Growth of $1,000 VAMI and Monthly Return
Trading Description, Risk Strategy & Background
V4 is basically a trend following, volatility trading strategy. It exploits the term structure (the contango and backwardation) of the VIX futures premium. V4 adjusts portfolio components on daily basis. The leverage (position value relative to the nominal account size) is less than or equal to 0.3, i.e. the strategy is underleveraged, in order to prevent disastrous drawdowns from overleveraged trading. Strategy returns are somewhat correlated with S&P 500 index returns. Since this strategy is not correlated to swing and trend following strategies on the S&P 500 index itself, it can be seen as an excellent complement to them.
Due to the risks involved in securities/security derivatives trading, significant emphasis is placed on risk management techniques to minimize the losses on the trading portfolio. Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first one is trading instruments selection; second is controlling leverage through position size adjustment according to account size; and third is stops based on money management rules. The risk is addressed by portfolio position management. The strategy adjusts portfolio weights by placing odd sized ETN/CFD buy/sell orders. Due to the larger contract size of VXX futures, trading futures is feasible only in larger accounts.
Principal risk factors. V4 is a typical trend following trading strategy. As such, a typical risk factor is a sharp price reversal. Based on observations and back testing, draw downs tend to occur during periods of sharp (mostly up) jumps in volatility, in a combination with an unfavourable portfolio position size. Inherently, VXX ETNs gradually roll over from the front to the next month VIX futures contracts. As VXX is mostly held short, this is equivalent to gradually buying front month VIX, which is a kind of gradual stop-loss on the short VXX position. Additionally, the V4 strategy tends to reduce the short VXX position when VIX sharply increases. The biggest risk for the V4 system comes from over-leveraged trading, i.e. trading too large positions for the given trading size. In order to avoid a disastrous drawdown, the V4 strategy trades at short leverage not exceeding 0.3, which in back testing and live trading produced a worst drawdown of around 13%. There is no guarantee, however, that this drawdown will not be exceeded in the future. The strategy trades at fixed time intervals, usually around NY close (4 pm EST or 9 pm UTC), unless intraday stop-loss orders are activated. To evaluate the risk and risk adjusted returns, QT uses the following risk measures: worst peak-to-valley (intra month) drawdown, end-of-month drawdown, time to recover from a drawdown, standard deviation of monthly rates of return, downside deviation, Sharpe, Sterling, Calmar and Omega Ratio and a 5-day Value at Risk (VaR). The strategy was carefully tested to check if all of the risk measures are within acceptable limits. Results are available upon request.
The trading methodology is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D. Dejan received his M.S. degree in Applied Mechanics of Deformable Body and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Mechatronics, Computerized Motion Control and Robotics. Dejan Trajkovski was employed at the Faculty of Technical Sciences in Bitola, Macedonia as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present). The foreign currency and equity market became his field of work in 2001. Dejan was confident that financial markets were the the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research and development of trading systems, and his quantitative trading systems are currently used by Lyncestis LLP.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR (YTD) | Max DD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | N/A | ||||||||
| 2025 | -0.14% | -0.56% | -3.49% | -6.08% | 1.43% | 1.79% | 2.75% | 3.18% | 1.78% | -0.26% | -0.06% | 0.00% | -0.04% | -9.99% |
| 2024 | 0.51% | 1.04% | 0.65% | -0.81% | 2.79% | 0.98% | -0.92% | -1.56% | -2.99% | -2.34% | 3.94% | -1.93% | -0.89% | -7.60% |
| 2023 | 0.51% | -0.25% | -0.55% | 3.10% | 0.99% | 5.30% | 1.26% | 0.11% | -1.15% | -0.75% | 4.30% | 1.67% | 15.32% | -1.89% |
| 2022 | -4.43% | -3.94% | -1.36% | -5.05% | 0.75% | -2.05% | 5.16% | -1.03% | -4.46% | 3.08% | 4.23% | 0.26% | -9.12% | -15.63% |
| 2021 | -4.02% | 3.19% | 5.09% | 2.03% | -0.85% | 2.10% | -1.01% | 2.06% | -1.99% | 3.93% | -2.92% | 3.49% | 11.14% | -4.02% |
Track Record Compiled By: Lyncestis LLP
Annual Performance Summary
| Year | Yearly Return | Max Drawdown | Year-End AUM |
|---|---|---|---|
| 2026 | 0.00% | N/A | $30,000 |
| 2025 | -0.04% | -9.99% | $30,000 |
| 2024 | -0.89% | -7.60% | $30,000 |
| 2023 | 15.32% | -1.89% | $30,000 |
| 2022 | -9.12% | -15.63% | $30,000 |
| Year | Yearly Return | Max DD |
|---|---|---|
| 2026 | 0.00% | N/A |
| 2025 | -0.04% | -9.99% |
| 2024 | -0.89% | -7.60% |
Risk Disclosure
THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.