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Sequential Capital Management Algorithmic Managed Futures.

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Presentation on theme: "Sequential Capital Management Algorithmic Managed Futures."— Presentation transcript:

1 Sequential Capital Management Algorithmic Managed Futures

2 Sequential Capital Management Sequential Capital Management is a managed futures firm based in Chicago. We have a two-year track record and currently manage $3 million. We have consistently maintained a Sharpe Ratio above 0.65, a negative correlation to the S&P 500, and 76% of our trading months have been positive. Our trading is exclusively guided by a proprietary, algorithmically- based, technical trading model. The model utilizes a variety of time- tested and proprietary quantitative analytic tools to determine short term price movements in global listed futures markets. Our focus is extremely short term: the vast majority of SCMs trades last between six and ten hours. Less than 10% of positions are carried overnight.

3 SCMs Background SCMs team is comprised of four futures industry professionals with a combined 100 years of experience in systematic futures trading, development and integration of automated trading models, and management of futures-related businesses. SCMs team is comprised of four futures industry professionals with a combined 100 years of experience in systematic futures trading, development and integration of automated trading models, and management of futures-related businesses.

4 SCMs TEAM David Stillings Mr. Stillings is the manager of SCMs technology efforts, and has over twenty years of institutional trading and management experience at some of the most prestigious banks on Wall Street. For over six years Mr. Stillings managed the European Sales and Trading desk at Societe Generale, NY. Prior to that he was Senior VP of Equity Trading at the New York office of Louis Capital Markets. He has also held management and trading positions at DG Bank, Credit Lyonnais, and HSBC Midland Global Markets. For over six years Mr. Stillings managed the European Sales and Trading desk at Societe Generale, NY. Prior to that he was Senior VP of Equity Trading at the New York office of Louis Capital Markets. He has also held management and trading positions at DG Bank, Credit Lyonnais, and HSBC Midland Global Markets.

5 JOHN MICKLUS Mr. Micklus is the developer of the SCM trading algorithm. Mr. Micklus is the developer of the SCM trading algorithm. Throughout his fifteen year career Mr. Micklus has traded futures markets across the global landscape in both electronic and open outcry environments. He has extensive experience in the development of trading and execution systems. Throughout his fifteen year career Mr. Micklus has traded futures markets across the global landscape in both electronic and open outcry environments. He has extensive experience in the development of trading and execution systems. Prior to SCM, Mr. Micklus was VP of Global Futures for Lehman Brothers in Chicago, where he managed the proprietary trading, sales and value-added execution desk. Prior to Lehman he was VP of European trading for Quadriga- Superfund Asset Management. Prior to SCM, Mr. Micklus was VP of Global Futures for Lehman Brothers in Chicago, where he managed the proprietary trading, sales and value-added execution desk. Prior to Lehman he was VP of European trading for Quadriga- Superfund Asset Management.

6 Jordan Stojanovski Mr. Stojanovski is the primary programmer for SCM. He has been writing automated trading models and platforms for over twenty years. He began his career as a trading systems developer at Federated Monetary and then founded Digital Enterprises, Ltd., a visual trading model software development firm. Mr. Stojanovski has a BS in computer science from Ljublana University, and an MS from Wayne State University. He is currently a PhD candidate at the University of Michigan.

7 Alan Handler Mr. Handler is responsible for the day to day management and marketing of SCM. He has thirty years of experience in the futures markets as a broker at several Wall Street firms, among them Smith Barney, CSFB, and Lehman Brothers. He was a Senior Vice President at RJ OBrien from 1997 to Mr. Handlers primary focus has been development of client relationships and management of sales and trading desk operations.

8 SCMS METHODOLOGY Trade initiation, stops, and profit levels are automatically calculated by SCMs proprietary algorithm Trade initiation, stops, and profit levels are automatically calculated by SCMs proprietary algorithm Orders are then generated and delivered to the market through various electronic platforms Orders are then generated and delivered to the market through various electronic platforms

9 TRADE DECISION-MAKING PROCESS SCMS algorithm, developed over a ten year period by John Micklus, determines all order entry and exit levels. SCMS algorithm, developed over a ten year period by John Micklus, determines all order entry and exit levels. Various components of algorithmic model: Various components of algorithmic model: 1. Proprietary momentum indicators and pattern recognition signals 1. Proprietary momentum indicators and pattern recognition signals 2. Proprietary time and price-weighted probability indices 2. Proprietary time and price-weighted probability indices 3. Proprietary volatility-based, short term trend indicators 3. Proprietary volatility-based, short term trend indicators 4. Customized and standard trend strength/momentum indicators 4. Customized and standard trend strength/momentum indicators

10 RISK MANAGEMENT Algorithm automatically calculates per trade risk. Algorithm automatically calculates per trade risk. Standard volatility measures – VIX and Treasury options - control position size Standard volatility measures – VIX and Treasury options - control position size Risk stops automatically placed immediately following order entry Risk stops automatically placed immediately following order entry Per Trade risk of approximately 0.20 to 0.40% Per Trade risk of approximately 0.20 to 0.40%

11 MARKETS TRADED Currently SCM trades approximately twenty-two markets: US Interest Rates US Interest Rates European Interest Rates European Interest Rates US Equity Indices US Equity Indices European Equity Indices European Equity Indices US Grain markets US Grain markets Foreign Exchange Foreign Exchange Energy Energy Precious Metals Precious Metals

12 Markets Soon to be Added SCM is in the process of adding additional markets to be traded… SCM is in the process of adding additional markets to be traded… CAC 40 CAC 40 Short Sterling Short Sterling Asian Equity Indices Asian Equity Indices

13 SCMs Edge SCMs algorithm is exclusively focused on very short term trading opportunities. The current global economic and market environment highly favors this trading approach SCMs algorithm is exclusively focused on very short term trading opportunities. The current global economic and market environment highly favors this trading approach Changes in global market volatility are incorporated into SCMs trading algorithm, allowing it to adjust position risk accordingly. Changes in global market volatility are incorporated into SCMs trading algorithm, allowing it to adjust position risk accordingly. SCMs developers have extensive real world futures trading and systems development experience SCMs developers have extensive real world futures trading and systems development experience Our principals have a combined 50 years of experience in futures execution and understand the importance of managing order slippage Our principals have a combined 50 years of experience in futures execution and understand the importance of managing order slippage


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