Tag Archives: robust

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

 

Quant analytics: 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.
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.
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)

 

dl.dropbox.com

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,

==

 

This is detail disclosure of process decision taking and trading methodologies used in Asian futures portfolio.

Investment objectives.
Get Systematic Alpha from US & Asia futures markets with directional automatic trading strategies.

Investment process.
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)

Competitive advantage.
Systematic approach with clean and understandable edge focused on Asian futures exchanges and top liquid Real Assets.

Risk Management.
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.

Core:
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 /

Real assets:
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.
http://dl.dropbox.com/u/19915855/Strategies.pdf

PS: Will be in Hong Kong next few weeks.

 

 

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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,

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Return Forecasting via (Robust) Regression in quant analytics

Return Forecasting via (Robust) Regression in quant analytics

High! Can anybody suggest a good reference paper on Return Forecasting via factor regression.

In particular I am interested in the optimal choice of the return frequency (daily, weekly, monthly…) and on the pros and cons of using overlapping returns (say monthly or quartely) returns.
In fact, I am interested in low turnover portfolios.

Another question, does anybody knows any reference on robust regression methods applied to finance and return forecasting?

 

 

I’d suggest: Portfolio Selection with Robust Estimation
http://www.est.uc3m.es/fjnm/esp/papers/RobustPortfolios.pdf

It applies robust regression methods to compute optimal portfolios. Although nothing to do with return forecasting.

 

=-

Daily returns understate beta. Monthly is better, if available.
http://people.stern.nyu.edu/adamodar/New_Home_Page/AppldCF/derivn/ch4deriv.html

 

Chapter 6 of the book “Introduction to Modern Portfolio Optimization with NuOPT, S-PLUS and S+Bayes” by Bernd Scherer and Doug Martin talks about robust statistical methods and portfolio construction. Are you looking for something more specific?

 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

Quant analytics: Robust Bayesian Allocation question

Quant analytics: Robust Bayesian Allocation question

How do I interpret the v_i — the numerator in formula (21) which calculates gamma_sigma — in the paper Robust Bayesian Allocation?

In the associated MATLAB code : http://www.mathworks.com/matlabcentral/fileexchange/31419, v_i seems to index the volatility of a particular portfolio along the efficient frontier identified by the sample covariance (ds_hat) and sample mu.

Below are the specific MATLAB code excerpts and my questions after the %:

PickVol = round( .8 * NumPortf ) % Why the arbitrary choice of .8?

v = ( ds_hat( PickVol ) ) ^ 2 % Why the use of ds_hat as opposed to use of Bayesian efficient frontier?

 

Robust Bayseian Allocation

Using the Bayesian posterior distribution of the market parameters we define self-adjusting uncertainty regions for the robust mean-variance problem. Under a…

http://www.linkedin.com/news?viewArticle=&articleID=1023358500&gid=3825142&type=member&item=87623442&articleURL=http%3A%2F%2Fpapers%2Essrn%2Ecom%2Fsol3%2Fpapers%2Ecfm%3Fabstract_id%3D681553&urlhash=DkKl&goback=%2Egde_3825142_member_87623442

==

The efficient frontier (standard, Bayesian, or robust Bayesian) can be parametrized by the target volatility of the respective portfolio on the frontier, which is a free, positive parameter. That is the coefficient you see.
In the specific case, I am implementing the robust Bayesian formula (21) inhttp://www.symmys.com/node/102 but the same target appears in the standard formula (1) and in the robust formula (3)

 

 

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

How to get a more robust and faster order execution? Is it a problem arising from a platform/broker or a direct exchange server access will solve this problem?

How to get a more robust and faster order execution? Is it a problem arising from a platform/broker or a direct exchange server access will solve this problem?
Who are the best CME server access providers for traders located in Europe?
—–
It is differcult to advise without knowing how you execute now, and what problems you experience.

And what you are trying to execute…
Please provide more details about your need; I think I could help with execution
—-
We provide co-location services at both Telx/Equinex in Chicago as well as in Frankfurt and are well positioned for the CME move to Aurora. Please call for more detail.

HOW DO YOU START A PROFITABLE TRADING BUSINESS? Read more NOW >>>

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!