A Professional Quant Based Portfolio Trading Strategy
One of the holy grails in quant trading strategy development is finding an edge in momentum based systems. It is much easier to find short term mean reversion strategies, primarily because finding information today that affects price in the short term is much easier than finding information today that affects price in the long term. Nonetheless, traders and investors always talk about big winners or long term holds that worked well. Cesar and I have been searching for and testing new ideas for a robust, momentum-based, trend-following quant system for more than 20 years.
We finally have one. One that we have tried to break, and that we feel is ready to trade and share.
It’s called Tech Comets. It uses momentum, trend and market timing. It’s all quantified. It’s robust. And we think it’s the best, most reliable, and highly profitable momentum quant strategy we’ve encountered. Period.
Average annual return over 20% over the last 10 years
Can be traded just once a week
Multiple portfolio based strategies to choose from
Trades only Nasdaq 100 stocks or bond ETF depending on market conditions
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 2019. You will have access to all entry & exit signals since then.
Portfolio 1 – Halley
Trade entries are on Monday at the open. Trade exits can happen any day of the week with exit on the following open.
Portfolio Statistics
27.1% Compounded Annual Returns
94.7% Exposure
1.04 Sharpe Ratio
Top three drawdowns(-54.0, -32.6, -26.4)
-31.4% Worst 3 month return
-29.6% Worst 12 month return
+28.72% Best 3 month return
+74.136% Best 12 month return
0.43 correlation with the S&P500 index
Trades Statistics
481 Trades withhh 49.5% winners
15.1% Average % profit on winning trades
-6.4% Average % loss on losing trades
31 Average trading bars held
-41.4% Worst trade
80.1% Best trade
Maximum of 4 positions
25% percent of portfolio per position
9% Trades exit at Stop Loss
13% Trades exit at Profit Target
Equity Curve since 2007
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 – Hyakutake
Trade entries are on Monday at the open. Trade exits can happen any day of the week with exit on the following open.
Portfolio Statistics
26.4% Compounded Annual Returns
95.0% Exposure
1.14 Sharpe Ratio
Top three drawdowns(-45.3, -27.4, -21.8)
-23.3% Worst 3 month return
-39.4% Worst 12 month return
+22.50% Best 3 month return
+65.121% Best 12 month return
0.47 correlation with the S&P500 index
Trades Statistics
575 Trades withhh 53.4% winners
13.7% Average % profit on winning trades
-7.1% Average % loss on losing trades
32 Average trading bars held
-29.6% Worst trade
72.4% Best trade
Maximum of 5 positions
20% percent of portfolio per position
11% Trades exit at Stop Loss
22% Trades exit at Profit Target
Equity Curve since 2007
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 – Shoemaker
Only need to check for trades on the weekends. Entry and exit is on Monday at the open.
Portfolio Statistics
19.6% Compounded Annual Returns
96.1% Exposure
0.84 Sharpe Ratio
Top three drawdowns(-49.6, -35.1, -33.2)
-25.4% Worst 3 month return
-42.4% Worst 12 month return
+27.50% Best 3 month return
+71.89% Best 12 month return
0.49 correlation with the S&P500 index
Trades Statistics
580 Trades withhh 52.2% winners
14.7% Average % profit on winning trades
-8.2% Average % loss on losing trades
38 Average trading bars held
-41.4% Worst trade
58.5% Best trade
Maximum of 6 positions
16.7% percent of portfolio per position
5% Trades exit at Stop Loss
22% Trades exit at Profit Target
Equity Curve since 2007
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.
