Fictitious Hedge Fund using Stat Arb to try to outperform the worlds best Hedge Fund Managers. * Performance (Initial FUM $20m): Year 1: 23.8% return (1/23/2012 - 1/22/2013) FUM $24.8m - 73.1% win rate from 104 trades Year 2: 3.7% return (1/23/2013 - 1/22/2014) FUM $25.675m - 63.64% win rate from 66 trades
Fictitious Hedge Fund using Stat Arb to try to outperform the worlds best Hedge Fund Managers.
* Performance (Initial FUM $20m):
Year 1: 23.8% return (1/23/2012 - 1/22/2013) FUM $24.8m - 73.1% win rate from 104 trades
Year 2: 3.7% return (1/23/2013 - 1/22/2014) FUM $25.675m - 63.64% win rate from 66 trades
how long do you usually hold positions for? do you leg in manually or have an autospreader? What are your decisions actually based on? Nice work!
Hi SPTrader,Hold my positions for 1-3 days and yes I open and closed trades manually.Correlation and cointegrating relationships mixed with a bit of VECM and VaR for probability bands. Thanks for the interest.
how long do you usually hold positions for? do you leg in manually or have an autospreader? What are your decisions actually based on? Nice work!
ReplyDeleteHi SPTrader,
DeleteHold my positions for 1-3 days and yes I open and closed trades manually.
Correlation and cointegrating relationships mixed with a bit of VECM and VaR for probability bands.
Thanks for the interest.