Rcube Asset Management : Walnut Singularity

Summary

Singularity is a short-term systematic managed futures program. Following 5 years of applied machine learning R&D, Walnut Algorithms has built a proprietary infrastructure to design and run powerful machine learning investment strategies.

Investment Strategy

The investment strategy uses machine learning to detect long and short momentum and mean reversion signals on futures instruments. Trading is performed intraday exclusively, and no position is held overnight. round turns last from a few minutes to a few hours Positions are closed every evening before the closing of the exchanges.The strategy is focused on liquid futures (US & European equity indices, bond indices, fx and commodities). The program offers daily liquidity and low correlation to underlying markets as well as other managed futures programs.

Risk Management

Hard coded risk management constraints are implemented into the system and embeded into model optimization. Constraints include a wide range of non flexible rules such as max acceptable daily loss, max leverage, max risk allocation per trading model, direction & instrument. Every position is protected by a stop loss. The high number of trades per day ensures diversification, statistical robustness and more stable returns over time.