Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Nov-2025
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Lyncestis LLP - FX Quant 11 - Currency Trading Program
Trading Strategy: Quantitative Analysis / FX
Investment Restrictions: Non-US Investors Only
| Performance Since January 2020 | Track Record Compiled By: Lyncestis LLP |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.37% | 0.03% | -3.09% | 2.16% | 0.63% | 0.04% | 0.59% | 0.02% | -0.48% | 0.36% | 0.27% | – | 0.82% | -3.09% |
| 2024 | 0.81% | 0.31% | -0.39% | 0.26% | 0.11% | 0.33% | -1.32% | 0.99% | 0.39% | 0.60% | 0.64% | 0.15% | 2.89% | -1.32% |
| 2023 | 1.21% | 0.73% | 0.43% | -0.11% | 0.27% | 0.51% | 0.05% | 0.40% | -0.72% | 0.35% | 0.15% | -0.16% | 3.14% | -0.72% |
| 2022 | 0.09% | 0.78% | -0.21% | 0.19% | 0.62% | 0.77% | 0.84% | 0.66% | -1.31% | 1.89% | 0.39% | 0.18% | 4.96% | -1.31% |
| 2021 | 0.62% | 0.02% | -0.12% | 0.79% | 0.49% | 0.54% | 0.91% | 0.53% | 0.29% | -0.33% | -0.39% | 0.85% | 4.26% | -0.71% |
| 2020 | -0.65% | 0.35% | -6.92% | 0.71% | -0.33% | 0.58% | 0.10% | 0.30% | 0.25% | 1.00% | 0.03% | 0.94% | -3.85% | -7.19% |
Program Description: FX QUANT 11 is a trading program based on quantitative analysis, statistical arbitrage and position size management. Through these methods, it trades currencies of developed countries (EUR, GBP, CHF, CAD, AUD, NZD, SEK, NOK and SGD) in the spot markets and does not trade futures or options on futures on any organized exchange. This program analyses exchange rates between the currencies comprising the basket. The strategy identifies relatively strong and weak currencies and gives specific trading signals for each currency, which are then implemented against the 8 remaining currencies. The resulting positions are then implemented in the market.
It uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to predict market direction (no one can predict market direction!), no pattern recognition techniques and no trading rules based on trader's experience. The trading system is always in the market, but portfolio weights are adjusted daily. Leverage is applied in line with client's preferred risk tolerance level.
It uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to predict market direction (no one can predict market direction!), no pattern recognition techniques and no trading rules based on trader's experience. The trading system is always in the market, but portfolio weights are adjusted daily. Leverage is applied in line with client's preferred risk tolerance level.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -7.27% |
| From Nov 2019 to Mar 2020 | |
| Worst Month (Mar 2020) | -6.92% |
| Current Losing Streak | 0% |
| Average Monthly Return | 0.2% |
| Annualized Performance |
|
| Compound ROR (1) | 2.31% |
| Standard Deviation | 3.37% |
| Sharpe Ratio | 0.57 |
| Sterling Ratio | 0.2 |
| Calmar Ratio (3) | 0.76 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
