Quantitative Investment Management (QIM) quickly becomes one of the biggest CTAs in the world, rised $3B in the last two years. So i got interested in their trading methodology. Here's the article which describes it in general. from http://www.allbusiness.com/specialty-businesses/479588-1.html After much contemplation, Jaffray Woodriff settled on quantitative behavioral finance to describe his trading methodology. It is a mouthful, as is behavioral finance academics, artificial intelligence and evolutionary programming--all apt descriptions of what he does. It also is understandably complex considering he has designed software that has created and tested hundreds of billions of trading models. The best models are employed in Quantitative Investment Management's (QIM) Global program. [...] Woodriff's software, which is based on mathematics, utilizes artificial intelligence techniques that take a group of relatively simple inputs and create a vast number of trading models. Those models are tested throughout 25 years of market data in 40 different markets and the best 1,500 models are used in the program. The models are scored on performance and correlation to each other. They create an overall score, between -500 and 500, for each market. A score above 100 or below -100 will generate a buy or sell signal. It is a compilation of the all the models that recognize market patterns; some are trend following and some are countertrend, while others are neither. "The models are generated by computer code, they're not selected because I went out to try and find a countertrend model that would do great at long-term market turns. The models are screened algorithmically based on how well they predict the movement of markets at any time," Woodriff says. He ends up with many long- and short-term models. The composite signals tends to be the short- to medium-term type signals, holding trades an average of eight to 10 days. He separates his methodology from other managers involved in behavioral finance who create methodology on the psychology of market participants. "We take a much more systematic approach to finding patterns," he says. They will come up with a hypothesis that makes sense and then test it quantitatively. "While we have created a software program that goes out and searches for possible mathematical formulas for patterns, it is a much broader search," he says. "We take a very generalized approach that there are patterns in the market and we are going to generate potential patterns and see how well they do by generating billions of them and see what comes to the top."