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We're incubating 'Revolution' - formerly a Credit Suisse Quant!

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  • We're incubating 'Revolution' - formerly a Credit Suisse Quant!

    I'm pleased to introduce to everyone Andrew Gillibrand (aka alias GilliTheKid), the founder and trader of Revolution trading strategy.

    Andrew was formerly a Credit Suisse Quant. and has since been involved in everything financial markets related; in particular, Forex!

    Right now we're 'incubating' his trading which simply means we're backing him with our money before we allow public access to his trading (for those who might be interested).

    You can see his progress on institutional capital here: https://www.myfxbook.com/members/oXa...KgAb9z0sPn8k4K

    In terms of the funds we're incubating him on, you can see that here: https://www.myfxbook.com/members/Nic...lution/2027949

    At the moment it's private (I'll have a word with Nick about this and see if we can get it public) but it's running at x2.5 risk to that of the institutional account.

    For the time being, please use this thread as an opportunity to get to know Andrew. He'll be chiming in now and again to share his views on the market and his trading in general.

    More about Revolution:

    Using a proprietary support and resistance indicator, Revolution trades a weighted basket of derivatives across multiple timeframes.

    This quantitative methodology seeks to access the market with a low to moderate frequency in an attempt to achieve high-riskk reward outcomes. The primary objective is to deliver consistent, long term returns by taking measured and quantified risk.

    Podcast: Jason also interviewed Andrew that you can listen to here: https://soundcloud.com/forexsignalsc...t-suisse-quant
    -"An economist is an expert who will know tomorrow why the things he predicted yesterday didn't happen today"-

    Follow me on Quora for Q&A on Forex: https://www.quora.com/profile/Dominic-Gilbert-2

  • #2
    Sounds like great news.
    Myfxbook seems to be down at the moment but will add it to watchlist once they get back online.

    How will this be sold the traders here?

    Signal or MAM or both?

    Comment


    • #3
      Originally posted by Big River Man View Post
      Sounds like great news.
      Myfxbook seems to be down at the moment but will add it to watchlist once they get back online.

      How will this be sold the traders here?

      Signal or MAM or both?
      It'll more than likely be the MAM route as and when it goes public.
      -"An economist is an expert who will know tomorrow why the things he predicted yesterday didn't happen today"-

      Follow me on Quora for Q&A on Forex: https://www.quora.com/profile/Dominic-Gilbert-2

      Comment


      • #4
        Hello!

        Thanks for the opportunity.

        Here's a more detailed description of what we do and how we do it:

        Revolution

        Revolution is a modern contrarian investment methodology defined by two overriding hypotheses that relate specifically to the price of an instrument over time. Firstly, price is always bi-directional, neither only rising nor only falling, and secondly, that there is no way to determine the direction or magnitude of the next tick, or any subsequent tick. The implication of this is infinite uncertainty at every price and at every time.

        These properties of price manifest an opportunity to participate in the market. Revolution takes advantage of the certainty of a change in the direction of price over time, by building positions at arbitrary points of entry across a weighted basket of synthetic derivatives.

        The result is a highly scalable institutional grade quantitative methodology that is malleable enough to always reflect the market in its current form and remain unconstrained by market access conditions.

        Execution is driven by a proprietary, variable timeframe support and resistance indicator evolved over many iterations, where decisions to enter or exit the market are taken not a as a function of price, but rather, time and the distance moved. Each new entry is intentionally imprecise, but when measured collectively intends to perfectly reflect one single entry at the last price. As a consequence this method has extremely low execution volumes with infrequent entries.

        An investor can expect an opportunity delivered diligently into well defined risk parameters and a return profile over the long run uncorrelated to more traditional investments.

        Risk

        As a weighted basket of instruments, we are constantly looking to adjust each individual instrument against its price fundamentals so as to reduce the non technical risks of price over time.

        In addition, each instrument is constantly calibrated with a risk metric which is used to determine trade size. Target prices and stops are set variably and as a function of the movement of price within the long and short timeframe parameter of the variable timeframe support and resistance indicator.

        Portfolio Construction

        To build a robust basket of instruments from which we can actively and independently pursue returns, we thoroughly test every instrument that meets our base requirements of ample liquidity and a reasonable cost of transaction (swap, commission and spread). Once tested, we consider each potential instrument and its place among all the other instruments within the basket.

        The active portfolio is made up of numerous forex instruments across multiple timeframes, where each symbol (say EURUSD) may execute independently on more than one timeframes (say 1 day and 4 hour).

        We do not impose either a maximum number of instruments to trade or a maximum weighting of any instrument within the basket.

        Trade Management

        Revolution is a systematic methodology with a discretionary overlay. While market access execution is automated, the methodology a a whole is under constant supervision to ensure each trade is opened and closed within a strict rule set.

        Team

        The team is made up of a quantitative and market qualitative research role, a software and hardware engineering role and an investment committee function performed by at least two persons. A succession plan is in place and training is ongoing with more than one replacement should the need arise. All technical documentation and software specific to the execution of the methodology exists in numerous versions and is accessible.

