Big Cap Alpha

A Professional Quant Based Portfolio Trading Strategy

Big Cap Alpha enables you to achieve above market returns with less drawdown trading S&P 100 stocks. The general concept underlying Big Cap Alpha is that equities tend to revert to their recent price ranges when they get stretched too far. We’ve extended this concept by incorporating multiple measures of price “stretching” into our entry/exit decisions. Each portfolio uses defined profit targets and stop losses.

  • Multiple portfolio based strategies to choose from
  • Trades only S&P 100 stocks
  • Long trades only
  • Developed by professional quant based researchers
  • Trades take about five to ten minutes per day to enter
  • Results live from January 2016

 

Many of you know that I love trading and creating quant systems. In my 25 years of trading, I’ve analyzed and created 100’s if not 1000’s of trading strategies, and I’m still more blown away with this strategy than anything else I have ever seen.

Here’s why…

1) It averages 20% a year since 2006. (That includes the 2008 crash and the 2011 swoon).

2) It ONLY trades S&P 100 stocks.

This strategy only uses the biggest, safest, lowest volatility and most liquid stocks in US stock market and it’s producing 20% returns yearly. These are the stocks most traders don’t like because “they don’t move enough,” and we are buying these low volatility S&P 100 stocks precisely at the times that they actually do move. Having phenomenal returns with these low volatility, stable, and relatively safe stocks is exactly what ALPHA is.

The equity curve on these strategies is amazing. Look at other strategies. For other strategies to get an equity curve with this profitability they use very volatile stocks which creates two problems. One, there are big equity drawdowns and two the stocks can’t handle any volume. Because of that there are slippage and spread problems which means those strategies are not even reproducible. In other words, it’s a fool’s errand…Nothing but a pipe dream.

With Big Cap Alpha you are only trading the biggest, highest volume stocks.
The results we are getting (Cesar and I have been trading Big Cap Alpha for many months) are exactly like the tested results.

These results were so good; Cesar spent 3 months after he found this edge just trying to disprove this strategy using everything from Monte Carlo runs, to changing his testing parameters, and then using p-values with out of sample data. At the end of the day, we were convinced that we had uncovered something good.

Oh yeah…Maximum drawdown of about 17%!

With that in mind, this is the one strategy I didn’t even want to offer. I thought it was time to start the hedge fund. But, honestly, Cesar’s mission has always been that whatever we trade, anyone should be able to trade because that’s how we got our start. Someone shared with us, and it’s changed everything for both of us.

Steven Gabriel

Cesar’s trading buddy and fellow researcher

Choose the Portfolio that is Best for You

Testing period is from January 1, 2007 to December 31, 2023 and metrics are updated after the end of each quarter.

Live trading signals have been published on the site since January 2016. You will have access to all entry & exit signals since then.

 

Portfolio 1 – Gemma

Portfolio Statistics

  • 17.6% Compounded Annual Returns
  • 82.4% Exposure
  • 1.13 Sharpe Ratio
  • Top three drawdowns(-26.6, -20.9, -17.6)
  • -17.0% Worst 3 month return
  • -9.1% Worst 12 month return
  • +23% Best 3 month return
  • +84% Best 12 month return
  • 0.69 correlation with the S&P500 index

Trades Statistics

  • 3719 Trades with 55.61% winners
  • 3.34% Average % profit on winning trades
  • -3.00% Average % loss on losing trades
  • -31.5% Worst trade
  • 59.8% Best trade
  • 6.5 average trading days held
  • Maximum of 5 positions
  • Up to 20% of portfolio per position
  • 13% Maximum Loss stops hit

Equity Curve since 2006

Sample Winner

Monthly Returns

 

I have over a decade of quant trading experience and am the Chief Investment Officer for a quant-based advisory firm. I’ve known Cesar for 8 years and he is my first and foremost “go-to” resource for financial markets research, quantified strategy development, and coding. Unlike some theoretical “quants,” Cesar is also a trader. He understands the markets and the real-world limitations of broker order offerings, liquidity, and order placement.
Rob Davenport, LCA Capital, LLC

Portfolio 2 – Rana

Portfolio Statistics

  • 16.2% Compounded Annual Returns
  • 84.0% Exposure
  • 0.96 Sharpe Ratio
  • Top three drawdowns(-33.8, -31.4, -16.7)
  • -22.1% Worst 3 month return
  • -31.6% Worst 12 month return
  • +26% Best 3 month return
  • +86% Best 12 month return
  • 0.70 correlation with the S&P500 index

Trades Statistics

  • 4166 Trades with 54.85% winners
  • 3.18% Average % profit on winning trades
  • -2.85% Average % loss on losing trades
  • -39.4% Worst trade
  • 64.9% Best trade
  • 6.0 average trading days held
  • Maximum of 5 positions
  • Up to 20% of portfolio per position
  • 12% Maximum Loss stops hit

Equity Curve since 2006

Sample Winner

Monthly Returns

 

There’s no way I’d be professionally managing money today were it not for the professional advice and help of Cesar Alvarez. I’ve yet to meet a trader/researcher with such a superb understanding of the markets; as well as the dangerous trapdoors that await if you decide to develop your own quant system.
Mark Angil, Architect of Midway II, 1st Place Winner of BattleFin’s Sharpe Ratio Shootout International Quant Finance Tournament 4.0 (Pro Division)

Portfolio 3 – Zibal

Portfolio Statistics

  • 15.0% Compounded Annual Returns
  • 73.2% Exposure
  • 0.99 Sharpe Ratio
  • Top three drawdowns(-25.0, -20.2, -17.9)
  • -19.8% Worst 3 month return
  • -15.1% Worst 12 month return
  • +18.33% Best 3 month return
  • +55.85% Best 12 month return
  • 0.57 correlation with the S&P500 index

Trades Statistics

  • 3109 Trades with 55.71% winners
  • 3.24% Average % profit on winning trades
  • -2.82% Average % loss on losing trades
  • -29.9% Worst trade
  • 73.6% Best trade
  • 6.7 average trading days held
  • Maximum of 5 positions
  • Up to 20% of portfolio per position
  • 12% Maximum Loss stops hit

Equity Curve since 2006

Sample Winner

Monthly Returns


 

Start your free one week trial

During your trial you will have access to all previous trades and commentary.  Cesar or Steve are available to answer your questions.

 

I have been corresponding with Cesar and following his work for several years. His research is first rate and his reports are clear and unambiguous. He is an expert trading system developer and programmer. Most importantly, he has discovered profitable and persistent patterns, and developed profitable and practical trading systems around them.
Dr. Howard Bandy
Recognized Quant Author

The Researchers

Cesar Alvarez

Cesar is well known in the quant community from his trading blog, Alvarez Quant Trading, where he shares his trading insights and research. He also consults with traders to test their trading ideas and help them improve their current strategies. From 2004 to 2013, Cesar was the Director of Trading Strategies at TradingMarkets.com and Connors Research. Cesar has also developed many strategies for private equity funds, is the author of multiple books on trading, and — in a former life — was a Software Engineer on the early versions of Microsoft Excel. After so many years developing well over 100 different methodologies, Cesar, like many true masters of his profession, has come back to the point of ultimate simplicity and efficiency as the best sustainable approach to active trading.

Steven Gabriel

Steven has an extensive history trading equities, options, futures, and volatility. For the past 13 years he has been a quant-based trader, working alongside Cesar on research for 100’s of different ideas, concepts, strategies, and systems. Steve is also an Emergency Room physician. But he only practices medicine half-time now, because his success in trading financial markets.