Lyons Trading Group : LATS (Client)

Year-to-Date
9.23%
Oct Performance
2.99%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.76%
Sharpe (RFR=1%)
-0.78
CAROR
-
Assets
$ 3.4M
Worst DD
-30.90
S&P Correlation
0.52

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
6/2018
LATS (Client) 2.99 4.76 -9.23 -16.43 - - - -19.66
S&P 500 2.04 1.92 21.16 12.01 - - - 11.73
+/- S&P 500 0.95 2.84 -30.39 -28.43 - - - -31.39

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.

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
-30.90 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
10.14 5 6/1/2019 10/1/2019
8.90 3 7/1/2018 9/1/2018
5.12 3 2/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.56 4 10/1/2018 1/1/2019
-11.70 1 5/1/2019 5/1/2019
-3.06 1 6/1/2018 6/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable64.7140.000.00
Average Period Return-1.13-4.32-12.49
Average Gain2.145.71
Average Loss-7.14-11.00-12.49
Best Period6.638.90-2.41
Worst Period-11.70-18.25-23.97
Standard Deviation5.419.189.19
Gain Standard Deviation1.721.69
Loss Standard Deviation4.574.499.19
Sharpe Ratio (1%)-0.22-0.50-1.41
Average Gain / Average Loss0.300.52
Profit / Loss Ratio0.550.35
Downside Deviation (10%)5.1310.0217.36
Downside Deviation (5%)4.969.3115.69
Downside Deviation (0%)4.929.1315.28
Sortino Ratio (10%)-0.30-0.55-0.86
Sortino Ratio (5%)-0.25-0.49-0.83
Sortino Ratio (0%)-0.23-0.47-0.82

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.