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Ceres Algorithmic Trading

This document describes the performance of the Ceres Algorithmic Trading strategy. It simulated 24 possible investment series from 1999-2009 with a starting account value of 150,000 EUR. The mean annual return was 6.44% and median was 6.18%. Individual series returns ranged from 3.48% to 10.13% annually. Charts and tables show the strategy outperformed benchmarks like the EuroStoxx 50 and MSCI World indexes during periods of crisis from 2000-2003 and 2007-2009 while experiencing lower volatility.

Uploaded by

Andrea Orani
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142 views15 pages

Ceres Algorithmic Trading

This document describes the performance of the Ceres Algorithmic Trading strategy. It simulated 24 possible investment series from 1999-2009 with a starting account value of 150,000 EUR. The mean annual return was 6.44% and median was 6.18%. Individual series returns ranged from 3.48% to 10.13% annually. Charts and tables show the strategy outperformed benchmarks like the EuroStoxx 50 and MSCI World indexes during periods of crisis from 2000-2003 and 2007-2009 while experiencing lower volatility.

Uploaded by

Andrea Orani
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 15

Ceres Algorithmic Trading

Ceres Algorithmic Trading

Main Statistics
From 7/5/1999 to 5/10/2009:
10.44 years of simulation*
24 possible series (depending
on the start date) simulated:
150000 EUR account
29 EUR per transaction
(Interactive Brokers)
Statistics of Series
Mean

6.44

Median

6.18

Minimum

3.48

Maximum

10.13

Count

24.00

Series
Ceres 1
Ceres 2
Ceres 3
Ceres 4
Ceres 5
Ceres 6
Ceres 7
Ceres 8
Ceres 9
Ceres 10
Ceres 11
Ceres 12
Ceres 13
Ceres 14
Ceres 15
Ceres 16
Ceres 17
Ceres 18
Ceres 19
Ceres 20
Ceres 21
Ceres 22
Ceres 23
Ceres 24

Performance
492%
575%
893%
720%
567%
646%
636%
600%
386%
548%
740%
596%
595%
740%
675%
430%
348%
535%
847%
816%
1013%
765%
817%
485%

IRR
16.52%
18.28%
23.38%
20.86%
18.12%
19.61%
19.42%
18.75%
13.85%
17.74%
21.17%
18.68%
18.66%
21.17%
20.11%
15.01%
12.71%
17.47%
22.75%
22.31%
24.87%
21.57%
22.33%
16.37%

Annualized
Standard
Deviation
10.6%
10.6%
10.7%
10.5%
10.6%
10.7%
10.8%
10.9%
10.6%
11.0%
10.9%
11.0%
10.6%
11.0%
10.6%
10.9%
10.6%
10.7%
11.3%
11.5%
11.4%
11.0%
10.8%
10.6%

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

Simulation of Ceres
Performance comparison from 10/05/1999 to 5/10/2009 *
2700%

900%

300%

100%

33%
07/05/1999

07/05/2001

07/05/2003

07/05/2005

07/05/2007

07/05/2009

Dimitra 1

Dimitra 2

Dimitra 3

Dimitra 4

Dimitra 5

Dimitra 6

Dimitra 7

Dimitra 8

Dimitra 9

Dimitra 10

Dimitra 11

Dimitra 12

Dimitra 13

Dimitra 14

Dimitra 15

Dimitra 16

Dimitra 17

Dimitra 18

Dimitra 19

Dimitra 20

Dimitra 21

Dimitra 22

Dimitra 23

Dimitra 24

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

Basic rules of Ceres


Monthly algorithmic allocation in a basket of asset
classes, represented by investments in ETF.
Money management system with clear objectives:
Minimization of losses
Locking profits
Maximum transparency
Ceres Algorithmic Trading

How was the performance simulated?


