Sona Trading Strategies LLC. : Diversified Program

archived programs
Year-to-Date
N / A
Nov Performance
-1.58%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.41%
Sharpe (RFR=1%)
0.13
CAROR
1.91%
Assets
$ 2.2M
Worst DD
-33.53
S&P Correlation
-0.14

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
9/2006
Diversified Program -1.58 -1.10 - -10.48 -24.37 -11.39 19.01 23.66
S&P 500 0.37 3.68 - 16.37 23.76 80.68 72.73 90.80
+/- S&P 500 -1.95 -4.78 - -26.85 -48.13 -92.07 -53.71 -67.14

Strategy Description

Summary

The Sona Trading Strategies proprietary trading system is systematic and technical in nature. The principal objective of the trading system is to profit from major and sustained price trends in the futures markets. The program trades a diversified portfolio of nearly fifty markets... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
12.00%
Industrial Metals
11.00%
Precious Metals
11.00%
Energy
11.00%
Grains
11.00%
Interest Rates
11.00%
Livestock
11.00%
Softs
11.00%
Stock Indices
11.00%
Composition Pie Chart

Summary

The Sona Trading Strategies proprietary trading system is systematic and technical in nature. The principal objective of the trading system is to profit from major and sustained price trends in the futures markets. The program trades a diversified portfolio of nearly fifty markets across non-correlated market sectors. The system employs short, medium, and long term positions, while seeking to maximize profits during strong trends and reduce overall exposure when markets are trendless. The disciplined trading approach uses computer generated trading signals and evaluates the strength of a trend via utilization of conditional probabilities. Trades are managed to exploit established trends and neutralize exposure during unfavorable market conditions.

   

