Automaton Trading LLC : No Trend

archived programs
Year-to-Date
N / A
Mar Performance
2.07%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.54%
Sharpe (RFR=1%)
0.10
CAROR
-
Assets
$ 0k
Worst DD
-9.59
S&P Correlation
0.18

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
7/2017
No Trend 2.07 - - - -3.38 - - 1.16
S&P 500 -2.69 - - - 26.42 - - 40.47
+/- S&P 500 4.76 - - - -29.80 - - -39.31

Strategy Description

Summary

The No Trend Program was launched in July 2017. The program uses the same trading strategy as the Diversified Program without the trend following component. The No Trend Program primarily consists of mean reversion strategies trading on flexible timeframes which can cause trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
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 10000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 10.00%
Intraday 90.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
70.00%
Pattern Recognition
15.00%
Seasonal/cyclical
15.00%
Strategy Pie Chart

Composition

Interest Rates
40.00%
Stock Indices
40.00%
Currency Futures
5.00%
Grains
5.00%
Precious Metals
3.00%
Energy
3.00%
Softs
3.00%
Industrial Metals
1.00%
Composition Pie Chart

Summary

The No Trend Program was launched in July 2017. The program uses the same trading strategy as the Diversified Program without the trend following component. The No Trend Program primarily consists of mean reversion strategies trading on flexible timeframes which can cause trading frequencies to shift from once a month to several times a day. Seasonal trading strategies, artificial intelligence, and various other event-based trading systems and strategies are used to ensure extensive program diversification. The program is further diversified by applying the strategies to more than 40 different, primarily independent, futures instruments. The portfolio is structured to account for risk management and allows for a loss in one strategy to be offset by profits in the others, concurrently. The No Trend Program is most suited for investors with portfolios containing many trend dependent investments and who seek to obtain uncorrelated returns to their current investments.

   

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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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
-9.59 2 - 12/1/2017 2/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
9.62 6 7/1/2017 12/1/2017
2.07 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.59 2 1/1/2018 2/1/2018
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Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable77.7857.14
Average Period Return0.170.04
Average Gain1.624.09
Average Loss-4.91-5.36
Best Period2.656.07
Worst Period-6.28-7.72
Standard Deviation3.045.66
Gain Standard Deviation0.821.56
Loss Standard Deviation1.944.00
Sharpe Ratio (1%)0.03-0.04
Average Gain / Average Loss0.330.76
Profit / Loss Ratio1.161.02
Downside Deviation (10%)2.594.81
Downside Deviation (5%)2.444.25
Downside Deviation (0%)2.404.11
Sortino Ratio (10%)-0.09-0.25
Sortino Ratio (5%)0.04-0.05
Sortino Ratio (0%)0.070.01

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.