TITIAN Global Investments LLP : TITIAN Pattern Recognition Program

archived programs
Year-to-Date
N / A
Apr Performance
2.66%
Min Investment
$ 2,500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.73%
Sharpe (RFR=1%)
0.92
CAROR
7.21%
Assets
$ 16.0M
Worst DD
-5.13
S&P Correlation
0.31

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
5/2009
TITIAN Pattern Recognition Program 2.66 - - - - - 10.36 14.93
S&P 500 2.85 - - - - - 9.14 276.89
+/- S&P 500 -0.19 - - - - - 1.22 -261.96

Strategy Description

Summary

TITIAN Global Investments is a technology and trading firm that develops and utilizes artificial intelligence, machine learning based technologies for predicting the short term (24 hour) behavior of prices.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -7.50%
Worst Peak-to-Trough 12.50%
Sector Focus Not Specified

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

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Summary

TITIAN Global Investments is a technology and trading firm that develops and utilizes artificial intelligence, machine learning based technologies for predicting the short term (24 hour) behavior of prices.

Investment Strategy

The TITIAN Pattern Recognition Program (TPRP) trades 21 of the most liquid global futures markets in bonds, currencies, equities and commodities. Each market is traded independently by a separate set of 20 systems with a 24 hour trading horizon. The TPRP is 100% systematic. All positions are implemented via exchange traded financial and commodity futures. The execution is 100% electronic. The Program does not rely on favourable conditions in any particular market or on any large or established trend as its systems zoom in on frequent, short-term market movements. The systems are fully self-learning and auto-adaptive: every day our systems self-generate 50,000 new predictive algorithms, together with a unique combination of data inputs and system parameters, based on their assessment of the evolving characteristics of each underlying market. Every day the program utilizes 440 new predictive daily algorithms (20 for each market) from the set of 50,000 new, self-generated algorithms. The Program is available as a managed account or as an offshore fund.

Risk Management

Our risk management strategy is undertaken at both trading system level and at portfolio/program level. At the system level, all the systems have been tested on over 20 years of daily data (over 2 million trading signals) and 24 months of live trading (200,000 trading signals). Each market is traded independently by a specific set of systems. This minimizes the risk of program failure and results in very low intra-program correlation, even between systems trading highly correlated assets. Our systems are truly self-learning and adaptive, as they are able to alter their own internal structure every 24 hours as a function of the changes in market behavior they observe, resulting in very low system degradation and curve-fitting risk. At the portfolio/program level, the TPRP is diversified across 4 asset classes, 21 highly liquid markets traded at different times over 24 hours and 440 daily trading strategies which are self-generated every day.

   

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
-5.13 9 3 9/1/2009 6/1/2010
-3.94 1 3 10/1/2010 11/1/2010
-0.95 1 1 2/1/2011 3/1/2011
-0.62 1 1 6/1/2009 7/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
10.16 4 7/1/2010 10/1/2010
7.89 3 12/1/2010 2/1/2011
3.26 2 8/1/2009 9/1/2009
2.66 1 4/1/2011 4/1/2011
1.69 2 5/1/2009 6/1/2009
0.88 2 11/1/2009 12/1/2009
0.52 1 5/1/2010 5/1/2010
0.25 1 3/1/2010 3/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.94 1 11/1/2010 11/1/2010
-2.54 2 1/1/2010 2/1/2010
-2.43 1 6/1/2010 6/1/2010
-1.19 1 10/1/2009 10/1/2009
-0.95 1 3/1/2011 3/1/2011
-0.68 1 4/1/2010 4/1/2010
-0.62 1 7/1/2009 7/1/2009
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable66.6763.6468.4284.62100.00
Average Period Return0.601.682.594.177.85
Average Gain1.673.394.975.217.85
Average Loss-1.55-1.32-2.55-1.57
Best Period4.118.698.5313.8611.46
Worst Period-3.94-2.59-4.82-2.654.38
Standard Deviation1.943.444.174.942.50
Gain Standard Deviation1.223.142.494.612.50
Loss Standard Deviation1.161.021.211.52
Sharpe Ratio (1%)0.270.420.500.642.54
Average Gain / Average Loss1.082.571.953.32
Profit / Loss Ratio2.164.504.2218.28
Downside Deviation (10%)1.291.682.893.441.48
Downside Deviation (5%)1.131.111.821.09
Downside Deviation (0%)1.090.981.560.75
Sortino Ratio (10%)0.150.270.04-0.240.18
Sortino Ratio (5%)0.461.291.152.90
Sortino Ratio (0%)0.551.711.665.59

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.