Recruitment of participants ALPHA20 trading system - Self-Adaptive Fractal Model

the price.... but uppp

 

I have this. I can't share it (it's watermarked to me, and I signed NDAs), but for anyone interested: it's a commodity futures trend following system that trades many markets. The only real way to do it effectively would be to trade >20 markets, so you'd need minimally around $1m to trade this effectively.

 

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Thanks for the review. Could you say few words about the overall performance of the system / portfolio? Would you buy it again if you knew what you know now? Assuming you can get 1mm portfolio, would you trade it live?

 

Its performance is similar to other CTA trend following strategies. https://www.iasg.com/en/indexes/trend-following-index gives a decent idea how trend following has done historically.

It has done slightly better than others I compared it to, but keep in mind that sample size is fairly small — trades last weeks. Also note that CTA historical returns is massively skewed by the 1980s, where high interest rates helped quite a bit.

I suppose the unique aspects are a price-based self-calibration feature to volatility. The implementation is fairly complicated, but is fundamentally buying/selling based on ATR moves from extremes. Think Turtle Trader sort of approach, but a bit more complicated and no time component. Alpha20 by itself is long volatility, so struggles during volatility contraction. The same author created a pair system, called Alpha20MR, that adds a mean reversion layer on top. This doesn't change the Sharpe much, but does help the max drawdown a little. Overall, including the 1980s, we're talking about a combined ~1.3 Sharpe strategy.

The strategy is delivered as a PDF, so even if you get the rules, implementing/executing is a good amount of work. I probably wouldn't buy it again, just because of how expensive it was. I do use it within a much larger strategy, but suspect any similar exposure to a CTA trend following factor would be similar.

 

Thanks. Really appreciate your inputs

 

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