ATS Video Schedule a VIP Call
The Evolution of the ATS IP — Sovereign Edge Solutions
v3.7.25 · 2026-06-07
📄 DEPLOYED · v3.7.25 BUILD 2026-06-07

Sovereign Edge Solutions — Confidential Performance Document

v3.7.25 · Internal review only · Not for investor distribution
Confidentiality Acknowledgment and Important Disclosures
By entering your unique PIN (or otherwise accessing this document), you acknowledge and agree that you are bound by the following obligations and disclosures with Sovereign Edge Solutions, LLC ("SES"). You confirm that you have read, understand, and agree to all terms below.

Confidentiality. The contents of this document, including all performance figures, account identifiers, methodology, architecture details, and any other information contained herein, are confidential and proprietary. You agree not to forward, copy, reproduce, distribute, disclose, or otherwise share this document or any portion of it in any form or medium without the prior written consent of SES.

Eligibility. This document is provided for the confidential review of accredited investors as defined under Regulation D or qualified eligible persons as defined under CFTC Rule 4.7. By proceeding, you represent that you fall within one of these categories. You acknowledge that no fund, commodity pool, managed account program, or other investment vehicle is being offered at this time, and that this document is provided solely for your evaluation of SES and its underlying technology in advance of any future offering.

No offer or solicitation. This document does not constitute an offer to sell or a solicitation of an offer to buy any security or commodity interest. Any such offer or solicitation will be made only through definitive offering documents.

Not advice. This document may not be relied upon as investment, accounting, legal, regulatory, or tax advice. You should consult your own advisors before making any decision.

Performance data structure. This document presents three distinct phases that differ in methodology, account structure, and verification status. Detailed phase descriptions, methodology, and per-phase footnote disclosures appear inside the document.

CFTC Rule 4.41 applies to Phase 1 pro forma compilation. Hypothetical or simulated results have inherent limitations; full Rule 4.41 disclosure (as required) appears inside the document — click the rule name to read in full.

Verification. Phase 1 is constructed from internal SES records. Phase 2 reflects a non-trading period (cash-yield fill in composite). Phase 3 is supported by monthly broker statements. None of the performance data has been independently audited or verified through a GIPS-compliant performance examination.

Past performance is not indicative of future results. Trading futures involves substantial risk of loss and is not suitable for all participants.

By proceeding, you acknowledge and agree.

Enter Access PIN

Provided to you separately by Anric Blatt or Bill Broaddus

Your PIN is unique to you. Sharing this document or your PIN constitutes a breach of the signed Confidentiality Agreement and may result in legal action.

The Evolution of the ATS IP

Sovereign Edge Solutions — Composite Performance · May 2020 – April 2026
VERSION v3.7.25
Built 2026-06-07

Headline KPIs

Two rows, identical metric set, designed for direct top-to-bottom comparison: each column is the same KPI computed over a different window.

Row 1Advantedge™ ATS standaloneMay 2020 – Dec 2024 · 56 months
Cumulative Return
545.51%
$1M → $6.46M (pro forma at $1M institutional base)
Annualized Return (arith × 12)
41.43%
CTA monthly-mean × 12 convention
Sharpe Ratio (monthly · √12)
2.91
Real Monthly TB3MS Risk Free Rate
Max Drawdown
-5.00%
Peak-to-trough on monthly closing equity
vs S&P 500 TR (same window)
+428.31pp
SES 545.51% vs S&P 117.20%
Row 2Composite ATS JourneyMay 2020 – Apr 2026 · 72 months · 56mo ATS + 3mo gap @ cash yield + 13mo Evolution IP live
Cumulative Return
1152.00%
$1M → $12.52M (pro forma at $1M institutional base)
Annualized Return (arith × 12)
43.61%
CTA monthly-mean × 12 convention
Sharpe Ratio (monthly · √12)
3.18
Real Monthly TB3MS Risk Free Rate
Max Drawdown
-5.00%
Peak-to-trough on monthly closing equity
vs S&P 500 TR (same window)
+981.37pp
SES 1152.00% vs S&P 170.64%

Phase Timeline

Advantedge™ ATS
May 2020 – Dec 2024 · 56 months · Live + Demo mix
Reflects the performance of the original Advantedge™ ATS strategy applied to the E-mini and E-micro S&P 500 futures markets across a 56-month period from May 2020 through December 2024. Both ES and MES contracts were traded, with MES results standardized to ES-equivalent units using the contract multiplier. Results are presented on a pro forma basis at an institutional capital base.
Broker Transition Gap
Jan 2025 – Mar 2025 · 3 months
A 3-month bridge period during which Sovereign Edge Solutions undertook a broker transition and platform rebuild. No live trading was conducted during this period. The composite return curve fills this period at the U.S. 3-Month Treasury Bill rate.
Evolution IP Live Accounts
Apr 2025 – Apr 2026 · 13 months · Live
OFG-84 (initial deployment, Apr–May 2025), then NT-99 (primary account, Jun 2025 – ongoing). April 2025 through the present, applying the proprietary intellectual property base underlying the original Advantedge™ ATS through Evolution IP. Results are supported by monthly broker statements.

