Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The SRD Energies program trades electronic NYMEX Crude Oil and Natural Gas future contracts. This program endeavors to “buy supports” and “sell resistances,” in each case using stops for protection and seeking a multiple of any amount risked. Proprietary pattern recognition models generate trade signals. This program trades 99% outright futures, 1% future options, mostly on an intraday basis. For risk management purposes, future positions are not held over the weekend.
Investment Strategy
The Support & Resistance Diversified ("SRD") programs focus on trading organic support & resistance levels, which are often former highs and lows. By buying futures near perceived supports (floors) and selling futures near perceived resistances (ceilings), the manager takes a somewhat counter-trend approach, looking to benefit from short-term buying or selling exhaustion. This program utilizes proprietary pattern recognition systems to generate trade ideas.
Risk Management
The Manager enters stop-orders to exit losing positions, alongside limit orders to initiate positions. The Manager intends to keep daily V.A.R. at approximately 2%, or less. Market liquidity, Order book behavior, economic reports, margin requirements and profitability goals are all factored into decisions.
AUM & Cumulative Returns
Distribution
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
Blake Capital Management, Inc. SRD Energies
Average RoR
-0.08%
Max Gain
0.68%
Gain Frequency
34.09%
Average Gain
0.22%
Gain Deviation
0.22%
Risk
Standard Deviation
0.31%
Worst Loss
-0.91%
Loss Frequency
63.64%
Average Loss
-0.25%
Loss Deviation
0.21%
Reward/Risk
Sharpe (RFR=1%)
-0.54
Skewness
0.13
Kurtosis
1.31
Reward
Blake Capital Management, Inc. SRD Energies
Compound RoR
-1.02%
Average RoR
-1.02%
Max Gain
-0.12%
Gain Frequency
0.00%
Average Gain
Gain Deviation
Risk
Standard Deviation
1.07%
Worst Loss
-1.43%
Loss Frequency
100.00%
Average Loss
-1.02%
Loss Deviation
0.73%
Reward/Risk
Sharpe (RFR=1%)
-1.88
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 (Months)
Recovery (Months)
Peak
Valley
-3.69
43
—
8/2011
3/2015
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
0.68
1
7/2013
7/2013
0.65
1
11/2013
11/2013
0.54
1
1/2014
1/2014
0.30
1
4/2013
4/2013
0.23
1
3/2012
3/2012
0.19
1
2/2015
2/2015
0.18
1
10/2012
10/2012
0.17
1
12/2014
12/2014
0.15
2
12/2011
1/2012
0.11
1
2/2013
2/2013
0.07
1
6/2012
6/2012
0.03
1
9/2013
9/2013
0.03
1
10/2014
10/2014
0.02
1
4/2014
4/2014
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-1.33
5
5/2014
9/2014
-0.91
1
10/2013
10/2013
-0.88
3
7/2012
9/2012
-0.51
3
11/2012
1/2013
-0.49
2
2/2014
3/2014
-0.49
2
4/2012
5/2012
-0.45
4
8/2011
11/2011
-0.41
1
1/2015
1/2015
-0.38
1
3/2015
3/2015
-0.36
1
11/2014
11/2014
-0.29
2
5/2013
6/2013
-0.26
1
2/2012
2/2012
-0.15
1
8/2013
8/2013
-0.12
1
3/2013
3/2013
-0.05
1
12/2013
12/2013
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
