Marathon Capital Firm Disclosure:
Marathon believes its systematic trading approach is structured and well defined. The signal generator utilizes a number of independent trading systems. These systems analyze market movements and internal market and price configuration. Each system differs primarily in its sensitivity to price action. The primary objective of each trading system is to profit from major and sustained Futures Interest price trends. More than one system may be used to generate trading decisions for a market. The systems and parameters utilized are similar for similar markets. The computer-generated signals are implemented with discipline and in an unemotional manner. Notwithstanding the above, Marathon may, in its discretion, override system signals under certain market circumstances. In an attempt to limit losses, each system-generated position maintains a stop-loss point. This point is predetermined daily by a proprietary computer model. Daily exposure for each separate market position is normally confined to less than 2% of equity, but may range from less than 1% to as much as 5% (or more) of beginning month equity on an intraday or overnight basis. Losses may, however, exceed these amounts. Portfolio volatility is also monitored daily. Because of diversification, portfolio volatility is normally less than 1% of equity but may range to as much as 3% (or more) of beginning month equity. Accounts are frequently rebalanced. During periods of declining equity, this rebalancing attempts to ensure that account exposure is maintained properly so as to not accelerate the decline further. Conversely, during periods of asset appreciation the number of contracts traded will be increased maintaining the exposure level and increasing the chance for accelerating gains. Marathon believes that preservation of capital during unfavorable markets is one of the keys to successful money management. Marathon’s proprietary portfolio risk filter is designed to identify certain conditions that have historically proven ideal for both increasing and decreasing portfolio exposure. This risk management approach incorporates multiple systems. Volatility is one of the primary components in determining when to increase and decrease portfolio exposure. Average volatility is monitored in a variety of time periods daily, weekly and monthly. The risk management model is systematic and operates independent of the signal generator. Its parameters, however, are based on empirical data generated by the signal generator. The independent risk management system is designed to attempt to maximize profits when markets appear to have the potential to experience favorable moves by increasing portfolio exposure and reducing exposure when conditions change.
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