I Know First Hedge Fund Simulation: 39.5% Return in 7 Months

The I Know First trading simulator uses the signal data in order to generate daily trades according to a simple set of rules. In this portfolio 3 different packages are used: stocks, currencies and interest rates.

  • I Know First hedge fund simulation -> 39.42%
  • I Know First stock simulation -> 47.54%
  • I Know First interest rates simulation -> 32.27%
  • I Know First G10 currencies simulation -> 11.00%

In order to prevent unnecessary volatility and high spread costs the currency universe is minimized to G10 currencies only. Also, while we trade four assets a day in each class, if not enough trades are available they are replaced with a “blank” asset, which simply means the funds were not allocated. The fund’s equity is divided 60% in stocks, 30% in interest rates, and 10% in currencies. Then the funds are sub-allocated into four assets within the class using a 50% signal allocation, which means 50% of the sub-allocated funds are allocated equally among the four assets, 50% are allocated according to the signal strength of these four assets on a daily basis (this is explained in the day trading analysis and table 2 below). Furthermore, while here the chart is conservative, one could leverage the currencies class by an at least 10-1 ratio (brings currency return to 280% and IKF total fund return to 55%).

Below is the chart showing the fund’s equity growth over the time period. Notice that the returns from stocks, currencies, and interest rates could have been made with the 1 package subscription.

Starting with an equity of $10,000 on July 1st 2014 the simulation trades until February 1st 2015 when equity hits $13,942 for a staggering 39.42% return in just 7 months.

allocationgraph

Below is an example of using 50% signal allocation. As can be seen, in each class the absolute value of the four signal’s sum is taken. Each signal is then divided by the sum to generate the signal allocation. The even allocation is 25% to each asset. The 50% allocation takes 50% of the weight from the signal and even allocation.

allocationexample2

Below is the change in equity for every asset class on a daily basis.

Stocks (60%)Interest R. (30%)Currency (10%)I Know First
7/1/201410000100001000010000
7/2/201499719861100039941
7/3/201499779881100049951
7/4/201499889959100109981
7/7/20149988995999959980
7/8/2014100179959100019998
7/11/20141007710202996110103
7/14/20141004410134998510066
7/16/2014997910159998410034
7/17/2014995110351997810073
7/18/2014999610280997110079
7/21/20141001410284995810090
7/22/2014997510315995610075
7/23/2014995110346994810069
7/24/20141017410201995010162
7/25/20141008910094995410080
7/28/201498341010899579931
7/29/201497171010999589861
7/30/201498131011099599920
8/1/20149774996099519851
8/4/20149765995099849846
8/5/20149647993499959771
8/6/20149722992699949814
8/7/20149712993699929811
8/8/201499271008899779985
8/11/20141005810078997410060
8/12/20141017610088998010135
8/13/20141007510009998410051
8/14/2014101239999997410076
8/15/20141001310093997410039
8/18/20141003510227997210092
8/19/201499441009799789999
8/20/20141005810065997710058
8/21/20141012210069996210096
8/22/20141008510049997510069
8/25/20141007910143998910095
8/26/20141015910188999310157
8/27/201410210101421000010175
8/28/201410292101821000510236
8/29/201410329102481000710278
9/1/201410253102531000210234
9/2/201410253102531000810235
9/3/201410130100541001210102
9/4/201410170100501000110124
9/5/20141015010115999910131
9/8/201410237100601001610168
9/9/201410167101091006610147
9/10/201410241102131009710225
9/11/201410220102791012210235
9/12/201410185102841012410216
9/15/201410243104191013610292
9/16/201410361103241015110337
9/17/201410295102621015510278
9/18/201410382102741014310333
9/19/201410420103871014710391
9/22/201410445103201018110389
9/23/201410471102881020510397
9/24/201410525103341020910444
9/25/201410433103221020410384
9/29/201410497103471021910432
9/30/201410539103451022710457
10/1/201410477103171029410419
10/2/201410573102941033110473
10/3/201410615105931034810591
10/6/201410551105181036610532
10/8/201410764108241045910761
10/9/201410783109851043310818
10/10/201410812109291042310818
10/12/201410634109471044010718
10/17/201410666110101040810753
10/20/201410566110371040710700
10/21/201410573110481041110707
10/22/201410999110241041210960
10/23/201410864109591044910863
10/24/201411148109441043911028
10/27/201411131110951040811060
10/28/201410941112071043510984
10/29/201410999114281043011083
10/30/201410861114681038511007
10/31/201411212114171037011203
11/3/201411360115291037711326
11/4/201411471118341038511483
11/5/201411534118081034611509
11/6/201411519117361032011476
11/7/201411593117061031811511
11/10/201411598116041032511485
11/11/201411348116891033611363
11/12/201411326114481034411280
11/13/201411321114741034711286
11/14/201411424114861033111349
11/17/201411426114651034911345
11/18/201411470115091037211387
11/19/201411536114141040911402
11/20/201411699114631042811516
11/21/201411760113251042511510
11/24/201412178112481039211729
11/25/201411962113531040811638
11/26/201412024114071036611686
11/27/201411978115301035111696
11/28/201411978115891035611714
12/1/201411961115891035411704
12/2/201412045116131034911760
12/3/201412024115571035411731
12/4/201411911115111036911653
12/5/201412081115031037511751
12/8/201412097114831040411757
12/9/201412114114661043611766
12/10/201411965115081051911701
12/11/201412110115091054811790
12/12/201412032117221051311806
12/15/201412179116141047211855
12/16/201412221116971048911907
12/17/201412503115911051712043
12/18/201412566117451052712128
12/19/201412997116031053812335
12/22/201413233116561055112488
12/23/201413336116941051112554
12/24/201413391117281055612601
12/26/201413396118721057912653
12/29/201413524119391062212753
12/30/201413437118371061812670
12/31/201413475117281063012658
1/1/201513615117291064112738
1/5/201513593118631069812776
1/6/201514065118251065013024
1/7/201514389119831068913262
1/8/201514511120201072113345
1/9/201514521118921073913311
1/12/201514597118671076213347
1/13/201514628121261078113453
1/14/201514481122741077913421
1/15/201514268125861074713401
1/16/201514473130691076213673
1/19/201514712126651075513680
1/20/201514712126651082113689
1/21/201514729125581083313665
1/22/201514663124911079513602
1/23/201514726126911086113711
1/26/201514909123111092213697
1/27/201515220122761101213868
1/28/201515072123001110913808
1/29/201514883128671110013894
1/30/201514690126661107813718
2/1/201514754132271113013942