Diversified Algo System
The Diversified Algo System is 100% automated trading system that trades long and short positions in equity index futures and treasury futures. The portfolio utilizes 12 different trading strategies to diversify by strategy, market and time frame in order to provide more consistent performance with lower expected drawdowns. Trading strategies include intraday mean reversion, intraday momentum, asset rotation, roll yield and seasonality trades. The portfolio is constructed to provide negative correlation to equity markets and positive convexity during periods of significant drawdowns including Oct. 2008 - Nov. 2008 (Financial Crisis), May 2010 (Flash Crash), Aug. 2011 (Greek Debt Crisis), Jan. 2016 (Oil Price Collapse) and Oct. 2018 - Dec. 2018 (US/China Trade War).
The recommended account size is $50,000 based on the risk/return profile of the system and exchange margin requirements. Hypothetical performance is calculated net of commissions of $3 per side and slippage of one tick per side for market orders ($12.50 for Emini S&P 500 futures, $7.81 for 5yr Treasury futures, $5 for Emini Russell 2000 futures, $5 for Emini Nasdaq 100 futures, $5 for Emini Dow Futures). Performance calculations are non-compounded and based on the monthly profit/loss for a $50,000 account.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.