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Intro

 

Although I mainly trade and teach full time for myself, there has been a need to create a consulting service. Triforce Consulting service is centered on  taking a clients idea and shifting it forward to an actual trading system. Depending on the need and scope of the project there is no flat fee, as some projects can take years.

The Process 

Initial Review: For clients coming to us for trading model development, we find it efficient to first step back and begin with a broad discussion so that we can acquire a conceptual understanding of your idea and examine the strategy for face validity. Once comfortable with your hypothesis, we would begin the specification of a model meeting that trading and investment thesis.

From there, we briefly discuss the means of trade execution that you will use in your system, which could be manual trade execution, automated trading, or a combination of both. We also discuss whether absolute return or risk-adjusted return will be the objective of the trading model, and the availability of the data needed to back test and to trade the system in real time.

Once we feel comfortable that we understand the core goal of your trading model, and before we begin working on the formal quantitative analysis, we outline for you qualitatively what we believe to be the most effective way to develop the model.

Please do not get upset with us, if we tell you that your idea is impossible to implement quantitatively. Everything in the process of system development requires clear structure.

Data Consideration:Clients come to us requesting trading systems in various forms. We can develop models which can be traded in a trading software package such as Tradestation or Metastock. We could give you results in a statistical programming language such as Python or in a standard programming language such as C++.

As most trading systems involve robust back-testing and sensitivity analyses, having a reliable and cleaned data set is of extreme importance. Many of  clients use external data feeds which provide real-time data for trading, but do not have historical databases included. In these circumstances, we often have the data needed to do more extensive back-testing, and/or can acquire it at a reasonable cost. If you are working on a system that is dependent upon relatively new securities, the data may not exist.

Back Testing:Back-testing is one of the most important steps in model development. A positive result from the testing procedure is not a guarantee of future success, but it does indicate that sufficient evidence exists of the indicator’s success to include it in the final signal. We of course take into account commissions, bid/ask spreads, volume, and other trading costs and limitations during our testing procedures.

Curve Fitting is the issue that comes up the most for us when discussing with clients our plans to develop their trading model. Many of our clients come to us not fully understanding the biases that can be present in financial market data. Trading models that are created properly work in real-time, and not just in the past.

**Keep in mind though, that our job is not build a working model for you but our job is to take your idea and put into practice. Whether you like the results or not will be up to you as the client.

 

Deliverable Product: After we go through the process of understanding your idea to implementing your idea to actually having a fully working model that fits your specifications, we will grant you access to the model. Depending on what is built, we may or may not give you access to the code. I know for most people this may sound unacceptable but based on what it would require to build a model, we may or may decide that we do not want to give the code away. This will all be determined before actual payment and contracts are decided upon.

 

Confidentiality: We understand the importance and necessity of confidentiality when dealing with any trading model or idea, and provide all of our prospective clients with a Non-Disclosure Agreement immediately upon contact. This ensures you that your idea and/or existing model will not be shared with any third parties, and your consultation with us is completely confidential.

 

To work with Triforce Consulting please email:

TriAxiomConsulting@gmail.com


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.

 

Performance Metrics:

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.

 

2016 Performance (Up To 7/16/16):

These Algo signals have been generated and given to people live since January 1st 2016, on Profit.ly. However they are not fully automated for other people. 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 100% as of August 14, 2016, as based on a is the assumption of a 30K account. Currently at 26K 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.

 

 

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