Presentation on theme: "Sequential Capital Management"— 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 twenty month track record and currently manage $4 million. We have consistently maintained a Sharpe Ratio above 1, a near-zero correlation to the S&P 500, and 84% 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 proprietary quantitative analytic tools to determine short term price movements in global listed futures markets.This trading algorithm is linked to a proprietary, algorithmic execution platform, which completely automates the order entry and account allocation process.Our focus is extremely short term: the vast majority of SCM’s trades last between twelve and twenty hours. Less than 20% of positions are carried overnight.
3 SCM’s BackgroundSCM’s 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 SCM’s TEAM David Stillings Mr. Stillings is the developer of SCM’s algorithmic execution platform, 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.
5 JOHN MICKLUSMr. 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.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 StojanovskiMr. 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 HandlerMr. 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 has been a Senior Vice President at RJ O’Brien since 1997.Mr. Handler’s primary focus has been development of client relationships and management of sales and trading desk operations.
8 SCM’S METHODOLOGYTrade initiation, stops, and profit levels are automatically calculated by SCM’s proprietary algorithmOrders are then automatically generated and executed by SCM’s proprietary, algorithmic execution platform
9 TRADE DECISION-MAKING PROCESS SCM’S algorithm, developed over a ten year period by John Micklus, determines all order entry and exit levels.Various components of algorithmic model:1. Proprietary momentum indicators2. Proprietary time and price-weighted probability indices3. Proprietary volatility-based, short term trend indicators4. Customized and standard trend strength/momentum indicators
10 RISK MANAGEMENTAlgorithm dynamically calculates per trade risk/position reversal levelsEmbedded volatility measures dynamically control position sizeRisk stops/reversals automatically placed immediately following order executionPer Trade risk of approximately 0.35%
11 MARKETS TRADED Currently SCM trades approximately thirteen markets: US Interest RatesEuropean Interest RatesUS Equity IndicesEuropean Equity IndicesUS Grain marketsForeign Exchange
12 Markets Soon to be Added SCM is in the process of programming additional markets to be traded…CAC 40Long GiltEuriborShort SterlingFTSEAEX
13 SCM’s EdgeSCM’s algorithm is exclusively focused on very short term trading opportunities. The current global economic and market environment highly favors this trading approach.SCM’s developers have extensive real world futures trading and execution systems development experience.Our programmer’s specialized background in visual trading model development has been blended with our developer’s trading and execution experiences to produce an algorithm that effectively translates many years of human trading and execution expertise into digital language.Our principals have a combined 50 years of experience in futures execution and are intensely focused on slippage control. Their combined insights have been translated into the execution algorithm, which has significantly minimized slippage.