Welcome to the forefront of online trading and portfolio management, where innovation meets precision, powered by two revolutionary strategies redefining excellence in the financial sector. Our platform is not merely a tool but a meticulously crafted system at the intersection of technology and finance, informed by pioneering research.
Based on the study "Momentum Without Crashes," our platform employs a sophisticated weighting scheme utilizing comprehensive price data over specified lookback periods. By applying the fractional-difference filter, a statistical transformation preserving data memory, this approach significantly enhances risk-adjusted returns and mitigates large drawdowns associated with classical momentum and short-term reversal strategies. The fractional momentum strategy is robust against transaction costs and other market frictions, delivering consistent excess returns across diverse asset classes and international markets.
We extend our platform's capabilities with a unified framework for rapid, large-scale portfolio optimization as detailed in "A Unified Framework for Fast Large-Scale Portfolio Optimization" by Weichuan Deng, Pawel Polak, Abolfazl Safikhani, and Ronakdilip Shah. This comprehensive framework incorporates shrinkage and regularization techniques to address multiple portfolio objectives, such as minimum variance, mean-variance, and maximum Sharpe ratio, under various weight constraints. Integrated into a new open-source Python library, our framework translates optimization scenarios into quadratic programming problems, leveraging 50 years of return data and firm-specific characteristics to optimize portfolio performance with advanced covariance matrix estimators and factor models, including AP-Trees and PCA-based approaches. The framework's introduction of new l1 and l2 regularizations for factor portfolio norms aims to enhance performance while reducing turnover and transaction costs.
Designed for both novice and experienced traders and investors, our platform offers a user-friendly interface, comprehensive analytical tools, and real-time market data. Whether optimizing portfolio performance, exploring new trading opportunities, or managing investment risks, our platform empowers users with access to leading-edge strategies for trading and investment success. Join us in redefining the landscape of online trading and portfolio management, where innovation meets investment excellence.
The following plot illustrates the evolution of daily prices of the 30 DJIA US stocks. These 30 stocks represent a subset of the 1,000 to 2,000 stocks analyzed. Viewing them this way does not reveal how to construct an efficient portfolio.
The subsequent plot shows performance over time, out-of-sample, using our Fractional Momentum methodology. This performance is based on a selection from the 1,000 to 2,000 stocks in our universe. When comparing our method to other strategies such as Markowitz (with GARCH) and more advanced strategies like momentum, short-term reversal, and a combination of momentum and short-term reversal, our strategy demonstrates superiority across all measures of interest, including total wealth accumulation and common risk measures.
The next plot below shows performance over time, out-of-sample, when using our Fractional momentum methodology. It is based on a selection methodology from the 1000 to 2000 stocks in our universe. When comparing our method to other strategies such as Markowitz (with GARCH), but notably, as shown in the graphic below, the more advanced strategies of momentum, short-term reversal and momentum and short-term reversal, ours is superior with respect to all measures of interest, such as total wealth accumulation and all common risk measures.
We now provide a table summarizing the key performance results that pertain to the above graphic.
Value-Weighted Net Performance | Return | Sharpe | Sortino | Max. DD. |
---|---|---|---|---|
Fractional Momentum | 34.5% | 1.35 | 2.14 | 63.9% |
Short-Term Rev. and Mom. | 31.6% | 1.16 | 1.90 | 69.4% |
Momentum | 23.9% | 0.81 | 1.22 | 82.0% |
Short-Term Reversal | 26.5% | 0.98 | 1.59 | 74.8% |
The following bullet points indicate relevant information on our methodology and choice of data used to generate the numbers in the table above:
The methodology is detailed in the associated research papers available for free at the following links:
Our current implementation consists of the two methods discussed above. Please choose one to get started.