portfolio report algoritmicapro - maggio 2016 finale · strategies • systematic diversified...
TRANSCRIPT
![Page 1: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/1.jpg)
Realmoneyportfolio//49-MonthtrackrecordInitialcapital(2012):€ 50,000Annualizedreturn:46.14% NetofcommissionMax.drawdown:16.31%Sortino 2.69//Sharpe 1.75*Aprile 2016
AlgoritmicaProConto Pilota
![Page 2: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/2.jpg)
Strategies
• SystematicDiversifiedportfolio
• 24activeTradingSystems+severalunderstudy
• NotHighFrequencyTrading(~70%Intraday~ 30%Daily)
• Liquidinstruments FuturesonIndexes,Currency,Options,ETFs
Highscalability
• Profits onbothbullish andbearishmarkets
2
![Page 3: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/3.jpg)
PortfolioComposition
Strategies
3
StrategiesLogic
48%
24%
21%
7%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Breakout Trend2 following
Mean2reverting Delta2Neutral
FuturesonEquity22%
Currencies59%
Volatility8%
Others4%
Options1%
FuturesonDebt6%
FuturesonEquity Currencies
Volatility Others
Options FuturesonDebt
![Page 4: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/4.jpg)
RiskManagement• Despitetheaggressiveapproach ofourpilotportfolio,riskandrewardexpectationare customizable
• Strictmoneymanagementrules
§ Max.onepositionatmarketformostoftradingsystems§ Nomartingale orhighriskstrategies§ Dynamicpositionsizing- notactiveduetoundercapitalization
• ProprietaryalgorithmsforthepreventionofTSdecay
• Volatilitybasedfilters
4
![Page 5: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/5.jpg)
AllthedataprovidedherearedocumentedintheInteractiveBrokerreport
5
RealPilotPortfolioEquityLine
Initialcapital Annualizedreturn(TWR)
StandardDeviation
DownsideDeviation
Drawdown SharpeRatio Sortino Ratio
€ 50,000 46.14% 26.40% 17.11% 16.31 1.75 2.69
KeyStatistics
PortfolioPerformance
-20,000€
- €
20,000€
40,000€
60,000€
80,000€
100,000€
120,000€
140,000€
160,000€
AXISTITLE
CumulativeNETProfit
![Page 6: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/6.jpg)
6
PortfolioPerformanceRealPilotPortfolioPerformanceAllthedataprovidedherearedocumentedintheInteractiveBrokerreport
-10.00%
-5.00%
0.00%
5.00%
10.00%
15.00%
1 21 41 61 81 101
121
141
161
181
201
221
241
261
281
301
321
341
361
381
401
421
441
461
481
501
521
541
561
581
601
621
641
661
681
701
721
741
761
781
801
821
841
861
881
901
921
941
DailyReturn(TWR)
-20.00%
-10.00%
0.00%
10.00%
20.00%
30.00%
MonthlyReturn(TWR)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Cumulative2012 - - - -0.18% -3.87% 12.15% 0.92% -0.67% -4.41% 3.04% 10.85% 5.27% 24%2013 4.05% 24.26% 6.17% 11.19% -17.07% 11.89% -11.81% -0.06% 15.98% 11.70% 3.40% 6.63% 78%2014 -4.26% 1.69% 8.12% 9.61% 2.19% -2.81% 6.36% -3.78% 3.40% 10.19% 7.87% -3.00% 40%2015 9.80% 2.23% 5.64% 4.57% 15.21% -9.38% 1.76% -11.21% 2.45% 0.65% 13.13% 0.35% 37%2016 -0.24% -2.33% 1.61% -1.87% -3%
![Page 7: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/7.jpg)
VAMI- Benchmark
7
PilotPortfolio SPX EuroStoxx50 BARCLAYHEDGEEndingVAMI € 4,112 € 1,466 € 1,222 € 1,174MonthlyReturn 3.21% 0.83% 0.51% 0.34%AnnualReturn 46.14% 10.46% 6.27% 4.12%AnnualSt.Dev 26.40% 10.78% 15.29% 4.56%DownsideDeviation 18.73% 6.90% 9.92% 3.04%Sharperatio 1.75 0.96 0.41 0.89Sortino ratio 2.69 1.49 0.69 1.24Calmarratio 2.53 1.18 0.31 0.56Drawdown -18.22% -8.89% -20.33% -7.41%CorrelationtoPilotPortfolio 1 0.15 0.21 0.14
0500
100015002000250030003500400045005000
VAMIComparison
VAMIPilotPortfolio
VAMISPX
VAMIEuroStoxx50
VAMIBARCLAYHEDGE
![Page 8: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/8.jpg)
PerformancebyAsset-class
8
ProfitByAsset 2012 2013 2014 2015 2016
EquityFutures € 314 € 9,083 € 23,921 € 23,538 € 7,747Forex € 11,231 € 19,392 -€ 17,398 € 7,519 -€ 13,770
DebtFutures -€ 4,782 € 257 € 4,484 € 1,171 € 6,058ETN (Vix) € - € 3,558 € 4,092 € 2,830 € 589
ETF € - € 1,496 € 6,546 € 873 -€ 4,190Stock € - € - € - -€ 1,360 -
Options € 3,389 € - -€ 1,094 € 8,803 -€ 319
-€ 30,000
-€ 20,000
-€ 10,000
€ -
€ 10,000
€ 20,000
€ 30,000
€ 40,000
€ 50,000
2012 2013 2014 2015 2016
ProfitByAsset Class
EquityFutures Forex DebtFutures ETN (Vix) ETF Stock Options
![Page 9: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/9.jpg)
PerformancebyAsset-class
9
Numberoftrades 2012 2013 2014 2015 2016
EquityFutures 722 1312 1502 1890 864Forex 2097 4671 4435 4207 1238
DebtFutures 150 529 367 340 196ETN (Vix) 0 512 723 802 159
ETF 0 50 353 126 8Stock 0 0 0 455 0
Options 38 0 48 139 37
0
500
1000
1500
2000
2500
3000
3500
4000
4500
5000
2012 2013 2014 2015 2016
Number oftrades
EquityFuturee Forex DebtFutures ETN (Vix) ETF Stock Options
![Page 10: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/10.jpg)
Equity Futures
10
-€ 20,000.00
€ -
€ 20,000.00
€ 40,000.00
€ 60,000.00
€ 80,000.00
€ 100,000.00
€ 120,000.00
07/05/2012 07/11/2012 07/05/2013 07/11/2013 07/05/2014 07/11/2014 07/05/2015 07/11/2015
EquityFutures
Asset class più rilevantenelportafoglio
![Page 11: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/11.jpg)
Debt Futures
11
-€ 8,000.00
-€ 6,000.00
-€ 4,000.00
-€ 2,000.00
€ -
€ 2,000.00
€ 4,000.00
€ 6,000.00
€ 8,000.00
€ 10,000.00
€ 12,000.00
03/09/2012 03/03/2013 03/09/2013 03/03/2014 03/09/2014 03/03/2015 03/09/2015 03/03/2016
DebtFuturesEquity
PrevalentementeBund tedesco
![Page 12: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/12.jpg)
ETN(Vix)
12
Trades sullavolatilità
-€ 5,000.00
€ -
€ 5,000.00
€ 10,000.00
€ 15,000.00
€ 20,000.00
€ 25,000.00
05/02/2013 05/08/2013 05/02/2014 05/08/2014 05/02/2015 05/08/2015 05/02/2016
ETN(Vix) Equity
![Page 13: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/13.jpg)
ETF
13
-€ 2,000.00
€ -
€ 2,000.00
€ 4,000.00
€ 6,000.00
€ 8,000.00
€ 10,000.00
€ 12,000.00
€ 14,000.00
24/09/2013 24/03/2014 24/09/2014 24/03/2015 24/09/2015 24/03/2016
ETFEquity
Pevalentemente Commodities
![Page 14: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/14.jpg)
Stock
14
-€ 6,000.00
-€ 5,000.00
-€ 4,000.00
-€ 3,000.00
-€ 2,000.00
-€ 1,000.00
€ -
€ 1,000.00
€ 2,000.00
05/01/2015 05/04/2015 05/07/2015 05/10/2015
StockEquity
![Page 15: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/15.jpg)
Options
15
-€ 4,000.00
-€ 2,000.00
€ -
€ 2,000.00
€ 4,000.00
€ 6,000.00
€ 8,000.00
€ 10,000.00
€ 12,000.00
€ 14,000.00
€ 16,000.00
17/08/2012 17/02/2013 17/08/2013 17/02/2014 17/08/2014 17/02/2015 17/08/2015 17/02/2016
OptionsEquity
Prevalentemente Deltaneutrale
![Page 16: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/16.jpg)
Forex
16
-€ 5,000.00
€ -
€ 5,000.00
€ 10,000.00
€ 15,000.00
€ 20,000.00
€ 25,000.00
€ 30,000.00
€ 35,000.00
€ 40,000.00
ForexEquity
![Page 17: Portfolio Report AlgoritmicaPro - Maggio 2016 FINALE · Strategies • Systematic Diversified portfolio • 24 active Trading Systems + several under study • Not High Frequency](https://reader031.vdocument.in/reader031/viewer/2022022609/5b90e5f809d3f2c1498d1bf0/html5/thumbnails/17.jpg)
ConoVolatilità
17
-20.00%
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25
ConoVolatilitàRendimenti
RendimentoAtteso RendimentoMassimo RendimentoMinimo
InputpersonalizzabiliPercentilecono= 95%z 1.64InputSt.DevMensile 7.62%ReturnMensile 3.212%