| Recommended Starting Balance | $600,000.00 |
| Cumulative Net Profit | $1,428,638.88 |
| Largest Drawdown | ($19,137.00) |
| Best Year 2015 +57.17% | $343,038.00 |
| Worst Year 2009 +11.92% | $71,495.60 |
| 2007-2016 Average +23.81% | $142,863.89 |
| 30 December 2016 +36.34% | $218,043.00 |
This portfolio trades 6 trend following and 6 range trade systems. Cumulative net gain is calculated trading 1 contract per system, no compounding of positions and withdrawing all net profits annually. Greatest net drawdown is calculated from highest high to lowest low marked to the market daily prior to recovery and a new high.
Below are links to full disclosure of all 12 trading systems. I’ve included all supporting historical price data, every order generated 2007-2016, every trade entry, offset, gain or loss enabling you to verify past performance and monitor trades moving forward.
| Apple | $55,349 | ($12,685) | $553,494 | $76,865 |
| aapl01t | $20,958 | ($11,394) | $209,585 | $48,635 |
| aapl02t | $12,530 | ($9,640) | $125,300 | $18,160 |
| aapl01r | $11,897 | ($12,060) | $118,971 | $8,750 |
| aapl02r | $9,963 | ($7,575) | $99,637 | $1,320 |
| Google A | $43,858 | ($9,526) | $438,588 | $93,898 |
| googl01t | $16,372 | ($8,423) | $163,728 | $22,595 |
| googl02t | $14,283 | ($5,689) | $142,833 | $19,919 |
| googl01r | $6,751 | ($7,017) | $67,517 | $33,791 |
| googl02r | $6,450 | ($8,356) | $64,509 | $17,593 |
| JP Morgan | $43,655 | ($11,250) | $436,555 | $47,290 |
| jpm01t | $9,248 | ($14,070) | $92,479 | $23,729 |
| jpm02t | $10,602 | ($12,350) | $106,020 | $1,850 |
| jpm01r | $9,946 | ($15,120) | $99,460 | $6,050 |
| jpm02r | $13,859 | ($16,190) | $138,595 | $14,280 |
Determining your own allocation
You can set your account up to automatically trade any of the 4,095 possible combinations of the 12 systems in this portfolio.
This study takes the daily “out of sample” performance for the 12 systems traded in this portfolio then ranks the 4,095 possible combinations of the 12 systems by life of program reward on risk.
Click here for the spreadsheet containing the 4,095 possible combinations. (Reward on risk = life of program total net profit divided by maximum life of program drawdown)
Contact us if you would the 2007-2016 monthly performance statement for any set number (vertical column G on the spreadsheet)
Click here for the spreadsheet containing all possible combinations for the 12 systems ranked by minimum investment from $95,591 to $600,000.
Contact us if you would the 2007-2018 monthly performance statement for any set number (vertical column G)
Cumulative net gain is calculated trading 1 contract per system, no compounding of positions and withdrawing all net profits annually. Greatest net drawdown is calculated from highest equity high to lowest low marked to the market daily prior to recovery and
Risk control
Should any trading program’s drawdown increase by 50% the program is shut down. Example if the previous worst case drawdown between 2007-2017 is $15,000 and the drawdown increases to $22,500 the program is shutdown, clients are notified and given the choice to change strategy/managers or liquidate.
Clients can also establish a “maintenance balance” for their account at any time. Should the account fall below the maintenance balance as of the settlement of any day my team will automatically liquidate all positions on or before the next close and report back to the client, more on maintenance balances.
Schedule an online review and we’ll answers your questions and provide you supporting links for verification.
Peter Knight Asset Investment Management
All funds are held in segregated accounts
Financial Safeguard System
Brokerage firms
Accounts can be funded and maintained in any major currency
Orders for your account can be placed and monitored automatically by my team
Allocations can be modified at any time (adding or subtracting strategies/markets)
Maintenance balances can be modified at any time
Mark-to-market valuation are online
A report of positions and balance is emailed daily
Liquidity in portion or all is 2 to 48 hours
Opening instructions for accounts $10,000 to $500,000 USD.
Opening instructions for accounts $500,000 or more USD.
Regards,
Peter Knight Advisor
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