Alpha Trend’s investment philosophy is based on the following theses:
• All relevant information is reflected in historic price movements.
• Quantitative analysis is the most effective way of accessing information about future market price movements.
• Historic price movements repeat and provide investment opportunities.
• Diversification across a broad range of markets maximises the investment opportunity.
• Alpha Trend capitalizes on market moves driven by investor behaviour in a systematic and disciplined way.
The system tries to exploit profit opportunities based on marketparticipant’s behaviours. There are psychological reasons behind the existence of trends and there are also economical reasons for some participants to reduce volatility. The philosophy of the system is to trade with the trend and take on volatility. That is achieved by selective shortterm trading in line with the longer-term trend and having the risk management focused on drawdowns instead of volatility reduction.
The programme takes selective breakouts in the direction of the trend by a unique combination of level identification and trend filtering. The methodology leads to trades in varying holding periods with the average trade lasting 28 days but some positions can be held for 6 months and longer. The strategy is applied on a diversified futures portfolio of 74 markets but being selective in position taking holds full positions only in 29 markets on average. The model and its parameters are the same for all markets in the portfolio.
Our risk management is focused on drawdown control and worst case scenarios. The risk management is an integral part of the model and takes a bottom-up approach when evaluating portfolio risk. The sizing Estlander & Partners Alpha Trend is a diversified short- to mid term trend programme which is active on more than 70 liquid futures markets. It is a fully systematic programme with a highly selective trading process. Positions are held on average for 20-30 days. The historical track record goes back to 1991.