II. eminiworld TREC MODEL & eminiworld TREC_6 PORTFOLIOS PRESENTATION
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1 Contents I. eminiworld TREC_ TREASURIES PORTFOLIO PRESENTATION How to set and run eminiwold TREC_TREASURIES Initial margin required to trade eminiwold TREC_ TREASURIES eminiwold TREC_ TREASURIES factsheet II. eminiworld TREC MODEL & eminiworld TREC_6 PORTFOLIOS PRESENTATION eminiwold TREC advantages eminiwold TREC description Most effective way to trade eminiwold TREC Initial margin required to trade eminiwold TREC_6 PORTFOLIOS eminiwold TREC_6 PORTFOLIOS Correlation Matrix eminiwold TREC_6 PORTFOLIOS factsheet III. eminiworld TREC ON STRATEGY NETWORK eminiwold TREC on TradeStation Strategy Network Contact Us 7 7 1
2 Every trader or fund manager is able to adopt eminiworld TREC trading model to his risk and portfolio management rules and style. How to set and run eminiwold TREC_TREASURIES Due to Strategy Network provider s inability to verify strategy with custom session trader will have to follow few steps to set eminiworld TREC_ TREASURIES for trading: 1. First Subscribe/Bring to free trial eminiworld TREC_ TREASURIES on Strategy Network; 2. Make sure you are running TradeStation 9.1; 3. Click to download session file (.zip) and unzip downloaded file; 4. Move all unziped.cst files to your TradeStation program sessions folder (C:\Program Files\TradeStation 9.1\Templates\Sessions);. Download List of instances_treasuries with defined custom session time for each instance/chart (.pdf file); 6. To change session time right click on a chart and choose Format Symbol, go to Properties and click the tab right to Regular session. After new window Sessions will pop up, choose Use custom session(s). Finally choose appropriate session time for every instance/chart as indicated in the List of instances_treasuries you have just downloaded. See a short movie how to do this; 7. Change continues symbols to currently trading future contract for every chart. See a short movie how to do this; 8. Save workspace. P.S. Always use Look-Inside-Bar for historical back-testing. Initial margin required to trade eminiwold TREC_TREASURIES SYMPOL ROOT DESCRIPTION NO OF INSTANCES INITIAL MARGIN/CONTRACT TOTAL INITIAL -YR T-NOTE 6 $878 2-YR T-NOTE 11 $ YR T-NOTE 36 $1,48 30-YR T-BOND 8 $3,780 $30, $93,049 eminiwold TREC_TREASURIES Correlation Matrix FV TU TY US TREC_TREASURIES FV TU TY US TREC_TREASURIES
3 20 % PERFORMANCE TREC TREASURIES DJCS HFI (MF) 200 % 10 % 100 % YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 1.07% -0.07% 2.20% 3.72% 0.97% -1.81% 2.23% 2.13% -0.26% 1.23% 2.96% 1.34% % 1.17% 2.93% -1.74% -1.19% 1.78% 2.3% 1.0% 0.16% 1.06% -0.41% 1.29% 9.36% % 0.32% -0.02% 2.43% 2.34% 1.% -3.31% 2.99% -0.76% -1.08% 0.23% 1.73% 6.06% % -0.70% -0.88% -0.33% -1.6% 0.61% 1.01% 0.47% 1.08% 1.2% -0.16% -1.46% -0.41% % 2.7% -2.12% 0.74% -0.9% 0.21% 1.87% 2.1% 1.64% 0.20% 3.13% -0.09% 9.61% % 2.87% 0.2% -1.34% -1.% 3.38% 0.31% 2.03%.68% 0.91% 7.68% 6.32% 31.79% % 0.72% 6.29% 0.22% -0.94% 1.% 3.3% -0.3% 3.30% 1.61% 2.83% -1.0% 17.90% % 0.71% -0.02% 2.28% 4.8% 2.84% 0.84% 1.8% 1.06% -1.0% 1.4% -1.7% 12.89% % -0.38% 0.47% 1.44% 1.96% 1.09% 3.28% 1.24% 2.66% 0.37% -0.68% 2.22% 1.12% % -1.10% -0.11% 0.40% 1.96% -0.92% 0.66% -0.8% 0.83% *Performance is based on trading one contract per TREC instance. No reinvestment. -YR T-NOTE 2-YR T-NOTE Profit / Year 11.9% Best Month 7.7% 30-YR T-BOND Monthly Volatility 1.9% Worst Month -3.3% Sharpe Ratio Ann Avg. Month 1.0% 10-YR T-NOTE Net Profit 118.% Best 12 M. 34.6% YTD 0.8% Best 24 M. 2.3% Last 12 M..4% Worst 12 M. -3.1% Last 24 M. 1.2% Worst 24 M. -0.3% Last 36 M. 3.1% Last 60 M. 83.4% Max. DDn -3.% All figures are calculated on monthly data in percent of the initial account size Account Size: USD PORTFOLIO ANALYSIS DISTRIBUTION OF MONTHLY RETURNS Treynor Ratio* Tracking Error* Information Ratio* * Benchmark = Dow Jones Credit Suisse Hedge Funds Index (Managed Futures) Skewness Kurtosis Excess Kurtosis % -3% -2% -1% 0% 1% 2% 3% 4% % 6% 7% 8% 9% 10% Disc la ime r: No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and underno circumstances are they to be construed as, a prospectus, advertisement or public offering. Hypothetical performance results - as some of the system results shown on this page - have several inherent limitations. There is no guarantee that any account will oris likely to achieve profits orlosses similar to those shown at this page.there are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading forex and futures can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. 3
