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
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[…]
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[…]
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 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[…]
Vertical Solutions Forecast – Innovations and October P&L A summary of innovations (Market Stress, Trend Day/Range Day forecasting) and the October and cumulative P&Ls, –h Henry Carstens Vertical Solutions cell: 503-701-5741 mail to: carstens@verticalsolutions.com www.verticalsolutions.com ———- Innovations Expect more trades that exit based on Market Stress retracements from overbought/sold back to neutral (+/-1) Expect more Read more about Innovations and October P&L[…]
What would turning your P&L into a datafeed tell you? It would tell you how well you’ve traded on days like today. And that is fascinating. –h
P&L’s turn faster than historical data. That matters. –h
The average monthly single contract gain from The Forecast is $9,385. In November we added coverage for Corn, Copper and Crude. The Forecast now covers US, Bund, ES, Stoxx, Gold, Corn, Copper and Crude. Highlights: November return: +0.1% Unleveraged return (annual): +12.6 % Max drawdown: -2.6% Percent wins: 62% t score: 2.78 (Forecast results are Read more about November Performance[…]
How to quickly make a first-pass evaluation of a trading system (or trader)… Calculate these from the system/trader’s P&L: z = sqrt(observations) * avg win / std dev trades f = (((1 + win/loss ration) * pct wins) – 1) / win loss ratio f$ = largest losing trade / f ————- Then: z > Read more about Quick Tip: How to Quickly Evaluate a Trading System[…]