ALPHA ROMANIA STARTS SIGNALLING

This update on ALPHA ROMANIA will take you through the mechanics of trading or investing based on the product signals. The pair trading strategy is divided into three different time horizons viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). We will call the portfolio with the respective names. Every pair has been classified. The above pair between SIF2-SIF5 is labeled as (RO1). The tracker illustrated above is an Intermediate portfolio with multi week trades lasting an average 66 trading session. The open date is at the top right corner. The pair was opened 14 days back.

Intermediate trades have large holding period and hence few entry points. Minor portfolio on the other hand have shorter holding periods and hence more signals than the intermediate portfolio. The +A – B notations suggest that the strategy is about buying SIF2 and selling SIF5. Now a trader should keep in mind that intermediate signals are less sensitive and hence may not be effected by short term cycles. The net unit return (assuming risk weighted baskets) is 4% over the last 14 days. Time Arbitrage is an attempt to reduce risk per unit of return, but a seasoned trader knows that risk can never be eliminated and riskless arbitrage, a term quoted in finance textbooks does not exist. This is why though backtested results show limited drawdown, we have a stop loss limit at 4%.  Leveraged traders should try to diversify with multiple pairs in a portfolio. ALPHA.ROM plans to have 10 pair portfolio next month. Please review the product everytime for fresh signals. The report carries other entry signals for other pairs.

Please feel free to mail us for any clarifications.

Enjoy the latest ALPHA.ROM

*This is a strategy product. Long Short strategies are not riskless strategies. Please mail us for a detailed working or consult a local financial risk manager to execute these pairs. For more details please subscribe to the ORPHEUS TIME ANALYTICS research products.

ALPHA is a pair trading strategy product based on TIME ARBITRAGE, a term coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and binary charts. The product carries running performance portfolio tracker and give clear entry and exit signals. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.

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