Program Executive Summary
- Trade Stock Index futures combining multiple unique yet simple trading strategies that exploit persistent stock market characteristics.
- Inception of trading: March 2012.
- Minimum account size: $100,000 USD (notional funding accepted)
- Target performance: 20-25% annually.
- Target volatility <20%.
The Stock Indices Short-Term Program
The Stock Indices Short-Term Program attempts to take advantage of short-term inefficiencies in the stock index futures markets by using multiple independent intra-day and swing trading models. Trades are generated with proprietary computer generated signals. The average holding period for the swing trading models is five trading days, but can be as short as one day and as long as twenty days.
The intra-day strategies are primarily trend following in nature and utilize market volatility. The swing trading strategies are primarily counter-trend in nature, with some incorporating fundamental data as well. This combination of time frames and model types is designed with the intention of providing consistent returns during any market environment.
The Stock Indices Short-Term Program Markets Traded
For intraday trading, the program trades a maximum of 3 positions in the emini futures of the Russell 2000. For overnight (swing) trading, this program trades a maximum of 1 position each in the emini futures of the S&P 500, S&P MidCap and Russell 2000 thus providing exposure to all index baskets.
The Stock Indices Short-Term Program Risk Management
The manager adheres to a disciplined approach to risk control using pre-determined price stops. Stops are quantitatively determined and set before each trade is initiated, and every stop loss order is active during all exchange hours including the overnight session. Stops are strictly enforced in order to manage trade and portfolio drawdowns. It is important to note that a stop is an order that becomes executable once a set price has been reached and is then filled at the current market price. During fast markets it is possible that the fill may be worse than the stop price.
In addition, when perceived risk is higher than normal (due to heightened volatility, geopolitical events, etc.) the manager may close a trade early or avoid entering a trade during this period.