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Quant analytics: Group of robust and stable automatic trading strategies for buy side Alpha generation. Looking to employ them

Have group of robust and stable automatic trading strategies for buy side Alpha generation. Looking for place to employ them.

Hello,

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.

Public tracks.
Equities.
http://portfolio.marketocracy.com/cgi-bin/WebObjects/Portfolio.woa/ps/FundPublicPage/source=NpJmBaNbEiEnGbBnMaKiAbDd/maxDays=10000

Futures & FX spot.
http://directionalfuturestrading.collective2.com/

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.
http://dl.dropbox.com/u/19915855/Portfolio.pdf

(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
Ratios:
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)
Ratios:
Win/Loss 0.49
%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
Ratios:
Win/Loss 0.45
%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.

Footnotes:
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.
http://dl.dropbox.com/u/19915855/FX_portfolio.pdfhttp://dl.dropbox.com/u/19915855/Global%20Grows_portfolio.pdfhttp://dl.dropbox.com/u/19915855/Issumboshi_portfolio.pdf

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.
http://directionalfuturestrading.collective2.com/

Feel free to contact me for any details,

Regards,

 

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