The HiProb-I aims at absolute returns with negative correlation to S&P500 and others. It employs its patent techniques to generate positive net profits statistically with reduced volatility. The program will sell high only when major US stock index futures or options are relatively overpriced, and buy low only when relatively underpriced so that positive net profits can be achieved statistically, with high probability primarily from market inefficiencies. The program initially was targeted at a monthly return of 3.0% and a worst peak-to-valley drawdown of 7%, but is currently tuned to target at a monthly return of 1.5% and a worst peak-to-valley drawdown of 5%. As a result, its recent performance has been improved in term of risk-adjusted return, and resulted in low volatility with Sharpe Ratio of over 5 (past 12 months).
Its advantages include: (1) positive net returns in both rising and falling markets; (2) reduced risks by hedging and preserving capital in cash most of the time; (3) high liquidity by trading the most liquid assets; (4) negative or low correlation to the stock markets and others; and (5) high capital efficiency by using capital repeatedly and optimal leverage.
Minimizing risks is our highest priority. To avoid unnecessary market risks, the program preserves capital in cash most of the time. It only takes risks that can be justified by corresponding profit potential. Except for very short term or very low delta, the program manages established positions to be market neutral by selling overpriced US stock index futures or options while buying or hedging with a similar notional amount of another that is relatively underpriced. The program constantly monitors risk/reward ratio for established positions. Whenever having an open position, our risk control measures are in action 24 hours a day to cut large losses quickly.