short term mostly intra-day systematic

[out$id€r]

Hi all,

100% automated
trading 18 futures markets
on 24hrs all week
multi time frame
multi-strategy

please view attached screendump of performance based on $100k minimum account size (for 18 market portfolio)

YEAR RISK REWARD RATIO
2002 3.47
2003 0.31
2004 2.47
2005 3.87
2006 2.48
2007 7.76
2008 12.82
2009 11.71
2010 12.50
2011 2.46

please note we only have actual trading track record from around Feb 2011. All previous ytd performance are back-tested hypothetical results, however, our actual trading results are in line with the back-tested past results showing robustness of the system.
looking forward to hearing your thoughts/queries etc.

cheers

 

[the hare]

Any info you'd like to divulge as to how you handle asset allocation when trading with multiple instruments and strategies ?

Is the equity treated as a single pool, or split between strategies etc ?

 

[out$id€r]

Hi, its 1 futures contract per market and each market has its own strategy.

Also, the 100k min acct size should really be larger now since initial margin rates for markets like silver have gone up a lot. Around 13th May total initial margin rates combined for the whole 18 market portfolio was around 110k.

 

[out$id€r]

Hi, its 1 futures contract per market and each market has its own strategy.

Also, the 100k min acct size should really be larger now since initial margin rates for markets like silver have gone up a lot. Around 13th May total initial margin rates combined for the whole 18 market portfolio was around 110k.

here are the initial margin rates for the 18 futures markets in the portfolio.