Ratio of Immersion to Profits #idea
What is the ratio of immersion to profits? How to track? How to test? –h
Category: Trading
Always In #idea
How is an ‘Always In’ model better, different and/or more focused than a discrete long/short quantitative model? Where ‘Aways In’ may simply try to capture drift, Place for options? Vig kills? Continuous vs discrete, … –h
Trend Following with Mean Reversion #idea
Trend Following with Mean Reversion Keep a list of markets that are trending (however one likes to define trending) Use a favorite reversion strategy to buy/sell pullbacks from the trend That way you will be trading in direction of the trend, but perhaps using a strategy with a bigger edge – because now you are trading Read more about Trend Following with Mean Reversion #idea[…]
September P&L
Strategy Performance Risk Adjusted, Out-of-Sample Annual: +24.9% Max DD: -3.5% Sharpe: 5.7 Profitable: 12 of last 12 months I am looking for a new home for this strategy. It has been traded with $40m and scales easily into the $200m range. Inquiries and referrals appreciated. A Strategy overview is here, –h Henry Carstens 503-701-5741 carstens@verticalsolutions.com
Strategy, +24.8%, -2.6% MDD, Sharpe 5.6, Looking for Home
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[…]
August P&L
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[…]
March and Since Inception P&Ls
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[…]
Patience #idea
In an increasingly ADD world, I wonder if patience isn’t it’s own edge, –h
Forecast, Quick P&L’s – Feb and To Date
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[…]
Quick P&L’s, January and To-Date
Quick Summary Market Stress has helped Our Trend Day predictions are getting better We combined Market Stress and a Trend Day prediction to identify the recent market turn Since Market Stress the Forecast set-ups have been correct 77% of the time Since Market Stress, October 2013-p Market Stress, Oct 2013-p Gross $4,431 Read more about Quick P&L’s, January and To-Date[…]