Our results
At the beginning of October 2019, we have decided to close the algorithmic project of the hedge fund, which we have been developing for the last 2 years.
Thank you to all of you with whom we cooperated during the implementation of this undertaking.
Below we present the results of only one of our investment systems (being the small part of many others developed in-house during our activity), compared with well-known benchmark from Polish and worldwide markets representing various classes of assets. This system was applied on 1 mln USD of NAV on the demo account provided by Interactive Brokers. All transactions were executed by our in-house cloud-deployed application devoted to algorithmic option trading. All real bid-ask spreads and transaction costs were taken into account.
All resources (financial and non-financial) utilised in the project were provided by co-founders of the projects.
Statistics (2018-10-30 - 2019-09-23)
Strategy | aRC [%] | aSD [%] | MD [%] | IR* | IR.MD | IR** | MLD [years] | IR*** | Trn.days |
---|---|---|---|---|---|---|---|---|---|
LabirynthHF_SP_Strategy**** | 9.24 | 1.93 | 0.01 | 4.80 | 480.00 | 4435.20 | 0.008 | 51093.85 | 222 |
SPX | 13.87 | 16.09 | 16.39 | 0.86 | 0.05 | 0.73 | 0.341 | 0.30 | 222 |
putwrite | 3.93 | 11.30 | 12.75 | 0.35 | 0.03 | 0.11 | 0.663 | 0.01 | 222 |
W putwrite | 2.24 | 10.25 | 13.03 | 0.22 | 0.02 | 0.04 | 0.456 | 0.00 | 222 |
uniKoronaDochodowy | 3.71 | 0.80 | 0.32 | 4.66 | 14.56 | 54.03 | 0.111 | 17.97 | 222 |
investors_zrownowazony | 5.61 | 7.06 | 5.29 | 0.79 | 0.15 | 0.84 | 0.456 | 0.10 | 222 |
nn_obligacji | 6.78 | 2.19 | 1.10 | 3.10 | 2.82 | 19.11 | 0.254 | 5.09 | 222 |
wig20 | 4.21 | 16.33 | 15.03 | 0.26 | 0.02 | 0.07 | 0.611 | 0.00 | 222 |
Legend
**** - These are the results of trading on 1 mln USD on Demo Account in Interactive Brokers. All trades were executed by our in-house cloud-deployed application for algorithmic option trading.
\(ARC\) - annualized return compounded; relative change of an asset value, normalized according to time. The annualized rate of return, calculated for the asset of value process \(V_t\) in specified period (\(t_1\), \(t_2\)) is defined by the following formula:
- \(ARC(V)^{t_2}_{t_1}=(\frac{V_{t_2}}{V_{t_1}})^{\frac{1}{D(t_1, t_2)}}-1\)
\(ASD\) - annualized standard deviation; the empirical standard deviation normalized, according to the time. For specified time series \(R_t\) , the annualized standard deviation in the period (\(t_1\), \(t_2\)) is calculated by using the formula:
- \(ASD(V)^{t_2}_{t_1}=\sqrt{\frac{1}{n}\sum^{t_2}_{t=t_1}{(R_t-\tilde{R})}*\frac{1}{D(t_1, t_2)}}\)
\(MD\) - maximum drawdown; the maximum percentage loss of value of the equity line. For price process \(S_t\) and period (\(t_1\), \(t_2\)), the maximum drawdown is defined by the following formula:
- \(MD(S)^{t_2}_{t_1}=sup_{(x, y)\in{\{[t_1, t_2]^2: x\le y\}}\frac{S_x-S_y}{S_x}}\)
\(IR\) - information ratio, defined in three variants:
\(IR^{*} = \frac{ARC}{ASD}\)
\(IR^{**} = \frac{ARC^2 * \text{sign}\{ARC\}}{ASD * MD}\)
\(IR^{***} = \frac{ARC^3}{ASD * MD * MLD}\)
\(MLD\) - maximum loss duration (in years); the maximum number of days (measured in years) between two consecutive local maxima provided that the second maximum is higher than the first one.
Rates of return by months
LabirynthHF SP (Short Put) Strategy RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 1.94 | 2.14 | 4.12 |
2019 | 0.43 | 0.32 | 0.37 | 0.22 | 0.63 | 0.3 | 0.54 | 0.87 | 0.05 | . | . | . | 3.79 |
SPX RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 1.76 | -9.15 | -7.55 |
2019 | 7.9 | 2.94 | 1.81 | 3.9 | -6.56 | 6.86 | 1.35 | -1.87 | 2.29 | . | . | . | 19.35 |
putwrite RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 1.68 | -7.56 | -6.01 |
2019 | 2.77 | 1.4 | 1.21 | 1.58 | -3.75 | 4.77 | 1.43 | -1.74 | 1.01 | . | . | . | 8.76 |
weekly putwrite RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | -1.54 | -5.72 | -7.17 |
2019 | 4.26 | 2.27 | 0.38 | 2.13 | -3.76 | 2.16 | 1.14 | -0.92 | 1.77 | . | . | . | 9.61 |
UniKoronaDochodowy RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | -0.07 | 0.6 | 0.53 |
2019 | 0.32 | 0.01 | 0.05 | 0.55 | 0.3 | 0.7 | 0.68 | 0.07 | 0.03 | . | . | . | 2.74 |
Investors Zrównoważony RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 1.59 | -0.4 | 1.18 |
2019 | 2.3 | -0.07 | 0.68 | 0.72 | -2.03 | 1.83 | 0.24 | -2.29 | 0.92 | . | . | . | 2.22 |
NN obligacji RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 0.22 | 1 | 1.22 |
2019 | 0.78 | -0.68 | 0.57 | -0.55 | 1.35 | 0.93 | 1.32 | 1.39 | -0.2 | . | . | . | 4.99 |
Wig20 RR by month
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total Simple Return | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2018 | . | . | . | . | . | . | . | . | . | . | 6.47 | -0.63 | 5.8 |
2019 | 4.55 | -2.01 | -0.86 | 0.96 | -4.07 | 3.95 | -2.16 | -6.24 | 0.57 | . | . | . | -5.66 |