DEVELOPED WORLD CAPITAL FUND
Portfolio strategies and research:
Back testing of more 30 futures instruments strategies over 10 years of daily price data.
Strategies are using various technical indicators using end of day prices and market statistics.
The selection of strategies for the portfolio follow three simple criterias: best performance over the long term (10 years or more), minimal drawdown versus the capital increase generated on the back tested period and considerable number of entries and exits during the testing period.
The core markets traded are in decreasing frequency: equities indexes, government bonds, crude oil and energy, metals, fx and soft commodities.
The instruments used are only futures cleared and traded on CME,ICE,EUREX and SGX.
More exchanges will be added as the fund grows and more diversification is needed with more capital being allocated to instrument and strategies.
The strategies are monitored in real time and modified if they underperform the underlying on the short or long side.
New strategies are back tested then paper traded before going to be allocated a single unit of risk with live trading.
Daily process:
The market price of previous day generate a signal of entry,long or short, but some markets could be not traded for weeks or months if no trading opportunities are available. This is true for the soft commodities that are most volatile closer to the harvest season.
The markets traded on daily basis are the one with the deepest liquidity in first order and markets that would increase portfolio diversification in the second order.
Execution:
The strategies generate a signal based on price movement and market statistics from the previous day. Each signal mentions the type of order to execute, market or price level to initiate or close a position.
The execution used for the trading signals is a blend of market statistics and market profile techniques to approach the best execution during the day.
Risk Management:
Once open the positions are monitored in real time using daily level stops. For overnight positions, the stop orders are used to protect the capital using longer time frame levels to enter stop orders.
For each unit of risk used for a trading strategy 25% of maximum position size unit is allocated to trade around the position for within day using intraday strategies.
The portfolio is monitored to keep the volatility under a fixed target <20% using a strong risk limit framework.
