Category: Trading Systems

05 Sep 2019

We’re back baby

It’s hard to concentrate too hard in Chicago today, you know – with the Bears and Packers facing off for the 195th time at Soldier Field tonight and the NFL taking over half the city in the hours-long buildup. If you want to talk a good long term investment, Halas bought the Bears for about […]

23 May 2019

The equation of an algo

Trade idea testing + trade order execution + trade size generation = algo??? That’s one way to look at it, and indeed we have a whole in-house team dedicated to building algos to do some of these pieces every day with our RCM-X team. While the difference between an alpha generating algo and an execution […]

01 May 2019

Opening the door to China Trading

If you’re anything like us,  posts like this explaining just how different China is than things here in the U.S. never cease to amaze: This is the Shanghai-Beijing train going at 350 km/h As @yfreemark said: “The distance between NYC and Chicago is almost exactly that between Beijing and Shanghai. NYC-CHI is served by 1 […]

24 Jan 2019

On Nat Gas, Hedge Fund Blowouts, and Risk Algorithms

Well, that was quick. We were hailing natural gas futures as the return of the widow maker just before Thanksgiving as it headed up close to $5 per MMBtu. But a few holidays later following MLK weekend, the natural gas news isn’t good – as we’re back down nearly $2 lower, representing a loss of […]

16 Nov 2010

Newsletter: Analyzing the Strategic ES/SP Trading System Drawdown

Our weekly newsletter is up at We cover the recent new max drawdown in the Strategic ES/SP trading system, analyzing whether the systems remains within historical risk parameters. (it is..) Of interest in the piece is a chart posted on Barry Ritholtz’s blog showing the American Association of Individual Investors survey, which tracks whether […]

30 Nov 2010

Managed Futures/Trading Systems Week in Review

We took the liberty of extending the Thanksgiving holiday through yesterday for our research team, resulting in no Monday newsletter this week. But we actually did do the week in review write up as if there were a newsletter, and are happy to share it with you here: Summary: With only two day’s remaining in […]