The average annual rate of return is +51% in USD terms (calculated excluding bonds' yields: see Investment Process below)
The strategy has been operating continuously since January 2014. Documents confirming the track-record are available on request
Investing in the strategy does not require the transfer of funds to an asset manager. See details below
ITI Funds Algorithmic Trend Following Strategy is connected to the Investor's brokerage account. The algorithms only have permission to perform trading operations. The right to withdraw or transfer funds remain exclusively with the investor. The investor can stop the strategy at any time
1. The strategy was created and is supported by an in-house team of developers.
2. Non-stop optimisation of algorithms using 10-year trading data (walk-forward)
3. Algorithms with the best ongoing performances are added to the strategy
4. The strategy is connected to the investor's brokerage account
5. The investor sees the strategy operating in realtime
The strategy comprises a set of carefully selected algorithms that send orders to buy or sell futures contracts. The algorithms aim to find trends, both short- and long-term, and to identify the optimal moments to enter the market and to take profit. The strategy has been operating continuously since January 2014. The average annual rate of return is 51% in USD terms.
Investing in the strategy does not require the transfer of funds to ITI Funds’ asset-management account. The client opens a brokerage account in his name, and the strategy is connected to this account. The algorithms only have permission to perform trading operations; the right to withdraw or transfer funds remains exclusively with the investor. The investor can monitor the strategy in real-time and halt it at any moment.
The strategy was developed and is updated by an in-house team of mathematicians/programmers. The strategy consists of mods (algorithms), each with its own individual parameters for stop-loss, take-profit, etc. The algorithms are optimised with historical data from 2010 onwards (walk-forward optimisation). The algorithms with the best ongoing performances are added to the operating strategy. The strategy is updated (rebalanced) quarterly to reflect the changing market conditions.
The strategy does not employ high-frequency trading and does not generate excess commissions on the client’s account. The key to its success is the quality of its algorithms rather than the number of transactions performed. The algorithms use quantitative analysis of big data to determine price-change patterns on major international exchanges over the past decade.
The strategy adapts continuously to the changing market situation: rebalancing is quaterly
The strategy can generate profit in both rising and falling markets
Short-term (hours) and long-term (days) position holding
No HFT. The strategy executes only the required number of operations. The value is in the quality (rather than quantity) of operations
Only a very limited number of financial instruments, with maximum liquidity, are used
The strategy operates continuously. All transactions are made by algorithms
The strategy is most effective when market volatility is high. This allows you to effectively combine the strategy with buy&hold investments that react negatively to market instability (bonds, real estate, stocks)
Gradual position-opening. Automatically adapted Stop-Loss / Take-Profit (trailing)
Dynamic use of leverage depending on asset volatility
A multi-level risk-management system is in place
TREND IS YOUR FAITHFUL FRIEND
THE STRATEGY IS BASED ON
1. Probability theory and mathematical statistics
2. Quantitative research
3. Big data analysis
4. Law of big numbers
5. Algorithmic trading