Das Bot - October 2018

50 %
50 %
Information about Das Bot - October 2018

Published on November 1, 2018

Author: DenisGerber

Source: slideshare.net

1. Intraday Directional Trading Program – Standard Model Monthly Report NAV 31.10.2018 275.6 Data as of 31.10.2018 Oct. 2018 return +3.1% 2018YTD return +6.5% Investment Strategy Description The Intraday Directional Trading Program is a short-term fully systematic trading system investing in liquid futures markets. Based on its innovative statistical model supported by machine-learning modules to adapt to different market regimes, the system seeks to profit from intraday market trends by taking Long and/or Short positions. The system does not hold any position overnight. It is a low-frequency system executing a maximum of 2 trades per day. Comments for October 2018 The program posted a solid +3.1% return for the month of October, bringing YTD2018 returns at +6.5% and achieving new highs. The system benefited from the strong intraday directional volatility experienced by equity markets over the period, trading 23 out of the 22 trading days of the month and executing 31 trades with a 45% success rate. Short positions accounted for 65% of the profits. Monthly Returns Since Inception Month Year Jan. Feb. Mar. Apr. Mai June July Aug. Sept. Oct. Nov. Dec. YTD Vol DD Max 2007 - - - -0,2% -0,4% 1,5% 1,6% 1,2% 1,6% -0,4% 1,6% -0,9% 5,7% 3,7% -0,9% 2008 4,0% 2,3% 1,2% -2,0% -0,8% 1,3% 0,6% 0,4% 1,1% 3,8% -1,2% 1,0% 12,2% 6,4% -2,8% 2009 1,6% -0,5% -1,9% 1,0% 2,0% 0,2% 0,4% 1,2% -1,5% 2,1% 1,0% -0,1% 5,5% 4,5% -2,5% 2010 0,1% -0,3% -0,5% 0,9% 2,6% 0,8% -0,9% 1,3% 0,3% -0,3% 1,4% 0,5% 5,8% 3,4% -0,9% 2011 -1,7% -0,4% 0,1% 0,0% 0,0% 0,1% -0,3% 7,2% 1,6% 1,7% 3,9% -0,9% 11,4% 8,5% -2,3% 2012 1,1% -0,5% 1,3% 0,7% -0,3% 1,3% -0,7% 0,9% 0,4% -1,6% 0,2% 0,0% 3,0% 3,1% -1,6% 2013 0,5% -0,1% -0,6% 1,9% -1,9% 1,2% -1,5% 0,7% -2,8% 0,0% 0,0% -0,9% -3,7% 4,6% -5,2% 2014 3,0% 0,4% -0,4% 0,5% 1,5% -2,2% 3,5% 2,1% 1,9% 9,7% 3,0% 1,1% 26,6% 10,1% -2,2% 2015 0,5% -0,5% 4,5% 2,8% 0,8% 3,1% 1,9% 1,1% 0,6% 1,4% 1,4% 5,6% 25,7% 6,1% -0,5% 2016 -0,6% 1,8% 1,5% 0,5% -2,8% 1,1% 2,0% -1,0% 3,5% -1,0% -0,4% 0,3% 4,9% 5,9% -2,8% 2017 -0,5% -1,3% -0,1% 0,8% 0,5% -1,3% -1,1% 1,0% 1,9% -0,7% 2,6% 4,2% 6,0% 6,0% -3,0% 2018 -4,3% 3,5% 0,9% 0,2% 1,1% -0,2% 1,1% 0,5% 0,6% 3.1% - - 6,5% 7,3% -4,3% Equity Curve since Inception Drawdown 3-Year Rolling Returns 12-Month Rolling Volatility Key Statistics Rolling Data Since Inception Return over last 12 months +14.0% Annualized return +9.2% Trailing 12-months volatility 7.4% Annualized volatility 6.3% Largest Drawdown last 12 months -4.3% Return / Volatility 1.46 Current drawdown 0% Largest Drawdown -5.2% 100 120 140 160 180 200 220 240 260 280 26/04/2007 26/11/2007 26/06/2008 26/01/2009 26/08/2009 26/03/2010 26/10/2010 26/05/2011 26/12/2011 26/07/2012 26/02/2013 26/09/2013 26/04/2014 26/11/2014 26/06/2015 26/01/2016 26/08/2016 26/03/2017 26/10/2017 26/05/2018 NAVrebased100 -7,0% -6,0% -5,0% -4,0% -3,0% -2,0% -1,0% 0,0% 26/04/2007 26/11/2007 26/06/2008 26/01/2009 26/08/2009 26/03/2010 26/10/2010 26/05/2011 26/12/2011 26/07/2012 26/02/2013 26/09/2013 26/04/2014 26/11/2014 26/06/2015 26/01/2016 26/08/2016 26/03/2017 26/10/2017 26/05/2018 0% 10% 20% 30% 40% 50% 60% 70% 80% 26/04/2010 26/09/2010 26/02/2011 26/07/2011 26/12/2011 26/05/2012 26/10/2012 26/03/2013 26/08/2013 26/01/2014 26/06/2014 26/11/2014 26/04/2015 26/09/2015 26/02/2016 26/07/2016 26/12/2016 26/05/2017 26/10/2017 26/03/2018 26/08/2018 0% 2% 4% 6% 8% 10% 12% 25/04/2008 25/11/2008 25/06/2009 25/01/2010 25/08/2010 25/03/2011 25/10/2011 25/05/2012 25/12/2012 25/07/2013 25/02/2014 25/09/2014 25/04/2015 25/11/2015 25/06/2016 25/01/2017 25/08/2017 25/03/2018 25/10/2018

Add a comment