Composite Equity Curve

The composite equity curve has been illustrated using a pro forma starting base ($1M / 33 contracts / 2-and-20 fees), continued through gap as cash earning monthly TB3MS (Treatment A). S&P 500 Total Return, DBMF (the CTA peer benchmark — publicly-investable proxy for the SG CTA Index), and 3-month T-bill cumulative shown for comparison, all on the same starting pro forma $1M base.

Composite Monthly Track Record (72 months)

Month-by-month return for every month of the SES composite track record, with side-by-side benchmark returns. Phase column indicates which segment of the composite drives that month.

Composite Performance Disclaimer. The 72-month composite presented in this document combines three structurally different categories of activity: live and demo trading of the original Advantedge™ ATS over 56 months on a pro forma basis (May 2020 – December 2024), a 3-month non-trading bridge period filled at the monthly U.S. 3-Month Treasury Bill rate (January 2025 – March 2025), and live discretionary trading in a single managed account applying Evolution IP (April 2025 to present). The composite is a constructed presentation across different methodologies, account structures, capital bases, fee treatments, and verification standards. It is not a single homogeneous track record, and no portion of the composite has been independently audited or verified through a GIPS-compliant performance examination.

The original Advantedge™ ATS portion is constructed on a pro forma basis at a hypothetical institutional capital base of $1,000,000 with position sizing of 33 ES-equivalent contracts and fee deductions of 2% management and 20% performance; the underlying account did not trade at this capital base or under these fee terms. See Position Sizing & Leverage for the full position-sizing methodology and leverage disclosure. The Broker Transition Gap portion reflects constructed rather than earned return, calculated at TB3MS for curve continuity. The Evolution IP portion reflects live broker-confirmed trading in a single managed account; single-account results are not necessarily indicative of results that would be achieved across multiple accounts, different account sizes, leverage settings, or fee structures.

Cumulative returns, annualized returns, Sharpe ratios, Sortino ratios, drawdown statistics, and any other aggregate metric computed across the 72-month composite reflect the constructed composite, not a homogeneous track record. Recipients are encouraged to evaluate each component on its own terms using the per-period data and footnotes provided in this document. See Important Disclosures for the complete legal and regulatory framework.

CFTC Rule 4.41 applies to the original Advantedge™ ATS portion:

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED 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 PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

Past performance is not indicative of future results. Trading futures involves substantial risk of loss and is not suitable for all participants.

