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Our results

At the beginning of October 2019, we have decided to close the algorithmic project of the hedge fund, which we have been developing for the last 2 years.

Thank you to all of you with whom we cooperated during the implementation of this undertaking.

Below we present the results of only one of our investment systems (being the small part of many others developed in-house during our activity), compared with well-known benchmark from Polish and worldwide markets representing various classes of assets. This system was applied on 1 mln USD of NAV on the demo account provided by Interactive Brokers. All transactions were executed by our in-house cloud-deployed application devoted to algorithmic option trading. All real bid-ask spreads and transaction costs were taken into account.

All resources (financial and non-financial) utilised in the project were provided by co-founders of the projects.


Statistics (2018-10-30 - 2019-09-23)


Strategy aRC [%] aSD [%] MD [%] IR* IR.MD IR** MLD [years] IR*** Trn.days
LabirynthHF_SP_Strategy**** 9.24 1.93 0.01 4.80 480.00 4435.20 0.008 51093.85 222
SPX 13.87 16.09 16.39 0.86 0.05 0.73 0.341 0.30 222
putwrite 3.93 11.30 12.75 0.35 0.03 0.11 0.663 0.01 222
W putwrite 2.24 10.25 13.03 0.22 0.02 0.04 0.456 0.00 222
uniKoronaDochodowy 3.71 0.80 0.32 4.66 14.56 54.03 0.111 17.97 222
investors_zrownowazony 5.61 7.06 5.29 0.79 0.15 0.84 0.456 0.10 222
nn_obligacji 6.78 2.19 1.10 3.10 2.82 19.11 0.254 5.09 222
wig20 4.21 16.33 15.03 0.26 0.02 0.07 0.611 0.00 222

Legend

**** - These are the results of trading on 1 mln USD on Demo Account in Interactive Brokers. All trades were executed by our in-house cloud-deployed application for algorithmic option trading.

\(ARC\) - annualized return compounded; relative change of an asset value, normalized according to time. The annualized rate of return, calculated for the asset of value process \(V_t\) in specified period (\(t_1\), \(t_2\)) is defined by the following formula:

  • \(ARC(V)^{t_2}_{t_1}=(\frac{V_{t_2}}{V_{t_1}})^{\frac{1}{D(t_1, t_2)}}-1\)

\(ASD\) - annualized standard deviation; the empirical standard deviation normalized, according to the time. For specified time series \(R_t\) , the annualized standard deviation in the period (\(t_1\), \(t_2\)) is calculated by using the formula:

  • \(ASD(V)^{t_2}_{t_1}=\sqrt{\frac{1}{n}\sum^{t_2}_{t=t_1}{(R_t-\tilde{R})}*\frac{1}{D(t_1, t_2)}}\)

\(MD\) - maximum drawdown; the maximum percentage loss of value of the equity line. For price process \(S_t\) and period (\(t_1\), \(t_2\)), the maximum drawdown is defined by the following formula:

  • \(MD(S)^{t_2}_{t_1}=sup_{(x, y)\in{\{[t_1, t_2]^2: x\le y\}}\frac{S_x-S_y}{S_x}}\)

\(IR\) - information ratio, defined in three variants:

  • \(IR^{*} = \frac{ARC}{ASD}\)

  • \(IR^{**} = \frac{ARC^2 * \text{sign}\{ARC\}}{ASD * MD}\)

  • \(IR^{***} = \frac{ARC^3}{ASD * MD * MLD}\)

\(MLD\) - maximum loss duration (in years); the maximum number of days (measured in years) between two consecutive local maxima provided that the second maximum is higher than the first one.


Rates of return by months

LabirynthHF SP (Short Put) Strategy RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 1.94 2.14 4.12
2019 0.43 0.32 0.37 0.22 0.63 0.3 0.54 0.87 0.05 . . . 3.79
SPX RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 1.76 -9.15 -7.55
2019 7.9 2.94 1.81 3.9 -6.56 6.86 1.35 -1.87 2.29 . . . 19.35
putwrite RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 1.68 -7.56 -6.01
2019 2.77 1.4 1.21 1.58 -3.75 4.77 1.43 -1.74 1.01 . . . 8.76
weekly putwrite RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . -1.54 -5.72 -7.17
2019 4.26 2.27 0.38 2.13 -3.76 2.16 1.14 -0.92 1.77 . . . 9.61
UniKoronaDochodowy RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . -0.07 0.6 0.53
2019 0.32 0.01 0.05 0.55 0.3 0.7 0.68 0.07 0.03 . . . 2.74
Investors Zrównoważony RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 1.59 -0.4 1.18
2019 2.3 -0.07 0.68 0.72 -2.03 1.83 0.24 -2.29 0.92 . . . 2.22
NN obligacji RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 0.22 1 1.22
2019 0.78 -0.68 0.57 -0.55 1.35 0.93 1.32 1.39 -0.2 . . . 4.99
Wig20 RR by month
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total Simple Return
2018 . . . . . . . . . . 6.47 -0.63 5.8
2019 4.55 -2.01 -0.86 0.96 -4.07 3.95 -2.16 -6.24 0.57 . . . -5.66