STRM (Systematic Trading Research Methods) is an an alternative asset manager with a particular expertise in the management of quantitative, model driven futures strategies along with research and development. The systematic trading program only invests in highly liquid exchange listed products and markets such as G7 Interest Rates futures, G7 Currency futures, US stock index futures and commodities. Program strategies do not go with or against the market consensus, but remain independent from the general market. STRM believes strongly that human behavior, as is it relates to market movements, when observed over various time horizons is quantifiable and only those who can effectively blend the human and systematic components of trading have a clear competitive advantage.
STRM blends the experience and expertise of its Principles to employ a diverse portfolio of trading systems designed to locate and profitably exploit short-term inefficiencies that exist in certain markets and at certain times.
The STRM edge is largely derived from the systematic process in which models are conceived, tested and implemented. The fund's investment process always begins when repeating market behaviors are observed over time. Trading is not based solely on the existence of such patterns, but rather on the frequency and predictive characteristics of these moves over time. Once such patterns can reasonably be explained in light of market technicals, likely drivers and market sentiment, they will undergo the following process before being deemed acceptable to trade:
A models life cycle ALWAYS follows the same method of development: 1) Observation, discussion and explanation; 2) Written into code; 3) Rigorously back tested without optimization. We believe it is crucial for any potential stand alone model to show strong performance results without optimization thus avoiding all curve fitting risk; 4) Size and risk determination; 5) Input Optimization;
6) Walk Forward Testing of optimized inputs. Out-of-sample data must be >85% profitable during this phase of testing to be considered for further development.
7) Models are run in real-time within a parallel portfolio for an extended period of time; 8) Correlation comparison to existing models in portfolio; and 9) Live Trading.