Models That I have Built For Myself To Actually Trade and Use
The Hivemind(This is what I call The Collection Of Algos)
Hivemind Background: In my system of Algorithms there are six different S&P500 Algorithms that go long and four different T-Bond Algorithms that mainly go long but some do go short. They are based on the idea of non-trending, non-mean reversion models(meaning neutral) and they all work together to decrease risk and ideally maximize profits. Basically centered around the idea of, that through different strategies that are non-correlated on average, they can achieve diversification even though they trade the same markets.
The Hivemind uses mathematical models to quantify the historical and market implied (future) volatility in order to position itself to create positive alpha. The strategies are designed to perform (and have) robustly during extreme market conditions like (August 2015 or “Brexit”) by utilizing its unique entry and hedging techniques. The strategies scale their risk (take additional entries or hedge) based on the projected volatility of the underlying assets. The algorithms are all executed automatically with no human intervention.
Between testing (Going Back 2006), simulated testing and live trading the Algorithms have achieved
20.31% Compound Annual Growth Rate
A 3.3 Sharpe Ratio
They trade liquid markets, so in theory there is no capacity of amount of contracts.(@ES and @TY)
They are fully automated for me.
These algorithms have been trading live for the better part of 18+ months without a signal adjustment since live trading
The portfolio of algorithms makes use of unique volatility tracking and projections to provide superior opportunities/ results.
These Algo signals have been generated and given to people live since January 1st 2016, on Profit.ly. However at the time, they were not fully automated, until now. To see the performance with real-time signal generation go….Click Here. To find out pricing…….Click Here.
Small plug for myself…. lol
Based on a 30k account, which is what it takes to trade the Algo’s successfully:
-YTD returns on Profit.ly are approaching 105% as of December 30, 2016, as based on the assumption of a 30K account. Currently at 35K since January.
-Sharpe Ratio for 2016 YTD is 2.63
-Strategy performance was evaluated in-sample using daily data for both markets (ES and TY) using the front-month contract.
-Strategies that produce stable out-of-sample performance consistent with in-sample results were further evaluated in simulated live trading and then live trading.
-Compared to other strategies, the Systematic Volatility Strategies operates in their own world using unique volatility measurements and advanced testing methods.
Reports Up To 2015 (Rest Of The Performance Can Be See On Profit.ly)
You can download the reports for each Algo’s to see how much they trade, max drawdown, and other key metrics. Remember each of these Algo’s look for specific things in the market, so they are not all trading, all the time. Moreover, the total trades taken by all of them up till October 2015=1362 trades. Obviously if you by the Algos you can also see this in Tradestation.
Interesting Edge Based On The Algos
The % is time the 10Y algos are have x positions (x being the middle column). The ES returns when the 10Y algos have x positions is the right column.