Monday, March 29, 2010

One step beyond

The natural next step after deploying our backtest platform is starting to trade. In the next couple of weeks we will reach out to our best scoring users to offer them a free ride.

We will allocate a small amount of capital, circa 50K€ per strategy, with friendly conditions.

In a nutshell before we trade using the capital of our investors we will use ours with very flexible conditions for the users.

How does this work?

- Post us strategies
- Users with strategies scoring north 8 will be contacted
- Users will be asked to pass through our risk constraints and further detailed backtesting
- A subset of strategies will be selected and users will be offered to enter into a non-binding agreement. The main point being they can pull out with a one week notice and we will stop using their strategy
- We allocate money to strategies, trade upon their signal, share the profits

Sounds like a good enough deal?



Anonymous said...

What stops you from copying a successful strategy and deploying it without paying anyone?

I'm not implying you would actually do this, but what is in place legally to stop this?

Benjamin Filippi said...

Our fund is audited ( see audit section here )

Our aim is to maximise the number of strategies, I do not believe in the the super strategy. Above the legal constraints we put in place you have to buy in our business model

I also recommend you read an older post on the blog "trick or treat"



Joshua said...

What does "scoring north 8" mean? In other words, how are strategies ranked?


(same commenter from Au.Tra.Sys blog)

Hak said...

Every backtest receives a score based on drawdowns, returns, volatility, etc… over past rolling periods.
A strategy “scoring north 8” is a strategy whose backtesting score is greater than 8.

For the avoidance of doubt, we do not say that a strategy scoring low is bad. We simply do not select it at this preliminary stage because we think that it will not fit our diversified portfolio of selected strategies.

Moreover we do not say that a strategy scoring above 8 is a good one. At the backtest stage it only leads to further tests aiming for instance to prevent pitfalls like overfitting.
We will eventually start "paper" trading this strategy and then start a discussion depending on results.
Hope this helps

Anonymous said...

Hi there,

Will you contact the author before you start further testing, or do you select a couple of strategies, do further testing, and then contact the author if you want to proceed?

I have 8.25 and even 9 strategies, and a few more further refined local ones. I have my own views on which ones should be used and why - I prefer some 8.25 ones to the 9 for example. When you start testing these I'd like to submit the most recent ones and be involved in the final choice if possible.

Also, I've been doing this professionally for a long time and have developed (in java) my own algo platform, have my own cloud where I optimise, and could maybe participate in your own developments. I see many parallels between MarketRunner and my own work and was able to quickly develop models for MarketRunner. Would you be interested in such participation?

Benjamin Filippi said...

Dear anonymous,

feel free to contact me on to talk about your ideas on market runner.


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