|
|
|
Program Description:
The Futures Trading
Program
|
|
The Robinson-Langley Capital
Managed Account Program (“trading
system” or “program”)
uses a mechanical trading method,
which is applies to a diversified
portfolio of commodity, domestic
and foreign currency, and financial
futures markets. By utilizing
a systematic trend-following
system, Robinson-Langley Capital
intends to reduce if not eliminate
the emotional and behavioral
biases that many times result
in second-guessing and indecisiveness
in the trading process. The
trading program is designed
to answer questions such as, “When
should I buy or sell?”, “How
much should I buy or sell?”,
or, “When should I get
out of the trade?” before
the trade is initiated. This
design seeks to eliminate impulsive
trading decisions, which we
believe have a higher risk of
large losses in the long run.
By applying a disciplined, long-term
approach to the markets, the
Robinson-Langley Capital trading
system is designed to ignore
directionless daily price changes
or “noise” and focus
solely on price trend, thus
eliminating the challenge of
listening to market “gurus”
or following market fundamentals
for the purpose of predicting
every short-term market movement.
Our models have demonstrated
consistently in the course of
testing that market prices,
which may at times seem random,
are actually related through
time in complex, nonlinear ways.
The trading program is designed
to take advantage of these relationships
not by predicting price changes,
but rather by filtering as much
of this “noise”
as possible in order to take
advantage of burgeoning long-term
trends.
Trading Philosophy: Trend Following
The underlying principle that
market prices simply reflect
participants' expectations,
feelings, and reactions to changing
market dynamics is the basis
for our trend-following models.
Investigating prices and the
theory of crowd behavior has
led us to the premise that markets,
in the long term, move in a
non-random fashion that, in
our opinion, is exploitable
by those with the right strategy
and the discipline to carry
out that strategy. In our opinion,
trends can be observed in all
environments and manifest themselves
in capital markets through the
adjustment of market participants’
expectations to both short and
long-term market conditions.
For example, during periods
of steady, consistent downward
price movement in a given commodity,
sellers have overpowered buyers
in their expectations/feelings
of where they believe prices
should be, thus forming enough
of a consensus to produce a
trend. With more disagreement
within ‘the crowd’
of where prices should be, comes
more consolidation or trend-less
price movement. In summary,
we believe that prices are simply
the sum total of expectations
and given that prices
reflect all relevant information,
they exhibit the tendency to
develop persistent trends over
the long-term as these expectations
align and diverge.
Our intent at Robinson-Langley
Capital is not to predict trend
but to apply a systematic approach
for filtering irrelevant information
from prices in order to ‘jump
on’ a developing trend
and capture the ‘meat’
of that trend while always practicing
strict risk management rules.
By definition, our system is
designed to never get in at
the beginning of a trend or
get out at the top. In our view,
predicting any market especially
tops and bottoms, appears to
be more a function of luck rather
than science. By following or
reacting to market trends, not
predicting them, we believe
we can successfully capture
the inherent return given by
persistent price movements at
the cost of short-term volatility.
Robust System Parameters
The Robinson-Langley Capital
trading system is designed using
only robust trading strategies
or techniques based, in our
view, on general, successful
trading principles. Robust trading
strategies are not optimized
or fit to any one set of market
conditions, but are applied
equally to all markets for all
time periods. While some optimization
must occur in order to prevent
system parameters from being
selected arbitrarily, the parameters
employed by the Robinson-Langley
Capital trading system will
rarely, if ever, fit any specific
market situation exactly. Using
robust system variables protects
from “curve-fitting”
in the development process of
the program. Curve-fit systems
customize the trading rules
or parameters differently for
each market traded, many times
producing great, yet unrealistic
results. We at Robinson-Langley
Capital feel that the allure
of achieving fantastic simulated
results attracts many trading
system designers to apply specific
parameters to specific markets,
even though these results will
be difficult to duplicate in
real trading for an extended
period of time. The Robinson-Langley
Capital trading system rules
are few in number and the same
for each market. Further, these
parameters have tested well
over a wide range of conditions.
