Performance —
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 […]
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 […]
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 […]