sphera systematic strategies management ltd systematic strategies systematic trading – where...
TRANSCRIPT
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Please Do NOT distribute this presentation
1
Sphera Systematic presents:
Sphera Systematic presents:
How to select an Algo-trading machine ?How to select an Algo-trading machine ?Evaluation from A to ZEvaluation from A to Z
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Please Do NOT distribute this presentation
2
Sphera Systematic presents:
Sphera Systematic presents:
How to select an Algo-trading machine ?Evaluation from A to Z
01
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
In this presentation
…
Please Do NOT distribute this presentation
3
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Glossary: “algo-trading”, “quantitative-trading” and “systematic-trading”, does it really matter?
o Algo-trading machine: communicating with multi-disciplines challenges
o “Black-box” evaluation of a given “algo-trading” machine
o Sphera algo-trading innovation program
o Conclusion
In this presentationIn this presentation
4
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue 02
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
About Sphera group
Please Do NOT distribute this presentation
5
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
$850M
o Over the past 11 years, Sphera increased its AUM, almost a year by year, from $70M (2004) to $850M (2015); Capital was raised from various investors, institutional, family offices & individuals (see graph)
About SpheraAbout Sphera
6
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to read more
o Over the said period, Sphera performed significantly better than Tel-Aviv-100 companies index and MSCI World index (see graph below)
o In 2013, one of our funds, Sphera Global Healthcare, ($500M by now) was ranked by Bloomberg Capital™ as one of the top 25 mid-size hedge funds, world wide
You may hit the <space> bar now in order to read moreYou may hit the <space> bar now in order to continue
o There are Hundreds of Millions of USDs in the Israeli market, seeking for unique, solid and stable financial alternatives; Sphera has a long term access to many institutional, family offices and individuals
o Our goal: Creating and marketing new investment vehicles: systematic-machine(s)-based fund(s)
03
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Glossary
Please Do NOT distribute this presentation
7
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
GlossaryGlossary
8
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
o “Algo-trading” = “Algorithmic trading”; A trading machine that generates trading signals (i.e., decisions: “buy”, “sell”, “short”, “cover”, “add more”, “reduce”, “drop” etc.) based on a well predefined set of rules and criteria; In many cases, “algo-machine” means also that orders are sent, tracked and handled automatically (no middle man)
o “Quant-trading” = “Quantitative trading”; An “algo” machine that generates its trading signals based on quantified parameters which in many cases are meaningless for traditional economics
o “Systematic-trading” = all kinds and types of trading machines which generate their trading signals based on a well predefined set of rules and criteria; no discretionary decision is allowed !
04
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
The algo-trading machines
Please Do NOT distribute this presentation
9
Fundamental
s of
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o An algo-machine can be described as a collection of formulas; For example, F1 takes a set of input parameters and under certain conditions generates a trade signal …
o Where P1,P2,….Pn are various independent input parameters; For example P1=Price per share; P2=Volume acceleration; P3=High/Low…
It’s all about a formula…It’s all about a formula…
10
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
F1(P1,P2,….Pn) Buy
05
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o An algo-machine can be described as a collection of formulas; For example, F1 takes a set of input parameters and under certain conditions generates a trade signal …
o … not that simple !