        I'd love to get your feedback, feel free to poke holes into the idea, and perhaps we'll end up with a better methodology.

        Andrew

        Comment


        • #5
          Originally posted by Dom View Post

          It'll more than likely be the MAM route as and when it goes public.
          I will consider only if signal, if only MAM I can unsubscribe the thread

          Comment


          • #6
            Originally posted by BMM View Post

            I will consider only if signal, if only MAM I can unsubscribe the thread
            I agree with BMM!

            Comment


            • #7
              85 open positions be carefull.....

              Comment


              • #8
                I must say the equity line (which is what really matters) does not look very appealing to me. If he closes all the positions now there is actual no gain for the last 7 months. I don't know what it is, but a lot of signal providers tend to only close winners for small profit and hold on to losers for far too long. I hope it won't end up with a massive DD at some point as we've seen happened to other signal providers.
                SFE EAs + manual trades - Myfxbook
                SFE EAs + manual trades - SimpleTrader Signal

                Comment


                • #9
                  Originally posted by ccjhuang View Post
                  I must say the equity line (which is what really matters) does not look very appealing to me. If he closes all the positions now there is actual no gain for the last 7 months. I don't know what it is, but a lot of signal providers tend to only close winners for small profit and hold on to losers for far too long. I hope it won't end up with a massive DD at some point as we've seen happened to other signal providers.
                  I agree, the DD is much bigger than profits. Also I don't see what is a max. DD cut off or worst case scenario. Someone could say it looks like hold and pray method...

                  Comment


                  • #10
                    Concentration risk across a weighted basket of instruments

                    We currently trade a a weighed basket of 12 symbols (17 if you include the fact that a single symbol, say GBPCHF, can trade on both a 4hr and an 8hr candle) and we sometimes find ourselves at the mercy of concentrated exposure. That's where we are today.

                    The GBP is strong; the EUR is strong, and the CHF is weak.

                    We are on the wrong side of each of those exposures. EURGBP long, EURCHF short and GBPCHF short. Add to that the sum of their weights within the basket (around 40%) and the negative equity (drawdown) has risen rapidly.

                    ...but the truth is, that this amount of concentration shouldn't happen too often.

                    We work constantly to find the right symbols to put in the basket, we also try and expose them to different model parameters that intend reduce the risk of concentrated exposure.

                    As it stands right now, and with all the negative equity, if we look at each instrument's exposure individually, no one stands out as being outside our expectation of its total exposure (leverage) or full movement in price.

                    We can't say that the full move across our exposure is complete; we can't say it won't happen again, or that this is as bad as it can get, but we remain supremely confident in the model and the prospect of consistent long run returns.

                    I look forward to your comments.

                    Andrew

                    Comment


                    • #11
                      Is there any backtest you can provide us with?

                      Comment


                      • #12
                        Still no mention of what is the worst scenario? At what DD you close all trades? Also why adding to losing trades? You don't use SL? When do you realise the trade is not going your way and you cut it?

                        Comment


                        • #13
                          Hi,

                          We have simulated data from February, 2012 to May, 2016 across 6 symbols (EURGBP, GBPCAD, CADCHF, EURHUF, EURPLN, GBPCHF) equally weighted in terms of capital allocation (links below). These primary tests were the basis for the decision to run the methodology.

                          I have also shared the trade data from June, 2016.

                          Let me know if you need any help with the information.

                          Links:

                          Backtest RT Import Revolution Moderate
                          Simulated Revolution
                          Revolution Trade history
                          Last edited by GilliTheKid; 09-22-2017, 07:39 AM.

                          Comment


                          • #14
                            Originally posted by oportunis View Post
                            Still no mention of what is the worst scenario? At what DD you close all trades? Also why adding to losing trades? You don't use SL? When do you realise the trade is not going your way and you cut it?
                            1. Still no mention of what is the worst scenario?

                            We expect that we are approaching the full movement of each of the exposures.

                            2. Also why adding to losing trades?

                            An extract from the description above:

                            Execution is driven by a proprietary, variable timeframe support and resistance indicator evolved over many iterations, where decisions to enter or exit the market are taken not a as a function of price, but rather, time and the distance moved. Each new entry is intentionally imprecise, but when measured collectively intends to perfectly reflect one single entry at the last price. As a consequence this method has extremely low execution volumes with infrequent entries.

                            3. You don't use SL?

                            We run our own replicator and the core decision engines are running on cAlgo (cTrader) accounts from where the levels of support and resistance are being measured and the stops set.

                            4. When do you realise the trade is not going your way and you cut it?

                            The decisions to enter and exit are driven by the methodology, our role is only to manage and evolve the model. The statistics that support the decisions are fully formed.

                            I hope this answers your questions, let us know if you need further clarity.

                            Andrew

                            Comment


                            • #15
                              Yes I would like to know your max DD limit in percentage, when you decide to close all trades or you just add trades till you get margin call? If so the risk is 100%... Just write what is the worst case scenario, so we know what is the max. we can lose here...

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