The Intraday Alpha System is 100% automated trading system that trades long and short positions in equity index futures and treasury futures. The portfolio utilizes 10 different trading strategies to diversify by strategy, market and time frame in order to provide more consistent performance with lower expected drawdowns. Trading strategies include intraday mean reversion, intraday momentum, and seasonality trades. The portfolio is constructed to provide negative correlation to equity markets and positive convexity during periods of significant drawdowns including Oct. 2008 - Nov. 2008 (Financial Crisis), May 2010 (Flash Crash), Aug. 2011 (Greek Debt Crisis), Jan. 2016 (Oil Price Collapse) and Oct. 2018 - Dec. 2018 (US/China Trade War).
The recommended account size is $20,000 based on the risk/return profile of the system and exchange margin requirements. Hypothetical performance is calculated net of commissions of $3 per side and slippage of one tick per side for market orders ($12.50 for Emini S&P 500 futures, $7.81 for 5yr Treasury futures, $5 for Emini Nasdaq 100 futures, $5 for Emini Dow Futures). Performance calculations are non-compounded and based on the monthly profit/loss for a $20,000 account.
Hypothetical Performance
The Intraday Alpha System is 100% automated trading system that trades long and short positions in equity index futures and treasury futures. The portfolio utilizes 10 different trading strategies to diversify by strategy, market and time frame in order to provide more consistent performance with lower expected drawdowns. Trading strategies include intraday mean reversion, intraday momentum, and seasonality trades. The portfolio is constructed to provide negative correlation to equity markets and positive convexity during periods of significant drawdowns including Oct. 2008 - Nov. 2008 (Financial Crisis), May 2010 (Flash Crash), Aug. 2011 (Greek Debt Crisis), Jan. 2016 (Oil Price Collapse) and Oct. 2018 - Dec. 2018 (US/China Trade War).
The recommended account size is $20,000 based on the risk/return profile of the system and exchange margin requirements. Hypothetical performance is calculated net of commissions of $3 per side and slippage of one tick per side for market orders ($12.50 for Emini S&P 500 futures, $7.81 for 5yr Treasury futures, $5 for Emini Nasdaq 100 futures, $5 for Emini Dow Futures). Performance calculations are non-compounded and based on the monthly profit/loss for a $20,000 account.
Hypothetical Performance
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Investment Management