It’s all about a formula…It’s all about a formula…
11
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
F2(P1,P2,….Pn) Sell
F3(P1,P2,….Pn) Short
F1(P1,P2,….Pn) Buy
F4(P1,P2,….Pn) Cover
Algo-tradingmachine
Algo-tradingmachine
P1
P2
P3
Pn
06
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in price and volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training seto Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
12
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
10:51 24.0510:52 24.0710:53 24.0810:54 24.0610:55 24.0510:56 24.0310:57 24.0210:58 24.0410:59 23.9011:00 24.0811:01 24.0911:02 24.1011:03 24.1111:04 24.1311:05 24.1411:06 24.1311:07 24.12
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time, price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training seto Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
13
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
10:51 24.0510:52 24.0710:53 24.0810:55 24.0510:56 24.0310:57 24.0210:58 24.0410:59 23.9011:00 24.0811:01 00.0011:02 24.1011:03 24.1111:04 24.1311:05 24.1411:06 24.1311:07 24.1211:08 24.11
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time, price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training seto Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
14
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
10:51 24.0510:52 24.0710:53 24.0810:54 24.0510:55 24.0310:56 24.0210:57 24.0410:58 24.0510:59 24.0611:00 24.0811:02 24.1011:03 24.1111:04 24.1311:05 24.1411:06 24.1311:07 24.1211:08 24.11
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time, price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training seto Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
15
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
10:51 24.0510:52 24.0710:53 24.0810:54 24.0510:55 24.0310:56 24.0210:57 24.0410:58 24.0510:59 24.0611:00 24.0811:02 24.1011:03 24.1111:04 24.1311:05 24.1411:06 24.1311:07 24.1211:08 24.11
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training seto Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
16
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
F1(P1,P2,….Pn) Action
Lack of parameters or relying on correlated parameters will yield destructive results !
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training set)s)o Define “learning” and “training”
o Long enough but not too long
o Steady state
How to create a secret ?How to create a secret ?
17
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Learning
Training
Develop your secret(s); Search for statistical pattern(s)Check your findings; Test your secret formulaAlways use data that has never been used (seen) before
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Historical datao Clean of errors and glitches
o Clean of gaps in time price or volume
o Sufficient resolution
o Cost of data
o Independent parameterso As many as possible
o Learning set and Training set(s)o Define “learning” and “training”
o Long historical data (T >>> L)
o Far history vs. near present
o Over fitting
How to create a secret ?How to create a secret ?
18
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Learning
Training
L
T
07
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Get real time data from marketo Use broker in order to send & track orders
Go to market…Go to market…
19
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
MarketMarketData
providerData
provider
BrokerBrokerP1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
DetailedCostDelay
CostDelay
o Jump into cold water…
08
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o The broker may divide the original order among various brokerage firms
Go to market…Go to market…
20
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
MarketMarketData
providerData
provider
P1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
Detailed
BrokerBroker
BrokerBroker
BrokerBroker
BrokerBroker
SplitReturn price
Availability
SplitReturn price
Availability
Return price vs. Historical data
08
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o Transparency? Please meet the “dark pool” technology
Go to market…Go to market…
21
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
MarketMarketData
providerData
provider
P1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
Detailed
BrokerBroker
BrokerBroker
BrokerBroker
BrokerBroker
Dark poolDark pool
CostNot for everyone
OTC-style (undisclosed)CostNot for everyone
OTC-style (undisclosed)
08
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
MarketMarket
o What do you mean by “market” ?
Go to market…Go to market…
22
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
MarketData
providerData
provider
BrokerBrokerP1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
Detailed
MarketMarketMarketMarket
MarketMarket
MarketMarket
MarketMarketSplitReturn price
Availability
SplitReturn price
Availability
08
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
MarketMarket
o It’s not just about trading signals …. You need to
know how to route your orders…
Go to market…Go to market…
23
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
MarketData
providerData
provider
BrokerBrokerP1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
Detailed
MarketMarketMarketMarket
MarketMarket MarketMarket
MarketMarket
ExecutionalgorithmExecutionalgorithm
BrokerBroker
BrokerBroker
BrokerBroker
Dark poolDark pool
08
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
• Split & Return price• % of filling• # of Opportunities
Algo-machine performanceAlgo-machine performance
24
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
ROI (%)
Size of Investment
ROI vs. Investment
1 2 3
• Commission• Extra payments• Indirect cost of operation
Stabilization point
Stabilization point
Saturation point
Saturation point
09
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Algo-machine performanceAlgo-machine performance
25
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
ROI (%)
Size of Investment
1 2 3
ROI vs. Investment
Working area
• While area-1 is not profitable, area-3 is considered as “unstable area”
• A stable algo-machine should “stay” in the “blue” area (the “working area”)
Max. InvestmentScalability
Sphera’s scope of interest: > $50MSphera’s investment policy: < 25% of AUM
09
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Algo-machine performanceAlgo-machine performance
26
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
ROI (%)
Size of Investment
2
ROI vs. time
Selected working
pointROI-Y
Investment-X
• If we work inside the “working area” we should be able to achieve a given ROI per a given investment; Well ….
