mangoticks jan08
DESCRIPTION
Corporate brochure showing the our automated trading system's performance up to Jan 08.TRANSCRIPT
Page 1 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Competitive Intelligence
For the Electronic Financial Market
Page 2 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Utilizing advanced and innovative automated trading technologies, Mango Ticks mission is to help our clients to generate exceptional returns that meet and exceed their financial expectations. Providing the expertise and knowledge necessary to control risk, capitalize on the explosive volume offered by the global foreign exchange market, Mango Ticks offers a selection from Conservative, Moderate to Aggressive instruments, dynamically aligned to suit the various events and market cycles over time. Combining several hundreds trading ideas based on different currency pairs, timeframes, entry and exit logic resulted in the evolution of 7 portfolios of trading strategies.
System:
Neural Ticks (page 4)
Carry Ticks (page 5)
Conservative Portfolio The Conservative Portfolio is designed to provide stability and protection from loss to investors who either have a short time horizon and/or a primary goal of avoiding potential losses. The stability of this portfolio comes at the expense of lower profits.
System: Momentum Ticks (page 6)
Galore Ticks (page 7) Equilibrium Ticks (page 8)
Moderate Portfolio The Moderate Portfolio primarily attempts to avoid short-term loss, but still seeks somewhat higher profits over the long term. Some fluctuations in investment value are to be expected.
System: Elation Ticks (page 9)
Apical Ticks (page 10)
Aggressive Portfolio The Aggressive Portfolio seeks substantial wealth accumulation and its primary goal is intended for those who have a long time horizon. Those who invest in this portfolio must be comfortable with experiencing frequent short-term loss and extreme price changes with attempt in achieving high profits over the long term.
Page 3 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Systems overview
Conservative Moderate Aggressive
Neural Carry Momentum Galore Equilibrium Elation Apical
Ticks Ticks Ticks Ticks Ticks Ticks Ticks
Minimum 20K 10K 10K 10K 20K 10K 25K
Max Intramonth DD -7.45% -6.84% -11.14% -16.74% -10.06% -15.38% -17.62%
Stop Out Level 15% 15% 25% 35% 25% 45% 50%
Target Annual ROA 15% 20% 40% 60% 50% 100% Over100%
Performance Fee 25% 25% 25% 25% 25% 25% 25%
High Watermark Yes Yes Yes Yes Yes Yes Yes
Profitable Trades 50.00% 62.42% 52.68% 51.23% 53.17% 63.36% 58.96%
Profit Factor 1.59 2.24 1.41 2.09 1.81 2.14 1.73
Sharpe Ratio 1.99 1.91 2.91 2.53 2.80 2.71 2.94
Stnd. Deviation 11.21% 18.99% 20.14% 28.96% 19.20% 41.20% 51.93%
Num. Of Strategies 25 8 12 35 45 46 171
Avg. Monthly Pos. 18 7 12 22 33 35 200
Timeframes 4H-8H-D-W Daily-Weekly 4H-8H-D-W 4H-8H-D-W 4H-8H-D-W 1H to Weekly 1H to Weekly
Backtest Period 10 Years 30 Years 10 Years 10 Years 10 Years 30 Years 10 Years
Avg. Monthly P/L 2.27% 3.44% 5.30% 6.52% 4.89% 9.74% 13.13%
Last 6 Months P/L 21.95% 19.67% 50.26% 74.86% 60.38% 174.14% 213.16%
Last 1 Year P/L 37.45% 39.28% 74.38% 122.88% 89.44% 244.82% 312.18%
Since Inception P/L 75.01% 72.32% 132.60% 215.20% 161.47% 321.32% 433.18%
Page 4 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
10%
20%
30%
40%
50%
60%
70%
80%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Monthly P/L
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Neural Ticks
The Neural system employs several trading
ideas based on innovative and sophisticated
concepts. Unlike linear indicators, it was
originally designed for the sinusoidal curves study,
decisional intelligent systems, neural networks and pattern recognition.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2005 - - - - (0.49) 0.33 2.49 0.49 2.77 0.49 0.21 1.35 7.64
2006 5.01 (2.59) (0.12) 1.02 11.39 0.78 2.57 0.11 (3.14) 4.87 6.54 0.42 26.86
2007 1.64 2.02 6.88 0.01 (1.38) 6.33 4.82 8.72 3.95 4.70 0.19 (0.43) 37.45
2008 3.06 3.06
Total 75.01
Through the extensive study, optimization and backtesting process of this methodology, we have created a unique model designed to work within currency markets on four different timeframes.