What has not been accounted for?
Intraday data: when specific price levels are
reached intraday orders are triggered, this does
not appear on the simulations since closing
prices have been used;
Price levels matched overnight;
Untimely execution.
Is there scope for improvement?
Yes
Ceres Algorithmic Trading

Analysis of the median series:


Ceres 8
Statistics of Performance from 13/04/1999 to 13/10/2009
JPMorgan EMU
Government Tremont Hedge
Bond Index
Fund Index

S&P GS
Commodity
Index TR

Gold Spot

Ceres 8*

EuroStoxx50
Total Return

MSCI World

Performance
from 13/04/1999
to 13/10/2009
IRR
Vol

640%
19.3%
10.9%

99%
-0.1%
25.2%

67%
-3.7%
18.8%

164%
4.8%
3.7%

166%
4.9%
10.8%

144%
3.6%
25.9%

273%
10.0%
17.7%

Information Ratio

178%

-1%

-20%

130%

46%

14%

56%

Correlations from 13/04/1999 to 13/10/2009


Ceres 8*
EuroStoxx50 TR
MSCI World
JPM EMU GBI
Tremont HF
S&P GSCI TR
Gold Spot

Ceres 8*
100%
-2%
10%
0%
2%
10%
20%

EuroStoxx50 TR

MSCI World

JPM GBI

Tremont HF

S&P GSCI TR

Gold Spot

100%
76%
-34%
2%
21%
2%

100%
-31%
0%
28%
7%

100%
0%
-16%
-2%

100%
0%
1%

100%
28%

100%

*there are 2 median series since the number of series is even, this is the one that has a lower performance of the period.
Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

VS Benchmarks: Descriptive
Annual Performance from 13/04/1999 to 13/10/2009

13/04/1999
13/04/2000
13/04/2001
13/04/2002
13/04/2003
13/04/2004
13/04/2005
13/04/2006
13/04/2007
13/04/2008
13/04/2009
YTD until
13/10/2009

Ceres 8*
17.9%
6.3%
37.0%
3.4%
24.9%
0.3%
39.6%
30.2%
13.4%
17.2%

EuroStoxx50
Total Return
40.8%
-15.3%
-15.6%
-36.5%
31.6%
9.2%
25.6%
17.1%
-12.0%
-37.1%

MSCI World
26.0%
-15.9%
-8.9%
-35.5%
24.8%
-0.3%
23.9%
4.1%
-19.7%
-29.6%

19.0%

31.8%

18.4%

JPMorgan EMU
Government Tremont Hedge
Bond Index
Fund Index
-2.0%
44.1%
6.5%
4.8%
4.6%
10.7%
10.9%
-16.2%
4.6%
3.6%
7.8%
1.5%
0.3%
20.1%
1.9%
1.1%
5.2%
-9.6%
6.7%
-0.5%
4.3%

3.0%

S&P GS
Commodity
Index TR
56.4%
39.9%
-23.6%
2.5%
20.6%
10.2%
22.3%
-22.5%
25.5%
-50.5%

Gold Spot
12.5%
-1.3%
17.7%
-11.2%
11.8%
-2.5%
48.3%
2.9%
15.4%
14.3%

7.6%

7.2%

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

VS Benchmarks: Algorithmic scale


Performance comparison from 13/04/1999 to 13/10/2009*
900%

300%

100%

33%
13/04/1999

13/04/2001

13/04/2003

13/04/2005

13/04/2007

EuroStoxx50 Total Return

MSCI World

Tremont Hedge Fund Index

JPMorgan EMU Government Bond Index

S&P GS Commodity Index TR

Gold Spot

13/04/2009

Dimitra 8

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

VS Benchmarks: Standard scale


Performance comparison from 13/04/1999 to 13/10/2009*
700%
600%
500%
400%
300%
200%
100%
0%
13/04/1999

13/04/2001

13/04/2003

13/04/2005

13/04/2007

EuroStoxx50 Total Return

MSCI World

Tremont Hedge Fund Index

JPMorgan EMU Government Bond Index

S&P GS Commodity Index TR

Gold Spot

13/04/2009

Dimitra 8

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

VS Euro Stoxx 50 Total Return: Worst


Quarters
Performance comparison in the worst quarters of the Euro Stoxx 50 TR in the period from 13/04/1999 to
13/10/2009
15.00%

