I’m looking for a home for my quant strategy. It has been traded with $40,000,000 over the last 7 months but needs to grow. Out-of-sample results for last 11 months are: Annual return: +24.8% Max DD: -2.6% Sharpe: 5.6 Strategy primarily trades Bonds, Bunds, SP, Stoxx futures and is scalable to $200 million without worrying too Read more about Strategy, +24.8%, -2.6% MDD, Sharpe 5.6, Looking for Home[…]
A quant’s trading journal is a spreadsheet –h
Vertical Solutions Forecast Performance thru August 2014 (out-of-sample ) Annualized un-leveraged return: +16.3% Max intraday drawdown: -4.3% Sharpe Ratio: 3.4 Profitable 11 of last 11 months (see Monthly Returns, below) Monthly Returns In October of 2013 we developed some really nice Overbought/Oversold math that helps maximize expectation and minimize risk. This math, called Read more about August P&L[…]
What the Learners and Explorers Know It’s all metaphors and analogies –h
I really want to use Mathematica. But our current solutions are fast and work. We don’t need Mathematica for this problem. If we want to use Mathematica, what we need is a new problem. A problem that adds to the solution space of our current problem from a new/different perspective. We need to build a Read more about Old Problems New Solutions #idea[…]
Vertical Solutions Forecast P&L’s for March and Since Inception Quick Summary +1.4% March Current rate of return: +17.5% un-leveraged Profitable 6 of last 6 months, profitable 9 of last 10 months Drawdowns continue to be minimal In October 2013, we developed an algorithm called Edge which has improved our results Vertical Solutions Forecast, March 2012 – Read more about March and Since Inception P&Ls[…]
In an increasingly ADD world, I wonder if patience isn’t it’s own edge, –h
Forecast, Quick P&L’s, February and To-Date Quick Summary Annual rate of return: +17.6% (un-leveraged) In October 2013, we developed an algorithm called Edge which helps us quantify the opportunity in a trade Since the development of Edge, the rate of return of the Forecast has risen to +17.6% per year and our trade-by-trade standard dev has Read more about Forecast, Quick P&L’s – Feb and To Date[…]
“This, too, must be tested.” –Dr. Niederhoffer I used to think the emphasis was on ‘This’ But it’s not – it’s on ‘too’ Because one needs to test so many things so many times (think 10,000 hours of testing) that the tests and their variants flow. Almost instantly. Because on Friday at 14:50, you only have Read more about On Testing #idea[…]
5-3-1 I use a program called 5-3-1 in my strength training which I find remarkably effective because it drives me to improve each week. Here’s a way to use (a complete bastardization of) the 5-3-1 program to find and develop new trading edges: Week 1, Foundation Identify and test 5 new trading ideas Week 2, Read more about 5-3-1 #idea[…]