09
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Algo-machine performanceAlgo-machine performance
27
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
ROI (%)
Time
ROI vs. time
ROI-Y
Investment-X
• Observation: ROI decay over time• Explanation: The learning and training sets do not
represent the current market situation • Solution: Built-in or external (forced) calibration
Algo machine
Market
10
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
MarketMarket
o It’s not just about trading signals …. You need to
know how to route your orders…
Another building block…Another building block…
28
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Algo machine
Algo machine
Market
BrokerBrokerP1,P2,…Pn
Buy, Sell, Short, Cover,
Add, Reduce…
MarketMarketMarketMarket
MarketMarket MarketMarket
MarketMarket
Execution algorithmExecution algorithm Dark
poolDark pool
Calibration algorithmCalibration algorithm
Data provider
Data provider
CostAccuracy
Delay
Detailed
CostAccuracy
Delay
Detailed BrokerBroker
BrokerBroker
BrokerBroker
11
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
A full algo-machineA full algo-machine
29
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Signalsalgorithm
Signalsalgorithm
Generation of trading
signals
Generation of trading
signals
ExecutionalgorithmExecutionalgorithm
Control of orders routing
Control of orders routing
CalibrationalgorithmCalibrationalgorithm
Decay detections
& parametric calibration
Decay detections
& parametric calibration
AllocationalgorithmAllocationalgorithm
Budget allocation
Budget allocation
Risk control
algorithm
Risk control
algorithm
Leverage & hedging
algorithm
Leverage & hedging
algorithm
Datacollection
system
Datacollection
system
Collection of real time
data
Collection of real time
data
RecoveryalgorithmRecoveryalgorithm
Survival and
recovery of orders
Survival and
recovery of orders
12
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Black-Box evaluation
Please Do NOT distribute this presentation
30
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o The challenge: evaluate future “behavior” of a given algo-trading machine without using its secret formula…
o The key data we need: log of real-money trades (easily provided by the brokerage firm)
o Each log row describes a certain executed order:
o Split orders will be reported in two separated rows:
Black-box evaluationBlack-box evaluation
31
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
“ Time “ “ Price Quantity Commission
05/11/11 10:33:05 ABCD BUY $12.05 3000 $2.50
05/11/11 10:33:05 ABCD BUY $12.05 1800 $2.50
05/11/11 10:33:06 ABCD BUY $12.07 1200 0
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .
Black-box evaluationBlack-box evaluation
33
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
Date Time Ticker Action Price Quantity Commission
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
Black-box evaluationBlack-box evaluation
34
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Losing trades, organized from min.
loss to max. loss
Winning trades, organized from max.
