Automaton Trading LLC : Diversified II

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
2/2017
Diversified II 0.08 - - - -4.11 - - 0.50
S&P 500 -6.94 - - - 29.10 - - 46.58
+/- S&P 500 7.02 - - - -33.21 - - -46.09

Strategy Description

Summary

The 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

The 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.”

   

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

Reward
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Compound RoR:
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Risk
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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
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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
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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
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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. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.