PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Actual results may vary, please read disclaimers below.

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VAMI presented above is actual profit and loss net of the commission and subscription fees listed below. See definitions below. Chart and data below are updated on a T+1 basis at 7:15 AM CDT.

Historical Performance

Performance Summary

SystemS&P 500SGCTAAGG
VAMI-$1,923$1,446$1,133$1,054
Cumulative ROR-292.25%44.65%13.30%5.39%
CAGR20.27%6.44%2.66%
Max Drawdown-352.76%-20.00%-8.58%-2.39%
Date of Max DD06-202103-202010-202003-2020
Current DD-352.76%0.00%0.00%-1.30%
% Losing Months48.00%28.00%40.00%40.00%
Worst Month-100.49%-12.51%-3.19%-0.98%
Max Run Up60.51%44.65%13.30%6.77%
% Winning Months48.00%68.00%56.00%56.00%
Best Month65.48%12.68%5.59%1.73%
Average Gain13.22%4.19%1.98%0.67%
Average Loss-37.58%-4.39%-1.46%-0.40%
Average Month-11.69%1.62%0.52%0.21%
Monthly Standard Deviation36.20%5.27%2.13%0.68%
Sharpe Ratio-1.121.070.851.08
Sortino Ratio#NUM!0.480.480.67
Ulcer Index31.590.700.930.14
UPI Index-1.288.041.955.11
Mar Ratio1.010.751.11
Downside Deviation35.01%3.26%1.09%0.33%
Kurtosis0.97561.7977-0.1327-0.2084
Skew-0.7720-0.53380.46390.4328
Correlation------0.42-0.320.13
R^2-----0.180.110.02
Beta------2.88-5.53-5.53
Alpha------7.09%-8.93%-12.89%
Annualized Alpha------58.63%-67.46%-80.91%
Commission$5
Management Fee0
Incentive Fee0
Minimum Account$5K
Investor RestrictionsNone

Monthly ROR

JanFebMarAprMayJunJulAugSepOctNovDecYearDD
20191.05%16.96%14.77%1.60%3.68%2.99%41.04%0.00%
20206.24%13.24%-44.34%-0.20%-19.22%-6.64%-55.06%-81.93%65.48%14.51%-100.49%-67.43%-275.85%-295.32%
202113.32%-17.20%-47.91%4.85%-4.05%-6.45%-57.44%-70.76%

RISK MANAGEMENT

The program works a live stop on all trades.  Positions are sized using a fixed equity money management strategy and the program spends a substantial amount of time in cash.

Drawdown ROR above is based on actual monthly compounded returns net of all fees.

Correlation Matrix

SystemS&PNDXDJIAHSICTABonds
System-0.42-0.49-0.42-0.32-0.320.13
S&P-0.420.930.970.560.190.10
NDX-0.490.930.850.530.110.22
DJIA-0.420.970.850.520.170.00
HSI-0.320.560.530.52-0.08-0.17
CTA-0.320.190.110.17-0.080.19
Bonds0.130.100.220.00-0.170.19

This table represents a correlation matrix of the monthly rates of return for the following benchmarks:  this program, S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, Hang Seng Index, SG CTA Index and iShares US Aggregate Bond ETF (AGG).  Only the AGG is directly investable. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

CLEARPATH PROGRAM DESCRIPTION

The ClearPath system is a combination of two trading techniques for trading the S&P, E-Mini and E-Micro futures. Typically, there will be 1 to 3 or 4 trades per month, with trades lasting in most cases from as little as 24 hours to several weeks, and on rare occasions even longer.   Though the systems trade futures, they also use price data of the the cash indexes and other fundamental data as filters. Thus, trading tends to be more prolific during times where there are stronger underpinnings to the equities markets.

Client accounts under $100,000 USD initial euity will trade Micro S&P 500 futures contract, while client accounts with initial equity greater than $100,000 USD will trade the E-Mini S&P 500 futures contract.

