6/1/2015
-4.67 1 2 4/1/2013 5/1/2013
-4.64 1 2 9/1/2014 10/1/2014
-2.91 1 2 12/1/2014 1/1/2015
-1.87 3 1 12/1/2013 3/1/2014
-1.48 1 1 4/1/2014 5/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
21.06 7 6/1/2013 12/1/2013
6.65 2 11/1/2014 12/1/2014
6.57 2 7/1/2016 8/1/2016
6.17 1 9/1/2015 9/1/2015
5.49 4 6/1/2014 9/1/2014
5.40 4 2/1/2015 5/1/2015
5.24 2 12/1/2015 1/1/2016
4.89 1 7/1/2015 7/1/2015
3.43 6 3/1/2017 8/1/2017
2.85 1 3/1/2016 3/1/2016
2.70 3 9/1/2018 11/1/2018
2.44 1 4/1/2013 4/1/2013
2.29 1 4/1/2014 4/1/2014
1.86 2 11/1/2017 12/1/2017
1.35 2 12/1/2016 1/1/2017
1.23 1 4/1/2019 4/1/2019
1.21 1 2/1/2014 2/1/2014
1.03 2 2/1/2018 3/1/2018
0.79 1 1/1/2019 1/1/2019
0.04 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.79 3 9/1/2016 11/1/2016
-6.84 2 10/1/2015 11/1/2015
-4.87 1 2/1/2016 2/1/2016
-4.78 1 6/1/2015 6/1/2015
-4.67 1 5/1/2013 5/1/2013
-4.64 1 10/1/2014 10/1/2014
-4.27 3 4/1/2018 6/1/2018
-4.19 2 9/1/2017 10/1/2017
-2.91 1 1/1/2015 1/1/2015
-1.79 1 1/1/2014 1/1/2014
-1.48 1 5/1/2014 5/1/2014
-1.45 1 12/1/2018 12/1/2018
-1.31 3 4/1/2016 6/1/2016
-1.28 1 3/1/2014 3/1/2014
-0.89 2 2/1/2019 3/1/2019
-0.66 1 8/1/2018 8/1/2018
-0.65 1 8/1/2015 8/1/2015
-0.46 1 1/1/2018 1/1/2018
-0.18 1 2/1/2017 2/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable61.6460.5661.7658.0655.3660.0068.4276.92
Average Period Return0.330.961.842.733.764.886.669.17
Average Gain1.793.114.546.739.3410.5111.6912.35
Average Loss-2.02-2.35-2.52-2.82-3.15-3.57-4.24-1.46
Best Period6.1711.2719.4421.2926.7131.4332.1629.71
Worst Period-6.50-8.79-7.72-6.63-6.99-10.88-9.88-2.53
Standard Deviation2.483.705.026.488.229.9111.5010.29
Gain Standard Deviation1.582.894.395.657.038.8510.499.64
Loss Standard Deviation1.771.931.951.641.762.962.380.75
Sharpe Ratio (1%)0.100.190.270.270.270.290.320.50
Average Gain / Average Loss0.891.331.802.392.962.952.758.47
Profit / Loss Ratio1.432.042.913.313.674.425.9728.22
Downside Deviation (10%)1.852.563.385.397.669.7713.5415.80
Downside Deviation (5%)1.692.022.212.683.334.004.332.84
Downside Deviation (0%)1.651.901.962.102.402.902.710.78
Sortino Ratio (10%)-0.04-0.10-0.19-0.42-0.50-0.55-0.67-0.78
Sortino Ratio (5%)0.150.350.610.640.680.720.841.80
Sortino Ratio (0%)0.200.510.941.301.571.682.4611.83

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 2.37 7/2017
Diversified Trader Index Month 7 1.50 8/2016
Discretionary Trader Index Month 4 5.00 7/2016
IASG CTA Index Month 8 5.00 7/2016
Diversified Trader Index Month 9 5.00 7/2016
Discretionary Trader Index Month 4 2.86 3/2016
Discretionary Trader Index Month 9 2.43 1/2016
Discretionary Trader Index Month 5 2.74 12/2015
Diversified Trader Index Month 7 2.74 12/2015
IASG CTA Index Month 9 2.74 12/2015
Discretionary Trader Index Month 6 6.17 9/2015
Discretionary Trader Index Month 5 4.31 12/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.