Download presentation
Presentation is loading. Please wait.
Published byEmily Lambert Modified over 6 years ago
1
TRADE HUNTER A Trading Algo from Torion JVG Ltd
2
Torion Joint Venture Group
UK Limited Company Set up to design and build currency trading algorithms to be sold under license to hedge funds Number 20 in the Top 100 IP companies for 2017 Founded and funded by Tony and Dr Julie Stephens
3
TONY STEPHENS IT professional Specialist in Bank trading networks
FX Trader Member of CISI IMC candidate City Equities, FX and Options Front Office experience Designer of Trade Hunter
4
TORION TRADING ALGOS Hedge funds and proprietary trading firms use currency trading programmes (algos) to generate income Top 10 hedge funds in the world use algos with a z profile (consistency rating) of 0.7. The best z profile possible is 1 The first algo Torion deployed was an algo with a z profile of It generated modest revenue and traded infrequently. It plateaued in 2016 TRADE HUNTER has a z profile of 0.9, Alphas of 150 and Sharpe Ratio 3. It trades frequently and has high returns with little to no losses
5
TRADE HUNTER PERFORMANCE SUMMARY
Trade Hunter is under going evaluation by a fund in London. They have generated the following based on Eur/Jpy in 2013 Strategy Performance Summary All Trades Long Trades Short Trades Net Profit 10172 n/a Gross Profit 14582 Gross Loss -4410 Adjusted Net Profit Adjusted Gross Profit Adjusted Gross Loss Select Net Profit 7380 Select Gross Profit 9642 Select Gross Loss -2262 Account Size Required 2148 Return on Account Return on Initial Capital 10.172 Max Strategy Drawdown -3331 Max Strategy Drawdown (%) Max Close To Close Drawdown -2148 Max Close To Close Drawdown (%) Return on Max Strategy Drawdown Profit Factor Adjusted Profit Factor Select Profit Factor Max # Contracts Held 1 Slippage Paid Commission Paid Open Position P/L -547 Annual Rate of Return Monthly Rate of Return Buy & Hold Return Avg Monthly Return 962.5 Monthly Return StdDev Total # of Trades 25 % Profitable 80
6
PERFORMANCE RATIOS AND TIME SUMMARY
TRADE HUNTER PERFORMANCE RATIOS AND TIME SUMMARY Performance Ratios Upside Potential Ratio n/a Sharpe Ratio Annualized Sharpe Ratio Sortino Ratio Fouse Ratio Calmar Ratio Sterling Ratio Net Profit as % of Largest loss Net Profit as % of Max Trade Drawdown Net Profit as % of Max Strategy Drawdown Select Net Profit as % of Largest loss Select Net Profit as % of Max Trade Drawdown Select Net Profit as % of Max Strategy Drawdown Adj Net Profit as % of Largest loss Adj Net Profit as % of Max Trade Drawdown Adj Net Profit as % of Max Strategy Drawdown Time Analysis Trading Period 9 Mths, 6 Dys, 13 Hrs, 10 Mins Time in the Market 21 Dys, 1 Hr, 45 Mins Percent in the Market Longest flat period 1 Mth, 27 Dys, 13 Hrs, 30 Mins Max Run-up Date 23/05/2013 Max Drawdown Date 11/06/2013 Max Strategy Drawdown Date 11/06/ :20 Max Close To Close Drawdown Date 11/06/ :20
7
TRADE HUNTER EQUITY CURVE
8
FEATURES Functional transparency. Should there be a technical problem (e.g price data disconnection or excessive volatility) – the reasons why Trade Hunter exits a trade are readily identifiable and explicable Consistency. Using databases of 6 years price history Trade Hunter has shown that is it is highly repetitive on 6 currency pairs on a daily basis Unchangeable. As Trade Hunter is so consistent it requires no updating or intervention to improve performance. There is no deterioration over time Expandable. Further currency pairs will be added in the short term. Research indicates that the Trade Hunter design model can be applied to commodities (e.g gold, US oil and UK oil) as well as equities
9
MARKET Trade Hunter will be available to a limited number of hedge funds in the UK and then globally Feedback from UK funds has identified the fact that an extensive market base is not attractive to them The proposal is to make available 5 licenses per territory 20 territories identified
10
SALES STRUCTURE Trade Hunter is to be made available under license for an annual fee Fee is also linked to a performance bonus based on improved profit figures Sales are to be done by team at partner fund
11
TRADE HUNTER MODULES ANALYTICAL ENGINE
Analyses overnight trading data and passes it on to the Market Monitor MARKET MONITOR Market Monitor assesses market reaction to overnight trading and projects trading levels for the day TRADE PLACEMENT MODULE Places trades on the basis of instructions from the Market Monitor
12
PRODUCT DEVELOPMENT ANALYTICAL ENGINE
Fully tested, operational and implemented. Requires technical upgrade. MARKET MONITOR Fifty man days to code and test. Profitable in discrete modular stages at present TRADE PLACEMENT MODULE Five man days to code test and implement TOTAL ELAPSED TIME Three months to complete
13
FUNDING For Torion JVG Ltd to acquire the Intellectual Property Rights to Trade Hunter Also needed for software development, marketing and sales support costs
14
INVESTMENT OPPORTUNITY
Discussions on-going with a fund to pay for the Monitor software development and cover the costs of marketing and sales of Trade Hunter in return for shares in Torion JVG Ltd The cost of acquiring the IP rights to Trade Hunter is yet to be set The IP is valued at half a billion by Metis Partners on behalf of Yorkshire and Clydesdale Bank who have listed Torion JVG as number 20 in their top 100 IP companies in the UK Equity position is available for negotiation
Similar presentations
© 2024 SlidePlayer.com. Inc.
All rights reserved.