Typhon Capital Management, LLC : Arion Financials Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-0.09%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.19%
Sharpe (RFR=1%)
0.44
CAROR
3.60%
Assets
$ 4.0M
Worst DD
-7.32
S&P Correlation
-0.39

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
11/2009
Arion Financials Program -0.09 - - - - - -1.18 16.59
S&P 500 4.31 - - - - - 62.38 216.18
+/- S&P 500 -4.40 - - - - - -63.56 -199.59

Strategy Description

Summary

The Arion Financials Program is an intra-day trading program that seeks to capture short- to intermediate-term market directional trends in highly liquid financial and currency futures markets. Arion is a fully systematic, quantitative system designed to identify trading opportunities... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 1.00
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 5200 RT/YR/$M
Avg. Margin-to-Equity 11%
Targeted Worst DD
Worst Peak-to-Trough 7.32%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 25.00%
Systematic 75.00%

Strategy

Fundamental
10.00%
Technical
90.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Interest Rates
25.00%
Stock Indices
25.00%
Composition Pie Chart

Summary

The Arion Financials Program is an intra-day trading program that seeks to capture short- to intermediate-term market directional trends in highly liquid financial and currency futures markets. Arion is a fully systematic, quantitative system designed to identify trading opportunities in both trending and choppy markets. The system maintains well-defined, disciplined risk management thresholds, and includes sophisticated filters designed to limit trade execution to statistically optimal trades while avoiding market noise. Arion maintains disciplined cash management procedures, including a sub-system that suspends trading in specific instruments that experience specific drawdown limits until the system retraces defined retracement levels.

Investment Strategy

The Arion Financials Program seeks to capture directional market moves in both trending and trading-range market environments. Operating within well-defined risk management thresholds, its sub-strategies execute statistically optimal trades while avoiding market “noise.” Arion aims to achieve returns surpassing CTA and Hedge Fund indices using low leverage and non-correlated sub-strategies. Arion employs trend indicators, such as moving averages and standard deviations which are used to identify intermediate and long term trends of the instrument being traded. Within these trends, long and short trade entry triggers are achieved at certain price levels and confirmed by proprietary algorithms and indicators. The system’s models are highly selective resulting in relatively few trades and periods with no market exposure. Breakout and volatility trades are both utilized, as well. These trades are determined based on the strength of price signals and other derived factors.

Risk Management

Arion uses prudent money management principles. Hard trailing stops are entered at the time a trade is initiated. As positions work in the trade’s favor, trailing stops are rolled in favor of the trade, reducing risk as the trade matures. Multiple profit targets are employed so that initial profit targets provide some level of profitability, and additional profit targets attempt to capture larger moves. Trade executions are automated to ensure rapid entry and exit of trades as price levels are achieved. Position management and trading rules used by the system prescribe that a pre-set percent of equity (e.g. 1%) is risked on any given trade. Trailing stops are used to ensure losing trades are quickly exited and to capture profitable trades at optimal points. If a succession of losing trades in a given instrument reach a defined drawdown percentage level, trading is suspended in the instrument. Trading in the instrument will resume upon reaching a defined retracement level. The system dynamically scales the amount of capital deployed based on liquidity and volatility. Arion closes all positions before each day’s close and uses no overnight margin.

   

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
-7.32 8 6 8/1/2010 4/1/2011
-6.39 23 - 3/1/2012 2/1/2014
-3.72 2 2 2/1/2010 4/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
12.44 4 11/1/2009 2/1/2010
9.51 8 8/1/2011 3/1/2012
8.98 4 5/1/2010 8/1/2010
5.57 2 5/1/2011 6/1/2011
0.71 1 8/1/2013 8/1/2013
0.07 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.32 8 9/1/2010 4/1/2011
-3.72 2 3/1/2010 4/1/2010
-3.05 4 4/1/2012 7/1/2012
-3.04 11 9/1/2012 7/1/2013
-1.48 1 7/1/2011 7/1/2011
-1.18 6 9/1/2013 2/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable38.4638.0044.6851.2271.4379.3194.12
Average Period Return0.310.901.412.204.096.287.78
Average Gain1.814.445.686.607.258.748.27
Average Loss-0.63-1.26-2.04-2.41-3.81-3.13-0.12
Best Period6.0711.5812.9813.7014.3619.4520.38
Worst Period-4.22-6.58-7.00-4.32-5.63-5.43-0.12
Standard Deviation1.793.514.535.495.976.906.02
Gain Standard Deviation1.833.002.974.233.695.405.85
Loss Standard Deviation0.911.391.740.911.012.03
Sharpe Ratio (1%)0.130.190.200.220.430.620.79
Average Gain / Average Loss2.893.512.782.731.902.7966.19
Profit / Loss Ratio1.812.152.252.874.7510.701059.05
Downside Deviation (10%)1.082.253.615.386.597.319.79
Downside Deviation (5%)0.901.612.282.472.902.501.20
Downside Deviation (0%)0.861.471.981.802.101.650.03
Sortino Ratio (10%)-0.09-0.14-0.29-0.52-0.53-0.54-0.82
Sortino Ratio (5%)0.250.410.400.490.891.713.96
Sortino Ratio (0%)0.360.620.711.231.943.80256.62

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.