Double Helix
Option Writer / Stock Index
Two of the most time tested trading strategies are trend-following and options selling. Each have their own strengths and weaknesses. Trend-following does well in trending markets, but option selling can have difficulty. Trend-following slowly loses money in sideways markets, while options selling does well.
Double Helix is a unique CTA that attempts to harness the power of both strategies. We sell weekly options on the S&P 500, but sell puts only – no calls. Double Helix employs a sophisticated algorithm that trend-follows the S&P 500 Index. As long as the algorithm is indicating a sideways to higher S&P 500, Double Helix will initiate a new position each day. When the program signals a “market cautionâ€, and potentially a lower S&P 500, the program will cease new positions. Double Helix will continue to monitor markets and reenter when the S&P 500 is back in a sideways to higher pattern.
Risk management is one of Double Helix’s strongest attributes. All positions are monitored 24-hrs a day and managed by our sophisticated risk management system. Each position has a specific risk management level and will be exited, day or night, if that level is reached.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -13.48% |
| From Sep 2014 to Feb 2016 | |
| Worst Month (Aug 2015) | -9.33% |
| Current Losing Streak | -6.27% |
| Average Monthly Return | 0.35% |
| Monthly Std. Deviation | 2.03% |
| Gain Deviation (125 months) | 0.81% |
| Loss Deviation (42 months) | 2.26% |
| Gain to Loss Ratio | 0.54 |
| Omega Ratio (5% Threshold) | 0.9 |
| Annualized Performance |
|
| Compound ROR (1) | 4% |
| Standard Deviation | 7.03% |
| Downside Deviation | 5.57% |
| Sharpe Ratio (3) 2% RF ROR | 0.54 |
| Sortino Ratio (4) 5% MAR | 0.7 |
| Calmar Ratio (5) | 0.38 |
| Sterling Ratio (6) | 0.25 |
| Gain Deviation | 2.8% |
| Loss Deviation | 7.83% |
| Profit Loss Ratio | 1.6 |
| Investment Information |
|
| Program Start Date | Jan-2012 |
| Percent Discretionary | 5% |
| Percent Systematic | 95% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $50,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| Margin | 35-45% |
| Round Turns per Million | 6,750 |
| NFA No: | #0271551 |
| Performance Since January 2012 | Track Record Compiled By: Turnkey Trading Partners |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.23% | 0.43% | 0.17% | 0.26% | 0.08% | 0.03% | 0.68% | 0.38% | 0.86% | -0.64% | 0.00% | – | 3.52% | -0.64% |
| 2024 | 0.83% | 1.36% | 1.47% | -3.12% | 1.33% | 1.63% | 1.42% | -4.53% | -3.05% | 0.81% | 1.40% | -4.31% | -5.00% | -9.46% |
| 2023 | 1.17% | 1.48% | 0.16% | 0.81% | 1.00% | 1.02% | 1.25% | 0.90% | 0.57% | 1.31% | 1.28% | 0.94% | 12.55% | 0.00% |
| 2022 | -1.10% | -2.52% | 0.07% | -0.78% | 1.75% | -3.28% | 1.90% | 1.60% | 0.30% | 1.42% | 1.14% | 0.38% | 0.72% | -5.80% |
| 2021 | -2.53% | -0.05% | 1.88% | 1.01% | 0.45% | 1.73% | 1.18% | 0.96% | -0.21% | 1.87% | -1.18% | 0.54% | 5.70% | -2.58% |
| 2020 | -2.13% | -7.32% | -0.29% | 0.19% | 0.15% | -1.61% | 1.61% | 1.25% | -0.80% | -0.29% | 0.39% | 1.11% | -7.77% | -10.71% |
| 2019 | 1.55% | 1.12% | 1.31% | 1.28% | -1.56% | 1.68% | 0.47% | -4.64% | 1.78% | 1.54% | 1.40% | 1.88% | 7.88% | -4.64% |
| 2018 | 0.21% | -0.35% | -1.15% | -0.38% | 0.86% | 0.85% | 1.06% | 0.45% | 1.15% | -3.38% | 1.37% | -1.69% | -1.11% | -3.71% |
| 2017 | 0.81% | 1.42% | 1.41% | 0.46% | 0.51% | 0.25% | -0.24% | -0.92% | 1.13% | 1.07% | 0.97% | 0.25% | 7.33% | -1.16% |
| 2016 | -0.45% | -1.62% | 1.10% | 0.71% | 1.38% | 1.18% | 1.27% | 1.13% | -2.89% | 0.60% | 0.44% | 0.93% | 3.75% | -2.89% |
| 2015 | 0.22% | 3.34% | 1.50% | 1.57% | 1.62% | 0.01% | 2.60% | -9.33% | -0.17% | 2.22% | 2.25% | -4.56% | 0.53% | -9.71% |
| 2014 | -2.39% | 0.78% | 2.70% | 1.69% | 2.03% | 1.05% | -1.93% | 4.58% | 0.58% | -9.26% | 1.10% | -4.21% | -3.98% | -12.12% |
| 2013 | 1.09% | 0.71% | 3.66% | 2.21% | -0.99% | 1.27% | 2.06% | -1.91% | 2.28% | 0.75% | 1.03% | 2.18% | 15.18% | -1.91% |
| 2012 | 3.62% | 2.45% | 2.76% | 1.99% | -2.63% | 3.09% | 1.13% | 2.25% | 0.98% | 2.32% | 0.82% | -0.06% | 20.24% | -2.63% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
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