CTA Profiles Sweet Futures

Start Date: Jan-2019
Apr Return: 0.03%
YTD Return: 0.64%
Annual CROR: 11.93

Worst Drawdown: -3.99%
Losing Streak: 0.00 %
Sharpe Ratio: 1.89
Calmar Ratio: 17.95

Min Investment: $82,500
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0509058

Margin: 8-20%
Mgt Fee: 1%
Incentive Fee: 20%
Round Turns: 8,800

Trading Strategy: The Oceanaa Futures program is a short-term statistical pattern recognition strategy. The program only trades one derivative of one specific pattern and is unique to the G10 currency markets. We have studied over 100 years of G10 data in all market conditions and this pattern has emerged with enough frequency to trade. We trade positions within a strict, established framework and more importantly, manage the risk within defined parameters of the performance envelope of the Ascinaa program. The Ascinaa program has always been heavily bias toward managing risk and maintain low drawdowns and low volatility. We have now leveraged this in the Oceanaa program to provide a more dynamic performance profile but nevertheless maintain the same risk management techniques. Risk Strategy: There is a heavy bias in the program to manage drawdowns and volatility. Through our understanding of the monthly historical data, and past performance, we consider we are able to recover relatively quickly if drawdowns occur in any given month. Within the development, and risk framework of the program, positions are strategically placed concurrent with tight stop loss orders on larger than average margin to equity trades. Some stages will require minor margin requirements and these stop loss orders will have a somewhat different and larger separation.

Accounting Notes: Hypothetical ProForma Performance Results adjusted for a 1% management fee and a 20% incentive fee from Jan 2019 to Oct 2023 based on the a 4x leveraged version of the Ascinaa Program. The Oceanaa Futures utilises the same risk management framework and architecture as the Ascinaa Program with 4X leverage. Client results starting in November 2023.

Trading Methodology
80% Systematic
20% Discretionary
Trading Style
100% Pattern Recognition

Style Sub-Categories
Pattern Recognition

Holding Period
70% Short Term
30% Intraday
Sector: US
Contracts: Futures

Market Allocation
100% Currencies

Hypothetical ProForma Performance results are based on 4X leverage results of Senaca Ascinaa program adjusted for a 1% management fee and 20% incentive fee from Jan 2019 to Oct 2023. Client results from Nov 2023.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.00%	0.47%	0.14%	0.03%									0.64%	0%
2023	1.04%	-0.08%	1.36%	0.16%	0.20%	0.48%	0.73%	-0.08%	1.15%	-0.08%	-0.44%	1.50%	6.08%	-0.52%
2022	-0.01%	0.59%	0.23%	0.48%	2.13%	-0.22%	2.42%	0.76%	0.52%	-0.08%	0.27%	-0.01%	7.27%	-0.22%
2021	2.16%	-2.86%	-1.16%	0.27%	4.21%	0.13%	0.94%	4.14%	0.16%	3.47%	0.13%	0.25%	12.23%	-3.99%
2020	0.09%	-0.08%	-0.08%	-0.05%	4.79%	3.01%	0.20%	0.09%	1.05%	2.65%	2.23%	0.13%	14.81%	-0.21%
2019	2.40%	0.02%	1.62%	1.44%	1.83%	0.63%	1.59%	8.27%	1.09%	0.13%	-0.01%	2.62%	23.6%	-0.01%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

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Track Record Prepared By: Lisa Casagni, CPA

Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

Round Turns - Represents the annual number of Round Turns per $1 million.