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
-33.53 32 - 1/1/2015 9/1/2017
-16.76 20 8 5/1/2012 1/1/2014
-15.35 9 4 4/1/2011 1/1/2012
-13.77 5 6 11/1/2009 4/1/2010
-7.87 1 3 6/1/2008 7/1/2008
-5.30 9 3 11/1/2006 8/1/2007
-5.27 3 1 12/1/2010 3/1/2011
-4.95 1 1 9/1/2014 10/1/2014
-3.82 1 1 9/1/2009 10/1/2009
-3.66 1 1 10/1/2010 11/1/2010
-3.56 4 1 12/1/2008 4/1/2009
-2.17 1 3 5/1/2009 6/1/2009
-2.16 2 1 2/1/2008 4/1/2008
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
23.65 5 5/1/2014 9/1/2014
22.30 3 8/1/2010 10/1/2010
22.14 5 8/1/2008 12/1/2008
17.93 6 9/1/2007 2/1/2008
15.60 3 11/1/2014 1/1/2015
14.92 1 5/1/2012 5/1/2012
7.68 2 11/1/2016 12/1/2016
7.59 1 4/1/2011 4/1/2011
6.70 1 10/1/2017 10/1/2017
6.50 1 5/1/2009 5/1/2009
6.32 1 12/1/2010 12/1/2010
6.28 3 7/1/2011 9/1/2011
6.11 1 7/1/2012 7/1/2012
5.69 1 11/1/2009 11/1/2009
5.59 4 3/1/2013 6/1/2013
5.54 1 2/1/2014 2/1/2014
4.70 2 1/1/2016 2/1/2016
4.70 2 2/1/2012 3/1/2012
4.55 3 4/1/2007 6/1/2007
4.31 1 9/1/2015 9/1/2015
4.12 2 5/1/2008 6/1/2008
3.44 1 4/1/2016 4/1/2016
2.70 3 7/1/2009 9/1/2009
2.64 3 9/1/2006 11/1/2006
2.54 2 12/1/2012 1/1/2013
2.23 1 2/1/2017 2/1/2017
1.97 2 5/1/2010 6/1/2010
1.81 1 6/1/2017 6/1/2017
1.72 1 7/1/2016 7/1/2016
1.71 1 4/1/2017 4/1/2017
1.65 3 10/1/2013 12/1/2013
1.64 1 11/1/2011 11/1/2011
1.50 1 2/1/2011 2/1/2011
1.02 1 11/1/2015 11/1/2015
0.73 1 3/1/2010 3/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-17.15 7 2/1/2015 8/1/2015
-12.31 3 12/1/2009 2/1/2010
-11.20 2 5/1/2011 6/1/2011
-10.10 3 7/1/2013 9/1/2013
-9.15 3 7/1/2017 9/1/2017
-8.82 1 10/1/2011 10/1/2011
-7.96 4 8/1/2012 11/1/2012
-7.87 1 7/1/2008 7/1/2008
-7.50 1 10/1/2015 10/1/2015
-7.27 1 6/1/2012 6/1/2012
-7.00 2 5/1/2016 6/1/2016
-6.70 1 3/1/2017 3/1/2017
-6.47 1 1/1/2014 1/1/2014
-6.10 3 8/1/2016 10/1/2016
-5.24 1 3/1/2011 3/1/2011
-5.15 4 12/1/2006 3/1/2007
-4.95 1 10/1/2014 10/1/2014
-4.78 1 1/1/2017 1/1/2017
-4.50 2 7/1/2007 8/1/2007
-3.82 1 10/1/2009 10/1/2009
-3.69 2 3/1/2014 4/1/2014
-3.66 1 11/1/2010 11/1/2010
-3.56 4 1/1/2009 4/1/2009
-3.21 2 12/1/2011 1/1/2012
-2.47 1 5/1/2017 5/1/2017
-2.38 1 4/1/2010 4/1/2010
-2.37 1 12/1/2015 12/1/2015
-2.33 1 3/1/2016 3/1/2016
-2.17 1 6/1/2009 6/1/2009
-2.16 2 3/1/2008 4/1/2008
-1.58 1 11/1/2017 11/1/2017
-1.51 1 1/1/2011 1/1/2011
-1.30 1 7/1/2010 7/1/2010
-0.94 1 4/1/2012 4/1/2012
-0.68 1 2/1/2013 2/1/2013
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods135.00133.00130.00124.00118.00112.00100.0088.0076.00
Percent Profitable52.5948.8745.3852.4264.4171.4368.0077.2775.00
Average Period Return0.240.671.453.224.896.6010.2413.2715.74
Average Gain3.165.979.9813.4812.9313.5218.0519.5523.55
Average Loss-2.99-4.41-5.63-8.08-9.65-10.70-6.34-8.07-7.68
Best Period15.7922.3033.1538.1131.6536.8545.0553.6955.43
Worst Period-8.82-12.31-15.70-20.71-22.17-24.05-26.96-14.22-20.08
Standard Deviation4.166.899.9712.5913.0614.5015.6917.3719.82
Gain Standard Deviation3.295.718.208.097.9710.2012.2514.5216.31
Loss Standard Deviation2.152.973.934.035.867.456.644.216.15
Sharpe Ratio (1%)0.040.060.100.180.260.320.460.530.54
Average Gain / Average Loss1.051.361.771.671.341.262.842.423.07
Profit / Loss Ratio1.171.301.471.842.423.166.058.249.20
Downside Deviation (10%)2.764.556.659.4710.9912.3414.3016.6921.71
Downside Deviation (5%)2.583.945.376.847.507.856.496.127.18
Downside Deviation (0%)2.533.795.066.226.716.935.154.314.87
Sortino Ratio (10%)-0.06-0.12-0.15-0.19-0.25-0.30-0.39-0.50-0.55
Sortino Ratio (5%)0.060.110.180.320.450.581.111.511.48
Sortino Ratio (0%)0.100.180.290.520.730.951.993.083.24

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 1.81 6/2017
Diversified Trader Index Month 7 1.81 6/2017
Trend Following Strategy Index Month 8 1.71 4/2017
Trend Following Strategy Index Month 8 3.44 4/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.