TRADERS this is what you are up against!

Discussion in 'Trading' started by limitupmike2, Nov 25, 2009.

  1. Principals of Cantab
    Dr. Ewan Kirk (Chief Executive Officer)
    Former head of the Goldman Sachs Fixed Income, Currency, Commodity and Equity Quantitative Strategies
    group. As the Partner in charge of a group of 110 mathematicians, physicists, statisticians and programmers,
    Dr. Kirk oversaw and drove the development of the highly respected and profitable quantitative group. Dr. Kirk
    joined Goldman Sachs, the investment bank, in the commodity strategy group in May 1992 and spent 8 years in
    the commodity business developing trading algorithms, quantitative models and trading systems before
    becoming a partner in October 2000 and managing the group until leaving Goldman Sachs in January 2005.
    Dr. Kirk was between employment from February 2005 to January 2006, when he joined Cantab. Dr. Kirk has
    been listed as a principal of Cantab since April 8, 2008 and registered as an associated person of Cantab since
    June 12, 2008.
    Erich Schlaikjer (Chief Technology Officer)
    Former Managing Director and Chief Technology Officer for the European Strategies group at Goldman
    Sachs, the investment bank, from September 1987 to January 2005. Mr. Schlaikjer was personally responsible for
    designing and building many of the analysis tools which are currently in use at Goldman Sachs. At Cantab,
    Mr. Schlaikjer will run the team of programmers which will design and build the analytical tools and
    infrastructure which will enable the mathematicians to develop, test and implement algorithmic trading rules. Mr.
    Schlaikjer has worked extensively in the FX and Equity markets. Mr. Schlaikjer was between employment from
    January 2005 to January 2006, when he joined Cantab. Mr. Schlaikjer has been listed as a principal of Cantab
    CANTAB TRADING STRATEGY
    Cantab believes that statistically rigorous and robust analysis of markets identifies sources of returns which
    persist due to inefficiencies and the behavior of market participants.
    Frontier Diversified App. - 18
    Cantab uses a strict methodology to postulate these sources of returns initially and then test the hypothesis
    using real world data out of sample. Cantab’s systematic strategies are un-tuned and are predominately parameter
    free.
    Cantab takes a strictly quantitative approach to all aspects of trading. Strategy selection, portfolio
    construction, execution and risk control are all specified by algorithmic and systematic processes.
    The Strategies
    By combining proprietary algorithms with macroeconomic state variables such as the carry or risk premium
    Cantab has created stable alpha generating strategies.
    By executing a correlated basket of futures and options, Cantab creates precise risk return profiles for each
    strategy which enhances the performance of the strategies.
    Robust out of sample testing, large consistent data sets and flexible, efficient and rigorous tools are essential
    in identifying these sources of return and creating the appropriate strategies to capture the return.
    Portfolio Construction
    Although simple fixed weighting portfolios perform well, by creating a dynamically weighted VAR
    constrained portfolio, attractive risk profiles can be created. Cantab’s proprietary portfolio algorithms allow
    Cantab to not only construct an optimal portfolio but to also adapt the portfolio construction in various market
    states.
    High Frequency Trading
    Many systematic quantitative funds lose performance by poor trade execution. Slippage can destroy the
    performance of marginal strategies. To reduce this slippage, Cantab is developing a proprietary high frequency
    trading engine. The high frequency trading returns are uncorrelated with the expected returns of the low
    frequency systematic strategies and are expected to add slightly to the overall return of the portfolio.
    CANTAB MARKETS TRADED
    Cantab concentrates on the FX, Commodity, Rates and Futures markets and implements their approach
    through the spot, forward and volatility markets.
    Frontier Diversified
     
  2. PAST PERFORMANCE OF CANTAB
    The Capsule Performance Table which follows presents the performance results of the CCP Quantitative
    Fund Archimedes Program for the period covered by the table. PAST PERFORMANCE IS NOT
    NECESSARILY INDICATIVE OF FUTURE RESULTS.
    CCP Quantitative Fund Archimedes Program
    Month 2009 2008 2007
    January -1.51% 7.41%
    February 1.75% 7.48%
    March -5.86% -1.76% 1.82%
    April 3.90% 3.71%
    May 5.88% -0.25%
    June -1.84% -1.61%
    July 1.66% 0.40%
    August 1.06% -7.48%
    September 1.11% 10.10%
    October 2.95% 6.83%
    November 6.58% -1.23%
    December 6.48% 1.99%
    Year -5.66% 48.66% 14.10%
    Name of CTA: Cantab Capital Partners LLP
    Name of Portfolio: CCP Quantitative Fund Archimedes Program
    Inception of Trading by CTA: March 2007
    Inception of Trading of the Portfolio: March 2007
    Number of Accounts Open: 10
    Total Assets Managed by CTA: $610 million
    Total Assets Traded According to the Program: $605 million
    Worst Monthly Percentage Draw-down: -7.48% (April 2007)
    Worst Peak-to-Valley Draw-down: -8.83% (April 2007 to August 2007)
    Number of Profitable Accounts That Have
    Opened and Closed: 2
    Range of Returns Experienced by Profitable
    Accounts: 4.9%- 7.0%
    Number of Unprofitable Accounts That Have
    Opened and Closed: 0
    Range of Returns Experienced by Unprofitable
    Accounts: N
     
  3. Any day l would rather put my money on an Essex Barrow Boy who eats 2 pies and chips for breakfast. Looks like you still have no idea of what trading is about. :cool:
     
  4. LOl on the last post.. there is still hope out there for those of you who struggle dauly and that does mean all of us... thsi cta actually sounds like they trade like most of us on this site.. except with better returns.