13/10/2001
13/07/2002
13/10/2002
13/04/2008
13/07/2008
13/10/2008

Ceres 8*
9.29%
0.17%
5.65%
3.12%
4.13%
3.41%

Euro Stoxx 50
Total Return
-13.35%
-19.04%
-18.31%
-12.21%
-11.50%
-15.68%

10.00%
5.00%

13/10/2001

0.00%

13/07/2002

-5.00%

Ceres 8

Euro Stoxx 50 Total


Return

13/10/2002
13/04/2008

-10.00%

13/07/2008

-15.00%

13/10/2008

-20.00%
-25.00%

*These are the quarters, calculated on the basis of the starting date of the algorithm, where the Euro Stoxx 50 Total Return Index had a performance
lower than -10%.
Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

10

Period of Crisis: 4/2000 3/2003


Performance comparison from 3/04/2000 to 31/03/2003*
180.00%
160.00%
140.00%
120.00%
100.00%
80.00%
60.00%
40.00%
20.00%
0.00%
03/04/2000

03/10/2000

03/04/2001
Dimitra 8

03/10/2001
EuroStoxx50 TR

03/04/2002

03/10/2002

MSCI World

Ceres 8*

EuroStoxx50 TR

MSCI World

From 03/04/2000 to 03/04/2001

7.95%

-20.24%

-22.56%

From 03/04/2001 to 03/04/2002

34.44%

-5.90%

-2.23%

From 03/04/2002 to 31/03/2003

2.69%

-44.57%

-39.27%

Vol

10.80%

31.11%

21.74%

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

11

Period of Crisis: 4/2000 3/2003. Algorithm Allocations


0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

03/2000
04/2000
05/2000
06/2000
07/2000
08/2000
09/2000
10/2000
11/2000
12/2000
01/2001
02/2001
03/2001
04/2001
05/2001
06/2001
07/2001
08/2001
09/2001
10/2001
11/2001
12/2001
01/2002
02/2002
03/2002
04/2002
05/2002
06/2002
07/2002
08/2002
09/2002
10/2002
11/2002
12/2002
01/2003
02/2003
03/2003

Inflation

Commodities

Bonds

Equities Dev.

Eqities EM

Ceres Algorithmic Trading

Short

Currency Algo

EPRA

12

Period of Crisis: 9/2007 3/2009


Performance comparison from 3/04/2000 to 31/03/2003*
160.00%
140.00%
120.00%
100.00%
80.00%
60.00%
40.00%
20.00%
0.00%
31/08/2007

29/02/2008
Dimitra 8

31/08/2008
EuroStoxx50 TR

28/02/2009

MSCI World

Ceres 8*

EuroStoxx50 TR

MSCI World

From 31/08/2007 to 31/08/2008

16.16%

-19.18%

-20.25%

From 31/08/2008 to 01/04/2009

9.83%

-37.05%

-32.34%

Vol

11.93%

35.56%

28.21%

*Please note that all data regarding Ceres Algorithmic Trading is a simulated series and not a past performance. Please also note that in no way past
performance should be taken as a guarantee of future performance.

Ceres Algorithmic Trading

13

Period of Crisis: 9/2007 3/2009


Algorithm Allocations
0%

10%

20%

30%

40%

50%

60%

70%

80%

90%

100%

01/08/2007
01/09/2007
01/10/2007
01/11/2007
01/12/2007
01/01/2008
01/02/2008
01/03/2008
01/04/2008
01/05/2008
01/06/2008
01/07/2008
01/08/2008
01/09/2008
01/10/2008
01/11/2008
01/12/2008
01/01/2009
01/02/2009
01/03/2009
Inflation

Commodities

Bonds

Equities Dev.

Eqities EM

Ceres Algorithmic Trading

Short

Currency Algo

EPRA

14

Ceres Algorithmic Trading

15

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