(Almost) A Month's Returns for Index Futures Trading

by Graham Giller May 06, 2009 16:19

On 9th. April, we started a Web 2.0 experiment by publishing an RSS FeedFeedburner and publishing trade data to twitterTwitter.

In the chart below we show the combined daily performance (return on account equity) of the equity index trading strategies referenced in our experiment. This is just short of a month's data, and the systems have made money, so the Sharpe Ratio and annualized returns metrics look incredible. These numbers are better than I expect, and I expect the Law of Large Numbers to bring them both back to more reasonable values, as time passes and we do more trading. Nevertheless, it's nicer than starting with a drawdown.

Giller Investments - Web 2.0 Account History

The chart has three panes. The upper one is a histogram of daily returns with a fitted Generalized Error Distribution. The middle on is a time series of daily returns and of the cumulative daily returns. The lower one is a histogram of drawdowns with a fitted Gamma Distribution.

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About the Author

Graham Giller - Headshot GRAHAM GILLER
Dr. Giller holds a doctorate from Oxford University in experimental elementary particle physics. His field of research was statistical astronomy using high energy cosmic rays. After leaving Oxford, he worked in the Process Driven Trading Group at Morgan Stanley, as a strategy researcher and portfolio manager. He then ran a CTA/CPO firm which concentrated on trading eurodollar futures using statistical models. From 2004, he has managed a private family investment office. In 2009, he joined a California based hedge fund startup, concentrating on high frequency alpha and volatility forecasting. A detailed resume is available.

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