Performance Disclosures
Methodology Overview
Backtesting tools and market data
- Tools used: Our backtests are conducted using Microsoft Excel, NinjaTrader, and TuringTrader simulation engines.
- Market data: We rely on Norgate for total return, split-adjusted stock data with historical market constituents to ensure accurate backtesting.
Benchmarking
- 60/40 portfolio: Benchmarked against SPY (stocks) and IEF (bonds) total return ETFs.
- Long-term metrics: Sharpe ratio and drawdowns benchmark against Vanguard VBINX mutual fund.
- Sharpe ratios: Calculated with monthly returns and risk-free T-Bill rates from FRED.
Portfolio Definitions
- Galahad Margin Portfolio: Uses up to 15% margin with leveraged ETFs (non-leveraged ETFs, futures, or options can be substituted for a more conservative portfolio).
- Lamorak Margin Portfolio: Uses up to 50% margin (150% total gross exposure)
Backtests and simulations
Lamorak uses survivorship bias-free, total return, split-adjusted Nasdaq 100 and S&P100 stocks for its trading universe. In our simulations, we do not include interest earned on cash balances or borrowing costs when on margin.
- Galahad simulations uses GBTC ETF data until February 2022, then FBTC and IBIT in 2024 for Bitcoin exposure
- Galahad simulations include 0.075% trade friction to account for slippage and commissions (all orders are market)
- Lamorak simulations includes 0.050% trade friction to account for slippage and commissions (half of orders are market orders)
Backtests (simulated) periods
- Galahad: January 2018 – January 2024
- Lamorak: January 2006 – September 2020
Live trading returns: Galahad
Live trading for Galahad began in February 2024 using the Galahad Margin Portfolio. All ongoing performance metrics are generated from third-party PortfolioAnalyst reports on a live Interactive Brokers Pro account with portfolio margin enabled.
The live track record uses futures contracts for Galahad’s trend positions, rather than leveraged ETFs. Members may choose to implement Galahad using either leveraged ETFs or futures based on their own preferences, account type, and risk considerations; however, the published live performance reflects execution using futures.
Live trading results include real-world frictions, such as commissions (approximately $0.05 per share equivalent), slippage, normal market impact from entering and exiting positions, margin borrowing costs when applicable (IBKR Pro rates), idle cash interest, and participation in IBKR’s stock yield enhancement program when enabled.
Live trading returns: Lamorak
Live trading for Lamorak started in October 2020 and for the remainder of that year all performance metrics including realized fills from an Interactive Brokers Pro live account, no commissions, no broker interest, and no stock yield program. Starting in January 2021 live trading results include 0.05¢ per share in commissions, slippage and normal market impact of entering/exiting positions, margin borrow costs when applicable (IBKR Pro rates), Idle interest earned on cash balances, and opt-in to IBKRs stock yield program. Reports are generated from third-party PortfolioAnalyst.
Disclosures
Complete Trade History: Combination of simulated and live trading returns using a Margin Portfolio allocation.
Trade Statistics Disclosure: All statistics are based on our Complete Trade History and computed on a daily time-frame and closing trade basis.
Monthly Performance Disclosure: Monthly returns are based on our Complete Trade History using closing end-of-month margin portfolio equity values.
Portfolio Statistics Disclosure: Monthly returns are based on our Complete Trade History using closing end-of-month margin portfolio equity values.
Strategy Enhancements Disclosure: We periodically make enhancements to our trading systems, and when we do, we do not change our existing performance return history in order to maintain the integrity of the backtests and live trading results. Visit the trading system changelog page to see when updates to the trading systems were implemented.
Leveraged ETF Risk Disclosure: Leveraged and inverse ETFs typically are designed to achieve their stated performance objectives on a daily basis. Some investors might invest in these ETFs with the expectation that the ETFs may meet their stated daily performance objectives over the long term as well. Investors should be aware that performance of these ETFs over a period longer than one day can differ significantly from their stated daily performance objectives and may potentially expose investors to significant and sudden losses.
Leveraged and inverse funds are complicated instruments that should only be used by sophisticated investors who fully understand the terms, investment strategy and risks associated with the funds. In particular, customers should be aware of certain specific risks involved in trading in leveraged and inverse funds. These risks include, but are not limited to: Use of Leverage and Derivative Instruments: Many leveraged and inverse funds use leverage and derivative instruments to achieve their stated investment objectives. As such, these funds can be extremely volatile and carry a high risk of substantial losses. Such funds are considered speculative investments and should only be used by investors who fully understand the risks and are willing and able to absorb potentially significant losses.
CFTC Rule 4.41 HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER- OR OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.
Contact Us
If you have questions about these disclosures, feel free to reach out via our Contact Page.