Altradis Capital AG : AlphAlgo

Summary

AlphAlgo is an algorithmic trend following managed futures program, exploiting extended price moves both on the upside and on the downside of financial and commodity markets worldwide. The returns generated have no correlation to equities or bonds, hence the strategy is an excellent diversifier and alpha generator for any portfolio. Instruments traded are liquid Futures.

Investment Strategy

AlphAlgo is an algorithmic trend following program, exploiting extended price moves both on the upside and on the downside of financial and commodity markets worldwide. The returns generated have no correlation to equities or bonds, hence the strategy is an excellent diversifier and alpha generator for any portfolio. Instruments traded are liquid Futures.

Risk Management

Risk management: risk is controlled by two opposing forces and two distinct exit strategies: Risk is measured on two levels. First, risk for each market is measured as historical volatility. The higher the volatility the smaller the position size. Secondly, the more models confirm a trade, the lower the risk measure and the larger the position. Consequently, a low volatility market (=many positions) only gets an allocation of 1/3 of the “many positions” if the signal is only confirmed by one single model. Or a strongly trending market (=high volatility) will normally get few positions but if all three models confirm the trade, the position size will grow. The exit levels are always pre-determined for the trend following system and the breakout system. They are mostly different and therefore the final exit mostly occurs in several steps. Exits for the momentum strategy occur continuously with falling momentum of the market.