Lyons Trading Group : LATS (Client) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 7.04% Oct Performance -3.30% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.39% Sharpe (RFR=1%) -0.60 CAROR -9.67% Assets $ 1.3M Worst DD -30.77 S&P Correlation 0.57 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 YTD 1yr 3yr 5yr 10yr Since6/2018 LATS (Client) -3.30 -6.04 -7.04 -4.24 - - - -21.79 S&P 500 -2.77 -0.04 1.21 7.65 - - - 33.22 +/- S&P 500 -0.53 -6.00 -8.25 -11.89 - - - -55.00 Strategy Description Investment StrategyThe Lyons Algorithmic Trading Strategy consists of multiple proprietary trading strategies and was developed through extensive research on mean reversion theory, market trending patterns, market volatility and overnight conditions. The mean reversion algorithm calculates... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 10% Targeted Worst DD Worst Peak-to-Trough Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 25.00% Other 75.00% Composition Stock Indices 100.00% Investment StrategyThe Lyons Algorithmic Trading Strategy consists of multiple proprietary trading strategies and was developed through extensive research on mean reversion theory, market trending patterns, market volatility and overnight conditions. The mean reversion algorithm calculates how far the closing price is from the calculated mean and then calculates if the market is currently bullish, bearish or neutral. The mean reversion algorithm will only buy or sell once the price is calculated to be too far from the calculated mean price. If the market is bullish the algorithm will have buy only signals, if the market is bearish the algorithm will have sell only signals and if the market is neutral the algorithm will have buy and sell signals. Furthermore, trades are filtered based on the underlying volatility of that market, where volatility is used to either delay the entry or exit until a good volatile based condition is met. In addition, short term overnight trades are entered when the conditions and volatility are good to capitalize on the long-term phenomenon of the bullish price movement outside regular market hours 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 -30.77 8 - 9/1/2018 5/1/2019 -3.06 1 1 1/1/0001 6/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.50 8 6/1/2019 1/1/2020 12.05 3 6/1/2020 8/1/2020 8.90 3 7/1/2018 9/1/2018 5.11 3 2/1/2019 4/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -25.44 4 10/1/2018 1/1/2019 -12.00 4 2/1/2020 5/1/2020 -11.66 1 5/1/2019 5/1/2019 -6.04 2 9/1/2020 10/1/2020 -3.06 1 6/1/2018 6/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods29.0027.0024.0018.0012.00 Percent Profitable58.6251.8529.1733.338.33 Average Period Return-0.73-1.98-5.50-8.87-13.67 Average Gain2.355.467.734.273.35 Average Loss-5.10-9.99-10.94-15.44-15.22 Best Period6.6712.0512.108.233.35 Worst Period-11.66-18.19-23.85-27.02-28.74 Standard Deviation4.738.7011.0912.7410.48 Gain Standard Deviation1.882.913.672.85 Loss Standard Deviation4.034.537.9910.299.44 Sharpe Ratio (1%)-0.17-0.26-0.54-0.77-1.45 Average Gain / Average Loss0.460.550.710.280.22 Profit / Loss Ratio0.650.590.290.140.02 Downside Deviation (10%)4.338.3513.0418.5623.51 Downside Deviation (5%)4.167.7211.6315.6418.18 Downside Deviation (0%)4.127.5611.2914.9516.93 Sortino Ratio (10%)-0.26-0.38-0.61-0.75-0.90 Sortino Ratio (5%)-0.20-0.29-0.52-0.63-0.83 Sortino Ratio (0%)-0.18-0.26-0.49-0.59-0.81 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 2 6.67 8/2020 Systematic Trader Index Month 8 6.67 8/2020 Stock Index Trader Index Month 10 1.54 7/2020 Stock Index Trader Index Month 8 3.45 6/2020 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel