We work with independent traders and funds in two distinct ways.
In one instance, traders come to us with an existing trading model or system that may require backtesting, analysis of its validity, or additional development. Ordinarily, traders fall into the same pitfalls in the creation of trading systems, the largest of which is to engage in data snooping or excess mining, which can cause the results of their backtesting to be highly inaccurate. Our team of statisticians and finance theorists can backtest your model in a robust fashion, to avoid these pitfalls. In addition, we work with traders to analyze the face validity of their strategy, to examine possible improvements to the strategy (which is often to remove components of the model, rather than to expand it), and primarily to assist them in deciding whether or not the system could be long-run profitable.
In the other instance, traders come to us with a broad idea for a trading model. This often means that they have not yet researched the academic literature to see what work has been done in this area thus far, and have not yet collected historical data for backtesting. We can assist traders in this phase to take their broad idea and turn it into a trading model which meets the specifications of their initial idea. Normally, this requires us to first research previous work done with similar models, then to develop (a priori) the parameters of a trading model which will optimally realize the initial idea. Oftentimes, this requires us to collect data for backtesting the model (we have extensive historical databases and ordinarily have the required data in-house), and then to analyze the results of that backtesting. The majority of ideas for trading models of course do not translate into profitable trading systems (markets are very efficient), however if the model is specified and development in a robust fashion, then we can maximize the probability of success for that model.
The finance and portfolio theorists on our team have extensive experience in quantitative trading model analysis and development, not just via their Wall Street backgrounds, but also in the world of academia. As such, our team has the quantitative tools to assist you in building a mathematically-sound trading system to meet your needs. We have worked on trading systems of various lengths and using all types of securities, including high-frequency trading, arbitrage or relative-value models, and models involving equities, fixed income instruments, currencies and commodities.
We understand the importance and necessity of confidentiality when dealing with any trading model or idea, and provide all of our prospective clients with a Non-Disclosure Agreement immediately upon contact. This ensures you that your idea and/or existing model will not be shared with any third parties, and your consultation with us is completely confidential.