Algorithm Performance
Two turnkey portfolio offerings - leveraged & unleveraged
- 01. Orion MM-L
Our core program is the Orion Multi Model – Leveraged portfolio. A diversified group of algorithms are carefully designed to work together to reduce risk under all market regimes. Account minimum is $100,000.
- 02. Orion MM-U
The Orion Multi Model – Unleveraged portfolio is modified slightly to produce outstanding risk-adjusted returns in an unleveraged portfolio. It is suitable for retirement / superannuation accounts. Account minimum is $100,000.
For a detailed overview - select the program of interest:
Orion - Leveraged
Orion - Unleveraged
Our Core Program - The Orion Multi Model - Leveraged (Net of Fees)
| Compound Annual Return | Max Historic Draw-Down | Profit Factor | Winning Trades | Profitable Months | Sharpe Ratio | Average Exposure |
|---|---|---|---|---|---|---|
| 31.5% | 8.8% | 1.52 | 67% | 82% | 3.4 | 45% |
Overview of the Program
The Orion Multi-Model – Leveraged portfolio has a mean reversion philosophy at it’s foundation, yet never seeks to swim against the tide and always ensures strong momentum and trend characterstics support each trade. The advantage of the mean reversion approach is the high trade count and short holding period, which allows us to trade at a high frequency and really benefit from the corresponding compounding of returns. It also means that, in accordance with the law of large numbers, we are more consistently generating our “expected” trade results and can therefore generate a very smooth equity curve.
The long algorithms are run on 50% of the portfolio, while 50% of the portfolio is dedicated to short models. This is our primary risk defence, but risk-management is at the core of the strategy. We dynamically size positions according to the prevailing market regime, and accumulate and distribute positions in a continual flow, never “all in” with our hard-earned capital. In this manner our average exposure remains quite low.
The program currently only trades highly liquid US stocks, although we are developing additional algorithms for international shares and futures, which will further diversify & reduce risk. Diversification is also a critical risk control, which we primarily implement through the use of multiple strategies combined to work together to maximise returns and minimise risk.
Important Metrics
15-Year Historic Backtest Results
Minimum Capital
100,000 (USD,AUD,EUR)
Compound Annual Return
31.5%
Trade Universe
Highly Liquid US Stocks (or CFDs)
Correlation with $SPX
0.013
Average Trades Per Year
940
Worst Draw Down in last 20 Years
8.8%
Second Worst Draw Down in last 20 Years
6.9%
Third Worst Draw Down in Last 20 Years
6.7%
Standard Deviation of Returns
8.6%
Payoff Ratio (% Gain / Loss)
0.81
*Draw-downs are actual intra-day values, not end-of-day or closed-trade.
Hypothetical Monthly Percentage Returns*
*After the deduction of quarterly Quant Alpha licensing fees (all results on this page are net of all fees).
