March and Since Inception P&Ls

Vertical Solutions Forecast
P&L’s for March and Since Inception

 Quick Summary

+1.4% March

 Current rate of return: +17.5% un-leveraged

 Profitable 6 of last 6 months, profitable 9 of last 10 months

 Drawdowns continue to be minimal

 In October 2013, we developed an algorithm called Edge which has improved our results

Vertical Solutions Forecast, March 2012 – March 2014, Total Return

 March P&L

 

Vertical Solutions Forecast w/ Edge, October 2013 – March 2014

Gross 8.7%
   
Avg/mo. 1.5%
   
Avg/yr 17.5%
   
% Profitable 100%
   
Std Dev/mo 0.4%
   
z 8.82
   
Sharpe 3.6

 

 

Vertical Solutions Forecast, March 2012 – March 2014

Gross 16.9%
   
Avg/mo. 0.7%
   
Avg/yr 8.1%
   
% Profitable 76%
   
Std Dev/mo 1.2%
   
z 2.80
   
Sharpe 0.6

 

 

Monthly Returns, March 2012 – March 2014

 

 

Date %/Contract
Mar-12 2.1%
Apr-12 0.9%
May-12 1.7%
Jun-12 2.1%
Jul-12 -0.1%
Aug-12 0.6%
Sep-12 0.2%
Oct-12 0.9%
Nov-12 0.1%
Dec-12 0.0%
Jan-13 -0.5%
Feb-13 -0.3%
Mar-13 2.6%
Apr-13 -1.9%
May-13 -2.4%
Jun-13 1.5%
Jul-13 0.3%
Aug-13 0.7%
Sep-13 -0.3%
Oct-13 1.9%
Nov-13 1.6%
Dec-13 0.9%
Jan-14 1.0%
Feb-14 1.9%
Mar-14 1.4%

 

Notes:

We continue to focus on using and understanding Edge

We are working on extending the time frame of trades

Results are live trades, not a simulation

*A Sharpe Ratio on 6 months results is still a bit silly

 

—h
Henry Carstens
503-701-5741
carstens@verticalsolutions.com
www.verticalsolutions.com

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