Summary

AXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids opening positions when the trend has gone too far. Each open position is protected by a volatility based stop. All positions are closed at the end of the day. AXIOM consists of a fully automated portfolio trading the following futures markets: Crude Oil, Eurex Dax, Eurex Bund, Nat Gas, Mini Russell, Emini S&P Midcap 400, Ibex35. The same system parameters are applied to all markets in order to minimize the risk of over optimization. The trade management is completely automated and executed in our server hosted in a datacenter in New York.