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