Page 5 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
-2%
8%
18%
28%
38%
48%
58%
68%
78%
May-06
Jul-06
Sep-06
Nov-06
Jan-07
Mar-07
May-07
Jul-07
Sep-07
Nov-07
Jan-08
Monthly P/L
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
May-06
Jul-06
Sep-06
Nov-06
Jan-07
Mar-07
May-07
Jul-07
Sep-07
Nov-07
Jan-08
Carry Ticks
Since every currency
trade involves borrowing one currency to buy
another, interest rollover charges are an inherent part of FX trading. This
fact resulted in the evolution of the Carry
system.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2006 - - - - (0.90) 7.94 2.33 15.82 (0.89) (0.90) 9.52 14.01 46.93
2007 4.71 1.27 (5.23) 3.86 0.99 7.35 2.83 3.84 0.15 9.18 (3.68) 0.46 25.73
2008 (0.34) (0.34)
Total 72.32
Knowing the direction and the currency pairs yielding high daily interest rates enables us to combine different models, and carry trade concepts, in order to allow the carry trade model to compensate the overall risk of the system.
Page 6 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
20%
40%
60%
80%
100%
120%
140%
Jan-06
Apr-06
Jul-06
Oct-06
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Monthly P/L
-5%
0%
5%
10%
15%
20%
25%
Jan-06
Apr-06
Jul-06
Oct-06
Jan-07
Apr-07
Jul-07
Oct-07
Jan-08
Momentum Ticks
The Momentum
system utilizes the mostly common trend-following
approach that is based on the analysis of
Momentum liner indicator which triggers the entry and exit signals. This concept is diversified amongst 7 different currency pairs and 4 different timeframes.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2006 7.06 (3.38) 3.98 9.62 10.10 3.08 7.22 3.28 (0.98) 2.06 10.26 6.26 58.56
2007 0.88 1.42 5.12 14.04 (3.60) 4.86 2.84 0.10 6.50 14.30 21.66 0.06 68.18
2008 5.86 5.86
Total 132.60
Utilizing a blend of diversification and risk control, we look to make profits when the markets are trending, particularly over the medium and long term. The one scenario that can cause losses is when a majority of markets are displaying flat/choppy patterns simultaneously for an extended period of time.
Page 7 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
40%
80%
120%
160%
200%
240%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Monthly P/L
-10%
-5%
0%
5%
10%
15%
20%
25%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Galore Ticks
The Galore Ticks system is cyclic by definition in the sense that it will
exploit overbought and oversold market
conditions but mainly in the direction of the long-
term trend.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2005 - - - - (0.98) 0.66 4.98 0.98 5.54 0.98 0.42 2.70 15.28
2006 10.02 (5.18) (0.24) 2.04 21.72 5.54 8.96 11.86 (9.38) 11.34 21.66 12.20 90.54
2007 11.74 6.72 13.10 6.00 (1.74) 20.80 18.36 22.38 (1.30) 14.24 0.38 2.10 112.78
2008 (3.40) (3.40)
Total 215.20
The signal is composed of several different indicators that are combined based on correlation, performance and trading frequency. The indicator then utilizes a proprietary methodology in applying the signal to a given market position.
Page 8 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
30%
60%
90%
120%
150%
180%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Monthly P/L
-5%
0%
5%
10%
15%
20%
25%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Equilibrium Ticks
It is a well balanced
system which will trade with the trend or
countertrend depending on market profile of four different timeframes. This
system has two components represented
by a combination of Momentum and Neural
strategies.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2005 - - - - (0.77) 0.47 3.03 3.11 1.82 4.30 0.93 2.45 15.34
2006 4.11 (2.16) 0.04 5.62 15.94 4.76 4.71 6.68 (2.80) 3.55 11.62 11.84 63.91
2007 7.75 (3.25) 0.51 11.26 0.95 11.55 9.44 5.57 6.89 21.78 5.15 5.54 83.14
2008 (0.92) (0.92)
Total 161.47
This approach dramatically increases the advantage in both trending and choppy markets and strives to net a consistent monthly profit while significantly limiting the maximum drawdown.
Page 9 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
50%
100%
150%
200%
250%
300%
350%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Monthly P/L
-10%
0%
10%
20%
30%
40%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Elation Ticks The Elation Ticks, created
from a balanced combination of 46
different strategies, is yielding a high percentage of winning trades* and is ultimately a robust trading system. The main focus of this trading logic is to
capitalize on current volatility within the currency market.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2005 - - - - 0.86 3.24 (0.74) 0.46 3.46 9.34 1.30 0.90 18.82
2006 (1.38) 4.40 0.24 (0.80) 11.50 (0.42) 6.60 8.70 (2.40) 4.34 2.70 12.38 45.86
2007 4.94 15.60 7.50 18.80 11.46 22.70 7.70 34.56 32.24 38.54 38.40 22.44 254.88
2008 1.76 1.76
Total 321.32
Each of the strategies is driven by a proprietary set of mathematical formulas that focus on identifying trades with the greatest likelihood of success. The system looks for selective buying and selling opportunities through constantly monitoring dynamic market parameters. .
