At the beginning of the new year our team has compiled a list of research activities for 2019 and through this post, we would like to introduce you to the most important milestones. The implementation of the Relative Value trading approach will conclude at the beginning of the new year. We will inform you about the results. After completing the task, the research team will take a short turn onto the field of gold markets. The result of this 14-day sprint should be a profitable trading system using price momentum of futures contracts.
After this sprint, the team will dip into a portfolio optimization process and metastrategy development. Optimization of the rule-based strategy portfolio is a major challenge for the team from technological and commercial point of view. We will have to merge alpha-generating rules with one-level-higher optimization issues (maximizing profit vs. risk minimization, with respect of the investment horizon vs. availability of data and technical feasibility of execution etc.). At the same time as the chapter is opened, the development of instruments for individual business approaches used by hedge funds and mutual funds will continue (Fixed Income, Global Macro, Long/Short).
In addition to these tasks, the team awaits other activities – at the beginning of April some members will participate in the Asset Management 4.0 conference organized by the Association for Communication Tools and the Internet of Things. As a part of the conference, team members will gradually comment on the themes of automation of decision-making and reporting processes, creation of mathematical-statistical models, optimization and risk management.
Another news that awaits us this year is our resolution to give you a report of our activities every week at least in one post. We will also inform you about how our business approaches are being conducted in real terms.
We will look forward to regular meetings and wish you all the best for the new year.