View:
Switch granularity for the whole table. Or click the ▸ next to a month to drill into just that one.
Month SES Composite S&P 500 TR DBMF Cash (TB3MS) Phase
▸ May 2020+7.84%+4.76%-3.09%+0.01%ATS
▸ Jun 2020+17.88%+1.99%-1.87%+0.01%ATS
▸ Jul 2020-2.48%+5.64%+3.56%+0.01%ATS
▸ Aug 2020+0.54%+7.19%-0.64%+0.01%ATS
▸ Sep 2020+5.33%-3.80%-3.01%+0.01%ATS
▸ Oct 2020-0.60%-2.66%-0.01%+0.01%ATS
▸ Nov 2020-4.43%+10.95%+0.73%+0.01%ATS
▸ Dec 2020+8.31%+3.84%+3.19%+0.01%ATS
▸ Jan 2021+11.40%-1.01%+0.68%+0.01%ATS
▸ Feb 2021+0.32%+2.76%+4.44%+0.00%ATS
▸ Mar 2021+3.58%+4.38%+2.92%+0.00%ATS
▸ Apr 2021-1.65%+5.34%+2.24%+0.00%ATS
▸ May 2021+2.38%+0.70%+2.89%+0.00%ATS
▸ Jun 2021+6.83%+2.33%-1.30%+0.00%ATS
▸ Jul 2021+4.10%+2.38%+0.74%+0.00%ATS
▸ Aug 2021+1.38%+3.04%-2.64%+0.00%ATS
▸ Sep 2021+4.63%-4.65%-0.14%+0.00%ATS
▸ Oct 2021+1.46%+7.01%+4.17%+0.00%ATS
▸ Nov 2021+8.30%-0.69%-2.37%+0.00%ATS
▸ Dec 2021+10.89%+4.48%-9.10%+0.01%ATS
▸ Jan 2022+4.27%-5.17%+10.91%+0.01%ATS
▸ Feb 2022+9.90%-2.99%+3.11%+0.03%ATS
▸ Mar 2022+8.33%+3.71%+7.07%+0.04%ATS
▸ Apr 2022+3.90%-8.72%+10.59%+0.06%ATS
▸ May 2022+8.14%+0.18%-0.98%+0.08%ATS
▸ Jun 2022+4.45%-8.25%+3.48%+0.12%ATS
▸ Jul 2022+4.42%+9.22%-3.58%+0.19%ATS
▸ Aug 2022-0.80%-4.08%+2.72%+0.22%ATS
▸ Sep 2022+2.11%-9.21%+5.77%+0.26%ATS
▸ Oct 2022+8.29%+8.10%+0.97%+0.31%ATS
▸ Nov 2022+3.01%+5.59%-8.84%+0.35%ATS
▸ Dec 2022+0.88%-5.76%-6.82%+0.35%ATS
▸ Jan 2023+1.84%+6.28%+4.28%+0.38%ATS
▸ Feb 2023+2.14%-2.44%+0.75%+0.39%ATS
▸ Mar 2023+3.60%+3.67%-7.33%+0.39%ATS
▸ Apr 2023+2.88%+1.56%+0.99%+0.41%ATS
▸ May 2023+3.56%+0.43%+0.56%+0.43%ATS
▸ Jun 2023+1.90%+6.61%+3.44%+0.43%ATS
▸ Jul 2023+2.57%+3.21%-0.36%+0.44%ATS
▸ Aug 2023+1.33%-1.59%+0.33%+0.44%ATS
▸ Sep 2023+1.47%-4.77%+4.63%+0.44%ATS
▸ Oct 2023+4.06%-2.10%-0.38%+0.45%ATS
▸ Nov 2023+2.70%+9.13%-5.21%+0.44%ATS
▸ Dec 2023+1.57%+4.54%-5.61%+0.44%ATS
▸ Jan 2024+0.98%+1.68%+5.42%+0.43%ATS
▸ Feb 2024+1.67%+5.34%+3.64%+0.44%ATS
▸ Mar 2024+1.21%+3.22%+4.86%+0.44%ATS
▸ Apr 2024+2.57%-4.08%+4.94%+0.44%ATS
▸ May 2024+0.31%+4.96%-0.97%+0.44%ATS
▸ Jun 2024+1.40%+3.59%+1.42%+0.44%ATS
▸ Jul 2024+1.46%+1.22%-2.91%+0.43%ATS
▸ Aug 2024+2.16%+2.43%-3.08%+0.42%ATS
▸ Sep 2024+1.61%+2.14%+0.29%+0.39%ATS
▸ Oct 2024+2.97%-0.91%-3.42%+0.38%ATS
▸ Nov 2024+0.28%+5.87%+1.04%+0.37%ATS
▸ Dec 2024+4.21%-2.38%-3.86%+0.36%ATS
· Jan 2025+0.35%+2.78%+4.44%+0.35%Gap
· Feb 2025+0.35%-1.30%-2.30%+0.35%Gap
· Mar 2025+0.35%-5.63%-2.32%+0.35%Gap
· Apr 2025+6.77%-0.68%+0.71%+0.35%Evolution IP
· May 2025+10.87%+6.29%-0.16%+0.35%Evolution IP
▸ Jun 2025+9.44%+5.09%+2.02%+0.35%Evolution IP
▸ Jul 2025+6.36%+2.24%+0.20%+0.35%Evolution IP
▸ Aug 2025+1.23%+2.03%+1.33%+0.34%Evolution IP
▸ Sep 2025+2.70%+3.65%+5.24%+0.33%Evolution IP
▸ Oct 2025+2.95%+2.34%+4.42%+0.32%Evolution IP
▸ Nov 2025+4.78%+0.25%+1.90%+0.32%Evolution IP
▸ Dec 2025+2.41%+0.06%-2.94%+0.30%Evolution IP
▸ Jan 2026+4.50%+1.45%+8.35%+0.30%Evolution IP
▸ Feb 2026+4.51%-0.76%+7.81%+0.30%Evolution IP
▸ Mar 2026+5.02%-4.98%-4.19%+0.30%Evolution IP
▸ Apr 2026+5.73%+10.49%+1.76%+0.30%Evolution IP
All SES composite returns are net of an institutional 2-and-20 fee adjustment. Benchmark returns are total return where applicable (S&P 500 TR includes dividends; DBMF is total return on the iMGP DBi Managed Futures Strategy ETF). Cash column is the U.S. 3-month T-bill monthly rate (FRED TB3MS). Click the ▸ chevron in the Month column to expand any trading-active month into its weeks; click again to expand a week into its days. Pro-forma scale, fees, and HWM model match the headline monthly numbers.

Drawdown Profile

Maximum drawdown for the SES composite series compared to the S&P 500 Total Return over the full 72-month window.

Monthly Returns by Phase

Bars colored by phase. All Evolution IP monthly returns are broker-confirmed actuals (deposits and one-time fees backed out). Returns shown net of an institutional 2-and-20 fee adjustment, applied consistently with Phase 1 ATS methodology.

Evolution IP Live Track Record (Apr 2025 – Apr 2026)

NT-99 · Jun 2025 – Apr 2026

ROI: 62.13% (net of 2&20) · Net P&L: $41,862 (broker actual) · 2,203 trades · 167 consecutive winning days
Start $39,315.78 → End $119,617.68 (broker actual). $40,000 of deposits and $1,499 NinjaTrader lifetime subscription fee backed out. Status: Live, ongoing. Returns shown net of institutional 2-and-20 fee adjustment; dollar P&L figures are broker actuals.

OFG-84 · Apr 2025 – May 2025

ROI: 18.38% (net of 2&20) · Net P&L: $5,630 (broker actual) · 2 months
Start $23,869.45 → End $29,499.06 (broker actual). No deposits or withdrawals across the period. Status: Initial deployment (2 months); succeeded by NT-99 from Jun 2025.

