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

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Cumulative P&L presented above is actual P&L net of the commission, management and incentive fees listed on the History tab below. Tap on data types for more info or see definition below. Chart and data below are updated on a T+1 basis at 7:15 AM CDT. Refresh Data

Historical Performance
Monthly and summary statistics based on P&L net of the commission, management and incentive fees listed below.  Daily data is presented net of commission but gross of fees. Please tap on the statistic heading for the definition. Data updated at 7:15 AM CDT.

Performance Summary

Statistics ROR P&L
Cumulative P&L 40.58% $40,577.16
Max Drawdown -16.35% -$16,351.16
Current Drawdown 0.00% $0.00
% Losing Days 45.08% 275
Worst Day -10.83% -$10,838.42
Worst Month -10.80% -$10,797.98
Max Run Up 40.58% $40,577.16
% Winning Days 50.98% 311
Best Day 9.45% $9,445.00
Best Month 12.85% $12,854.65
Average Daily Gain 0.91% $905.39
Average Daily Loss -0.82% -$815.79
Average Month 1.10% $1,096.68
Monthly Standard Deviation 0.05 $4,813.31
Profit Factor 1.32 4.81%
Sharpe Ratio 0.71
Sortino Ratio 0.32
Kurtosis 0.8193
Skew 0.2329
Total Contracts 2,533
Date Trading Began 2018-01-01
Commission $5.00
Account Minimum $100,000.00
Management Fee 2.00%
Incentive Fee 22.00%
Liquidity Daily
Leverage 4 to 1
Max Margin to Equity 20%

Monthly ROR

2018 2019 2020 2021
Jan 1.00% 0.21% 5.78% 12.85%
Feb -5.74% -4.17% -10.80%
Mar 0.03% -4.99% 0.02%
Apr 3.72% -4.99% 4.86%
May 2.34% 0.79% 10.36%
Jun 4.65% 0.54% 11.26%
Jul 0.54% 0.67% 0.69%
Aug 5.23% 2.55% -3.28%
Sep -0.21% 4.11% 5.46%
Oct 2.54% -0.14% -4.40%
Nov 0.39% -0.35% -4.22%
Dec 0.56% 4.67% -1.99%
---
TOTAL 15.06% -1.09% 13.75% 12.85%

Correlation Matrix

Sys S&P NDX DJIA SX5E HSI CTA Bonds
Sys 0.13 0.12 0.04 0.01 0.00 0.11 -0.11
S&P 0.13 0.93 0.92 0.49 0.30 0.10 -0.21
NDX 0.12 0.93 0.81 0.43 0.25 0.13 -0.18
DJIA 0.04 0.92 0.81 0.52 0.34 0.05 -0.20
SX5E 0.01 0.49 0.43 0.52 0.36 0.22 -0.22
HSI 0.00 0.30 0.25 0.34 0.36 0.06 -0.12
CTA 0.11 0.10 0.13 0.05 0.22 0.06 0.11
Bonds -0.11 -0.21 -0.18 -0.20 -0.22 -0.12 0.11

VAMI for the referenced program based on daily compound rates of return net of the fees listed on the history tab. VAMI for benchmarks is based on published daily prices.  The above table represents a correlation matrix of the daily rates of return for the following programs: this program, S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and SG Trend Index.  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.

System Name:  Roe Capital Management Statera MR Program Model Account
Market Sector:
  Stock Indexes
Markets Traded:  ES
System Type:  Day Trading / Swing Trading
Risk per Trade:  varies
Trading Rules:  Not Disclosed
Account Minimum:  $100,000
Management Fee:  2% annually, billed monthly
Incentive Fee:  22%, high water mark
System Description:

The Statera MR Program is a short-term systematic mean reversion position and momentum day trading program which trades the Emini-S&P 500 futures contract.  The program’s trading edge is derived from exploiting the financialization of equity markets, taking advantage of the market structure and long bias which has arisen from the widely traded equity index.

The program is divided into two components: a day trade and overnight component, each containing several systematic trading models.  The position or overnight component consists of a mean reversion and pattern recognition strategy.  The mean reversion strategy seeks to profit from short term overbought or oversold conditions which occur against the dominant trend.  This model is long biased, with net short positions only possible in structural bear markets. There are two pattern recognition trades in the overnight component of the program which look for buying opportunities in cyclical market patterns, such as monthly option and quarterly equity futures expiration.  Overnight positions are typically held one to three days.

The day trade component is also heavily long-biased, though net short positions are taken in bull market conditions as well as bear markets. The main day trading model is a momentum model, which analyzes advancing and declining shares to arrive at a directional signal for the day.  In addition, the system employs a short term trend and momentum reversal algorithm to account for failures of the market to follow through with momentum.

Positions are sized to volatility, with larger positions taken in lower volatility markets and smaller positions in higher volatility markets.  A variety of range based stops are employed at the system level for each system to protect against large losses for any given trade in the model, as well as an overall portfolio stop employed at the model level.  For each $100,000 trading unit, a maximum of 3 contracts can be held overnight.  While the program is traded systematically, we apply a discretionary overlay to account for risk factors which are not contemplated by the trading models, such as event risk.

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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 clients match posted performance to their accounts. Tap on the data type for more info or see definition below.

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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 program 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, non-compounded returns (expressed as a percentage of the Account Minimum on the History Tab).  Please be aware of the following for each section:

VAMI Chart
Although VAMI stands for "Value Added Monthly Index", the VAMI chart above represents the daily growth of a $1,000 investment in one unit of this trading program and several benchmarks for the time period referenced above. Unless otherwise noted above, this VAMI for this program is presented inclusive of the commission listed on the history tab and net of the management and incentive fees listed on the History tab. 

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.  Each statistic uses 'simple returns' or non-compounded returns, in which the basis for each rate of return is the Account Minimum on the History tab. When possible, the P&L represented by the rate of return is also noted. Daily statistics like Best Day and Worst Day use daily returns inclusive of commission but gross of management and incentive fees, so as not to distort the presentation of risk. All cumulative data, like monthly data, is presented net of all fees. Please use the tooltips to see what fees are included with each statistic.

Monthly ROR Table
This table represents the monthly actual simple, non-compounded rate of return for one trading unit of this program. Unless otherwise noted above, this table is presented inclusive of the commission, management and incentive fees listed on the History tab. 

Daily GROSS 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 managers in matching our tracked performance to their  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.

Drawdown Chart (if present)
This chart represents the drawdown expressed as a cumulative rate of return from the last equity high to the listed date.  Drawdowns for the benchmarks listed on the VAMI chart are included as well.

Correlation Matrix
This table represents a correlation matrix of the daily rates of return for the following programs: this trading program, S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and SG Trend Index. 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.

Daily & Monthly Return Distribution (if present)
These charts represent a summation of daily and monthly non-compound rates of return for this program stratified into groups of returns which range from 0% to 20%.  

Intraday Chart (if present)
This chart represents the intraday gross 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 the commissions and fees in order to help clients match profit and loss to their daily statements and prelims. Data may be delayed by up to 10 minutes from real time.

Cumulative P&L Chart (if present)
This chart represents the cumulative actual profit and loss for one unit of this trading program for the time period referenced above. Unless otherwise noted above, this Cumulative Profit and Loss chart is presented inclusive of the commission and fees listed on the history tab. 

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 program 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.