APRIL 2010 PERFORMANCE
Precision FX: -8.11%
Chrome FX: -9.43%
Guardian FX: -0.05%
April Average: -5.86
* Account Discrepancies – Again, please remember that if your returns for a given month do not match our posted returns take note that our numbers are from the 1st of each calendar month, to the last trading day of the calendar month. If you have invested in the middle of the month, your numbers may not match ours. In addition to this, if we have open trades at month end, we calculate our return on the current balance that day, NOT the floating equity. So open trades which have not realised their PnLs yet, will be carried into May. For certain systems we have noticed small discrepancies between large investor’s accounts (100K+) and very smaller investor’s accounts. This often has to do with the broker’s min position sizes and how they are distributed with the allocation software in our MAM. All accounts are never out more than a percent, and usually match within a fraction of this.
Our Performance Table has also been updated with the following statistics of interest…
MONTH | PRECISION | CHROME | GUARDIAN | AVERAGE | |
Dec-08 | 32.30% | 72.73% | 52.52% | ||
Jan-09 | 18.70% | -4.19% | 7.26% | ||
Feb-09 | 27.50% | 160.30% | 93.90% | ||
Mar-09 | 29.50% | 21.97% | 25.74% | ||
Apr-09 | -34.40% | 61.33% | 13.47% | ||
May-09 | 53.30% | 33.35% | 3.52% | 30.06% | |
Jun-09 | 23.60% | 25.77% | 4.69% | 18.02% | |
Jul-09 | 10.10% | 20.69% | 4.13% | 11.64% | |
Aug-09 | 26.92% | 10.77% | 4.86% | 14.18% | |
Sep-09 | -0.32% | 5.44% | 5.79% | 3.64% | |
Oct-09 | -4.26% | 20.36% | 6.55% | 7.55% | |
Nov-09 | 10.76% | -20.98% | 30.98% | 6.92% | |
Dec-09 | 9.37% | 15.94% | 10.39% | 11.90% | |
Jan-10 | 33.63% | 27.91% | 16.02% | 25.85% | |
Feb-10 | 15.31% | 14.93% | 22.63% | 17.62% | |
Mar-10 | 15.43% | -5.08% | 3.23% | 4.53% | |
Apr-10 | -8.11% | -9.43% | -0.05% | -5.86% | |
TOTAL COMPOUNDED RETURN: | 748.12% | 2274.22% | 183.12% | 1068.49% | |
MONTHLY AVERAGE: | 15.25% | 26.58% | 9.40% | 17.08% | |
MONTH END TRADING RECAP
Precision FX - Scalping this month for the most part was plain and simple – terrible! Steep trending in the markets when they should be ranging, unusual patters etc.. it made for a very difficult month for PFX. I am sure those of you who scalp can relate to what we are saying. For those not familiar with scalping please read the article we recently posted found here: http://cayoflow.com/scalping.html .
Chrome FX - Those of you in the Chrome FX system saw that we had to break the hedge that we put on the account last month when switching to the new system. This was due to the fact that making the switch caused us some problems in the account which we had to contend with, and breaking the hedge caused us a -20% drawdown in the account. We restored some of the loss from breaking the hedge, and have had the new version of the system start on the account around the 9th of the month. Since then we have traded with one of the new strategies with relatively low risk and although it also was faced with some difficult market conditions, it has been performing as it should be with a few minor hiccups. This week we shall introduce the second sub-strategy into the account which should offer a very well rounded and safe system heading into the month of May.
Guardian FX - Last month Chrome FX was the problem child. This month, it appears as though Guardian FX is the system causing us headaches. Market conditions changed drastically mid-month and Neural Networks must constantly "train themselves" with artificial intelligence to learn and adapt to properly respond to new market conditions. Sometimes this entails new NNs being added or removed. We saw this response in the system this month. The problem arose in that the second NN did not work properly (risk wise) at our brokerage due to their minimum lot size requirements of 0.4 lots. This limitation largely caused the risk to be increased on the accounts about 5x what it should have been. To offset this we would have needed to have roughly 600K more in our MAMs. Then we ran into problems with the second NN in that the terminal was closing trades on its own when it sees that there is no margin. So the second NN ended up causing all kinds of problems to the system. Moving back to the 1st NN made the system scream for the second one to trade, so we ended up closing the open trades on the system today. *NOTE: We will be following up later with all Guardian FX investors regarding further action on the account.
Moving forward into May - Last year, April was one of the worst months for us performance wise. But in the same breath, May was also one of our best months. We speak frequently with various other large fund managers, and have good reason to believe that markets may correct in May, and we can expect to see a little normalization. While the markets are always shifting, we believe that the markets do move in cycles but also in long-term seasonal trends and patterns and we are preparing to take advantage of it. Many fund managers and traders we know really struggled in April. We have some indication that things will shift this month, and we are setting some lofty goals for the month of May!
