Trades done using the TREMMORS™ algo on a record-swing (368 point range) day of Thursday August 16th and the following strong trending (230 point spike) day of August 17th.
The CBOE Volatility Index shot to 37.5 by noon on Thursday the 16th and closed near its lows around 30.8. A wide range day that swung violently between deep losses and the flat marks within the span of 3 hours. We applied TREMMORS™ to five large-cap names with the following results on the day:
On Friday the 17th, the market gaps sharply up on news that the Fed had cut the discount rate by half a percentage point to 5.75% ending the day up 233 points from the Thursday session. We again ran TREMMORS™ against the same five names with the following results:
The algo exhibits a great balance between the Long and Short sides of the trade with a good ability at extracting profits under fast spiking and equally receding volatilities.
While the VI4 strategies were primarily conceived as “benchmark-beating” tactical agents, the “TREMMORS™” algo was designed to inject liquidity while capturing alpha within a broader electronic market-making setup.
Like the VI4 algos, the underlying logic here is primarily driven by price, volatility and directional-biases. On the other hand this algo attempts to lock-in short-term profits while flattening the inventory position into the close.
As with our core strategies, “TREMMORS™” is an exclusive solution with an extremely limited distribution plan. It is very well suited for dealers that have proactive capital or principal commitment mandates. Providing the ability to effectively replicate an automated market-making model across an unlimited list of tradeable names.
For the month of March we published a test brief, “Beating VWAP on a large order of DELL Stock,” trading 500,000 shares or approximately 2% of the average daily volume of Dell Inc. (NASDAQ:DELL).
We used the VI4 engine with the priority switch set for “order completion” and achieved the following results:
Beat VWAP on 17 out of the 22 trading sessions in March (77%)
Matched VWAP 3 times (14%)
Failed to beat VWAP twice (9%)
The engine continues to exhibit signs of robustness and consistency in achieving its primary objective and that is outperforming the Weighted Average Price benchmark.
To download the test details, please click here.
Today we published a paper titled “Systematically Beating VWAP on Large Canadian Baskets” (click on the title to download), which deals with the exercise of utilizing the VI4 algorithms for achieving a “better than VWAP” execution benchmark.
Based upon the results detailed below, for the combined tests, an average 74% or 44 of the 60 names traded, outperformed the daily VWAP by an estimated 10.6 bps.
While this paper specifically deals with Canadian stocks;
The exercise was labeled a “Canadian” study for stronger emphasis on markets with higher “correlation” but lower “relative liquidity” vis-à-vis the United States.
a companion study is currently being conducted for an S&P500 basket and the findings will be published this spring.
We set out to create better mousetraps, ones that transform our years of expertise in building proprietary strategic-algos into providers of cutting-edge “tactical” strategies.
VI4’s mission is to become a significant innovator in the pursuit of “trade execution” strategies. A provider of exclusive solutions for outperforming the benchmarks.