Autumn Gold Retail Report
Report Start Date: Apr-2021 - Report End Date: Jul-2025
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Capstone Futures Group LLC - Quant Algo DTST Diversified
Trading Strategy: Quantiative / Diversified
Investment Restrictions: 4.7 Exempt - QEPs Only
| Performance Since April 2021 | Track Record Compiled By: Compliance Supervisors | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR* | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -5.03% | -2.73% | -0.47% | 1.36% | -3.58% | 4.15% | 0.15% | – | – | – | – | – | -6.15% | -10.15% |
| 2024 | -0.17% | -10.06% | -4.77% | 5.35% | -3.21% | 6.44% | 1.33% | 0.03% | 1.57% | -2.12% | -4.30% | -3.40% | -13.31% | -14.50% |
| 2023 | 9.10% | -4.26% | 3.75% | 5.47% | -4.27% | -0.17% | 6.05% | 5.14% | -6.80% | -0.65% | 2.99% | -0.89% | 15.46% | -7.41% |
| 2022 | -13.64% | -3.15% | 12.49% | 14.01% | 11.75% | -9.83% | -0.08% | 1.49% | -5.34% | -0.40% | 20.50% | -13.18% | 14.62% | -16.36% |
| 2021 | – | – | – | 4.15% | 2.08% | 10.24% | 3.94% | -7.68% | -12.04% | 10.23% | -5.57% | 10.76% | 16.11% | -18.80% |
* ROR is non-compounded (sum of monthly returns).
Program Description: The QUANT ALGO DTST DIVERSIFIED PROGRAM is a quantitative trading systems portfolio. Market Trading Algorithms are combined together in a portfolio using quantitative analysis. The strategies take advantage of short-term market fluctuations including trend, countertrend, and mean reversion price movements in a diverse group of liquid futures markets.
The Portfolio is a unique asset class, actively managed as an alternative investment for our clients. Proprietary algorithms have been tested and developed into fully automated trading systems. Trades are entered and exited using a 100% systematic approach.
Market Portfolios are developed using our own Portfolio Characterization Matrix to combine a wide range of diverse trading systems using diverse methodologies. Quantitative metrics are used to measure the level of diversity in the portfolio. The goal of the trading program is to employ the portfolio to capture risk adjusted returns in any type of market environment. The Portfolios are developed to trade bull markets, bear markets, different cycles of volatility, as well as a range of economic conditions including rising and falling interest rates.
The Portfolio is a unique asset class, actively managed as an alternative investment for our clients. Proprietary algorithms have been tested and developed into fully automated trading systems. Trades are entered and exited using a 100% systematic approach.
Market Portfolios are developed using our own Portfolio Characterization Matrix to combine a wide range of diverse trading systems using diverse methodologies. Quantitative metrics are used to measure the level of diversity in the portfolio. The goal of the trading program is to employ the portfolio to capture risk adjusted returns in any type of market environment. The Portfolios are developed to trade bull markets, bear markets, different cycles of volatility, as well as a range of economic conditions including rising and falling interest rates.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -26.58% |
| From Aug 2023 to May 2025 | |
| Worst Month (Jan 2022) | -13.64% |
| Current Losing Streak | -23.42% |
| Average Monthly Return | 0.51% |
| Annualized Performance |
|
| Compound ROR (1) | 3.28% |
| Standard Deviation | 24.65% |
| Sharpe Ratio | 0.23 |
| Sterling Ratio | -0.08 |
| Calmar Ratio (3) | -0.09 |
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.
