Zeus Model
The Zeus Trading Model is is a proprietary trend and momentum following system. The model seeks to anticipate and follow trends in future market directions by continuously assessing the momentum for a range of 17 underlying instruments in 3 different asset classes.
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Foreign Exchange |
Equities |
Commodities |
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Products |
EurUsd, EurAud, AudUsd, EurJpy, UsdJpy, UsdChf, UsdCad, GbpUsd, GbpJpy |
Standard & Poor’s 500 Index (SPX) Dow Jones Industrial Index (DJI) Nasdaq 100 Dax |
Oil WTI (Crude) Gold (XAU) Volatility Index (VIX) US dollar Index (DXY) |
Trends and Signals
The model determines trends in 3 three different time frames, A) one hour, B) one day as short term and C) one week, trends with longer term maturity.
The system follows the price action for an underlying asset for a time duration (A,B,C) to identify its current trend, which can be rising, falling, or neutral. Using this as a basis, the system then tracks the closing price for each time frame to identify if the trend continues. Depending on the closing price of the underlying instrument for each time frame, the system generates an indicator to confirm if the current trend is continuing, or if it is changing, i.e. from a rising trend -go long (buy)- to neutral stance – (exit long), or from a falling trend – go short (sell) to a neutral stance (exit short). When the system confirms that a trend has changed for each time frame, the asset manager closes the position he currently holds and goes to neutral, awaiting for a new signal or trend to form. Absolute target prices are hard to identify since the trend can continue for any given period, hence the model utilises trailing or hard stops.
New Trend
When a new trend is formed, the asset manager has the opportunity to take a position in this new signal. To ensure quality standards, such signals are crossed checked with a macro view of the markets, and other technical analysis such as Elliot wave analysis. In addition, to ensure the strength of the new trend, the asset manager uses momentum indicators, such as MACD, RSI, Stochastic and other technical gauges. If the new signal is confirmed on trend and momentum indicators, the asset manager responds accordingly. Execution is not done automatically, but always on a “four eye” principle to ensure professional management and compliance. The broker executes orders in accordance with the collateral on the investors account, with predefined risk weighs and margin capability. As risk management is a key factor, The Zeus Model always applies a stop loss to any and all positions.
Risk Management
In order to achieve sustainable results and consistent risk limits, the Asset manager’s strategy entails using stop losses, managing exposure with low leverage, and abide by strict risk management guidelines. Margin utilization and leverage on the portfolio is very conservative at 30 % of Assets Under Management, whilst all positions have stop losses. Despite extreme volatility in foreign exchange markets, the asset manager has been generating sustainable returns in the past. It is considered a high- risk, high - reward investment class.
Asset Manager
The Asset Manager, has an extensive experience in managing portfolios, knowledge and track record in trading for the last 20+years in equities and derivatives. In addition, the team comprises of two more persons with extensive background in trading, risk management, sales and investment banking, regulatory and portfolio management.
Performance &Track Record
Signals generated by AT’s model have historically produced an 75 % hit rate (% of profitable trades). In addition ALL positions are taken with related stop orders to minimize losses to 2-3% of total AUM), thus limiting drawdown and losses (Risk management). Biggest experienced drawdown was two consecutive stops outs equal to 2*2-3% loss. Yet, despite the volatile nature of the investment class, and with an annually 2 % management fee – the net performance has historically returned over 10 % on an annualised basis for the end investor.
Track Record as end of Q2 2016-08-01 of account 630
Return on assets as %
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Q1 |
Q2 |
Q3 |
Q4 |
Cumulative |
ARR |
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2014 |
3.21 |
3.21 |
3.21 |
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2015 |
18.77 |
8.35 |
4.75 |
-7.29 |
24.58 |
13.90 |
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2016 |
23.08 |
8.75 |
31.83 |
19.87 |
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Total |
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59.62 |
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Absolute returns in $
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Q1 |
Q2 |
Q3 |
Q4 |
Cumulative |
ARR |
|
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2014 |
643 |
643 |
643 |
|||
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2015 |
29593 |
14637 |
8112 |
-10013 |
42329 |
21486 |
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2016 |
23177 |
10809 |
33987 |
25653 |
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Total |
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76959 |
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Cumulative absolute Net Performance