gain to min. gain
Maximum loss
Maximum gain# of W
# of L
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
Black-box evaluationBlack-box evaluation
35
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
# of W# of L = > 1, < 2
W areaL area
>> 2
70% * W area70% * L area
>= 2
70%
70%
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
o Budget utilization
o Leverage control
Black-box evaluationBlack-box evaluation
36
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Time
Investment Av. Investment
Max. Investment70% of trades
70%
70%
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
o Budget utilization
o Leverage control
o Price sensitivity
o Assets distribution
Black-box evaluationBlack-box evaluation
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
70%
70%Av. Gain in $
Av. Loss in $
Symbol1
Symbol2
Symbol3
Symbol4
Symbol5
Symbol6
Symbol7
Symbol8
PPS
Volume
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
o Budget utilization
o Leverage control
o Price sensitivity
o Assets distribution
o Exposure Level
o Market correlation
Black-box evaluationBlack-box evaluation
38
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Time
InvestmentLong
Short
Time
Trades100%
50%
Long
Short
Market
Market
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o By report analysis, a trade-by-trade simulation, we can inspect critical parameters such as . . .o Win/Lose ratio
o Budget utilization
o Leverage control
o Price sensitivity
o Assets distribution
o Exposure Level
o Market correlation
o Performance stability
Black-box evaluationBlack-box evaluation
39
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
Window size
ROI
10% 50% 100%
13
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
o The main objective of the black box evaluation is to estimate how wide is the “blue” area, how “far” the maximum investment point is “located”, and how slow this “blue line” moves from the “stability point” down to the “saturation point”
Black-box evaluationBlack-box evaluation
40
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue 14
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
SSIPSphera Systematic Innovation
Program
Please Do NOT distribute this presentation
41
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
• Sphera group is focusing on managing of hedge funds and financial products; NOT in developing of algo-trading machines
• We are NOT a Venture Capital (VC) fund; Sphera Systematic is NOT willing to take any managerial position in any algo-trading venture; We have NO intention to invest in the algo-trading venture or take any kind of holdings of ownership
• We are NOT interested in exploring the inside secrets or IP of the algo-trading machine
• We ask for no exclusivity
SSIP
Sphera Systematic Innovation Program
SSIP
Sphera Systematic Innovation Program
42
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue 15
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
• We are seeking for good financial products, i.e., algo-trading machines, that meet the following requirements: Operational time: >= 12 months Av. actual exposure: > $500M @ Leverage < 1.5 Budget utilization: > 70% @ 80% of time Potential capacity: > $50M (potential or actual) Potential Annual ROI : >= 8% - 10% @ $50M Max. monthly Draw-down: <= 4% Av. monthly Draw-down: <= 2% Win/Lose trades ratio: > 1, < 2 Gain/Loss trades ratio: >> 2, > 2 @ 70% of trades Best trade/Worst trade: > 3
SSIP
Sphera Systematic Innovation Program
SSIP
Sphera Systematic Innovation Program
43
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue 16
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
44
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
SSIP
Sphera Systematic Innovation Program
SSIP
Sphera Systematic Innovation Program
NDA
DDQ
Report analysis
Wet test
Fund agreement
Go… Sphera groupSphera group
Sphera systematic• Sign mutual NDA doc• Protect entrepreneur’s
secrets, IPs etc.
• Due Diligence Questionnaire
• Hundreds of questions• Persistency• Consistency
• Software tools• Simulate trade by trade• Investment committee• Add small amount• Analyze actual
performance
• Investment manager• Fund manager• Best execution• Cross Trading• Reporting• … more
Not less than 6 months
17
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Conclusion
Please Do NOT distribute this presentation
45
Sphera Systematic Strategies Management Ltd
Systematic strategies
Systematic Trading – Where Technology Makes Your Profit
ConclusionConclusion
46
Please Do NOT distribute this presentation
You may hit the <space> bar now in order to continue
o “Algo-machine” is a very complicated machine; It requires deep understanding in wide range of areas: mathematics, statistics, computing, engineering, capital market structure, trading mechanism … and we didn’t mention yet funds raising, fund management and more; The founder must reflect strong personality
o The “algo-trading” technology is NOT a replacement to traditional trading style; Its another way to utilize the modern technology in order to enhance the capital market liquidity and create more trading opportunities
o Sphera group, the largest Israeli HF management group, will announce its first systematic-based financial product within a few months; Some building block of this product are Israeli ventures that have been explored over the past 6-7 months
18
Buky Carmeli - CEO [email protected]: +972(54)930-6157 / 21 Ha’arba’ah st. Tel Aviv, Israel
Please Do NOT distribute this presentation
47
Thank youThank you למערכת ומחשבים"תודה ערך "אנשים לניירות שנרתמו ולבורסה על
ואישית מיוחדת תודה בישראל; הראשון האלגו-טריידינג כנס את לארגן "ספרה" קבוצת הנמרבשם במרץ ולטולי ליהודה, לנטלי, לפלי שפעלה
וללא לאות לקיום כנס זה