Evolution IP Monthly Detail — Apr 2025 to Apr 2026

All percentage returns shown are net of an institutional 2-and-20 fee adjustment (2% annual management fee + 20% performance fee on HWM gains), applied consistently with the Advantedge™ ATS Phase 1 methodology. Dollar P&L figures in the Notes column reflect actual broker trading results (gross of any conceptual fee adjustment) for transparency.

MonthOFG-84NT-99Notes
Apr 2025+6.77%—OFG-84 inception · broker P&L $2,061
May 2025+10.87%—OFG-84 final tracked month · broker P&L $3,568
Jun 2025—+9.44%NT-99 inception · broker P&L $4,705
Jul 2025—+6.36%Broker P&L $3,575
Aug 2025—+1.23%Broker P&L $815 (excl $1,499 lifetime subscription)
Sep 2025—+2.70%Broker P&L $1,659
Oct 2025—+2.95%$5K deposit backed out · broker P&L $1,875
Nov 2025—+4.78%Broker P&L $3,404
Dec 2025—+2.41%Broker P&L $1,872
Jan 2026—+4.50%$30K deposit backed out · broker P&L $3,519
Feb 2026—+4.51%$5K deposit backed out · broker P&L $5,467
Mar 2026—+5.02%Broker P&L $6,742
Apr 2026—+5.73%Broker P&L $8,167
Period Total +18.38%
Apr–May 2025 (2mo, net of 2&20)		 +62.13%
Jun 2025 – Apr 2026 (11mo, net of 2&20)		 OFG-84 broker net P&L $5,630 on $23,869 start. NT-99 broker net P&L $41,862 on $39,316 start. Returns above shown net of institutional 2-and-20 fee adjustment; dollar P&L figures are broker actuals.
Source: OFG-84 monthly broker statements (Apr–May 2025 initial-deployment window) and NT-99 NinjaTrader monthly broker statements (Jun 2025 – Apr 2026), all broker-confirmed actuals. Deposits and one-time fees explicitly backed out. Each percentage return is shown net of an institutional 2-and-20 fee adjustment (2% mgmt + 20% perf on HWM); dollar P&L figures in the Notes column reflect actual broker trading results.

Institutional Statistics

Three views of the SES record — each shown on the institutional $1M / 33-contract / 2-and-20 fee-adjusted basis with monthly TB3MS as the risk-free rate.

① Advantedge™ ATS · 56 months
May 2020 – Dec 2024 · ATS actual returns
Cumulative Return545.51%
Annualized Return (arith × 12)41.43%
Annualized Volatility13.11%
Sharpe Ratio2.91
Sortino Ratio15.16
Max Drawdown-5.00%
Calmar Ratio8.28
Beta to S&P 500-0.10
Correlation to S&P 500-0.12
② Evolution IP Live Trading · 13 months
Apr 2025 – Apr 2026 · 12 broker-confirmed actuals + 1 estimate (Apr 2026)
Cumulative Return91.93%
Annualized Return (arith × 12)62.11%
Annualized Volatility9.50%
Sharpe Ratio6.15
Max Drawdown0.00%
Apr–May 2025: OFG-84 broker actuals (NT-99 not yet active). Jun 2025 – Apr 2026: NT-99 broker actuals (the primary Evolution IP account from Jun 2025 onward). All 13 months are broker-confirmed; returns shown net of an institutional 2-and-20 fee adjustment.
③ Combined Track Record · 72 months
May 2020 – Apr 2026 · 56 ATS · 3 cash-yield (broker transition gap) · 2 OFG-84 · 11 NT-99
Cumulative Return1152.00%
Annualized Return (arith × 12)43.61%
Annualized Volatility12.62%
Sharpe Ratio3.18
Max Drawdown-5.00%
Composite of ATS (56 months) + broker-transition gap as cash yield (3 months) + Evolution IP live record (13 months: OFG-84 Apr–May 2025, NT-99 Jun 2025 – Apr 2026). All Phase 3 months are broker-confirmed actuals; returns shown net of an institutional 2-and-20 fee adjustment.

Benchmark context over the May 2020 – Dec 2024 ATS window: S&P 500 TR cumulative 117.20% (Sharpe 0.95, MDD -23.87%). DBMF (CTA peer ETF) cumulative 27.56% (Sharpe 0.25). 3-month T-bill cumulative ~19% over the same window.

Phase Detail

May 1, 2020 – December 31, 2024 · 56 months. Automated trading on the Advantedge™ ATS.

Instrument. Both E-mini AND E-micro (MES) contracts traded over the period. Micros standardized via ×10 multiplier to provide a comprehensive E-mini-equivalent track record.

Live + Demo composition. Includes periods during which no live trading was conducted. The composite return curve presented in this document fills these periods with actual ATS signals generating pro forma performance for continuity.

Composite Track Record (this document) assumes a pro forma $1,000,000 in starting capital, 33 contracts held static for all 56 months, monthly compounding equity. 2% management fee accrued monthly. 20% performance fee on excess above prior month's high-water mark.

Reconciliation. Sum of per-contract net = $216,212.49 — matches Bill's 56-Month Performance Summary and the SES Compiled Institutional Package exactly.

CFTC Rule 4.41 applies. Track record includes demo periods and uses MES → E-mini ×10 scaling. No representation is made that any account will achieve similar results.

