A Professional Quant Based Portfolio Trading Strategy
Market Surfer is a very profitable market insight strategy that will change every investment decision you make. It uses four often misunderstood market relationships that together have a tremendous effect on whether the big money is flowing into equities or bonds.
Testing period is from January 1, 2007 to March 31, 2024 and metrics are updated after the end of each quarter.
Live trading signals have been published on the site since November 2020. You will have access to all entry & exit signals since then.
Portfolio 1 – SPY/TLT
The portfolio can be in either SPY or TLT, and it can be stopped out into cash. There is a 5% maximum loss stop and a 7.5% trailing stop loss.
Portfolio Statistics
15.9% Compounded Annual Returns
98.1% Exposure
1.06 Sharpe Ratio
Top three drawdowns(-39.0, -15.1, -14.2)
-7.2% Worst 3 month return
-7.4% Worst 12 month return
+28.34% Best 3 month return
+74.61% Best 12 month return
0.15 correlation with the S&P500 index
Trades Statistics
223 Trades with 56.5% winners
3.5% Average % profit on winning trades
-1.6% Average % loss on losing trades
-15.3% Worst trade
33.1% Best trade
20 Average trading days held
Equity Curve since 2008
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 – QQQ/TLT
The portfolio can be in either QQQ or TLT, and it can be stopped out into cash. There is a 5% maximum loss stop and a 7.5% trailing stop loss.
Portfolio Statistics
19.4% Compounded Annual Returns
97.5% Exposure
1.16 Sharpe Ratio
Top three drawdowns(-41.7, -19.2, -14.9)
-7.2% Worst 3 month return
-7.2% Worst 12 month return
+22.38% Best 3 month return
+65.82% Best 12 month return
0.21 correlation with the S&P500 index
Trades Statistics
226 Trades with 56.2% winners
4.1% Average % profit on winning trades
-1.8% Average % loss on losing trades
-7.4% Worst trade
38.8% Best trade
20 Average trading days held
Equity Curve since 2008
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 – SSO/TMF
The portfolio can be in either 100% in SSO or 66% in TMF, and it can be stopped out into cash. There is a 10% maximum loss stop and a 15% trailing stop loss.
From 1/1/2008 to 12/31/2009, a synthetic version of TMF is used. It was created using 3 times the daily move in TLT.
Portfolio Statistics
24.0% Compounded Annual Returns
82.5% Exposure
0.82 Sharpe Ratio
Top three drawdowns(-71.4, -30.2, -23.3)
-33.9% Worst 3 month return
-58.3% Worst 12 month return
+27.66% Best 3 month return
+71.109% Best 12 month return
0.22 correlation with the S&P500 index
Trades Statistics
233 Trades with 51.9% winners
8.7% Average % profit on winning trades
-4.2% Average % loss on losing trades
-15.3% Worst trade
71.6% Best trade
19 Average trading days held
Equity Curve since 2008
Sample Winner
Monthly Returns
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
Portfolio 4 – SPY/IEF
The portfolio can be in either SPY or IEF, and it can be stopped out into cash. There is a 5% maximum loss stop and a 7.5% trailing stop loss.
The portfolio can be in either SPY or TLT, and it can be stopped out into cash. SPY/TLT/Cash uniquely uses a momentum indicator to determine if it is in TLT vs. cash. This is meant to catch rising interest rate environments. There is a 5% maximum loss stop and a 7.5% trailing stop loss.
Portfolio Statistics
16.9% Compounded Annual Returns
86.2% Exposure
1.25 Sharpe Ratio
Top three drawdowns(-15.8, -15.1, -11.6)
-10.5% Worst 3 month return
-8.8% Worst 12 month return
+34.34% Best 3 month return
+61.61% Best 12 month return
0.15 correlation with the S&P500 index
Trades Statistics
179 Trades with 59.2% winners
3.7% Average % profit on winning trades
-1.4% Average % loss on losing trades
-7.2% Worst trade
33.1% Best trade
22 Average trading days held
Equity Curve since 2008
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.
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.
