Quant analytics: Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them.
Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them.
(Prop-trading desk, Hedge Fund, Asset managing firm or other, preferred location – Asia)
Type of strategies: Directional trading. Mid term frequency.
Capacity: 50-100m USD with out algo-execution assistance.
Markets: US & Asia Equities and Futures + FX spot.
Approach: Systematic with clear and understandable alpha. (Idea generating/executing processes is fully automated).
If you are looking for already sustainable and fully equipped trader, who are able to generate investment decisions and trading strategies with above average P&L and do this autonomous with self-sufficient programming skills. You find him.
Any variants of collaboration are welcome.
Will be next few weeks in business trip around Asia and can meet personally, to discuss models and show performance/track records in details.
# Here is portfolio performance of US and Asia equities systems.
(Performance of futures portfolio will be later, I’m in process of counting statistics for each system separate)
I can add to portfolio exposure to 2 types of Alpha.
* Systematic long/short alpha on futures. (CTA/managed futures type).
Futures markets Asia & US + FX SPOT.
(Traded futures contracts: Hang Seng index, Sydney Price index, Hang Seng China Enterprises Index, Gold, Crude Oil, S&P 500, US TRX 10/30 and some others. )
PS: Main part of alpha is coming from Asian exchanges + Gold and Crude Oil.
(FX: EUR, GBP, AUD, NZD, SGD)
* Long only (Beta One).
(US & Asia only liquid stocks)
Here is some statistics from futures trading portfolio.
Light Sweet Crude Oil (WTI) Futures
Win/Loss = 1.75
%time in market 5.61%
PF = 1.87
Target revenue 25% annually
Margin to Equity ratio 10-15% (counted on Overnight Initial value)
Average position holding time 6-7 hours.
Hang Seng index (HKFE)
%time in market 13.67%
PF = 3.76
Target revenue 30% annually
Margin to Equity ratio 15% (counted on Overnight Initial value)
Average position holding time 24 hours.
Sydney Price index
%time in market 10.24%
PF = 2.25
Target revenue 30% annually
Margin to Equity ratio 10% (counted on Overnight Initial value)
Average position holding time 56 hours.
This is LONG/SHORT directional type of trading models. And positions are holding overnight.
Risk profile of all models are correlated with direct exposure to price movement of future contact price. And can be clearly priced and targeted in every trade with exact accuracy. All of them have fixed stop losses. Overnight gaps are included in statistics.
Some old “back tests” before starting public tracking in 2011.
Some of strategies were better then in hypo theoretical tests periods along last year, some were not, but model 1m USD portfolio on collective2 closed with above 20% profit and average Margin to Equity ratio was less 20% level whole year.
Feel free to contact me for any details,
This is detail disclosure of process decision taking and trading methodologies used in Asian futures portfolio.
Get Systematic Alpha from US & Asia futures markets with directional automatic trading strategies.
In program will be used robust strategies on the tactical basis.
Mainly 3 classes of mid frequency strategies will be used:
* Trend followers for exposure to beta on a tactical basis (Alternative for Gold/Crude Oil and Bespoke for Hang Seng, EUR).
* Momentum trading via taking short term trades in the market direction based on catching temporary “drawback” moving in the direction opposite main trend for last days and then returning to the main trend.
* Contrarian – Mean reversion trading.
All strategies have formalized overlay, programmed, tested and confirmed their edge, all cycle fully automated. (Market analysis – Trading idea generation – Order execution)
Systematic approach with clean and understandable edge focused on Asian futures exchanges and top liquid Real Assets.
Risk profile of all models are correlated with direct exposure to movement of future contact(FX) price. And can be clearly priced and targeted in every trade with exact accuracy. All trading models have fixed stop losses. Overnight gaps are included in statistics.
Sydney Price Index /Short term Trend follower/
Hang Seng China Enterprises Index /Short term Trend follower/
Hang Seng Index /Short term Trend follower/
Hang Seng Index /Short term Momentum trading/
Hang Seng Index /Mid term Mean reversion trading /
Hang Seng Index /Mid term Trend follower /
Light Crude Oil /Short term Momentum trading /
Light Crude Oil /Mid term Momentum trading/
Gold /Mid term Trend follower /
Here you can look on the detail statistics of strategies that will be in the Core.
PS: Will be in Hong Kong next few weeks.
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