Lyons Trading Group : LATS (Proprietary)

Year-to-Date
3.75%
Nov Performance
2.01%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.63%
Sharpe (RFR=1%)
0.55
CAROR
8.71%
Assets
$ 98k
Worst DD
-28.06
S&P Correlation
0.43

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
2/2015
LATS (Proprietary) 2.01 5.58 -3.75 -10.60 19.89 - - 49.71
S&P 500 3.40 7.33 25.29 13.79 41.40 - - 47.73
+/- S&P 500 -1.39 -1.75 -29.04 -24.39 -21.50 - - 1.98

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

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
-28.06 8 - 9/1/2018 5/1/2019
-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
12.73 6 6/1/2019 11/1/2019
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
-23.20 4 10/1/2018 1/1/2019
-10.30 1 5/1/2019 5/1/2019
-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 Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable68.9764.2969.8174.4770.7377.14100.00
Average Period Return0.802.515.6012.5823.4835.4352.33
Average Gain3.047.8911.7722.1037.8048.7852.33
Average Loss-4.19-7.16-8.66-15.18-11.10-9.64
Best Period12.1819.2530.1439.5958.1085.89100.39
Worst Period-10.30-15.75-21.51-23.11-20.31-14.8315.89
Standard Deviation4.518.3712.0420.0825.2931.1428.94
Gain Standard Deviation2.743.967.1812.8913.2621.2728.94
Loss Standard Deviation3.584.568.256.585.674.47
Sharpe Ratio (1%)0.160.270.420.580.871.071.70
Average Gain / Average Loss0.731.101.361.463.405.06
Profit / Loss Ratio1.611.983.144.258.2317.08
Downside Deviation (10%)3.215.677.5410.7410.5310.03
Downside Deviation (5%)3.075.166.688.777.435.93
Downside Deviation (0%)3.035.046.478.306.695.02
Sortino Ratio (10%)0.120.230.420.711.512.51
Sortino Ratio (5%)0.230.440.761.322.965.64
Sortino Ratio (0%)0.260.500.871.523.517.05

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.