The importance of robust strategies
is that they will, in our view,
be easier to follow in actual
trading and are designed to
enhance the probability of long-term
success at the cost of near-term
volatility of returns as shown
earlier. Significant volatility
as a result of non-optimized
parameters is, in our view,
a necessary by-product of achieving
above-average long-term capital
growth.
Money Management
Money management, which encompasses
risk management, is considered
by Robinson-Langley Capital
to be absolutely critical to
successful trading on an ongoing
basis. Money Management includes
protective stops, exits, and
position sizing and is the largest
component of the Robinson-Langley
Capital trading system. We understand
the importance of money management
believing that good trading
results are a function of proper,
disciplined money management
techniques. Indeed, lack of
proper money management can
be, in our view, a major cause
of failure among new and experienced
traders alike, as most traders
appear to focus on entry strategies,
which we believe to be an ineffective
use of our time and resources.
Stops and Exits
The Robinson-Langley Capital
trading system uses money management
and risk control strategies
designed to cut losses short
and let profits ride. The system
is built to keep the initial
risk on any given trade constant
using a measure of current intra-market
volatility. Stop-loss orders
will be entered concurrent with
market entry orders and set
to quickly exit the position
if the market moves against
us. While stop-loss orders do
not guarantee exact exit points,
they are designed within our
program to allow us to endure
many losing trades in a row
without experiencing complete
depletion of trading capital,
in normal market conditions.
Individual market risk and overall
portfolio risk levels are designed
within the system and are predetermined
and controlled on every trade.
Statistical boundary limits
will be established as stop-loss
protection for the overall trading
program and are to be monitored
continuously.
Position Sizing
Our trading program is designed
to use a volatility-based position-sizing
algorithm. Volatility refers
to the amount of daily price
movement of an underlying instrument
over a fixed time period. It’s
a direct measurement of the
price change that account equity
will be exposed to in any given
position at any given time.
Each position will be calculated
by taking a measure of market
volatility and making it a fixed
percentage of total equity (say,
1 percent) thereby normalizing
risk across each market within
the portfolio. For instance,
in a more volatile market, our
system is designed to buy/sell
fewer contracts, exposing the
portfolio to less volatility.
Additionally, pyramiding or
increasing profit potential
by adding to existing profitable
positions will be done systematically
in pre-determined intervals.
By consistently measuring the
market fluctuations of each
portfolio element to which capital
is exposed, we intend to place
optimal, controlled bets on
each position within the portfolio.
Doing this is meant to keep
our risk within our already
established tolerance bands
and reduce overexposure to any
individual market or set of
correlated markets. For example,
Crude Oil futures and Unleaded
Gasoline futures are likely
to exhibit similar price behavior
over time (be highly correlated)
due to the fact that Unleaded
Gasoline is produced from Crude
Oil. Therefore, our system is
designed to buy/sell less contracts
when signals are generated for
both markets simultaneously,
thus reducing the exposure to
sudden movements in these correlated
markets from say, a hurricane
in the Gulf of Mexico, war in
the Middle East, or an increase
in supply from OPEC.
Under certain market conditions
volatility parameters may dictate
that positions be established
in larger accounts only. There
may be instances where certain
trades are not suitable for
the minimum account size given
the Advisors risk management
guidelines. For these reasons,
returns may vary from account
to account. The Advisor does
not believe that such returns
will vary significantly, or
that any such differences will
be material.
