Automaton Trading LLC : Diversified II Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Oct Performance 0.08% Min Investment $ 10,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 6.10% Sharpe (RFR=1%) -0.09 CAROR - Assets $ 20.0M Worst DD -8.45 S&P Correlation 0.26 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since2/2017 Diversified II 0.08 - - - -8.38 - - 0.50 S&P 500 -6.94 - - - 29.10 - - 57.29 +/- S&P 500 7.02 - - - -37.48 - - -56.80 Strategy Description SummaryThe Diversified Program is the firm’s original strategy. It is based on the implementation of a portfolio of 100% systematic trading models. The goal of these models is to identify and exploit short-term and intraday market inefficiencies and put more emphasis on strategy intelligence... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 500k CTA Max Funding Factor 2.50 Management Fee 1.00% Performance Fee 20.00% Average Commission $2.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 9500 RT/YR/$M Avg. Margin-to-Equity 5% Targeted Worst DD -15.00% Worst Peak-to-Trough 2.20% 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 40.00% Interest Rates 38.00% Precious Metals 6.00% Grains 5.00% Currency Futures 3.00% Energy 3.00% Industrial Metals 2.00% Softs 2.00% VIX 1.00% SummaryThe Diversified Program is the firm’s original strategy. It is based on the implementation of a portfolio of 100% systematic trading models. The goal of these models is to identify and exploit short-term and intraday market inefficiencies and put more emphasis on strategy intelligence over speed of execution. The Diversified Program does not utilize any High Frequency Trading (“HFT”) methods in its signal generation, but the program will use HFT for execution to minimize slippage. The Diversified Program is designed to trade the 42 most liquid US and European futures including equity, metals, interest rate, agriculture, energy and currency markets. The program aims to trade on the CME, CBOT, NYMEX, COMEX, ICE, EUREX and LIFFE exchanges, across a myriad of contracts in each of the aforementioned markets. Although the Diversified Program aims to trade these markets, Automaton reserves the right to trade in any market, through any product, where it has determined an opportunity may exist. The program is focused around signal generation, which consists of a mix of technical mean reversion, trend following and seasonality models implemented using artificial intelligence methods. As part of its strategy, the program does not follow typical, long term trend following logic. Positions are generally held intraday and may be held overnight. The program utilizes strict risk management guidelines, which are based on a clear set of rules that adjust the portfolio dynamically depending on shifting market conditions. The typical client portfolio will consist of 40+ independent trading systems that seek to generate independent returns. The program implements proprietary optimization techniques that take into account out-of-sample performance to minimize curve fitting. Larger accounts have the opportunity to participate in more trading systems than smaller accounts, which may result in differences in rates-of-return. For this reason, the performance of larger accounts is presented separately as “Program II.” 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 -8.45 9 - 12/1/2017 9/1/2018 -2.20 1 1 5/1/2017 6/1/2017 -0.36 1 1 2/1/2017 3/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 9.89 6 7/1/2017 12/1/2017 1.51 2 4/1/2017 5/1/2017 1.38 2 5/1/2018 6/1/2018 0.90 1 2/1/2017 2/1/2017 0.22 1 3/1/2018 3/1/2018 0.08 1 10/1/2018 10/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -7.36 2 1/1/2018 2/1/2018 -2.20 1 6/1/2017 6/1/2017 -1.98 3 7/1/2018 9/1/2018 -0.78 1 4/1/2018 4/1/2018 -0.36 1 3/1/2017 3/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods21.0019.0016.0010.00 Percent Profitable61.9063.1650.0050.00 Average Period Return0.040.120.42-0.23 Average Gain1.052.154.782.42 Average Loss-1.60-3.34-3.93-2.88 Best Period2.496.159.897.42 Worst Period-5.40-7.15-6.60-6.03 Standard Deviation1.763.505.113.88 Gain Standard Deviation0.751.852.852.96 Loss Standard Deviation1.712.872.142.76 Sharpe Ratio (1%)-0.03-0.04-0.01-0.32 Average Gain / Average Loss0.650.641.220.84 Profit / Loss Ratio1.061.101.220.84 Downside Deviation (10%)1.593.234.776.35 Downside Deviation (5%)1.432.713.443.27 Downside Deviation (0%)1.402.593.122.68 Sortino Ratio (10%)-0.23-0.34-0.43-0.82 Sortino Ratio (5%)-0.03-0.05-0.02-0.38 Sortino Ratio (0%)0.030.050.14-0.09 Top Performer Badges Index Award Type Rank Performance Period Past performance is not necessarily indicative of future results. 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