analytical investments trading system presentation
TRANSCRIPT
Nick Tishchenko, PhD
Analytical Investments, LLC
(415) 867-9670
Riding the Trends, Not Fighting the Market
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Proprietary Trading and Portfolio Management System
Analytical Investments, LLC
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Quant Driven Investments
Fast Real-Time Computerized System for Trading Stocks, ETF’s and Futures - both Long and Short
Automatic Trade Setups with Price Targets on
Various Time Frames – from Intraday to Quarters
Automatic Position Scaling and Rotation. Discipline in Entry and Exit – Proprietary System Provides
Buy and Short Signals With Dynamic Stop for Each Portfolio Position
Successfully Implemented for Trading and
Portfolio Management at Leading Hedge Funds and Mutual Fund Companies During Last 4 Years
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How The System Works
The System Provides an Opportunity to Play Pre-Determined Investment Theme-Portfolio or to Follow Market’s Own Longer-Term Moves by
Identifying Trending Sectors and Stocks
In Both Cases the System Provides Selection of Long and Short Positions Within the Theme List or
Trending Sector
Computerized System Executes Portfolio and Risk Management in Real Time generating Entry/Exit
Points and Optimum Size for Each Position, Dynamic Stops and Rotation
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Using Market Opportunuties
The System Scans Entire Market Picking Trending Sectors and Individual Stocks on a Desired Time Frame Pre-Determined by Investment Time Horizon.
The System Selects the Stocks for Portfolio as Well as Sizes of the Positions Depending on Available Cash, Desired Number of Positions, Strength of Uptrend/Downtrend, Trading Volume or Other Investment Objectives
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Making The Best Of Your List
Theme Portfolio/List - preset list of stocks like Market Sector or Group of Sectors.
Examples: Commodities
Semiconductors + Semiconductor Equipment & Materials
Biotechnology
The System Provides Selection of Long and Short Positions Within Pre-Set Portfolio with Real-Time Risk Management Including Entry and Exit Points, Dynamic Stops and Rotation of Long and Short Positions within the List
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Ideas Behind the Algorithms
Analysis of Price Dynamics – the Rate of Price Changes Near Calculated Turning Points, Provides Trade Buy and Sell Signals
Similar Algorithms are Used to Calculated Dynamic Stops for Each Position Providing Effective Risk Management and Profit Protection
The System Calculates Price Targets for the Next Week, Month, Quarter and Calendar Year Allowing Effective Hedging of Positions with Derivative Instruments
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Example: SPY Apr’06–Jul’09
Arrows Show System Generated Trades
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Example: USO Apr’06–Jul’09
Arrows Show System Generated Trades
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Example: RIMM Apr’06–Jul’09
Arrows Show System Generated Trades
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System Generated Targets: SPY
Target for
calendar
Year
Target for
calendar
Month
Target for
calendar
Quarter
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Portfolio Management
Setting the number of
portfolio positions
Setting size of trade
(less than 0.5% of
weekly/monthly
trading volume)
Setting frequency of real-
time portfolio scan
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System Performance
USO Jul’07-Jul’09 Performance: Weekly Scan
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System Performance
RIMM Jul’07-Jul’09 Performance: Weekly Scan
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Back Testing on SPY’s
System executed 78 of 108 (72%+) trades profitably from Jan’98 to Jul’09
Annual returns for SPY exceeded 25% in 75% of years during 1998-2009
Lowest return was 10.3% in 2006
Back test assumes cash account and commissions of $0.03 per share
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Back Testing on QQQQ’s
• System executed 79 of 103 (76%+) trades profitably from Jan 1998 to Jul 2009
• Annual returns for QQQQ exceeded 30% in 92% of years during 1998-2009
• Lowest return was 21.2% YTD in 2009
• Back test assumes cash account and commissions of $0.03 per share
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Back Testing on QCOM
• System executed 79 of 115 (69%) trades profitably from Jan’98 to Jul’09
• Annual returns for SPY exceeded 70% in 67% of years during 1998-2009
• Lowest return was 15.8% in 2007
• Back test assumes cash account and commissions of $0.03 per share
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Practical Use of the System
Sample of Daily Distribution to Service Subscribers – Real-Time Training Available over the Internet Using WebEx
System Ratings on Stocks
Customer’s Stock List
Longer-Term Trend – You Don’t Want to Go Against It
Trade Direction on Daily, Weekly and Monthly
Time Frames
Duration of the Trade (Bars)
Your Profit if You Followed the System’s Last Signal on Weekly
Dynamic Stop for
Each Trade
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Designer of the System
Dr. Tishchenko has been recognized as a #1 Stock Picker by The Wall Street Journal’s Best
of The Street Survey for his fundamental equity research. His 12-year long Wall Street career as Senior Equity Research Analyst started in 1997 at ABN Amro Securities after a
career as a Physicist at Lawrence Livermore National Laboratory.
Dr. Tishchenko has worked on real-time quantitative and technical trading for the past 15
years. The latest generation of his system has been successfully implemented for real-time portfolio analysis and market scanning, resulting in effective stock picking, trading,
and portfolio risk management. The System was successfully deployed since 2006 at several large technology funds for real-time monitoring of equities trading in Europe,
Japan, Taiwan, Korea, Thailand, India, and China. The System has been used to trade
commodities and index futures – Oil, Gold, Nasdaq, S&P500 and DJ.
Dr. Tishchenko holds a Ph.D. in Theoretical Physics from Institute of Atomic Energy (Moscow) and a M.Sc. in Theoretical Physics from Moscow Institute of Physics and
Engineering. During his scientific career Dr. Tishchenko’s achievements were recognized
by multiple prestigious scientific awards, including the All-USSR Young Scientist of the Year Award and three Kurchatov Awards in Theoretical and Mathematical Physics.