Wizard Trading Inc. : Systematic Program

archived programs
Year-to-Date
N / A
Jun Performance
-4.08%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.13%
Sharpe (RFR=1%)
0.16
CAROR
2.38%
Assets
$ 40.5M
Worst DD
-24.53
S&P Correlation
-0.46

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
5/2008
Systematic Program -4.08 - - - - - -16.05 12.94
S&P 500 -1.50 - - - - - 64.80 147.37
+/- S&P 500 -2.58 - - - - - -80.86 -134.43

Strategy Description

Summary

The Wizard Global Systematic Program commenced trading in May 2008 as a Proprietary Account. This program employs computer assisted trading strategies based principally on technical analysis. Technical analysis uses internal market data (e.g., price, volume, open interest, sentiment)... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 2100 RT/YR/$M
Avg. Margin-to-Equity 21%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Other
34.00%
Interest Rates
25.00%
Stock Indices
19.00%
Currency FX
9.00%
Energy
7.00%
Precious Metals
4.00%
Grains
1.00%
Livestock
1.00%
Composition Pie Chart

Summary

The Wizard Global Systematic Program commenced trading in May 2008 as a Proprietary Account. This program employs computer assisted trading strategies based principally on technical analysis. Technical analysis uses internal market data (e.g., price, volume, open interest, sentiment) to determine price trends. No discretionary intervention has been utilized although Advisor does reserve the right to utilize its discretion in extraordinary circumstances. The program uses a wide spectrum of strategies including trend following, countertrend, and pattern recognition approaches developed and streamlined over many years of research. Additionally, this program incorporates a volatility adjusted portfolio allocation method developed initially by Louis Lukac and Jack Schwager. The program attempts to optimize position size on a daily basis based on the relative volatility of multiple market sectors across previous time period.

Market sector allocations are based on several criteria, including historical profitability, sector balance, and liquidity.

   

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
-24.53 21 - 9/1/2011 6/1/2013
-8.79 13 9 12/1/2008 1/1/2010
-8.62 1 3 6/1/2008 7/1/2008
-6.95 2 3 4/1/2011 6/1/2011
-4.65 1 5 10/1/2010 11/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
43.02 5 8/1/2008 12/1/2008
14.84 3 7/1/2011 9/1/2011
7.23 5 2/1/2010 6/1/2010
5.62 3 11/1/2012 1/1/2013
5.54 1 5/1/2012 5/1/2012
4.98 2 5/1/2008 6/1/2008
4.86 3 12/1/2010 2/1/2011
4.70 1 11/1/2009 11/1/2009
4.03 1 8/1/2010 8/1/2010
3.83 1 7/1/2012 7/1/2012
3.37 1 2/1/2012 2/1/2012
3.13 1 5/1/2009 5/1/2009
2.82 1 10/1/2010 10/1/2010
2.44 1 12/1/2011 12/1/2011
2.42 1 9/1/2009 9/1/2009
1.69 1 4/1/2011 4/1/2011
1.34 1 7/1/2009 7/1/2009
0.46 1 3/1/2013 3/1/2013
0.30 1 2/1/2009 2/1/2009
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-14.59 2 10/1/2011 11/1/2011
-8.62 1 7/1/2008 7/1/2008
-7.61 3 8/1/2012 10/1/2012
-6.99 3 4/1/2013 6/1/2013
-6.95 2 5/1/2011 6/1/2011
-6.66 2 12/1/2009 1/1/2010
-6.45 2 3/1/2009 4/1/2009
-6.05 1 6/1/2012 6/1/2012
-5.49 2 3/1/2012 4/1/2012
-4.65 1 11/1/2010 11/1/2010
-3.98 1 2/1/2013 2/1/2013
-3.98 1 6/1/2009 6/1/2009
-3.62 1 7/1/2010 7/1/2010
-2.08 1 10/1/2009 10/1/2009
-2.05 1 1/1/2012 1/1/2012
-0.61 1 8/1/2009 8/1/2009
-0.56 1 1/1/2009 1/1/2009
-0.24 1 3/1/2011 3/1/2011
-0.19 1 9/1/2010 9/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable54.8441.6749.1247.0646.6751.2837.0440.00
Average Period Return0.290.982.371.761.963.265.005.11
Average Gain3.257.399.1710.8212.1713.3123.1525.80
Average Loss-3.30-3.59-4.19-6.30-6.98-7.31-5.68-8.68
Best Period16.9436.4742.2233.9130.4538.1543.4134.47
Worst Period-11.65-12.51-14.97-17.12-18.86-13.68-15.83-11.67
Standard Deviation4.378.5511.2911.5512.4914.3018.3218.06
Gain Standard Deviation3.179.8212.6410.6510.4212.9419.016.46
Loss Standard Deviation2.542.663.173.635.034.983.873.11
Sharpe Ratio (1%)0.050.090.170.070.040.090.110.06
Average Gain / Average Loss0.982.062.191.721.741.824.082.97
Profit / Loss Ratio1.191.472.111.531.531.922.401.98
Downside Deviation (10%)3.004.195.298.7111.4413.2518.0823.55
Downside Deviation (5%)2.823.554.025.917.177.347.5810.13
Downside Deviation (0%)2.783.403.725.266.246.125.417.10
Sortino Ratio (10%)-0.04-0.06-0.02-0.37-0.49-0.53-0.60-0.70
Sortino Ratio (5%)0.070.210.470.130.060.170.260.10
Sortino Ratio (0%)0.100.290.640.330.310.530.920.72

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.