January – March 2025 · 3 months. No live trading and no tracking data. The composite equity curve fills these 3 months at cash yield (monthly TB3MS). For continuity, as there is no underlying data, the gap is filled at cash yield.

April 2025 – April 2026 · 13 continuous months of live broker-confirmed performance. Same proprietary IP base as the Advantedge™ ATS, applied through Evolution IP.

Chronology. OFG-84 came online April 1, 2025 and NT-99 came online June 1, 2025 and is still running.

AccountPeriodMonthsStart ($)End ($)Broker Net P&L ($)ROI (net of 2&20)Status
OFG-84Apr 2025 – May 20252$23,869.45$29,499.06$5,63018.38%Initial deployment (2 months); succeeded by NT-99 from Jun 2025
NT-99Jun 2025 – Apr 202611$39,315.78$119,617.68$41,86262.13%Live, ongoing

Dollar P&L figures are broker actuals (gross of conceptual 2&20 fee adjustment). ROI column shows institutional view (compound monthly net-of-2&20 rate-level returns).

NT-99 highlights. 2,203 closed trades over 208 trading days, 75.03% win rate, 167 consecutive winning days through March 31, 2026. Last losing day: August 4, 2025. April 2026 broker P&L: $8,167 (broker-confirmed).

Advantedge™ ATS — System Architecture

Fully systematic, rules-based execution pipeline. The diagram below shows the nine processing stages plus the feedback loop from performance logging back into multi-timeframe analysis (continuous refinement).

01
Real-Time Market Data Ingestion
Continuous streaming of price, volume, order flow, and microstructure across multiple timeframes.
 02
Multi-Timeframe Continuous Analysis
Proprietary pattern recognition derived from decades of forecasting research; market regime identification routes which modules engage.
 03
Multi-Strategy Signal Generation
Independent analytical modules evaluate trade setups across market conditions in parallel; each produces candidate signals for the risk layer.
 04
Foundational AI & Adaptive Engine
Architectural foundation for ML / real-time optimization established; full AI-driven self-calibration in active development for the next-generation release.
 05
Risk & Money Management Filter
Configurable position sizing and confirmation filters applied to every candidate trade. Supports risk-averse to risk-tolerant profiles.
 06
Automated Execution & Order Adjustment
Selects optimal entry from qualified signals; dynamic order adjustments; only trade orders are exposed to brokers — core algorithms remain shielded.
 07
Intraday Position Monitoring
Active real-time oversight during day and Globex sessions; calibrated exit logic balances profit optimization with capital preservation.
 08
Daily Flattening Protocol
All positions closed by 4:00 PM Central. Zero overnight exposure. Zero carryover costs. Clean slate each day.
 09
Performance Logging & Adaptive Optimization
Trade outcomes recorded and analyzed; performance data informs ongoing parameter refinement. AI-driven feedback loop in development.
 continuousrefinementfeedback loop

Architectural characteristics: fully systematic / rules-based with zero discretionary intervention; designed for institutional scalability without HFT infrastructure (3–4 trades/day average); core algorithms housed in a high-security data center with biometric access; only trade execution orders exposed to brokers; flexible risk profiles per client; battle-tested across COVID volatility, the 2022 rate-hiking cycle, and shifting market regimes.

Methodology & Disclosures

Risk-free rate. Monthly 3-month Treasury bill yield from the Federal Reserve Economic Data series TB3MS, divided by 12 to convert annualized to monthly. Range over the Phase 1 window: 0.02% to 5.34% annualized (mean 2.61%). The flat 4.5% assumption used in earlier versions is replaced.

Annualization. Arithmetic mean of monthly returns × 12. This is the CTA industry convention used in Barclay, NilssonHedge, and AIMA reports. The same convention is applied to every annualized figure in this document. No mid-document switch to geometric annualization.

Volatility. Standard deviation of monthly returns × √12.

Sharpe. (Mean monthly excess return × 12) ÷ (Std dev of monthly excess returns × √12), where excess return = return − monthly risk-free rate. Excess return computed per-month, not against an average.

Sortino. Same numerator as Sharpe; denominator uses the downside semi-deviation of excess returns × √12.

Phase 1 fee model. $1,000,000 starting capital. 33 contracts held static for 56 months. Monthly mechanics: gross dollars = 33 × per-contract net (from source); management fee = (2% / 12) × start-of-month equity; equity pre-perf-fee = start + gross − mgmt; performance fee = 20% × max(0, equity_pre_perf − prior HWM); end equity = equity_pre_perf − perf_fee; HWM resets to end equity. Total fees over 56 months: see Phase 1 sheet of underlying workbook.

Phase 3 treatment. Per brief §3.4 Option A: Phase 3 is shown as a single straight-line interpolation from period-start to period-end equity per account, clearly labeled as estimate. Phase 3 is EXCLUDED from any monthly-volatility-dependent statistic (Sharpe, Sortino, drawdown). Cumulative summary only.

Gap treatment. Per brief §3.5 Treatment A. The OPERATIONAL gap (no live trading) was 9 months, July 2024 – March 2025. The COMPOSITE-CURVE gap is only 3 months, January – March 2025, because the Phase 1 simulator continued producing monthly returns through December 2024 in parallel with the broker transition. Those 3 months of pure gap fill are modeled as cash earning the actual monthly TB3MS yield. The alternative (zero return) is shown as a sensitivity in the calculations workbook.

Benchmark sources. S&P 500 Total Return: Yahoo Finance ticker ^SP500TR (dividends reinvested), monthly close. Cash benchmark: monthly TB3MS compounded. CTA peer benchmark: DBMF (iMGP DBi Managed Futures Strategy ETF, NYSE Arca) via Yahoo Finance. DBMF was launched in May 2019 specifically to replicate the SG CTA Index using publicly observable futures positioning data; it is the institutional standard publicly-investable proxy for the SG CTA peer group, with tracking error vs SG CTA averaging within ~50bps/month over its history. The substitution is preferable to the raw SG CTA series for this document because every monthly DBMF value can be independently verified by any reader on Yahoo Finance, while SG CTA is paywalled (Q-SG-CTA-INDEX in the pending panel remains open for clients who specifically require the licensed series).

Trade-level Sharpe ratios. Source documents report Sharpe ratios for the Evolution IP live accounts (15.25 for NT-99, 11.04 combined) computed using trade-level annualization (trades × 252). These do not represent institutional standards (which use monthly returns) and are NOT reproduced here. Q-DEPRECATED-STATS in the pending panel asks Bill to confirm removal from any institutional materials.

CFTC Rule 4.41 (applies to the Advantedge™ ATS track record): Hypothetical or simulated performance results have certain limitations. Unlike an actual performance record, simulated results do not represent actual trading. Also, since the trades have not been executed, the results may have under-or-over compensated 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 profit or losses similar to those shown.

Risk warning. Trading futures 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. Past performance is not necessarily indicative of future results.

Confidentiality. All information in this document is confidential. Receipt is subject to confidentiality, non-disclosure, use-related, and other obligations to Sovereign Edge Solutions, LLC.

Position Sizing & Leverage

How the Advantedge™ ATS sizes positions, the resulting notional exposure, and the formal leverage disclaimer.

Allocation Methodology

The Advantedge™ ATS trades E-mini S&P 500 futures (CME ticker: ES) and their micro counterparts (CME ticker: MES). Position sizing follows a fixed contract-to-equity ratio.

Reference allocation: $1,000,000 of equity supports 33 E-mini contracts. That equates to approximately $30,300 of equity per contract.

Contract Specifications

InstrumentMultiplierTick ValueEquivalence
E-mini S&P 500 (ES)$50 / pt$12.501 ES = 10 MES
Micro E-mini S&P 500 (MES)$5 / pt$1.2510 MES = 1 ES (notional & tick)

Notional Exposure

At an S&P 500 index level of 6,000 for illustration:

  • Per Contract Notional Value: ES = 6,000 × $50 = $300,000; MES = 6,000 × $5 = $30,000.
  • Per $1,000,000 Account Trading 33 ES Contracts: Notional exposure = 33 × $300,000 = $9,900,000; Notional leverage ratio = 9.9 to 1.
  • Micro Equivalent: 33 ES = 330 MES; same notional ($9,900,000); same risk profile, finer granularity.

For accounts below the $1M threshold, micro contracts allow proportional position sizing. A $100,000 account targeting 33 MES preserves the 9.9 to 1 notional ratio. A $300,000 account targets 99 MES. The MES vehicle exists for this purpose — to scale the same signal across smaller capital bases without distorting the risk geometry.

Notional Sensitivity to Index Level

Notional value moves with the index, so the leverage ratio shifts as the market moves:

S&P 500 LevelNotional per ESNotional 33 ESNotional Leverage on $1M
5,500$275,000$9,075,0009.08x
6,000$300,000$9,900,0009.90x
6,500$325,000$10,725,00010.73x

As the index rises, the same 33-contract position carries more notional exposure per dollar of equity. Position sizing reviews account for this drift.

Margin vs. Notional

CME exchange margin for ES sits in the range of $13,000 to $17,000 per contract — the figure moves with volatility regimes. At a $15,000 initial margin assumption: 33 × $15,000 = $495,000 margin posted; remaining $505,000 in equity serves as the drawdown cushion. That produces a margin-to-equity ratio near 50%, which sits inside the conservative band for managed futures accounts. Margin-to-equity above 70% is considered aggressive; below 30% is considered low leverage. The 50% target reserves capital for adverse moves while preserving position size sufficient to express the system's signal.

Calibration Rationale

The 9.9 to 1 notional ratio reflects three inputs: the volatility profile of S&P 500 futures, the drawdown characteristics observed across the signal record, and the margin reserve required to absorb adverse moves without forced liquidation. The ratio is calibrated, not arbitrary — it allows the system to express its full directional view while preserving sufficient equity to survive the drawdown distribution.

Leverage Disclaimer

The following disclosure applies to all trading in E-mini S&P 500 futures and their micro counterparts.

Trading futures contracts involves a high degree of leverage. The use of leverage can produce large losses as well as gains. A small adverse market movement can have a disproportionate impact on the funds you have deposited. Leverage may work against you as well as for you.