System Name:  ClearPath
Market Sector:
  Stock Indexes
Markets Traded:  ES, MES
System Type:  Swing Trading
Risk per Trade:  varies
Trading Rules:  Not Disclosed
Suggested Capital:  $5,000
Developer Fee per contract:  $25.00 Monthly Subscription

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Daily GROSS P&L presented above is actual P&L gross of ALL commission and fees listed above. It is intended to help customers match system performance to their brokerage statements.  Tap on the data type for more info or see definition below.

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Accounting Note:  None.

IMPORTANT RISK FACTORS AND PERFORMANCE DISCLOSURES

THE RISK OF LOSS IN TRADING COMMODITY FUTURES AND OPTIONS CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to purchasing or leasing a trading system from this or any other system vendor or investing in a trading system with a registered commodity trading representative, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. In some cases, futures accounts are subject to substantial charges for commission, management, incentive or advisory fees. It may be necessary for accounts subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. In addition, one should carefully study the accompanying prospectus, account forms, disclosure documents and/or risk disclosure statements required by the CFTC or NFA, which are provided directly by the system vendor, CTAs and/or the broker carrying your account. Past performance is not necessarily indicative of future results.

Important Information About this Trading System Analysis

Unless otherwise specified, the tables and charts above represent the summation of actual trades based on system-specified orders executed through BTR Trading Group, Inc. using the referenced trading system or system vendor for the stated time period.  Performance statistics referenced herein represent a model tracking account. This tracking account rises or falls based on the average per trading unit profit and loss achieved by actual clients trading this system. Profits are not reinvested and all rates of return are 'simple returns' (non-compounded or expressed on the basis of the Recommended Account Size above).  Please be aware of the following for each section (if they appear):

Intraday Chart
This chart represents the intraday actual profit and loss for one trading unit of this trading system marked to the market each minute.  Unless otherwise noted above, the Intraday Chart is presented gross of all fees. Data may be delayed by up to 10 minutes from real time.

Current Position
This table represents the current status of one trading unit of the trading system marked to the market each minute. Unless otherwise noted above, all closed P&L on the Current Position table is presented inclusive of the commission on the History Tab, but gross of the system developer's monthly subscription fee.  The table listing for 'Open P&L', or P&L only for the open position, is listed gross of commissions and fees. Data may be delayed by up to 10 minutes from real time.

Recent Trades
This table represents the most recent daily trades experienced by one trading unit of this system.  Trades are delayed by up to one hour from execution in order to prevent non-subscribers from using this information to follow the system.

Cumulative P&L Chart
This chart represents the cumulative actual profit and loss for one unit of this trading system for the time period referenced above. Unless otherwise noted above, this Cumulative Profit and Loss chart is presented inclusive of the commission listed on the history tab and net of the system developer's monthly subscription fee.  The subscription fee is amortized on a daily basis for each day in a given month in which the system trades.

Performance Summary Table
Each listing in the table is defined in a 'tooltip', simply tap on the statistic to read its definition.  Each statistic is calculated for one trading unit of the trading system,  unless otherwise noted above, inclusive of the commission listed on the History tab and net of the system developer's monthly subscription fee.  The subscription fee is amortized on a daily basis for each day in a given month in which the system trades.  Each statistic uses 'simple returns' or non-compounded returns, in which the basis for each rate of return is the Recommended Account Size on this table.

Monthly P&L Table
This table represents the monthly actual profit and loss for one trading unit of the trading system. Unless otherwise noted above, this table is presented inclusive of the commission listed on the History tab and net of the system developer's monthly subscription fee.  The subscription fee is amortized on a daily basis for each day in a given month in which the system trades.

Daily P&L Chart
This chart represents the actual gross daily profit and loss for one trading unit of the trading system.  Unless otherwise noted above, this chart is presented GROSS of ALL commissions and fees.  This chart is intended to assist developers in matching our tracked performance to their hypothetical results or to assist customers in matching P&L to their daily brokerage statements, etc. It resets at the beginning of each month in order to make the chart easier to read.