    TIVERTON INVESTMENT STRATEGY
    The objective of Tiverton is to achieve capital growth while attempting to control risks with disciplined
    money management. Tiverton pursues this objective by primarily trading in commodity interests, which includes,
    without limiting the foregoing, futures contracts, forward contracts and options thereon.
    Tiverton’s trades a client’s assets in accordance with its trading methodology, which generally has the
    following characteristics:
    Fundamental. Tiverton may base its trading decisions on “fundamental” analysis. Such analysis attempts to
    examine the underlying factors which affect the supply and demand and hence the price of a commodity.
    Technical. The methodology may also use “technical” analysis based on the theory that a study of the
    markets themselves provides a means of anticipating price movements. This approach examines, for example,
    trend lines, support and resistance points, retracement levels, moving averages, volatility levels, volume, open
    interest levels and other statistical indicators.
    Risk Management. An important aspect of Tiverton’s trading methodology is the emphasis placed on
    capital preservation and the avoidance of large equity draw-downs. These themes are an integral part of
    Tiverton’s trading methodology.
    TIVERTON’S DISCRETIONARY TRADING METHODOLOGY
    The objective of Tiverton is to achieve capital growth while attempting to control risks with disciplined
    money management. Tiverton relies on a combination of fundamental and technical analysis in making trading
    decisions, with the objective of participating in major price moves in the markets traded.
    Substantial positions are not normally taken in a direction believed to be counter to the primary trend of the
    market. The technical approach focuses on price charts and variables such as open interest, over bought/over sold
    indicators, moving averages, and support and resistance areas.
    Tiverton also relies upon fundamental analysis. Fundamental analysis, in respect to commodities, attempts
    to estimate equilibrium commodity prices by modeling or estimating supply and demand for individual
    commodities as well as stocks available to the market. With financial futures and currencies, other fundamental
    factors, such as inflation rates, interest rates, and current account balances are of primary interest.
    Given the emphasis on both technical and fundamental analysis of markets, Tiverton generally only takes
    large positions when it believes the fundamental outlook is in accord with the major price trend detected by the
    technical analysis. When its fundamental views indicate a change in the major price trend and it believes this to
    be confirmed by strong signals of reversal in the price pattern and perhaps other technical indicators; however,
    Tiverton may take a position that is counter to the major trend then in effect. Given the importance placed on
    participating in major trends, Tiverton takes an important countertrend position only when clear stop-loss chart
    points exist to limit losses.
    Tiverton will seek to move stop loss exit levels in the direction of the trend, in an attempt to protect a
    portion of the unrealized profit of the trade. Tiverton may add to existing positions during corrections to the main
    trend or at other times, such as following break-outs (or breakdowns) from congestion patterns.
    It is Tiverton’s belief that the key to success in trading futures markets lies in money management. As part
    of its money management, the Tiverton will determine when to take losses and when to realize profits, how large
    positions should be, when to increase regular position size after a period of sustained growth in trading equity,
    Frontier Diversified App. - 36
    and most difficult, how to deal with losing or “flat” periods. An important aspect of Tiverton’s trading
    methodology is the emphasis placed on capital preservation and the avoidance of large equity draw-downs. These
    themes are an integral part of Tiverton’s trading methodology. On occasion this may result in Tiverton’s client
    accounts not being invested in so called “hot” markets undergoing major price trend moves, because Tiverton
    feels the risk-reward characteristics of the market are no longer favorable.
    Tiverton may trade in any commodity or financial futures interest that is now traded, or may be traded in the
    future, on exchanges and markets located within the United States and abroad. Tiverton invests in futures
    contracts, both for financial instruments and commodity markets, as well as forward contracts on foreign
    exchange markets and the London Metal Exchange. Options on futures and forward contracts are also traded.
    The traditional market groups in which Tiverton invests are: foreign exchange, short and long term Interest rates,
    equity indices and their sectors, base and precious metals, grains, the soy complex, softs and industrials. It is
    possible for a client account to have no investment positions at certain times. In times when its investment
    portfolio has a larger number of investment positions, the existing positions will probably be significantly
    correlated. As stated above Tiverton will invest in options on futures and forward contracts. It will typically use
    simple options strategies when it believes such strategies offer better risk-reward characteristics than outright
    long/short futures and forward positions.
    The following summary performance information reflects the composite performance results of Tiverton
    Trading Inc.
    Frontier
     
  5. I'm just curious what you are trying to prove or point out to us ?

    I could care less what their trading strategies are. how does this affect me as a trader ? How does this "show what i'm up against" ?
     
  6. The best line is this one:

    "Cantabs systematic strategies are un-tuned and are predominately parameter free."

    Any living breathing computerized system has parameters and constraints built in.

    Very simply, whether the parameters are external:

    F(x,y,z) {
    return(x+y+z);
    }

    x = 1;
    y = 2;
    z = 3;
    val = F(x,y,z);

    Or internal:

    F() {
    type x, y, z;

    x = 1;
    y = 2;
    z = 3;
    return(x+y+z);
    }

    They still are ***KNOWN*** parameters so don't believe that bs at all.
     
  7. Its just another form of justifying one's failures.
     
  8. ba1

    ba1

    That math group part doesn't bother me.

    What does bother me is the inside track of GS insiders to policy information day by day and the *massive redo+transfer button* for transfers of taxpayer cash and newly created cash/credit as a simple fraction of the whole economy.
     
  9. This has got nothing to do with day to day trading.
     
    #10     Nov 25, 2009