4 Algorithmic model eminiworld TREC was developed by a team of professionals who believe that risk is best controlled by taking a large number of small trades versus making a few large bets on a small number of trades. Main eminiworld TREC advantages: Reduces market impact; Ease of use; Increased trader productivity; Consistency of execution; Anonymity; Portfolio customization capabilities; Multi asset capabilities; Diversification. eminiwold TREC description eminiworld TREC is a 100% quantitative and systematic trading model. No trading discretion is required on the user's part at any time. eminiworld TREC trades futures during the liquid trading hours in Europe and the USA. The model trades Gold, Silver, Copper, Platinum, German DAX, Mini Russell 2000, Mini Dow Jones ($), 30-YR T-BOND, 10-YR T-NOTE, -YR T-NOTE, 2-YR T-NOTE, Corn, Soybeans, Euro Currency, British Pound and Australian Dollar. The strategy is a short to mid-term trend following strategy that has been designed to capture relatively small futures price moves using few rules based signal-generating logic. Every position is opened through market order and is closed through three stop orders (fixed stop loss, time stop, trailing stop) or limit order (Profit Target). Model's average trading frequency: circa 80 times per day per all instruments traded. The strategy is always the same and applied on charts that are plotted in intraday (3 min, min, 9 min, 11 min, etc) format. However each chart has its unique set of inputs for the same strategy. This multi asset, multi-time frame and multi-input sets approach ensures significantly more stable performance, reduced risk and low or negative correlation between instruments traded. To avoid curve-fitting the trading logics have been developed and calibrated on an in-sample dataset and verified on an out-of-sample dataset. In addition eminiworld TREC has successfully past model incubation (live simulation) period before it been ready for live trading. To verify the stability of the trading system and to ensure closest-to-reality results the model have been tested on one minute intraday data applying all trading costs and slippage. In addition to low correlation between instruments traded, the model displays a low or negative correlation with both traditional (portfolios of stocks and bonds) and alternative investments (hedge and CTA funds). 4
5 We believe that risk is best controlled by taking a large number of small trades versus making a few large bets on a small number of trades. For all serious traders we insistently recommend trading all TREC portfolios simultaneously. Accumulated performance of all TREC portfolios presented below. For more information please contact us by saulius@eminiworld.com Initial margin required to trade eminiwold TREC_6 PORTFOLIOS ASSET CLASS SYMPOL ROOT DESCRIPTION NO OF INSTANCES INITIAL MARGIN/CONTRACT TOTAL INITIAL MARGIN AUSTRALIAN DLR. 4 $3,37 $13,00 BRITISH POUND 3 $2,02 $6,07 EURO CURRENCY 41 $4,72 $193,72 GOLD (COMEX) 28 $9,113 $2,164 COPPER (COMEX) 20 $,400 $108,000 PLATINUM (NYMEX) $3,80 $19,20 SILVER (COMEX) 14 $18,900 $264,600 DAX 28 12, ,320 MINI RUSSELL 2000 (ICE) 8 $6,600 $2,800 MINI DOW JONES ($) 36 $3,12 $112,00 CORN (CBOT) 34 $2,363 $80,342 SOYBEANS (CBOT) 28 $,063 $141,764 INTEREST -YR T-NOTE 6 $878 $,268 INTEREST 2-YR T-NOTE 11 $371 $4,081 INTEREST 10-YR T-NOTE 36 $1,48 $3,460 INTEREST 30-YR T-BOND 8 $3,780 $30, $1,778,691 eminiwold TREC_6 PORTFOLIOS Correlation Matrix AD BP EC C S TF YM FDAX GC HG PL SI FV TU TY US ALL TREC AD (0.0098) BP (0.0098) (0.033) (0.0061) (0.020) (0.0234) EC (0.0138) C (0.0138) (0.0279) (0.031) (0.0372) S (0.033) (0.040) (0.04) (0.0481) TF (0.0031) (0.0292) (0.0140) (0.0168) 0.21 YM (0.0061) (0.0224) (0.0736) (0.039) (0.007) FDAX (0.0389) (0.022) (0.079) (0.0342) GC HG PL (0.020) (0.012) (0.0406) (0.038) (0.04) SI (0.0234) FV (0.0031) (0.0224) (0.0389) (0.012) TU (0.0279) (0.040) (0.0292) (0.0736) (0.022) (0.0406) TY (0.031) (0.04) (0.0140) (0.039) (0.079) (0.038) US (0.0372) (0.0481) (0.0168) (0.007) (0.0342) (0.04) ALL TREC
