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Automaton Trading LLC : Diversified

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Year-to-Date
1.02%
Dec Performance
1.25%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.17%
Sharpe (RFR=1%)
0.41
CAROR
3.75%
Assets
$ 0k
Worst DD
-10.82
S&P Correlation
0.24
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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 2020 1yr 3yr 5yr 10yr Since
7/2014
Diversified 1.25 -0.09 -1.02 -1.02 2.83 20.41 - 27.01
S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 - 92.57
+/- S&P 500 -2.46 -11.77 -17.28 -17.28 -37.64 -61.49 - -65.56

Strategy Description

Summary

Automaton 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

Automaton 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 Strategy

Our 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Monthly Annual
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Average RoR:
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Average Gain:
Gain Deviation:
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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
-6.65 3 - 12/1/2019 3/1/2020
-4.05 2 3 12/1/2014 2/1/2015
-0.25 1 1 10/1/2014 11/1/2014
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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
5.61 3 7/1/2020 9/1/2020
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
1.28 2 11/1/2020 12/1/2020
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
0.73 1 4/1/2020 4/1/2020
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
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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
-6.65 3 1/1/2020 3/1/2020
-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
-1.35 1 10/1/2020 10/1/2020
-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
-0.24 2 5/1/2020 6/1/2020
-0.15 1 7/1/2016 7/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable67.9568.4257.5364.1873.7783.6493.0290.32
Average Period Return0.330.961.542.173.765.087.059.56
Average Gain1.272.945.455.495.886.497.6910.68
Average Loss-1.67-3.34-3.76-3.78-2.22-2.16-1.49-0.85
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 Deviation2.074.055.505.834.615.434.706.61
Gain Standard Deviation1.222.643.074.143.264.724.195.93
Loss Standard Deviation2.103.133.062.941.491.811.831.09
Sharpe Ratio (1%)0.120.180.190.200.490.560.860.83
Average Gain / Average Loss0.760.881.451.452.653.015.1812.63
Profit / Loss Ratio1.611.911.962.607.4515.3869.01117.91
Downside Deviation (10%)1.663.114.535.825.867.279.8713.64
Downside Deviation (5%)1.532.653.403.352.071.871.431.75
Downside Deviation (0%)1.502.553.142.851.361.110.560.38
Sortino Ratio (10%)-0.05-0.09-0.21-0.49-0.65-0.71-0.88-0.88
Sortino Ratio (5%)0.160.270.310.351.091.642.813.14
Sortino Ratio (0%)0.220.380.490.762.774.5612.6625.04

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 2.03 9/2020

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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