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QTS Program

  • CTA Name : Resource Capital Management LLC.
  • Program Name : QTS Program
  • Start Date : 2000-03-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : 10%
  • Fundamental : -
  • Technical : Yes
  • Diversified Market Strategy : -
  • Sector Specific Strategy : Yes
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : -
  • Interest Rates : Yes
  • Currencies : -
  • Metals : -
  • Energy : -
  • Grains : -
  • Meats : -
  • Softs : -

Resource Capital Management LLC.

QTS Program

There is no performance data for this program

Program Description: "This program, termed Quantitative Trading Strategy (QTS), is a multi-strategy computer based system, which employs a series of mathematical and statistical formulas. It was originally developed for the 30-year U.S. Treasury Bond Futures and designed to be either a stand-alone speculative trading program or a yield enhancement strategy for an existing bond portfolio. The program will also trade the 10-year U.S. Treasury Note Futures and the Eurodollar Futures. Directional price movements are an essential component in capitalizing on market trends, however to call this program a trend following system would be simplistic, because it strives to select optimal and low risk strategies within those trends. These strategies employ both linear and non-linear components to arrive at a determined signal. Many of the strategies were developed from unrelated trading approaches, tested for their risk parameters, performance, and robust characteristics, and then integrated into a dynamic computer based model, which prioritize those strategies over ever changing market conditions. This system was developed using research from financial economics, non-parametric statistics, and decision theory, which evolved over the last fifteen years by a trader with over 25 years experience. The strategies employed are based on informational pricing theories and proprietary statistical algorithms that exploit the structural price characteristics of interest rates and their relationships along the yield curve."

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