Algorithm 2016-48-4


This algorithm is deprecated. While it is still in live trading, it is no longer recommended for new investments.

Product Description

The Product’s investment objective is maximum long-term appreciation.

The Product seeks to attain its objective by investing in a managed portfolio of equity securities through a fully automated computer algorithm. Daily, this algorithm evaluates a universe of stocks, and creates a portfolio based on performance and volatility objectives. The resulting portfolio is narrowly focused, typically holding 10 instruments, but no limits regarding the percentage of assets to assigned to any single instrument

The algorithm is based on purely technical analysis of quantitative data, namely historical price action. It falls into the category of trend-following systems, where trends established in the past are expected to have a momentum extending into the future.

Performance (as of 10/06/2017)

The performance data presented here are simulated results. Up to 12/01/2016, the date the algorithm went into live trading, they stem from algorithm back-testing. From that date on, the algorithm has been unaltered, and in forward-testing with out-of-sample data. The simulated results include trade commissions, and advisory fees, but do not account for slippage. In the forward-testing period, the simulation has proven to be a very accurate representation of the results achieved in live trading.

Product Measures

Algorithm 2017-32-3 S&P 500
Compound Annual Growth Rate 32.71% 5.62%
Maximum Drawdown -25.36% -56.23%
Sharpe Ratio 1.30 0.40
Beta 0.03 n/a


The product is made available through Bertram Solution’s adviser services. For more information on our services, refer to the Services page.