Sunday, January 16, 2011

RVS Strikes again...with level zero reticulation

Reticulation trading is a new trading management facility for the current RVS systems. To ensure that maximum margin of error is accounted for in the trades, the systems trigger a single position via as many as 300 sub trades via market and reflection triggered orders. The results is that the market does not know or see very large orders or have time to react to limit orders and sizes. Currently RVS is short large size TF, ES, EMD etc...this type of order management allows the systems to trigger effective risk-off, re-entry and market-related order sizing even in thin markets like EMD. Additionally, it creates beautiful equity curves that are easily reproducible in the real-world markets with very high win rates.

Below are examples of TF since inception with an average trade requirement of 251K and average 90K position risk for a 10 million dollar liquidity pool. Uncompounded results produce extremely small negative excursions (less than 1%) and produces roughly a 18% return annualized
Below is an example of ES since inception with an average trade requirement of 282K and average 59K position risk for a 10 million dollar liquidity pool. Uncompounded results produce extremely small negative excursions (less than .6%) and produce roughly an 8% return annualized.

 
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