2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

(Last Updated On: August 26, 2011)

2011 – 31.2% Return, 1.3 Sharpe, US Equities. We are a Trading system Development company looking for hedge fund partnership / seed capital.

We have developed a number of long / short US equity models which are based on non directional statistical modelling – volatility / volume based. Currently interested in speaking with hedge funds.

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how did it do in prior years
are signals based on daily closes or intraday
how much leverage is deployed

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The backtest stats for 2000-2010 were 499% return with 1.13 Sharpe, 48% Wins, 52% losses, Drawdown 4.2%. Non directional. Only looks at discrepancies in volatility movements and volume. The ratio then cross references high probabiity scenarios.

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Sorry forgot to add that the system is based on intraday profit and stop loss levels, with max holding period of 20 trade days. No leverage, but can adequately handle conservative levels

 

 

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs