Sample Application
1) High Frequency Trading for AlgoTrade
2） Risk Management system for Bank of Montreal
fRisk is a financial risk analysis platform for Quantitative risk analysis. It bases on the latest research results on risk analysis using VaR, Distribution, and Greeks to quantify and manage the financial risks. <<frisk demo>>
3) Ezstock for Charles Schwab
Ezstock is an award winning trading ananlysis and portifolio management tools it was selected by Charles Schwab as one of the best investment software
4)Financial Time Series Research Platform
FT is a financial time series research platform for developing quantitative trading models. It provides an integrated development environment to quants so that they can rapidly implement and back test their strategies.
<<Financial Time Series Research Platform white paper>>
5) Trading model research ------ an example
FT Market neutral trading model for NASDAQ 100
FT Market neutral trading model is a quantitative trading model for long/short dollar neutral strategy. The trading signal for each stock was generated from past stock price information including open, close, high, low and volume. New variables are constructed from the market information and advanced time series analytics were applied to these variables to produce expected return for each stock. After trading signal is generated for each stock, the signals were feed into a neutralize engine for a portfolio for further ranking and balancing. The final trading signal for the portfolio was used for trading purpose. The neutralize engine will make the portfolio dollar neutral. To test the robustness of the model, the model only use one set of model parameter and do a walking forward back test. The following table shows the back test results for different period and different input parameters for NASDAQ 100 portfolio as of May 25 2003. The annual sharp ratio for the entire test period is 3.02 and the annual return is 83.8% when the transaction cost is assumed to be 1.0 cents and slippage is assumed to be 0.1% of the trading price.
Portfolio: NASDAQ 100 as of May 25 2003
Period: May 30, 1998 – May 30 2003
| Trading Price | Transaction Cost | Slippage | Annual Sharp Ratio | Annual return |
| Close(t) | 0 | 0 | 4.00 | 126.09% |
| Close(t) | 1 cent | 0.1% | 3.02 | 83.80% |
| Close(t) | 1 cent | 1 cent + 0.05% | 2.97 | 81.87% |
| (High(t+1) + Low(t + 1)) / 2 | 0 | 0 | 3.78 | 84.08% |
| (High(t+1) + Low(t + 1)) / 2 | 1 cent | 0.1% | 2.53 | 49.56% |
| (High(t+1) + Low(t + 1)) / 2 | 1 cent | 1 cent + 0.05% | 2.46 | 47.96% |
| Close(t+1) | 0 | 0 | 2.73 | 68.65% |
| Close(t+1) | 1 cent | 0.1% | 1.68 | 36.98% |
| Close(t+1) | 1 cent | 1 cent + 0.05% | 1.63 | 35.51% |
Fig. 1 Equity curve for NASDAQ 100 portfolio.
Data service
1) Over 12 Market Connection for Alloption
Alloption is a market maker in European equity and index derivatives providing liquidity to the world's major derivatives markets.
2) Asian Market data access platform for Capitalvue
Capitalvue is China equivalent of Bloomberg, it consolidates China market data and provide access service for global investors.
3) Account Aggregator for Fund Monitor
Provides a web-based solution to aggregate investments, banking, credit cards, e-mail and rewards programs in a single window.
Originally build for FundMonitor, an investment advisor company in Toronto, Canada. launching in conjunction with the Caisse de Depot.The program is a private label investment monitoring service to be distributed through investment advisors in Canada
4） Mutual Funds Sales Analyzer for North West Mutual Fund
<<eCRM withpaper>>
" Mutual Funds Sales Analyzer is the perfect easy to use sales management tool. It enables us to identify important trends with both clients and wholesalers, that can not only lead to more sales but greater asset retention"
Tim Regan, Senior Vice President, Northwest Mutual Funds Inc.
Clients
Bank of Montreal
Northwest Mutual Fund
Charles Schwab
CapitalVue
Alloptions
AlgoTrade
Fund Monitor
- Tewksbury Capital Management Ltd