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Strategies

QuantCore constantly develops and deploys new algorithms. Currently, we provide advisory services according the following two strategies.

Quantum Leap II

The Quantum Leap II strategy is a fully automated trading system which only invests in S&P500 e-mini futures. Leverage is approximately 20x with a minimum capital investment of $5,000 for each contract traded (currently priced at roughly $1,800 as of Dec 2013). It starts each trading session by gauging the prevalent trading sentiment and subsequently takes a long, short or no position at all. It can take long, short or no positions any number of times during the trading session.

70% of invested capital is held in cash as a cushion and stop losses are used to put a cap on losses for each trade as well as daily losses. The system doesn’t hold any investments overnight and is hence not exposed to out-of-trading-hour events. The system is back tested and parameters are optimized for a time period of three years. Risk assessment is done on a daily basis and the system follows a variant of Kelly betting (i.e. adjusts position sizes based on historical risk) in order to maximize geometric average returns and minimize risk.

Quantum Leap II is a successor to Quantum Leap I, where the former has an additional analytical layer which not only makes intra-day trading decisions, but also determines on which days to trade based on a complex logic. The result is not only better return, but also significantly lower risk. This scheme is highly aggressive and suitable for less risk-averse investors as part of a broader portfolio.

Directional Index

The Directional Index scheme is a fully automated system which only invests in S&P500 index ETFs. The scheme is non-leveraged, and in contrast to Quantum Leap II, it doesn’t do intra-day trading, and positions are maintained overnight. Once per day, the system makes a decision based on past performance and overall market volatility whether to be long, short or on the sideline. Thanks to alternating long and short positions, the system can benefit equally from market upturns as well as downturns, and is hence suitable for long-term, stable performance.

Due to the absence of leverage for this scheme, all capital is invested in the underlying instrument, and stop losses are used to put a cap on losses on trading positions. The system is back tested and parameters are optimized for a time period of 20 years. Risk assessment is done on a daily basis and the system follows a variant of Kelly betting (i.e. adjusts position sizes based on historical risk) in order to maximize geometric average returns and minimize risk.