Piston Trading

The Piston

Year-to-Date
N/A
Minimum Investment
$ 1,000,000
Management Fee 0.00%
Performance Fee 30.00%
Annualized Volatility 12.63%
Sharpe (RFR=1%) 0.30
CAROR 4.06%
Assets $8,926,333
Worst Drawdown -13.46
S&P Correlation 0.30

Summary

The Piston trading program is a countertrend, mean-reversion strategy that exploits both intraday market volatility and longer term market movements in the emini S&P 500 and Russell 2000 index futures. The program uses quantitative indicators to generate trading signals and is systematic in nature. A trading signal is generated when the quantitative indicators are triggered and the market is already moving towards a level of price exhaustion. Once a signal is generated, trading remains active until the signal ends at the price reversion level. The Piston has three distinct components: “Pistoning” or short-term intraday trading, position trading, and hedge position.