Under the position sizing methodology described, $1,000,000 of equity supports approximately $9,900,000 of notional exposure. That represents a notional leverage ratio near 10 to 1, which means a 1% adverse move in the S&P 500 index can produce a loss of approximately 10% of account equity before slippage, commissions, and overnight gap risk.

You should understand the following: You may sustain a total loss of the funds deposited as initial margin, and you may be required to deposit substantial additional funds on short notice to maintain your position. Failure to provide additional funds within the required time may result in liquidation of your position at a loss, and you will be liable for any resulting deficit in your account.

Under certain market conditions, you may find it difficult or impossible to liquidate a position. This can occur when the market reaches a daily price fluctuation limit, when liquidity is insufficient, or when trading is suspended for any reason.

Past performance is not necessarily indicative of future results. Hypothetical or simulated performance results carry inherent limitations (see CFTC Rule 4.41). Simulated results do not represent actual trading and cannot reflect the impact of financial risk in real trading. No representation is made that any account will or is likely to achieve profits or losses similar to those shown.

The futures trading methodology described carries the risk that all assumptions, calibrations, and prior signal relationships may fail under future market conditions. Strategies that have performed in the historical record may underperform or sustain significant losses going forward.

You should review all offering documents in full and consult with your own financial, tax, and legal advisors before making any investment decision.

Reconciliation Against Source Materials

Cross-check of headline numbers in this document against Bill's "SES Compiled Institutional Package" (April 2026) and the NinjaTrader monthly statements (Jan–Mar 2026). All material figures match exactly.

MetricThis documentSourceStatus
ATS Track — net P&L (56mo, $30K basis)$216,212.49$216,212.49✓ Exact match
ATS Track — cumulative ROI ($30K basis)720.71%720.71%✓ Exact match
ATS Track — winning months51 of 56 (91.1%)51 of 56 (91.1%)✓ Match
ATS Track — mean monthly ROI ($30K basis)12.87%12.87%✓ Match
NT-99 net trading P&L (10mo, ex-deposits)$33,694.78$33,694.78✓ Exact match
NT-99 starting equity$39,315.78$39,315.78✓ Match
NT-99 ending equity (Mar 2026)$111,450.56$111,450.56✓ Match
NT-99 trades / win rate2,203 / 75.03%2,203 / 75.03%✓ Match
NT-99 167 consecutive winning daysconfirmedAug 5, 2025 → Mar 31, 2026✓ Match
NT-99 Jan 2026 broker statement$60,722.78 → $94,241.52NinjaTrader stmt✓ Match (deposits backed out)
NT-99 Feb 2026 broker statement$94,241.52 → $104,708.22NinjaTrader stmt✓ Match (deposits backed out)
NT-99 Mar 2026 broker statement$104,708.22 → $111,450.56NinjaTrader stmt✓ Match (no deposits)

Methodology Differences vs Source Materials

Where this document's risk-adjusted ratios differ from numbers in Bill's source documents, the difference is methodology, not data. We use the institutional standard. Source-document figures are not reproduced as headline metrics in this document.

  • Composite cumulative is multiplicative, not additive. Cumulative track-record returns compound (industry-standard CTA convention). ATS grew the institutional base ×6.46 (May 2020 – Dec 2024); the 3-month broker-transition gap added a small cash-yield multiplier; Evolution IP at the same monthly rates compounds by ×1.92 (Apr 2025 – Apr 2026). Multiplying yields the 1152.00% Row 2 figure (≈ $12.52M on $1M).
  • Scale-assumption disclosure (applies to both rows). All performance is presented at the institutional $1M / 33-contract / 2-and-20 fee-adjusted basis. Live trading at small-account scale (Evolution IP $24K – $120K; smaller contract counts in ATS) is scaled to this institutional view per the document's stated convention. Capacity, slippage, and market-impact effects at full institutional scale are not separately modeled.
  • Sharpe ratio basis. Source materials report an ATS Sharpe of 4.53 calculated on the $30K-reset basis with no fees and a flat 3.5% RFR. We use the $1M institutional view with 2-and-20 fees, monthly compounding, and the actual monthly TB3MS series — yielding Sharpe 2.91. The institutional basis is the defensible standard for an allocator-facing document; the $30K-reset figure inflates the ratio because the denominator never grows even as cumulative P&L mounts and there are no fee drags. We do not reproduce 4.53 here.
  • NT-99 daily-basis Sharpe. Source materials report an NT-99 Sharpe of 10.14 calculated on a daily-basis with √252 annualization. With 99% winning days, the daily standard deviation is artificially compressed; the resulting ratio is not directly comparable to monthly-basis Sharpes used across the CTA industry. We will compute monthly-basis NT-99 Sharpe (× √12) once Bill provides the full monthly broker series. Daily-basis figures are not reproduced as headline metrics here.
  • Max drawdown basis. Source documents report ATS max drawdown of 4.41% on the $30K-reset basis. Our −5.00% figure is on the $1M compounded basis. Both come from the same monthly P&L stream — different denominators yield different percentages.
  • Trade-level Sharpe ratios. Earlier source documents reported per-trade-annualized Sharpe ratios for the Evolution IP live accounts (15.25 / 11.04) computed using trade-level annualization (trades × 252). These are not the institutional standard for a track record and are not reproduced anywhere in this document.