6 70 % PERFORMANCE TREC 6 PORTFOLIOS DJCS HFI (MF) 700 % 60 % 600% 0 % 00 % 40 % 400 % 30% 300 % 20 % 200% 10 % 100 % YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 0.38% 0.14% 3.77% 3.66% 0.88% 0.36% 1.89% 3.27% 2.10% 2.99% 4.03% 23.87% % 2.67% 6.71% 1.96% 0.87% 4.47% 0.99% 3.67% 3.32% 0.68% 1.91% 2.71% 31.71% % 3.74% 0.37% 0.9%.41% 2.97% 1.07% 1.73% 2.21% 0.9% 1.74% 3.80% 24.43% % -0.22%.01%.3% 6.68% 6.26% 4.4% -0.07% 2.74% 7.78% 3.92% 0.33% 47.30% % 6.00% -1.37% 3.08% 3.78%.7%.4%.3% 10.18% 3.04%.84% 8.01% 60.27% % 14.2%.74% 8.91%.73% 11.39% 6.12% 8.6% 11.7% 10.64% 9.97% 1.08% % %.84% 11.41% 8.49% 6.96% 11.34% 10.6% 8.70% 9.73% 7.7% 6.34%.61% 100.9% % 4.93% 4.19% 7.14% 4.21% 3.72% 9.2% 2.72% 8.0% 7.70% 7.18% 4.96% 63.64% % 8.3% 8.18% 8.61% 3.11% 2.80% 6.9% 8.11% 4.00%.92% -4.04% 2.20% 9.94% % 4.46% 4.12% 3.29% 0.1% 11.40% 10.32% 4.7% 44.2% *Performance is based on trading one contract per TREC instance. No reinvestment. *TREC 6 PORTFOLIOS consists of: TREC METALS, TREC CURRENCIES, TREC EQUITIES, TREC GRAINS, TREC DAX, TREC TREASURIES 30-YR T-BOND -YR T-NOTE 10-YR T-NOTE SOYBEANS (CBOT) 2-YR T-NOTE BRITISH POUND AUSTRALIAN DLR. EURO CURRENCY GOLD (COMEX) Profit / Year 9.7% Best Month 1.1% Monthly Volatility 3.6% Worst Month -4.0% Sharpe Ratio Ann. 4.6 Avg. Month.0% CORN (CBOT) MINI DOW JONES ($) MINI RUSSELL 2000 (ICE) DAX SILVER (COMEX) COPPER (COMEX) PLATINUM (NYMEX) Net Profit 7.1% Best 12 M % YTD 44.% Best 24 M % Last 12 M. 2.6% Worst 12 M. 23.2% Last 24 M % Worst 24 M. 4.7% Last 36 M % Last 60 M % Max. DDn -4.0% All figures are calculated on monthly data in percent of the initial account size Account Size: USD PORTFOLIO ANALYSIS DISTRIBUTION OF MONTHLY RETURNS Treynor Ratio* Tracking Error* Information Ratio* * Benchmark = Dow Jones Credit Suisse Hedge Funds Index (Managed Futures) Skewness Kurtosis Excess Kurtosis % -4% -2% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 22% Disc la ime r: No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and doesnot constitute an offering. These materials are not, and underno circumstances are they to be construed as, a prospectus, advertisement or public offering. Hypothetical performance results - as some of the system results shown on this page - have several inherent limitations. There is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this page.there are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading forex and futures can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. 6
7 eminiwold TREC on TradeStation Strategy Network There are six basic steps before we recommend starting trading any eminiworld TREC portfolio with your live account. Please contact us after you will start your free trial. We will arrange a conference call to extend your free trial. We assist/consult our potential customers in setting up LIVE SIMULATION to experience and get to know eminiworld TREC better. We expect a decision to be made by the end of extended free trial. If customer agrees to trade eminiworld TREC with his live account we will enter into the agreement. It is in our interest to help every customer to make money on the market as we are compensated on a performance basis of our algorithmic model. Contact Us For more information and free trial extension please contact us: Saulius Galatiltis Tel: saulius@eminiworld.com WORKING HOURS: 7:00 a.m. :00 p.m. (UTC) London, Dublin, Lisbon We also recommend visiting our website Our live trading results are available upon request. 7
This eminiworld TREC presentation is intended only for professional traders and Portfolio Managers with the interest in 100% quantitative and
This eminiworld TREC presentation is intended only for professional traders and Portfolio Managers with the interest in 100% quantitative and systematic trading model. 2 Who we are at eminiwold? eminiworld
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