Opto Global Macro Hedge Fund

Discussion in 'Automated Trading' started by syswizard, Nov 29, 2011.

  1. HFT trading strat averages 250-500 R/Ts per day.
    up 77.7% in August.
    Current YTD performance near 100% annual return for 2011 !

    Wow, what are these guys doing ?
  2. i must not be doing hft cause i do about 200 trades every 3 hours. m
  3. loogling


    What's your average trade size?
  4. How is a fund global "macro" with 250-500 RT/day? Interesting website they have too.
  5. loogling


    Is executed volume more important than the number of trades?
    200 trades every 3 hours is a lot, but if each trade is just for a few hundred shares, wouldn't someone who trades an average of 1000 shares for 100 times every 3 hours perform better? I was just curious what your average trade size was for those 200 trades.

    I'm new to this forum and have read quite a few of your posts. You seem like a very profitable HFT guy. As for me, I'm a small retail trader with 2 years of trading experience. Still a novice! My thinking, however, is that to do well in any competitions, I should try to learn more about my competitors (which probably includes you in this case) and the rules of the game. Having said that, would it be fine if I ask one or two more questions?

    Your help is very highly appreciated!
  6. Lucias


    Its likely some variation of liquidity provision.. market making. The fund owner talks about global macro.. probably just to throw everyone off

    Many are sub-$10m - the one-year old Opto Global Macro, for example, has $1.4m,

    Read more: http://www.professionalpensions.com...555/uncovered-hedge-fund-august#ixzz1mEwR6gJk
    Professional Pensions - News and analysis from the pensions market. Subscribe now.

    Here they claim to be specialist in Chinese. Interesting they are CTA based.. but notice their top team has degree in engineering/etc.. its possibly they just caught a trend.

    Oh here they share more


    Our Trading Strategy

    We have two trading strategies which are run independently but developed jointly by our team. One is discretionary trading strategy. The other is program trading strategy.

    Discretionary Trading

    Although this strategy uses many fundamental and technical indicators, the trades are entirely discretionary. This trading strategy is focused on identifying both market trend movements and market volatility movements and then making opportunistic investment decisions when we see a predictable trading pattern.

    We follow major policy, economic and liquidity news all over the world to identify global market trends. We study technical charts and apply statistical tools in analyzing trading data to both verify our global markets trend views and identify risk positions in the markets. Through the application of both market trend views and market volatility views to our daily entry and exit positions, we strive to attain much higher risk-adjusted returns for the trading capital we manage.

    To minimize portfolio risk, we keep overnight risk positions to a minimum. Most of the trades are conducted during the active trading hours for each market.

    The typical leverage for our Fund is 2 times.

    Program Trading

    Our program trading strategy is based on market observations from the viewpoints of technical analysis, market sentiment/breath, as well as correlations among various global markets. The strategy is back tested on over a decade of intraday data and is used to guide our investment process under bull, bear, or trend less market conditions The strategy is developed by combining several sub strategies such as trend following strategy, countertrend strategy, event/calendar pattern strategy, and cross-market correlation strategy to achieve optimization between risk and return. This strategy is still currently under development.

    Risk Management

    To minimize portfolio risk, both of our strategies will keep overnight risk positions to a minimum. Most of the trades are conducted during the active trading hours for each market. To reduce downside risk we employ a 3% stop loss rule for each position size. The placement of such contingent orders, however, may not always limit losses to the intended amounts since occasionally market conditions may make it impossible to execute such orders. We only trade liquid instruments enabling us to exit nearly all our positions on any active trading day. However, under certain conditions, such as when the market makes a "limit move" it may be difficult or impossible to liquidate a position. Leverage is capped at 2x maximum gross exposure. We occasionally use options on futures to control or manage risk.