Looking consultant position in hedge fund

elabunsky

elabunsky

Hello,

Focused on composite multi level market maker now.
What is multi level market maker? This is buy/sell levels. Review the screen below.

mmtrades.png


What I can do? I can generate thousand composite like on screen below and help start multi level market maker as part of your trading system.

composite.png


Notice this composite calculated on prev. quotes and this is [Out Of Sample]!
Composite have 21 symbols (I have limit 25 symbols). Calculated it via simple math. methods.

Contact me via SKYPE: ELabunsky or DM.

Regards,
Eugene.
 
Another sample: simple 5 symbols composite [Out Of Sample] test (composite calculated on quotes before 23 may 2005):

composite3.png

PS. As you can see it's more volatility and potentially more profitable.
It's need research optimal symbol amount in each composite, composite K etc...

PPS. It's possible say that stable of composite is good if it do not have correlated symbols. PG & JNJ correlated a lot and as result not stable composite. Review this sample:

composite4.png
 
Last edited:
Made small research and found best composites for PAIR trading from DJ30 for last year (stock1 vs stock2)

axp = -0.500750275711075 : trv = 0.499249724288925
ba = -0.497289522253169 : cvx = 0.502710477746831
ba = -0.502262175228374 : mmm = 0.497737824771626
cat = -0.499964667226912 : jnj = 0.500035332773088
cat = -0.500606915557742 : mcd = 0.499393084442258
cat = -0.500201783716556 : xom = 0.499798216283444
dis = -0.50146518267435 : hd = 0.49853481732565
dis = -0.502135525453889 : pg = 0.497864474546111
dis = -0.499258341029921 : unh = 0.500741658970079
dis = -0.499187540201521 : wmt = 0.50081245979848
ge = -0.501789736732308 : intc = 0.498210263267692
hd = -0.50067020113779 : pg = 0.49932979886221
hd = -0.497793246265722 : unh = 0.502206753734278
hd = -0.497722550180789 : wmt = 0.502277449819211
hpq = -0.501410735644647 : pfe = 0.498589264355353
jnj = -0.500642205213952 : mcd = 0.499357794786048
jnj = -0.500237107198388 : xom = 0.499762892801612
jpm = -0.497000586606751 : mrk = 0.502999413393249
ko = -0.498280867562807 : msft = 0.501719132437192
mcd = -0.499594905599667 : xom = 0.500405094400333
pg = -0.497122976537625 : unh = 0.502877023462375
pg = -0.497052436640922 : wmt = 0.502947563359078
unh = -0.499929286553771 : wmt = 0.500070713446229

Best pair: cat vs jnj
 
Small pair trading sample for DJ30. This is simple system based on deviation entry > 2 and exit when pair price composite cross moving average. Optimal pars found via analyze of the minimal deviation of pairs.
Review [Out Of Sample]. Top part is bar by bar equity. Bottom is used capital. Used slippage is 0.02 per lot without any another fees.

pair%20trading%20oos.png
 
Composite from:

ticker % in composite
unh 0.0175573498853845
trv -0.0792297374822473
t -0.0421676982227589
pg 0.0920792311034956
pfe -0.0762111549565695
mrk 0.0542139936946301
mmm -0.0818691386400567
mcd -0.11074158295555
ko 0.0994558638404998
jpm -0.0364933743704791
jnj 0.0485556371205716
intc -0.0649874641363384
ibm 0.0830974591853387
hpq 0.0379326069351701
hd 0.0754077074709099

Backtest with the 0.035 slipage per lot. Capital usage $100 000

stock%20composite.png
 
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