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Managed Futures Program

  • CTA Name : Fitrol Investment Management
  • Program Name : Managed Futures Program
  • Start Date : 2003-10-01
  • Trading Strategy
  • Systematic : 95%
  • Discretionary : 5%
  • Fundamental : -
  • Technical : Yes
  • Diversified Market Strategy : -
  • Sector Specific Strategy : Yes
  • Trade Duration
  • Long-Term : -
  • Mid-Term : Yes
  • Short-Term : Yes
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : -
  • Currencies : -
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

Fitrol Investment Management

Managed Futures Program

There is no performance data for this program

The trading system seeks to identify and take advantage of directional trends in various international stock index markets. As determined by the proprietary trading model, a fixed percentage of assets are placed on each trade. Risk is defined at the inception of each trade and ‘stops’ are implemented at trade initiation. However, the system is dynamic in nature - adjusting risk, and subsequent ‘stop’ levels in response to market developments. While technical in nature, trader discretion is exercised if multiple signals are generated intraday. This discretionary override is designed to mitigate the whipsaw effect exhibited during volatile market conditions. Volatility is managed by defined parameters. Essential to the trading system is an integrated sensitivity to shifts in market direction. The system contains a reversal component whereby a trade may be stopped in one direction and a new trade initiated in the other direction. This distinctive element of the trading system may result in long and short positions in a particular index on the same day. The system may be neutral, as positions are taken only on signals. One of the most significant features of the system, however, addresses profit preservation. Initial profit objectives are defined at each trade’s initiation. Once the primary profit objective has been reached, part of the position is liquidated and proceeds are preserved. Because the trading system utilized is proprietary, the description given here is not meant to be exhaustive.

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