Summary

The strategy is trend following, systematically executed and broadly diversified. The aim is long term capital growth with particular focus on targeting risk-adjusted rates of return.

Numerous models are traded, but all are trend-following in nature. The benefit of numerous models is to provide diversification, for any given instrument, away from a single entry and exit point, hence to reduce the volatility of the overall portfolio.

The trading program targets net performance of 20% annually with volatility of 17%. Average trade duration for a winning trade is about 6 months, for a losing trade, 2 months.