Important Disclosures

Canonical legal and regulatory disclosures applicable to this document.

Confidentiality. The contents of this document, including all performance figures, account identifiers, methodology, architecture details, and any other information contained herein, are confidential and proprietary. You agree not to forward, copy, reproduce, distribute, disclose, or otherwise share this document or any portion of it in any form or medium without the prior written consent of Sovereign Edge Solutions, LLC ("SES").

Eligibility. This document is provided for the confidential review of accredited investors as defined under Regulation D or qualified eligible persons as defined under CFTC Rule 4.7. By proceeding, you represent that you fall within one of these categories. You acknowledge that no fund, commodity pool, managed account program, or other investment vehicle is being offered at this time, and that this document is provided solely for your evaluation of SES and its underlying technology in advance of any future offering.

No offer or solicitation. This document does not constitute an offer to sell or a solicitation of an offer to buy any security or commodity interest. Any such offer or solicitation will be made only through definitive offering documents.

Not advice. This document may not be relied upon as investment, accounting, legal, regulatory, or tax advice. You should consult your own advisors before making any decision.

Performance data structure. The performance information in this document reflects three distinct phases that differ in methodology, account structure, and verification status: Phase 1 (Original Advantedge™ ATS, 56 months through December 2024), Phase 2 (Broker Transition Gap, January 2025 – March 2025), and Phase 3 (Live Discretionary Trading via Evolution IP, April 2025 to present). These phases are not comparable on a like-for-like basis. Detailed phase descriptions, methodology, and per-phase footnote disclosures are presented elsewhere in this document.

CFTC Rule 4.41 disclosure (applies to Phase 1 pro forma compilation):

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED 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 PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

Verification. Phase 1 is constructed from internal SES records. Phase 2 reflects a non-trading period with no broker statement support; the composite curve uses cash yield fill as disclosed inside the document. Phase 3 is supported by monthly broker statements. None of the performance data has been independently audited or verified through a GIPS-compliant performance examination.

Past performance is not indicative of future results. Trading futures involves substantial risk of loss and is not suitable for all participants. See also the Position Sizing & Leverage section for leverage-specific disclosures.

🔒 Internal changelog
Sovereign Edge Solutions, LLC
v3.7.25 · Built 2026-06-07 · Audit trail: SES_Calculations.xlsx
🔒 Private & Confidential ◆ Confidentiality. Confidential and proprietary. May not be forwarded, copied, distributed, or reproduced without prior written consent of Sovereign Edge Solutions, LLC. ◆ Accredited Investors / QEPs Only ◆ Eligibility. Provided for the confidential review of accredited investors (Reg D) or qualified eligible persons (CFTC Rule 4.7). ◆ Not an Offer or Solicitation ◆ This document does not constitute an offer to sell or solicitation to buy any security or commodity interest. Any offer will be made only through definitive offering documents. ◆ Not Advice ◆ This document is not investment, accounting, legal, regulatory, or tax advice. Consult your own advisors. ◆ CFTC Rule 4.41 ◆ Past performance is not indicative of future results. Hypothetical or simulated performance has inherent limitations and does not represent actual trading. ◆ Trading Risk ◆ Trading futures involves substantial risk of loss and is not suitable for all participants. ◆
🔒 Private & Confidential ◆ Confidentiality. Confidential and proprietary. May not be forwarded, copied, distributed, or reproduced without prior written consent of Sovereign Edge Solutions, LLC. ◆ Accredited Investors / QEPs Only ◆ Eligibility. Provided for the confidential review of accredited investors (Reg D) or qualified eligible persons (CFTC Rule 4.7). ◆ Not an Offer or Solicitation ◆ This document does not constitute an offer to sell or solicitation to buy any security or commodity interest. Any offer will be made only through definitive offering documents. ◆ Not Advice ◆ This document is not investment, accounting, legal, regulatory, or tax advice. Consult your own advisors. ◆ CFTC Rule 4.41 ◆ Past performance is not indicative of future results. Hypothetical or simulated performance has inherent limitations and does not represent actual trading. ◆ Trading Risk ◆ Trading futures involves substantial risk of loss and is not suitable for all participants. ◆
🔒 Private & Confidential ◆ Confidentiality. This document is confidential and is governed by the Confidentiality Agreement signed by recipient with Sovereign Edge Solutions, LLC. May not be forwarded, copied, redistributed, or reproduced. ◆ CFTC Rule 4.41 ◆ Past performance is not indicative of future results. Hypothetical and simulated performance results have inherent limitations and do not represent actual trading; results may have under- or over-compensated for market factors such as liquidity, and are designed with the benefit of hindsight. ◆ Accredited Investors Only ◆
🔒 Private & Confidential ◆ Confidentiality. This document is confidential and is governed by the Confidentiality Agreement signed by recipient with Sovereign Edge Solutions, LLC. May not be forwarded, copied, redistributed, or reproduced. ◆ CFTC Rule 4.41 ◆ Past performance is not indicative of future results. Hypothetical and simulated performance results have inherent limitations and do not represent actual trading; results may have under- or over-compensated for market factors such as liquidity, and are designed with the benefit of hindsight. ◆ Accredited Investors Only ◆