Benchmarks Chart
This chart compares the performance of this program to several benchmarks.  The S&P 500 (S&P 500) is unmanaged, not directly investable, reflects reinvestment income and does not reflect the impact of advisory fees. SocGen’s CTA Index (SGCTA) is not directly investable and reflects reinvestment income and any distributions. The iShares Aggregate US Bond ETF (US Bonds) is investable, reflects reinvestment income and distributions and is used to benchmark program performance against a diversified portfolio of bonds. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. There can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these benchmarks is compiled from various sources and is based on end of day data available to us.

Correlation Matrix
This table displays the correlation of daily rates of return between this program and the following benchmarks:  S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and iShares Aggregate US Bond ETF (US Bonds). Only the iShares Aggregate US Bond ETF is directly investable. All rates of return reflect reinvestment income except this program. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

Actual dollar and percentage gains/losses experienced by investors would depend on many factors not accounted for in these statistics, including, but not limited to, starting account balances, market behavior, developer fees, incidence of split fills and other variations in order execution, and the duration and extent of individual investor participation in the specified system. While the information and statistics given are believed to be complete and accurate we cannot guarantee their completeness or accuracy. THIS INFORMATION IS PROVIDED FOR EDUCATIONAL AND INFORMATIONAL PURPOSES ONLY. These results are not indicative of, and have no bearing on, any individual results that may be attained by the trading system in the future.

The information contained in this report is provided with the objective of “standardizing” trading systems performance measurements, and it is intended for educational /informational purposes only. All information is offered with the understanding that an investor considering purchasing or leasing a system must carry out his/her own research and due diligence in deciding whether to purchase or lease any trading system noted within or without this report. This report does not constitute a solicitation to purchase or invest in any trading system which may be mentioned herein.

NO FINANCIAL ADVICE PROVIDED: BTR TRADING GROUP MAKES NO REPRESENTATIONS AS TO WHETHER AN ALGORITHMIC STRATEGY IS APPROPRIATE FOR YOU. FURTHER, BTR TRADING GROUP MAKES NO REPRESENTATIONS OR GUARANTEES AS TO THE PERFORMANCE OF ANY ALGORITHMIC TRADING SYSTEM OR STRATEGY. THROUGH YOUR OWN SELECTION, IT IS UP TO YOU TO DECIDE WHETHER A STRATEGY IN WHICH YOU PARTICIPATE IS APPROPRIATE FOR YOU. YOU ACKNOWLEDGE THAT YOU ARE CAPABLE OF INDEPENDENTLY ANALYZING SUCH CONTENT USING YOUR OWN EXPERTISE, DUE DILIGENCE AND DECISION MAKING AND THAT YOU ARE NOT RELYING ON THIS SITE AS A BASIS FOR ANY DECISIONS YOU MAY MAKE CONCERNING INVESTMENTS.

YOU SHOULD NOT CONSIDER ANY CONTENT ON THIS SITE TO BE PROFESSIONAL INVESTMENT, TAX, TRADING OR OTHER FINANCIAL ADVICE. NOTHING ON THE SITE SHOULD BE CONSTRUED AS A RECOMMENDATION OF ANY SECURITY, FUTURES CONTRACT, COMMODITY, TRANSACTION, INVESTMENT STRATEGY, OR EXCHANGE OR MARKET BY BTR TRADING GROUP, ITS AFFILIATES OR ANY THIRD PARTY. ALL CONTENT ON THIS SITE IS IMPERSONAL AND NOT TAILORED TO THE INVESTMENT NEEDS OF ANY SPECIFIC PERSON.

General Risk Disclosure for Futures Trading: Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk. The amount of initial margin is small relative to the value of the futures contract, meaning that transactions are heavily “leveraged”. A relatively small market movement will have a proportionately larger impact on the funds you have deposited or will have to deposit: this may work against you as well as for you. You may sustain a total loss of initial margin funds and any additional funds deposited with the clearing firm to maintain your position. If the market moves against your position or margin levels are increased, you may be called upon to pay substantial additional funds on short notice to maintain your position. If you fail to comply with a request for additional funds within the time prescribed, your position may be liquidated at a loss and you will be liable for any resulting deficit.