Page 10 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Chart
0%
50%
100%
150%
200%
250%
300%
350%
400%
450%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Monthly P/L
-10%
0%
10%
20%
30%
40%
50%
60%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Apical Ticks
It is a multi-strategy system composed from 171 strategies in order
to target trading opportunities in virtually any market environment and operate proficiently
on both sides of the market. Such astonishing combination of long and short term strategies,
timeframes and currency pairs aims to capture
significant profits over a brief period of time.
In % Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2005 - - - - (1.90) 5.30 7.94 (0.72) 7.14 13.84 1.34 1.56 34.50
2006 3.64 (0.74) 7.56 5.54 13.02 9.96 2.80 7.82 (1.42) 4.84 2.96 10.80 66.78
2007 19.16 26.92 22.62 23.92 (4.40) 20.44 11.22 43.42 35.56 47.52 55.00 27.64 329.02
2008 2.88 2.88
Total 433.18
This technique allows to use multiple exchange models giving a real opportunity to diversify the portfolio while keeping the risk control at a high priority level.
Page 11 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Equity Comparison
0%
50%
100%
150%
200%
250%
300%
350%
400%
450%
500%
May-05
Aug-05
Nov-05
Feb-06
May-06
Aug-06
Nov-06
Feb-07
May-07
Aug-07
Nov-07
Neural
Carry
Momentum
Galore
Equilibrium
Elation
Apical
Equity Correlation Correlation PL Neural Carry Momentum Galore Equilibrium Elation Apical
Ticks Ticks Ticks Ticks Ticks Ticks Ticks
Galore 0.77 0.38 0.17 1.00 0.61 0.10 0.12
Neural 1.00 -0.11 0.17 0.77 0.41 0.17 0.19
Equilibrium 0.41 0.49 0.52 0.61 1.00 0.39 0.30
Momentum 0.17 -0.01 1.00 0.12 0.52 0.45 0.50
Apical 0.19 -0.14 0.50 0.12 0.30 0.90 1.00
Elation 0.17 -0.04 0.45 0.10 0.39 1.00 0.90
Carry -0.11 1.00 -0.01 0.38 0.49 -0.04 -0.14
Page 12 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Drawdown Comparison
-25.00%
-20.00%
-15.00%
-10.00%
-5.00%
0.00%
May-06
Jul-06
Sep-06
Nov-06
Jan-07
Mar-07
May-07
Jul-07
Sep-07
Nov-07
Jan-08
Neural
Carry
Momentum
Galore
Equilibrium
Elation
Apical
Drawdown Correlation Correlation DD Neural Carry Momentum Galore Equilibrium Elation Apical
Ticks Ticks Ticks Ticks Ticks Ticks Ticks
Galore 0.85 0.09 -0.10 1.00 0.19 0.11 0.25
Neural 1.00 0.02 -0.05 0.85 0.24 0.17 0.36
Equilibrium 0.24 0.36 0.19 0.19 1.00 0.83 0.16
Momentum -0.05 -0.07 1.00 -0.10 0.19 0.44 0.06
Apical 0.36 -0.28 0.06 0.25 0.16 0.19 1.00
Elation 0.17 0.35 0.44 0.11 0.83 1.00 0.19
Carry 0.02 1.00 -0.07 0.09 0.36 0.35 -0.28
Page 13 of 13
Mango Ticks Corporation
303 Aarti Chambers • Victoria • Mahé • Republic of Seychelles
www.MangoTicks.com • [email protected]
Any performance results shown in this
brochure are based on executed trades
in a demo brokerage account and
are gross of all fees.
All the Systems were operating
through one brokerage account.
Hence trading statement for any
particular system is replaced with
a trade history generated by MT
Automated Trading Platform. The
trade history contains a list of all
trades which include an individual
Ticked ID number provided by the
execution broker.
*Hypothetical performance results have many inherent limitations. No representation is being made that any account will or is likely to achieve
profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual
results subsequently achieved by any particularly trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk. Variables such as the ability to
adhere to a particular trading program in spite of trading losses as well as maintaining adequate liquidity are material points which can adversely affect actual real trading results.
Above text and graphs are only for information purpose. The information contained herein has been compiled from sources deemed reliable and is accurate to the best of the publisher's knowledge. However, Mango Ticks Corporation does not guarantee the accuracy or completeness of the text
and graphs and cannot be held liable for any loss or damage whatsoever which could derive from using the content of above presentation. Past performance of the financial products contained in this brochure are not indicative of future results for these or any other products. They exclusively
serve as a historical presentation of the performance. This document may not be presented or distributed in the UK and USA and shall not be made
available to UK and US citizens Trading foreign exchange on margin carries a high level of risk, and may not be suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in foreign exchange you should carefully consider your investment objectives, level of
experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should
not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading, and seek advice from an independent financial advisor if you have any doubts.
Mango Ticks Corporation
303 Aarti Chambers
Victori, Mahé
Republic of Seychelles
www.MangoTicks.com