Portfolio Composition
The allocation to the markets/instruments
can vary over the course of
time. Upon inception of trading,
Robinson-Langley Capital will
monitor and trade within the
following markets: Wheat; Kansas
City Wheat; Corn; Soybeans;
Soybean Oil; Soybean Meal; Canola;
British Pound; Canadian Dollar;
Swiss Franc; Euro; Japanese
Yen; Mexican Peso; Australian
Dollar;; Silver; Platinum; Copper;
Gold; Aluminum; Zinc; Nickel;
U.S. Treasury Notes; U.S. Treasury
Bonds; Australian Bonds; Japanese
Bonds; German Bunds; British
Gilts; Canadian Bonds; Eurodollars;
Australian Bank Bills; Euribor;
Crude Oil; Brent Crude; Heating
Oil; London Gas Oil; Harbor
Unleaded Gas; Natural Gas; Cotton;
Sugar; London Sugar; Coffee;
London Robusta Coffee; Cocoa;
London Cocoa; Orange Juice;
Lumber; Milk; Live Cattle; Feeder
Cattle; Lean Hogs and Pork Bellies;
S&P 500; Russell 2000; FTSE
100; Euro Stoxx 50; Hang Seng
Index; Nikkei 225; Australian
SPI 200 Index; Xetra DAX 100.
Robinson-Langley Capital intends
to trade any commodity interests
that are now or may hereafter
be offered for trading on United
States and international exchanges
and markets. In that regard,
Robinson-Langley Capital will
add or remove commodity interests
from the managed account program
at anytime.
Management Information: Jon
Robinson
Jon Robinson is a Co-Founder
of Robinson-Langley Capital
Management, LLC. He shares both
administrative and trading responsibilities
with his partner, Brandon Langley.
He has been registered with
the National Futures Association
as a Principal and Associated
Person since July 18, 2006.
Jon earned Bachelor of Science
degrees in both Finance and
Economics at the University
of North Carolina at Greensboro
in the spring of 2003. From
May of 2003 until February 2004
Jon was a clerk and trader for
Bear Wagner Specialists, LLC
a market maker on the floor
of the NYSE. He joined the equity
research department of Prudential
Equity Group in New York covering
the Infrastructure Software
industry beginning in March
of 2004. He was with the firm
until April 2005, when he moved
back to North Carolina to partner
with Brandon Langley in research
and development of mechanical
trading methods and systems.
This intensive research effort
led to the design of the Robinson-Langley
Capital trading system and the
subsequent, official formation
of Robinson-Langley Capital
Management, LLC in March of
2006. Jon was a self-employed
trader during this research
period (May 2005 to March 2006).
He also worked as an IT consultant
for Powell & Co., a furniture
manufacturer and retailer in
High Point, NC from March 2006 –
May 2006.
Management Information: Brandon
Langley
Brandon Langley is a Co-Founder
of Robinson-Langley Capital
Management, LLC. He shares both
administrative and trading responsibilities
with his partner. He has been
registered with the National
Futures Association as a Principal
and Associated Person since
July 18th 2006. Brandon received
a Bachelor of Science degree
in Economics from the University
of North Carolina at Greensboro
in May, 2003 where he graduated
Summa Cum Laude. He received
a Master’s degree in Applied
Economic Analysis from UNCG
in December, 2004 while working
as a Financial Analyst for Gilbarco
Veeder-Root, a manufacturer
of fueling and retail management
systems in Greensboro, NC (8/04
to 12/04). Since January 2005,
he has served as a Senior Risk
Analyst for Wachovia Bank’s
automotive and specialized lending
division, Wachovia Dealer Services,
located in Winston-Salem, NC.
The descriptions above are from
the manager’s disclosure
document.
THE RISK OF LOSS IN TRADING
FUTURES, OPTIONS AND OFF-EXCHANGE
FOREX CAN BE SUBSTANTIAL.
PAST RESULTS ARE NOT NECESSARILY
INDICATIVE OF FUTURE RESULTS.
PLEASE READ THE CTA'S RISK
DISCLOSURE DOCUMENT CAREFULLY
BEFORE INVESTING MONEY.
|
didn't find
what you were looking
for?
.
CHECK THE MANAGED
FUTURES CTA DATABASE
performance information
on approximately
100+ managed accounts
setup
a free access key
at
ALTAVRA.com
or call 1-800-998-7870
|
|