NEW DEVELOPMENTS
A Note About Recent Changes and Upgrades – Our apologies once again to our investors for the pile of upgrades/changes and technical difficulties happening all at once lately. We are working very hard to get ALL systems running smoothly like a well oiled machine so that we do not have to spend all our time and efforts and money on trouble shooting these. We believe we are very close and that the month of May should be the month of getting back on track and simply letting the systems trade and do their thing. Please do not worry when you see changes occurring in the accounts in terms of new strategies as you have seen last month, and as you may continue to see. We try to explain this to all of our investors that especially with regards to automated systems, adjustments in response to market conditions are very necessary and the key to longevity. Automated systems that are not flexible often struggle for the longest periods of time. It goes without saying that one of the most important factors of long-term trading success and profitability over the long-term while achieving a constant and steady level of growth is in one's ability to adapt and evolve with the dynamics of the market within which they are trading. We can almost guarantee that this will not be the last changes you will see with our systems, but we hope that we won’t have to worry about this for a little while yet at least. We really want to buckle down and focus on trading for a nice block of time.
Option for USA Citizens - We are very excited to announce that we may very shortly have a brokerage option available for USA citizens to participate with us through. This is a large and reputable USA based brokerage, but who obtains their liquidity from overseas. They are registered with the NFA and CFTC, however we do not have to be, and are not subject to the trading restrictions which are part of these agencies regulation such as anti-hedging, FIFO etc… We have been on a very intensive brokerage hunt for the past few months looking at options to accommodate USA clients. This brokerage looks like it will for sure be suitable for Chrome FX and also Guardian FX (it should be able to accommodate to the second NN as well, where our current brokerage can’t). The only system which may not be able to trade here is Precision FX. More testing will be required for this system as it is so high maintenance. More details will be released upon our approval as a money manager at the new brokerage in the next coming days.
Account Audits – FINALLY these are ready!! We have received a draft version of the compiled report by the CPA we have selected to audit our accounts. This was more involved than we originally predicted and we had to involve our brokerage in with the verification process of the accounts and the results. While this was rather tedious this time around, it will be much easier come the second time. We are working out the final kinks, but the audit should be posted to the website before the end of this week. This will be an independent review and audit of our account performance for Q1 of this year, and will be conducted every quarter from here on forward. The audit will comply with the standards set forth by the American Institute of Certified Public Accountants.
Segregated Accounts – These will finally be available for HNW clients (1M+) within 2 weeks! The first bank which will be available will be Citi Bank London. Client’s funds who participate through the segregated accounts will not have to leave their own bank account and can be traded via our managed accounts with forex settlements made daily as the bank will clear the trades. This is not open to the public and available only to certain money managers. The round turn commission on the segregated accounts may be slightly more than those who deposit directly at our brokerage’s deposit banks so this is something to keep in mind, but should be well justified for those looking for the added security and peace of mind.
New Systems – We will keep this very brief on this update as we have many other issues to deal with. However we have shared some information with many of you already about 2 new systems we are testing which look extremely attractive at this point. One of them being an arbitrage system which we have waited for a VERY long time to get our hands on. These may be made available sooner rather than later, and should the arbitrage system (triangular) in particular work as well as expected (and initial tests have shown), it certainly will be our “bread and butter” product. We always continue with our R&D, but lately our focus has not left these two systems. We will keep the details short for now, but we are very very excited about the potential which these systems may hold.
SUMMARY
We are easing back into the markets lightly this week, but the key to remember here is that we are not going anywhere! We are working harder than ever, and we will attack the markets fresh this month and look to rebound back with some healthy profits. We want all our investors to understand that we are here for the long haul and that all our systems are “annual systems”. By this we mean that we use short-term strategies for long-term gain. We will inevitably encounter periods of negative performance from time to time. It’s simply the nature of the beast. But when we look back at the profits we have made over the course of the full year, we are quite sure we will be very satisfied and content with the fact that we are sitting on triple digits gains (across all systems). It’s not an easy task by any means, but we will roll with the punches and do our best to ensure we all reach our goals.
Please visit our website and blog for frequent updates and newsletters, and do not hesitate to contact us at any time should you have any inquires or concerns you would like to converse about.
Thank you to all our current investors for your trust once again in trading with us, and sticking through these transition times with us as we make adjustments to some of our funds. We look forward to making May a “shine through” month of healthy profits for all!
Warm Regards,
The Cayo Flow team
No comments:
Post a Comment