Statistical patterns in single trades

Feb 17, 2016
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Dear Traders, statisticians,

This post is is specifically regarding statistical trades we can incorporate into our model with a high degree of accuracy (we are looking for 70% + winners) and we are agnostic to asset class.

We are part of a quantitative based hedge fund in Australia with a small amount of funds under management (Less than AUD $3m).

We are searching for additional trades which we will “overlay” our long/short momentum strategy in order to statistically enhance returns.

If anyone has identified any overlays we can incorporate, we would be very keen to discuss.

As an example we are aware of some mean reversion trades around the VIX which when statistically backtested have a 90/10 win/loss ratio, but only occurs every few years, so are rare.

Thanks for your time, we look forward to hearing your ideas!