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Lyons Trading Group : LATS (Client)

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Year-to-Date
1.10%
Jan Performance
-1.10%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.86%
Sharpe (RFR=1%)
-0.58
CAROR
-9.01%
Assets
$ 1.4M
Worst DD
-30.77
S&P Correlation
0.57
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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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
6/2018
LATS (Client) -1.10 -0.60 -1.10 -7.90 - - - -22.26
S&P 500 -1.11 13.59 -1.11 15.15 - - - 36.62
+/- S&P 500 0.01 -14.19 0.01 -23.05 - - - -58.88

Strategy Description

Investment Strategy

The 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

The 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

   

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
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
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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
3.58 1 11/1/2020 11/1/2020
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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
-4.04 2 12/1/2020 1/1/2021
-3.06 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable56.2546.6733.3328.5726.67
Average Period Return-0.68-1.98-4.48-8.33-9.79
Average Gain2.425.467.274.275.12
Average Loss-4.67-8.50-10.36-13.37-15.22
Best Period6.6712.0512.108.2310.84
Worst Period-11.66-18.19-23.85-27.02-28.74
Standard Deviation4.588.2410.9211.8812.40
Gain Standard Deviation1.852.913.712.854.03
Loss Standard Deviation3.895.198.1410.179.44
Sharpe Ratio (1%)-0.17-0.27-0.46-0.79-0.91
Average Gain / Average Loss0.520.640.700.320.34
Profit / Loss Ratio0.670.560.350.130.12
Downside Deviation (10%)4.178.0012.3017.6421.10
Downside Deviation (5%)4.007.3710.9714.7116.26
Downside Deviation (0%)3.967.2110.6414.0215.14
Sortino Ratio (10%)-0.26-0.40-0.56-0.76-0.82
Sortino Ratio (5%)-0.19-0.30-0.45-0.63-0.69
Sortino Ratio (0%)-0.17-0.27-0.42-0.59-0.65

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 8 3.58 11/2020
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.

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