Lyons Trading Group : LATS (Proprietary)

Year-to-Date
4.64%
Apr Performance
1.24%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.66%
Sharpe (RFR=1%)
0.61
CAROR
9.72%
Assets
$ 96k
Worst DD
-23.07
S&P Correlation
0.38

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
2/2015
LATS (Proprietary) 1.24 4.43 -4.64 -8.03 37.73 - - 48.32
S&P 500 3.93 8.94 17.51 11.24 41.19 - - 38.56
+/- S&P 500 -2.69 -4.51 -22.16 -19.27 -3.46 - - 9.76

Strategy Description

Summary

The performance information presented herein represents the proprietary performance of Jeroen Linders, the trading principal of Lyons Trading Group ("LTG"). The performance results shown are derived using actual trading results of Mr. Linders trading proprietary money, adjusted on... 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

Summary

The performance information presented herein represents the proprietary performance of Jeroen Linders, the trading principal of Lyons Trading Group ("LTG"). The performance results shown are derived using actual trading results of Mr. Linders trading proprietary money, adjusted on a pro forma basis for the advisory fees which would likely be charged to a client account. The performance shown has been adjusted for the following fees: a 2% management fee and a 20% incentive fee on net new profits accrued monthly and paid quarterly.

Investment Strategy

Lyons Algorithmic Trading Strategy consists of seven algorithms utilizing mean reversion and the Relative Strength Index (“RSI”) with a smoothing formula applied. The algorithm continuously collects millions of data points to determine the optimum time to buy, sell or remain in cash at the end of each trading day (4:00 pm EST).

Risk Management

The Quantitative Trend Filter ("QTF") accumulates the number of prices above and below our calculated mean price. QTF then aims to identify the medium and longer term market trend and direction by counting how many prices were above the mean price versus prices below the mean price. When the QTF has identified the trend Lyons Algorithmic Trading Strategy will determine to trade long only, short only or long and short. When the underlying asset moves against the positions aggressively near the open or consistently between the hours of 9:35am-4:00pm a protection algorithm will attempt to find a good exit price to minimize drawdown. Please note that such circuit breakers may limit losses but will not necessarily limit your losses to the intended amounts, since market conditions may make it impossible to execute such orders.

   

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
-23.07 4 - 9/1/2018 1/1/2019
-14.49 4 4 2/1/2015 6/1/2015
-7.09 3 2 12/1/2017 3/1/2018
-4.26 2 2 6/1/2017 8/1/2017
-4.02 1 2 12/1/2015 1/1/2016
-2.83 1 1 5/1/2018 6/1/2018
-1.84 1 1 11/1/2016 12/1/2016
-0.17 1 1 6/1/2016 7/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
30.14 6 1/1/2017 6/1/2017
14.21 5 2/1/2016 6/1/2016
13.64 2 7/1/2015 8/1/2015
11.18 3 10/1/2015 12/1/2015
10.87 4 9/1/2017 12/1/2017
10.30 3 7/1/2018 9/1/2018
9.48 2 4/1/2018 5/1/2018
8.67 4 8/1/2016 11/1/2016
4.43 3 2/1/2019 4/1/2019
1.44 1 4/1/2015 4/1/2015
0.35 1 2/1/2015 2/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.07 4 10/1/2018 1/1/2019
-10.27 2 5/1/2015 6/1/2015
-7.09 3 1/1/2018 3/1/2018
-6.05 1 3/1/2015 3/1/2015
-4.26 2 7/1/2017 8/1/2017
-4.02 1 1/1/2016 1/1/2016
-3.15 1 9/1/2015 9/1/2015
-2.83 1 6/1/2018 6/1/2018
-1.84 1 12/1/2016 12/1/2016
-0.17 1 7/1/2016 7/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable66.6765.3178.2687.5085.2996.43100.00
Average Period Return0.882.857.0818.1531.2847.0366.86
Average Gain3.238.1411.7522.1037.8048.8066.86
Average Loss-3.82-7.12-9.74-9.55-6.54-0.76
Best Period12.1819.2530.1439.5958.1085.89100.39
Worst Period-10.12-15.75-21.37-15.23-10.87-0.7637.73
Standard Deviation4.528.5411.6616.0720.1122.8422.14
Gain Standard Deviation2.934.137.2812.8913.2621.2322.14
Loss Standard Deviation3.324.948.503.303.35
Sharpe Ratio (1%)0.180.300.561.071.481.972.88
Average Gain / Average Loss0.841.141.212.325.7863.98
Profit / Loss Ratio1.692.154.3416.2133.541727.59
Downside Deviation (10%)3.075.676.835.395.543.43
Downside Deviation (5%)2.925.186.073.873.290.62
Downside Deviation (0%)2.895.065.893.532.760.14
Sortino Ratio (10%)0.150.290.672.444.2810.73
Sortino Ratio (5%)0.270.501.084.439.0572.27
Sortino Ratio (0%)0.300.561.205.1411.34326.30

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.