Automaton Trading LLC : Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 12.69% Dec Performance 0.87% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 7.25% Sharpe (RFR=1%) 0.53 CAROR 4.64% Assets $ 2.5M Worst DD -10.82 S&P Correlation 0.23 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page Growth of 1,000 - VAMI Monthly Performance Export Data Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Period Returns Program / Index Dec Qtr 2019 1yr 3yr 5yr 10yr Since7/2014 Diversified 0.87 3.28 12.69 12.69 17.49 10.35 - 28.32 S&P 500 2.86 8.53 28.87 28.87 42.84 55.32 - 65.64 +/- S&P 500 -1.99 -5.25 -16.18 -16.18 -25.35 -44.98 - -37.32 Strategy Description SummaryAutomaton Trading LLC was created by Dr. Aistis Raudys and Thierry Rabut. Dr. Aistis Raudys holds a Ph.D in artificial intelligence. He worked at Societe Generale internal quant hedge fund for three years. Prior to that, he was working at Deutsche Asset Management within... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 500k CTA Max Funding Factor 2.50 Management Fee 1.00% Performance Fee 20.00% Average Commission $2.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 9500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD -15.00% Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 5.00% 1-30 Days 25.00% Intraday 70.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 30.00% Momentum 15.00% Pattern Recognition 30.00% Seasonal/cyclical 10.00% Trend-following 15.00% Composition Stock Indices 32.00% Interest Rates 21.00% Currency Futures 15.00% Precious Metals 14.00% Energy 5.00% Grains 5.00% Softs 5.00% Other 2.00% Industrial Metals 1.00% SummaryAutomaton Trading LLC was created by Dr. Aistis Raudys and Thierry Rabut. Dr. Aistis Raudys holds a Ph.D in artificial intelligence. He worked at Societe Generale internal quant hedge fund for three years. Prior to that, he was working at Deutsche Asset Management within their Portfolio Engineering Group. His expertise lies in quantitative finance, machine learning, neural networks and algorithmic trading.He also holds a B.Sc and M.Sc in software engineering and is fluent in C++, C# and Matlab. Aistis Raudys has been the portfolio manager of Algorithmic Trading Portfolio, a $13 million (as of Jan 1st 2018) managed futures hedge fund based in Europe. Automaton Trading LLC was conceived to offer Dr. Raudys' algorithms to US investors under a managed account format. Investment StrategyOur investment approach is based on the implementation of a portfolio of 100% systematic trading models. Models exploit short-term and intraday market inefficiencies and put more emphasis on strategy intelligence than speed. No HFT is involved in signal generation but HFT is used in execution engine to execute signals and minimise slippage. Program trades 30+ most liquid US and European futures including equity, metals, interest rate, agriculture, energy and currency markets. Signals are generated using a mix of technical mean reversion, trend following and seasonality models implemented using Artificial Intelligence methods. No typical long term trend following logic is involved. Long, short and flat positions can be held intraday and overnight. The strategy and its strict risk management are based on a clearly defined set of rules, adjusting the portfolio dynamically to changing market conditions. Final portfolio is composed of 40+ independent trading systems that seek to generate independent returns. Curve fitting in trading strategy and portfolio optimisation is minimised by using proprietary optimisation techniques that takes into account out-of-sample performance. Program targets 12% annualised volatility. Risk is monitored daily and can be adjusted to meet the target depending on market conditions. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year. Drawdown Report Depth Length (Mos.) Recovery (Mos.) Peak Valley -10.82 3 24 5/1/2015 8/1/2015 -8.98 9 12 12/1/2017 9/1/2018 -4.05 2 3 12/1/2014 2/1/2015 -0.25 1 1 10/1/2014 11/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 14.15 15 10/1/2018 12/1/2019 13.06 4 7/1/2014 10/1/2014 10.38 9 4/1/2017 12/1/2017 8.00 5 12/1/2015 4/1/2016 4.25 1 5/1/2015 5/1/2015 3.11 1 12/1/2014 12/1/2014 2.76 2 1/1/2017 2/1/2017 2.29 1 3/1/2015 3/1/2015 1.12 3 5/1/2018 7/1/2018 0.91 1 9/1/2015 9/1/2015 0.87 1 3/1/2018 3/1/2018 0.36 1 11/1/2016 11/1/2016 0.32 1 7/1/2015 7/1/2015 0.14 1 6/1/2016 6/1/2016 0.10 1 8/1/2016 8/1/2016 Show More Consecutive Losses Run-up Length (Mos.) Start End -8.67 1 8/1/2015 8/1/2015 -8.37 2 1/1/2018 2/1/2018 -4.05 2 1/1/2015 2/1/2015 -2.67 1 6/1/2015 6/1/2015 -1.85 2 9/1/2016 10/1/2016 -1.71 2 8/1/2018 9/1/2018 -1.42 1 12/1/2016 12/1/2016 -1.01 1 4/1/2015 4/1/2015 -0.99 1 5/1/2016 5/1/2016 -0.92 1 4/1/2018 4/1/2018 -0.85 2 10/1/2015 11/1/2015 -0.30 1 3/1/2017 3/1/2017 -0.25 1 11/1/2014 11/1/2014 -0.15 1 7/1/2016 7/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods66.0064.0061.0055.0049.0043.0031.0019.00 Percent Profitable71.2171.8860.6665.4567.3579.0790.3284.21 Average Period Return0.401.171.822.383.124.297.588.66 Average Gain1.273.025.596.055.716.008.5510.44 Average Loss-1.76-3.56-3.99-4.58-2.22-2.16-1.49-0.85 Best Period5.6012.0416.2914.6412.2917.0917.4921.65 Worst Period-8.67-10.82-10.78-9.30-5.93-6.08-3.59-2.08 Standard Deviation2.094.155.706.344.925.645.307.91 Gain Standard Deviation1.252.703.204.243.755.034.567.31 Loss Standard Deviation2.223.383.242.801.491.811.831.09 Sharpe Ratio (1%)0.150.220.230.220.330.410.860.58 Average Gain / Average Loss0.720.851.401.322.572.785.7512.36 Profit / Loss Ratio1.792.172.162.505.3010.5153.7165.91 Downside Deviation (10%)1.643.104.546.086.497.959.7015.01 Downside Deviation (5%)1.522.673.453.652.312.111.682.24 Downside Deviation (0%)1.492.573.203.131.511.260.660.49 Sortino Ratio (10%)0.00-0.02-0.14-0.43-0.69-0.75-0.84-0.86 Sortino Ratio (5%)0.210.350.380.380.701.082.702.06 Sortino Ratio (0%)0.270.460.570.762.063.4111.5617.76 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel