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Ceres Algorithmic Trading

Ceres Algorithmic Trading

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Published by Andrea Orani
system developed to rotate between asset classes.
system developed to rotate between asset classes.

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Published by: Andrea Orani on Oct 19, 2013
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Ceres Algorithmic Trading

1 Ceres Algorithmic Trading
Main Statistics
• From 7/5/1999 to 5/10/2009:
10.44 years of simulation*
• 24 possible series (depending
on the start date) simulated:
– 150000 EUR account
– 29 EUR per transaction
(Interactive Brokers)
Series Performance IRR
Annualized
Standard
Deviation
Ceres 1 492% 16.52% 10.6%
Ceres 2 575% 18.28% 10.6%
Ceres 3 893% 23.38% 10.7%
Ceres 4 720% 20.86% 10.5%
Ceres 5 567% 18.12% 10.6%
Ceres 6 646% 19.61% 10.7%
Ceres 7 636% 19.42% 10.8%
Ceres 8 600% 18.75% 10.9%
Ceres 9 386% 13.85% 10.6%
Ceres 10 548% 17.74% 11.0%
(Interactive Brokers)
Statistics of Series
Mean 6.44
Median 6.18
Minimum 3.48
Maximum 10.13
Count 24.00
2 Ceres Algorithmic Trading
Ceres 10 548% 17.74% 11.0%
Ceres 11 740% 21.17% 10.9%
Ceres 12 596% 18.68% 11.0%
Ceres 13 595% 18.66% 10.6%
Ceres 14 740% 21.17% 11.0%
Ceres 15 675% 20.11% 10.6%
Ceres 16 430% 15.01% 10.9%
Ceres 17 348% 12.71% 10.6%
Ceres 18 535% 17.47% 10.7%
Ceres 19 847% 22.75% 11.3%
Ceres 20 816% 22.31% 11.5%
Ceres 21 1013% 24.87% 11.4%
Ceres 22 765% 21.57% 11.0%
Ceres 23 817% 22.33% 10.8%
Ceres 24 485% 16.37% 10.6%
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
Simulation of Ceres
300%
900%
2700%
Performance comparison from 10/05/1999 to 5/10/2009 *
Ceres Algorithmic Trading 3
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
33%
100%
07/05/1999 07/05/2001 07/05/2003 07/05/2005 07/05/2007 07/05/2009
Dimitra 1 Dimitra 2 Dimitra 3 Dimitra 4 Dimitra 5 Dimitra 6 Dimitra 7 Dimitra 8
Dimitra 9 Dimitra 10 Dimitra 11 Dimitra 12 Dimitra 13 Dimitra 14 Dimitra 15 Dimitra 16
Dimitra 17 Dimitra 18 Dimitra 19 Dimitra 20 Dimitra 21 Dimitra 22 Dimitra 23 Dimitra 24
• Monthly algorithmic allocation in a basket of asset
classes, represented by investments in ETF.
• Money management system with clear objectives:
Basic rules of Ceres
• Money management system with clear objectives:
– Minimization of losses
– Locking profits
• Maximum transparency
Ceres Algorithmic Trading 4
• What has not been accounted for?
– Intraday data: when specific price levels are
reached intraday orders are triggered, this does
not appear on the simulations since closing
prices have been used;
– Price levels matched overnight;
How was the performance simulated?
– Price levels matched overnight;
– Untimely execution.
• Is there scope for improvement?
– Yes…
Ceres Algorithmic Trading 5
Analysis of the median series:
Ceres 8
Ceres 8*
EuroStoxx50
Total Return MSCI World
JPMorgan EMU
Government
Bond Index
Tremont Hedge
Fund Index
S&P GS
Commodity
Index TR Gold Spot
Performance
from 13/04/1999
to 13/10/2009 640% 99% 67% 164% 166% 144% 273%
IRR 19.3% -0.1% -3.7% 4.8% 4.9% 3.6% 10.0%
Vol 10.9% 25.2% 18.8% 3.7% 10.8% 25.9% 17.7%
Statistics of Performance from 13/04/1999 to 13/10/2009
6 Ceres Algorithmic Trading
*there are 2 median series since the number of series is even, this is the one that has a lower performance of the period.
Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
Information Ratio 178% -1% -20% 130% 46% 14% 56%
Correlations from 13/04/1999 to 13/10/2009
Ceres 8* EuroStoxx50 TR MSCI World JPM GBI Tremont HF S&P GSCI TR Gold Spot
Ceres 8* 100%
EuroStoxx50 TR -2% 100%
MSCI World 10% 76% 100%
JPM EMU GBI 0% -34% -31% 100%
Tremont HF 2% 2% 0% 0% 100%
S&P GSCI TR 10% 21% 28% -16% 0% 100%
Gold Spot 20% 2% 7% -2% 1% 28% 100%
VS Benchmarks: Descriptive
13/04/1999 Ceres 8*
EuroStoxx50
Total Return MSCI World
JPMorgan EMU
Government
Bond Index
Tremont Hedge
Fund Index
S&P GS
Commodity
Index TR Gold Spot
13/04/2000 17.9% 40.8% 26.0% -2.0% 44.1% 56.4% 12.5%
13/04/2001 6.3% -15.3% -15.9% 6.5% 4.8% 39.9% -1.3%
13/04/2002 37.0% -15.6% -8.9% 4.6% 10.7% -23.6% 17.7%
13/04/2003 3.4% -36.5% -35.5% 10.9% -16.2% 2.5% -11.2%
Annual Performance from 13/04/1999 to 13/10/2009
Ceres Algorithmic Trading 7
13/04/2003 3.4% -36.5% -35.5% 10.9% -16.2% 2.5% -11.2%
13/04/2004 24.9% 31.6% 24.8% 4.6% 3.6% 20.6% 11.8%
13/04/2005 0.3% 9.2% -0.3% 7.8% 1.5% 10.2% -2.5%
13/04/2006 39.6% 25.6% 23.9% 0.3% 20.1% 22.3% 48.3%
13/04/2007 30.2% 17.1% 4.1% 1.9% 1.1% -22.5% 2.9%
13/04/2008 13.4% -12.0% -19.7% 5.2% -9.6% 25.5% 15.4%
13/04/2009 17.2% -37.1% -29.6% 6.7% -0.5% -50.5% 14.3%
YTD until
13/10/2009 19.0% 31.8% 18.4% 4.3% 3.0% 7.6% 7.2%
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
VS Benchmarks: Algorithmic scale
300%
900%
Performance comparison from 13/04/1999 to 13/10/2009*
8 Ceres Algorithmic Trading
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
33%
100%
13/04/1999 13/04/2001 13/04/2003 13/04/2005 13/04/2007 13/04/2009
EuroStoxx50 Total Return MSCI World Tremont Hedge Fund Index
JPMorgan EMU Government Bond Index S&P GS Commodity Index TR Gold Spot
Dimitra 8
VS Benchmarks: Standard scale
300%
400%
500%
600%
700%
Performance comparison from 13/04/1999 to 13/10/2009*
9 Ceres Algorithmic Trading
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
0%
100%
200%
300%
13/04/1999 13/04/2001 13/04/2003 13/04/2005 13/04/2007 13/04/2009
EuroStoxx50 Total Return MSCI World Tremont Hedge Fund Index
JPMorgan EMU Government Bond Index S&P GS Commodity Index TR Gold Spot
Dimitra 8
VS Euro Stoxx 50 Total Return: Worst
Quarters
0.00%
5.00%
10.00%
15.00%
13/10/2001
13/07/2002
Ceres 8*
Euro Stoxx 50
Total Return
13/10/2001 9.29% -13.35%
13/07/2002 0.17% -19.04%
13/10/2002 5.65% -18.31%
Performance comparison in the worst quarters of the Euro Stoxx 50 TR in the period from 13/04/1999 to
13/10/2009
10 Ceres Algorithmic Trading
*These are the quarters, calculated on the basis of the starting date of the algorithm, where the Euro Stoxx 50 Total Return Index had a performance
lower than -10%.
Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
-25.00%
-20.00%
-15.00%
-10.00%
-5.00%
Ceres 8 Euro Stoxx 50 Total
Return
13/10/2002
13/04/2008
13/07/2008
13/10/2008
13/10/2002 5.65% -18.31%
13/04/2008 3.12% -12.21%
13/07/2008 4.13% -11.50%
13/10/2008 3.41% -15.68%
Period of Crisis: 4/2000 – 3/2003
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
180.00%
Performance comparison from 3/04/2000 to 31/03/2003*
11 Ceres Algorithmic Trading
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
0.00%
20.00%
40.00%
03/04/2000 03/10/2000 03/04/2001 03/10/2001 03/04/2002 03/10/2002
Dimitra 8 EuroStoxx50 TR MSCI World
Ceres 8* EuroStoxx50 TR MSCI World
From 03/04/2000 to 03/04/2001 7.95% -20.24% -22.56%
From 03/04/2001 to 03/04/2002 34.44% -5.90% -2.23%
From 03/04/2002 to 31/03/2003 2.69% -44.57% -39.27%
Vol 10.80% 31.11% 21.74%
Period of Crisis: 4/2000 – 3/2003. Algorithm Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
03/2000
04/2000
05/2000
06/2000
07/2000
08/2000
09/2000
10/2000
11/2000
12/2000
01/2001
02/2001
03/2001
04/2001
05/2001
06/2001
07/2001
12 Ceres Algorithmic Trading
07/2001
08/2001
09/2001
10/2001
11/2001
12/2001
01/2002
02/2002
03/2002
04/2002
05/2002
06/2002
07/2002
08/2002
09/2002
10/2002
11/2002
12/2002
01/2003
02/2003
03/2003
Inflation Commodities Bonds Equities Dev. Eqities EM Short Currency Algo EPRA
Period of Crisis: 9/2007 – 3/2009
Performance comparison from 3/04/2000 to 31/03/2003*
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
13 Ceres Algorithmic Trading
*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.
0.00%
20.00%
31/08/2007 29/02/2008 31/08/2008 28/02/2009
Dimitra 8 EuroStoxx50 TR MSCI World
Ceres 8* EuroStoxx50 TR MSCI World
From 31/08/2007 to 31/08/2008 16.16% -19.18% -20.25%
From 31/08/2008 to 01/04/2009 9.83% -37.05% -32.34%
Vol 11.93% 35.56% 28.21%
Period of Crisis: 9/2007 – 3/2009
Algorithm Allocations
0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100%
01/08/2007
01/09/2007
01/10/2007
01/11/2007
01/12/2007
01/01/2008
01/02/2008
14 Ceres Algorithmic Trading
01/02/2008
01/03/2008
01/04/2008
01/05/2008
01/06/2008
01/07/2008
01/08/2008
01/09/2008
01/10/2008
01/11/2008
01/12/2008
01/01/2009
01/02/2009
01/03/2009
Inflation Commodities Bonds Equities Dev. Eqities EM Short Currency Algo EPRA
Ceres Algorithmic Trading 15

17% 18.0% 10.6% 11.6% 10.38% 20.42% 18.87% 21.6% 10.11% 15.33% 16.6% *Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance.0% 10.57% 22.7% 10.12% 19.9% 10.85% 17.5% 10.75% 13.44 years of simulation* • 24 possible series (depending on the start date) simulated: – 150000 EUR account – 29 EUR per transaction (Interactive Brokers) Statistics of Series Mean Median Minimum Maximum Count 6.3% 11.6% 11. Ceres Algorithmic Trading 2 . Please also note that in no way past performance should be taken as a guarantee of future performance.37% Annualized Standard Deviation 10.9% 10.18 3.7% 10.17% 20.4% 11.8% 10.01% 12.74% 21.6% 10.48 10.28% 23.44 6.71% 17.13 24.8% 10.5% 11.6% 10.0% 10.31% 24.7% 11.61% 19.86% 18.47% 22.Main Statistics • From 7/5/1999 to 5/10/2009: 10.68% 18.6% 10.52% 18.00 Series Ceres 1 Ceres 2 Ceres 3 Ceres 4 Ceres 5 Ceres 6 Ceres 7 Ceres 8 Ceres 9 Ceres 10 Ceres 11 Ceres 12 Ceres 13 Ceres 14 Ceres 15 Ceres 16 Ceres 17 Ceres 18 Ceres 19 Ceres 20 Ceres 21 Ceres 22 Ceres 23 Ceres 24 Performance 492% 575% 893% 720% 567% 646% 636% 600% 386% 548% 740% 596% 595% 740% 675% 430% 348% 535% 847% 816% 1013% 765% 817% 485% IRR 16.9% 11.0% 10.75% 22.66% 21.

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