Altegris Clearing Solutions Automaton Trading LLC Diversified Program I *QEP*
Monthly Performance (%)
Date Range: 06/14 - 10/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 1.92 0.82 -0.30 0.58 1.33 0.01 2.04 2.24 0.82 0.78 10.69
2016 0.11 2.05 3.37 1.89 -0.99 0.14 -0.15 0.10 -0.11 -1.74 0.35 -1.42 3.54
2015 -1.50 -2.59 2.29 -1.01 4.25 -2.67 0.32 -8.67 0.91 -0.58 -0.27 0.37 -9.30
2014 0.91 0.82 5.24 5.60 -0.25 3.11 16.29
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Diversified Program is the firm's original strategy. It is based on the implementation of a portfolio of 100% systematic trading models. The goal of these models is to identify and exploit short-term and intraday market inefficiencies and put more emphasis on strategy intelligence over speed of execution. The Diversified Program does not utilize any High Frequency Trading (“HFT”) methods in its signal generation, but the program will use HFT for execution to minimize slippage. The Diversified Program is designed to trade 40+ of the most liquid US and European futures including equity, metals, interest rate, agriculture, energy and currency markets. The program aims to trade on the CME, CBOT, NYMEX, COMEX, ICE, EUREX and LIFFE exchanges, across a myriad of contracts in each of the aforementioned markets. Although the Diversified Program aims to trade these markets, Automaton reserves the right to trade in any market, through any product, where it has determined an opportunity may exist. The program is focused around signal generation, which consists of a mix of technical mean reversion, trend following and seasonality models implemented using artificial intelligence methods. As part of its strategy, the program does not follow typical, long term trend following logic. Positions are generally held intraday and may be held overnight. The program utilizes strict risk management guidelines, which are based on a clear set of rules that adjust the portfolio dynamically depending on shifting market conditions. The typical client portfolio will consist of 300+ independent trading systems that seek to generate independent returns. The program implements proprietary optimization techniques that take into account out-of-sample performance to minimize curve fitting.

Performance Statistics
Date Range: 06/14 - 10/17
  Program SP500 TR Altegris 40
Total Return 20.88% 43.81% 12.29%
Annualized Return 5.85% 11.22% 3.45%
Annualized Std. Deviation 8.11% 9.66% 9.13%
Correlation 0.26 0.20
Sharpe Ratio (rf=2.5%) 0.41 0.90 0.10
Worst Month -8.67% -6.03% -5.20%
Date of Worst Month 08/2015 08/2015 06/2015
Worst Drawdown -10.82% -8.35% -12.85%
Date of Worst Drawdown 5/15 - 8/15 7/15 - 9/15 3/15 - 9/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 06/14 - 10/17
Year or YTD Program SP500 TR Altegris 40
2017 10.69 16.92 0.02
2016 3.54 11.98 -3.13
2015 -9.30 1.41 0.09
2014 16.29 6.12 14.80
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 06/14 - 10/17
Date: 10/31/2017
Perf: $1,113.29 Date: 9/30/2017
Perf: $1,068.52 Date: 8/31/2017
Perf: $1,091.55 Date: 7/31/2017
Perf: $1,073.73 Date: 6/30/2017
Perf: $1,069.56 Date: 5/31/2017
Perf: $1,101.73 Date: 4/30/2017
Perf: $1,099.64 Date: 3/31/2017
Perf: $1,106.27 Date: 2/28/2017
Perf: $1,122.67 Date: 1/31/2017
Perf: $1,098.71 Date: 12/31/2016
Perf: $1,113.07 Date: 11/30/2016
Perf: $1,104.68 Date: 10/31/2016
Perf: $1,116.96 Date: 9/30/2016
Perf: $1,146.54 Date: 8/31/2016
Perf: $1,161.53 Date: 7/31/2016
Perf: $1,193.64 Date: 6/30/2016
Perf: $1,181.58 Date: 5/31/2016
Perf: $1,133.41 Date: 4/30/2016
Perf: $1,153.60 Date: 3/31/2016
Perf: $1,183.30 Date: 2/29/2016
Perf: $1,218.27 Date: 1/31/2016
Perf: $1,189.02 Date: 12/31/2015
Perf: $1,149.03 Date: 11/30/2015
Perf: $1,176.08 Date: 10/31/2015
Perf: $1,137.30 Date: 9/30/2015
Perf: $1,157.44 Date: 8/31/2015
Perf: $1,132.86 Date: 7/31/2015
Perf: $1,152.80 Date: 6/30/2015
Perf: $1,109.42 Date: 5/31/2015
Perf: $1,170.28 Date: 4/30/2015
Perf: $1,178.76 Date: 3/31/2015
Perf: $1,226.09 Date: 2/28/2015
Perf: $1,199.58 Date: 1/31/2015
Perf: $1,201.50 Date: 12/31/2014
Perf: $1,148.00 Date: 11/30/2014
Perf: $1,128.15 Date: 10/31/2014
Perf: $1,064.79 Date: 9/30/2014
Perf: $1,049.37 Date: 8/31/2014
Perf: $1,033.96 Date: 7/31/2014
Perf: $992.00 Date: 6/30/2014
Perf: $1,000.00 Date: 10/31/2017
Perf: $1,408.89 Date: 9/30/2017
Perf: $1,376.81 Date: 8/31/2017
Perf: $1,349.02 Date: 7/31/2017
Perf: $1,344.86 Date: 6/30/2017
Perf: $1,317.71 Date: 5/31/2017
Perf: $1,309.59 Date: 4/30/2017
Perf: $1,291.38 Date: 3/31/2017
Perf: $1,278.22 Date: 2/28/2017
Perf: $1,276.69 Date: 1/31/2017
Perf: $1,227.94 Date: 12/31/2016
Perf: $1,205.04 Date: 11/30/2016
Perf: $1,181.64 Date: 10/31/2016
Perf: $1,139.48 Date: 9/30/2016
Perf: $1,160.61 Date: 8/31/2016
Perf: $1,160.37 Date: 7/31/2016
Perf: $1,158.75 Date: 6/30/2016
Perf: $1,117.52 Date: 5/31/2016
Perf: $1,114.62 Date: 4/30/2016
Perf: $1,094.91 Date: 3/31/2016
Perf: $1,090.66 Date: 2/29/2016
Perf: $1,021.40 Date: 1/31/2016
Perf: $1,022.73 Date: 12/31/2015
Perf: $1,076.11 Date: 11/30/2015
Perf: $1,093.38 Date: 10/31/2015
Perf: $1,090.11 Date: 9/30/2015
Perf: $1,005.27 Date: 8/31/2015
Perf: $1,030.73 Date: 7/31/2015
Perf: $1,096.87 Date: 6/30/2015
Perf: $1,074.31 Date: 5/31/2015
Perf: $1,095.56 Date: 4/30/2015
Perf: $1,081.61 Date: 3/31/2015
Perf: $1,071.33 Date: 2/28/2015
Perf: $1,088.52 Date: 1/31/2015
Perf: $1,029.34 Date: 12/31/2014
Perf: $1,061.17 Date: 11/30/2014
Perf: $1,063.83 Date: 10/31/2014
Perf: $1,035.96 Date: 9/30/2014
Perf: $1,011.29 Date: 8/31/2014
Perf: $1,025.65 Date: 7/31/2014
Perf: $986.20 Date: 6/30/2014
Perf: $1,000.00 Date: 10/31/2017
Perf: $1,208.82 Date: 9/30/2017
Perf: $1,199.47 Date: 8/31/2017
Perf: $1,189.71 Date: 7/31/2017
Perf: $1,163.64 Date: 6/30/2017
Perf: $1,140.38 Date: 5/31/2017
Perf: $1,140.27 Date: 4/30/2017
Perf: $1,125.30 Date: 3/31/2017
Perf: $1,118.81 Date: 2/28/2017
Perf: $1,122.18 Date: 1/31/2017
Perf: $1,113.05 Date: 12/31/2016
Perf: $1,092.08 Date: 11/30/2016
Perf: $1,107.81 Date: 10/31/2016
Perf: $1,103.95 Date: 9/30/2016
Perf: $1,123.50 Date: 8/31/2016
Perf: $1,124.74 Date: 7/31/2016
Perf: $1,123.61 Date: 6/30/2016
Perf: $1,125.30 Date: 5/31/2016
Perf: $1,123.73 Date: 4/30/2016
Perf: $1,134.96 Date: 3/31/2016
Perf: $1,113.91 Date: 2/29/2016
Perf: $1,077.60 Date: 1/31/2016
Perf: $1,055.95 Date: 12/31/2015
Perf: $1,054.79 Date: 11/30/2015
Perf: $1,050.90 Date: 10/31/2015
Perf: $1,053.74 Date: 9/30/2015
Perf: $1,059.89 Date: 8/31/2015
Perf: $1,050.33 Date: 7/31/2015
Perf: $1,150.04 Date: 6/30/2015
Perf: $1,146.37 Date: 5/31/2015
Perf: $1,177.82 Date: 4/30/2015
Perf: $1,129.81 Date: 3/31/2015
Perf: $1,141.33 Date: 2/28/2015
Perf: $1,115.78 Date: 1/31/2015
Perf: $1,145.45 Date: 12/31/2014
Perf: $1,162.89 Date: 11/30/2014
Perf: $1,127.82 Date: 10/31/2014
Perf: $1,130.64 Date: 9/30/2014
Perf: $1,070.69 Date: 8/31/2014
Perf: $1,017.37 Date: 7/31/2014
Perf: $1,009.10 Date: 6/30/2014
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 06/14 - 10/17
Date: 10/31/2017
Return: 0.78 % Date: 9/30/2017
Return: 0.82 % Date: 8/31/2017
Return: 2.24 % Date: 7/31/2017
Return: 2.04 % Date: 6/30/2017
Return: 0.01 % Date: 5/31/2017
Return: 1.33 % Date: 4/30/2017
Return: 0.58 % Date: 3/31/2017
Return: -0.30 % Date: 2/28/2017
Return: 0.82 % Date: 1/31/2017
Return: 1.92 % Date: 12/31/2016
Return: -1.42 % Date: 11/30/2016
Return: 0.35 % Date: 10/31/2016
Return: -1.74 % Date: 9/30/2016
Return: -0.11 % Date: 8/31/2016
Return: 0.10 % Date: 7/31/2016
Return: -0.15 % Date: 6/30/2016
Return: 0.14 % Date: 5/31/2016
Return: -0.99 % Date: 4/30/2016
Return: 1.89 % Date: 3/31/2016
Return: 3.37 % Date: 2/29/2016
Return: 2.05 % Date: 1/31/2016
Return: 0.11 % Date: 12/31/2015
Return: 0.37 % Date: 11/30/2015
Return: -0.27 % Date: 10/31/2015
Return: -0.58 % Date: 9/30/2015
Return: 0.91 % Date: 8/31/2015
Return: -8.67 % Date: 7/31/2015
Return: 0.32 % Date: 6/30/2015
Return: -2.67 % Date: 5/31/2015
Return: 4.25 % Date: 4/30/2015
Return: -1.01 % Date: 3/31/2015
Return: 2.29 % Date: 2/28/2015
Return: -2.59 % Date: 1/31/2015
Return: -1.50 % Date: 12/31/2014
Return: 3.11 % Date: 11/30/2014
Return: -0.25 % Date: 10/31/2014
Return: 5.60 % Date: 9/30/2014
Return: 5.24 % Date: 8/31/2014
Return: 0.82 % Date: 7/31/2014
Return: 0.91 % Date: 6/30/2014
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 06/14 - 10/17
Return: -9.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: -1.00 %
Count: 4 Return: 2.00 %
Count: 6 Return: -3.00 %
Count: 2 Return: -2.00 %
Count: 2 Return: 3.00 %
Count: 2 Return: 6.00 %
Count: 1 Return: 5.00 %
Count: 1 Return: 1.00 %
Count: 8 Return: 0.00 %
Count: 13
Note: All performance data is since program inception.

Underwater Curve
Date Range: 06/14 - 10/17
Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: -1.20 % Date: 6/30/2017
Drawdown: -3.18 % Date: 5/31/2017
Drawdown: -3.19 % Date: 4/30/2017
Drawdown: -4.46 % Date: 3/31/2017
Drawdown: -5.01 % Date: 2/28/2017
Drawdown: -4.72 % Date: 1/31/2017
Drawdown: -5.50 % Date: 12/31/2016
Drawdown: -7.28 % Date: 11/30/2016
Drawdown: -5.94 % Date: 10/31/2016
Drawdown: -6.27 % Date: 9/30/2016
Drawdown: -4.61 % Date: 8/31/2016
Drawdown: -4.51 % Date: 7/31/2016
Drawdown: -4.60 % Date: 6/30/2016
Drawdown: -4.46 % Date: 5/31/2016
Drawdown: -4.59 % Date: 4/30/2016
Drawdown: -3.64 % Date: 3/31/2016
Drawdown: -5.43 % Date: 2/29/2016
Drawdown: -8.51 % Date: 1/31/2016
Drawdown: -10.35 % Date: 12/31/2015
Drawdown: -10.45 % Date: 11/30/2015
Drawdown: -10.78 % Date: 10/31/2015
Drawdown: -10.53 % Date: 9/30/2015
Drawdown: -10.01 % Date: 8/31/2015
Drawdown: -10.82 % Date: 7/31/2015
Drawdown: -2.36 % Date: 6/30/2015
Drawdown: -2.67 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: -2.85 % Date: 3/31/2015
Drawdown: -1.85 % Date: 2/28/2015
Drawdown: -4.05 % Date: 1/31/2015
Drawdown: -1.50 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: -0.25 % Date: 10/31/2014
Drawdown: 0.00 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Automaton Trading LLC
Address: 141 W. Jackson Blvd Suite 2026
City: Chicago
State: IL
Zip: 60604
Country: United States
Key People
Name:  Aistis Raudys
Position:  Principal
Biography: 


Name:  Thierry Rabut
Position:  Principal
Biography: 


Additional Information

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.