1. Tom Demark
Alternative Trading Strategies
NH FUTURES

2. THE TEAM Linh Shin Ashutosh Zi Xiao Nick Daniel
Before we start, I would like to present our team. My name is dina & I will be starting off the presentation, followed by grace, amanda, cheryl, joyce & aveline.
Zi Xiao
Daniel
Nick

3. 1. 2. 3. Single strategy back-test Combined strategy back-test
Product introduction 2. 3.

4. 1. Introduction

5. ABOUT NIKKEI 225 1949 Reflect Japanese stock market Price-Weighted
Top 225 top-rated blue chip stocks
Tokyo stock exchange

6. ABOUT NIKKEI 225 Ticker Symbol : NKD
Size: $5 x Nikkei 225 stock average
Tick size: 5 pt = $25
Trading hrs: M-F 5pm
Last trading days: 4.15pm prior to 2nd Friday of contract month
Months: 4 quarters
Min block trade: 50 contracts
Price limits: 8/12/16% up/down
Settlement: Cash settled
= determined on 2nd Friday by Osaka Security exchange

7. LIQUIDITY Second most active Nikkei futures
Volume 10k-20k contract per day
Daily turn over 23 billion USD (SGX & CME)
> turnover of top 5 ETF tracking Nikkei 225
Growing open interest among asset managers
Net position >= 40% in the past years

8. Mutual offset system Special arrangement btw CME & SGX
Take position & close position on either exchange
Execute in both markets

9. Market participants Purpose Institutional clients & investors
Hedge funds
Purpose
Speculative
Hedging

10. BENEFITS International exposure Global availability
Mutual offset system
Sophisticated trading
Security central clearing

11. 2. Single strategy back-test

12. Signal generation
Number of signals
Time(min)

13. Camouflage BUY T-stat(no comm)
T-stat negative  consider flipped signals
 Sell at every buy signal

14. Camouflage BUY - flipped
Best holding period: 17
T-stat: 1.39
Probability of win: 64%
Average gain: $201.73
Average loss: $143.43
Total P&L: $2551.4
Number of trades: 55
T-stat & P&L(after com)

15. Camouflage BUY - flipped
Equity Curve
Sharpe Ratio
Max drawdown:

16. Camouflage SELL Best holding period: 3 T-stat: 2.83 (after comm)
Probability of win: 76.7%
Average gain: $47.62
Average loss: $43.32
Total P&L: $633.90
Number of trades: 38
T-stat & P&L

17. Camouflage SELL
Equity Curve
Sharpe Ratio: 0.46
Max Drawdown:

18. CLOPWIN BUY
CLOPWIN BUY FLIPPED
T-stat
T-stat

19. CLOPWIN BUY T-stat & P&L both negative T-stat & P&L (after com)
Best holding period: 16
T-stat: (after comm)
T-stat before comm: 0.655
Probability of win: 48.7%
Average gain: $105.37
Average loss: $115.52
Total P&L: -$
Number of trades: 4820
T-stat & P&L (after com)

20. CLOPWIN BUY
Equity Curve
Sharpe Ratio:
Max Drawdown

21. CLOPWIN SELL T-stat & P&L after com Best holding period: 17
T-stat: 2.07 (after comm)
Probability of win: 53.6%
Average gain: $153.17
Average loss: $131.54
Total P&L: $
Number of trades: 2119
T-stat & P&L after com

22. CLOPWIN SELL
Equity Curve
Sharpe Ratio : 0.045
Max Drawdown

23. Clop BUY T-stat & P&L after com Best holding period: 1
T-stat: 2.56 (after comm)
Probability of win: 60.5%
Average gain: $51.58
Average loss: $46.92
Total P&L: $1522.2
Number of trades: 212
T-stat & P&L after com

24. Clop BUY
Equity curve
Sharpe Ratio: 0.176
Max Drawdown

25. Clop sell T-stat & P&L Best holding period: 1
T-stat: 5.06 (after comm)
Probability of win: 70.4%
Average gain: $52.21
Average loss: $53.28
Total P&L: $
Number of trades: 243
T-stat & P&L

26. Clop SELL
Equity curve
Sharpe Ratio: 0.176
Max Drawdown

27. Open BUY T-stat T-stat negative  consider flipped signals
 Sell at every buy signal

28. Open BUY - FLIPPED T-stat & P&L Best holding period: 9
T-stat: (after comm)
Probability of win: 53.5%
Average gain: $118.9
Average loss: $110.92
Total P&L: $2005.1
Number of trades: 274
T-stat & P&L

29. OPEN BUY - FLIPPED
Equity curve
Sharpe Ratio: 0.176
Max Drawdown

30. Open SELL T-stat & P&L Best holding period: 1
T-stat: (after comm)
Probability of win: 53.5%
Average gain: $54.48
Average loss: $49.73
Total P&L: $875.5
Number of trades: 284
T-stat & P&L

31. OPEN sell
Equity curve
Sharpe Ratio: 0.060
Max Drawdown

32. trap BUY T-stat Best holding period: 1 T-stat: 1.77 (after comm)
Probability of win: 55.1%
Average gain: $89.9
Average loss: $76.78
Total P&L: $
Number of trades: 657
T-stat

33. trap BUY
Equity curve
Sharpe Ratio:
Max Drawdown

34. trap sell T-stat Best holding period: 19 T-stat: 2.62 (after comm)
Probability of win: 58.3%
Average gain: $328.05
Average loss: $226.02
Total P&L: $
Number of trades: 692
T-stat

35. trap sell
Equity curve
Sharpe Ratio: 0.099
Max Drawdown

36. 5.06 STRATEGY SELECTION T-stat > 2 Highest T-stat Camouflage sell
CLOP SELL
5.06
Clop buy
Trap sell
Clop sell
Clopwin
sell

37. outsample testing Holding period: 1 Equity Curve
T-stat: (after comm)
Probability of win: 56.86%
Average gain: $57.73
Average loss: $47.30
Total P&L: $376.40
Number of trades: 77
Equity Curve

38. 3. Combined strategies back-test

39. SIGNAL GENERATION Short strategies Long strategies
Difficult to get common signals

40. CLOP BUY – OPEN BUY
Equity Curve
T-stat & P&L

41. CLOP SELL – OPEN SELL
Equity Curve
T-stat & P&L

42. CONCLUSION

43. evaluation Flipped strategy is not exactly 1:1
Commissions do play a role in choosing the right strategies
Risks associated to traders
Strategies Selection Process – purely based on t-stat
Points for improvement: considering other factors such as DeMark Sequential