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | TOTAL |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | 8.20% | 5.80% | -2.20% | -3.90% | 0.30% | 3.20% | 9.40% | 4.50% | 0.40% | 6.30% | 9.30% | 1.00% | 50.00% |
| 2005 | 3.20% | 2.50% | 4.00% | 2.20% | 2.30% | 2.00% | 4.90% | 3.70% | 0.20% | 3.70% | 1.30% | 2.10% | 36.90% |
| 2006 | 3.70% | -1.70% | 5.80% | 5.20% | 0.30% | -1.20% | 3.80% | 3.30% | 1.40% | 2.10% | 1.00% | 4.30% | 31.60% |
| 2007 | 5.60% | 0.80% | -0.50% | -0.30% | 0.00% | 2.30% | 3.00% | 7.10% | -0.70% | 3.90% | 5.40% | 2.60% | 32.90% |
| 2008 | 5.40% | 3.10% | 2.70% | 3.90% | 5.10% | 1.80% | 10.60% | 8.90% | 6.50% | -0.40% | 2.60% | 7.50% | 74.70% |
| 2009 | 6.30% | 8.30% | 2.40% | 11.80% | 13.00% | 1.50% | 0.30% | 3.80% | 2.20% | -0.20% | 3.40% | 2.80% | 70.60% |
| 2010 | 1.40% | 4.40% | 0.50% | 4.70% | 1.50% | -1.70% | 3.40% | 2.60% | 0.20% | 5.90% | 3.70% | 0.30% | 29.90% |
| 2011 | 4.10% | 1.20% | 7.30% | 4.40% | 7.60% | -2.10% | 3.20% | 1.20% | 2.50% | 2.00% | 3.60% | 0.30% | 41.20% |
| 2012 | 3.30% | 2.20% | 1.00% | 1.50% | 1.80% | 1.80% | 4.40% | 3.80% | 0.50% | 7.70% | 5.00% | -2.20% | 35.20% |
| 2013 | 0.70% | 3.00% | 2.90% | 4.50% | 2.90% | 1.20% | 2.30% | 3.90% | -1.10% | 6.50% | 1.70% | -0.10% | 32.00% |
| 2014 | 3.60% | -1.70% | 6.80% | -1.70% | 2.30% | 1.20% | 1.60% | 1.20% | 2.50% | -1.50% | 2.80% | 3.50% | 22.10% |
| 2015 | 2.00% | 2.70% | 2.80% | 1.90% | 6.50% | -2.20% | 1.60% | -0.80% | 0.90% | 1.60% | 1.30% | -3.40% | 15.40% |
| 2016 | 3.50% | 2.10% | 6.70% | 1.90% | 6.30% | -1.90% | 2.00% | 1.40% | 2.50% | 2.50% | 3.10% | 0.20% | 34.20% |
| 2017 | 2.10% | 3.20% | 2.10% | 4.60% | -4.90% | 4.70% | 3.60% | 2.70% | 0.90% | 5.80% | 5.70% | 1.90% | 37.00% |
| 2018 | 0.60% | 7.90% | -1.70% | 5.80% | 1.40% | -1.30% | 1.00% | 1.20% | 7.70% | 0.20% | 2.00% | 0.10% | 27.00% |
| 2019 | -0.90% | 2.10% | 4.10% | 2.20% | 2.70% | 1.70% | 0.50% | 0.70% | -1.20% | 2.30% | -3.50% | 2.90% | 14.20% |
| 2020 | 2.19% | -0.80% | 6.76% | 1.03% | 5.67% | 6.59% | 4.80% | 2.42% | 8.95% | -1.10% | 3.25% | 47.09% |
*Results from Jan 2020 are actual, as recorded in our own account (after the quarterly deduction of fees).
Hypothetical Equity Curve 2004 - 2019
About The Results On This Page
It’s really important to read the disclaimers in conjunction with the information on this page where we highlight the limitations of reviewing hypothetical back-tested results. Back-tests can be overly optimistic, or a selection of the ‘best of many’ outcomes. They can also be ‘curve fit’ to the relevant time frame and have no ‘predictive’ power whatsoever. We are happy to discuss how we seek to avoid these common pitfalls with the generation of very conservative, yet realistic back-tests. Our models are very robust & the back-tests serve as excellent indications of what we expect a model to do (over time), & a benchmark to compare with live returns. Fees, commissions and expected slippage are included.
We are more than happy to get into the detail of our models and assist you with your due diligence, just reach out.
01
Assumptions
Take a good look at the rest of the site to get comfortable with how we build our algos and why we believe in the value of our backtests. We are not without live performance history and real-world experience, quite the contrary.
02
Track Record
The track record (third party recorded) of our live performance is available to serious customers. We update the performance tables on this page with the live performance on our own accounts as it comes in.
03
Commissions & Fees
Commissions, fees and slippage are all accounted for in our back-tests.
Further models are in development & these will be added to the portfolio over time to further diversify returns & reduce risk.