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00:24
Australian Adam Tomas started to design systematic trading strategies in 2004. Launched his Global Capital Allocation Fund (GCAF) July 2011. Fund was up 89.85% in 2014.
02:37
GCAF is a unique systematic long term trend follower using a proprietary automated trading system, the Global Positioning System (GPS). GPS monitors and takes risk controlled positions in 130 futures contracts across all major exchanges as potential upward or downward trends emerge. “Time Horizon Arbitrage”: -> GPS trades on time horizons generally much longer than its peers. -> The longer the time horizon chosen to exploit trends, the more likely will the return distribution include longer peri
04:36
Trading a single, simple system:  Why Tomas does not “adapt” his model: Markets are complex, adaptive systems, and combining two complex systems results in unpredictable outcomes.
05:36
Manages risk on individual trade basis, not as portfolio: Willing to trade as many simultaneous positions as possible - does not apply portfolio limits but manages risk on an individual trade basis. Wants to exploit an opportunity to the greatest extent possible, no matter if it’s correlated or uncorrelated to other positions.
08:01
Many CTAs did well in 2014, but Tomas did exceptionally well (89.85% net). How does he explain his outperformance? How Tomas defines his stop-loss parameters. When and how the system loses money.
10:54
Investor benefits: 1. Global exposure to bullish and bearish market movements. 2. Consistency of application - robustness to changing market regimes. 3. Anti-fragile trading strategy designed to benefit from disorderly markets.

Up 90% in 2014: Adam Tomas, a different systematic long term trend follower trading “axiomatic regularities”

Jan 22 2015 1 Comment
Australian Adam Tomas started to design systematic trading strategies in 2004. In July 2011 he launched his Global Capital Allocation Fund (GCAF). While many CTAs did well in 2014, Tomas' strategy did exceptionally well: the fund was up 89.85% net in 2014. He thinks there are three reasons for that:

1. The Global Capital Allocation Fund trades on time horizons generally much longer than its peers and therefore almost engages in a sort of “time horizon arbitrage”.

Tomas adds that with longer time horiz ...more

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