2. Introducing AlphaMatters
Quantitative Research services and
products for market participants
Proven offerings in
Key Expertise
the market
in:
Trend / Mean Reversion / Stat Arb
modeling;
Complete trading system design
Proprietary and Confidential ALPHAMATTERS
2
3. Core Team
Ganapathy Subramanian: 20+ years in the start up ecosystem as an investor, mentor and
entrepreneur; Engg from NIT (Trichy), MBA from XLRI
Bharath Rao: 10+ years of experience in analytics, product development and marketing;
Engg from RV College of Engineering (Bangalore), MBA from University of Georgia; Led
Developer Marketing in IBM and held senior positions in many startups
Hemanth Kumar: 8+ Years of Research Experience in Image Processing, Speech
Recognition, Computer Vision and Artificial Intelligence; Credited with 3 patents; Engg
from PESIT (Bangalore) Completing PhD at the Indian Institute of Science
4. Model the Market’s
Develop proprietary
indicators after
validation of
hypotheses
Mind with Math
Mathematical model
design integrating
time tested trading
practices
Entry /Exit Signals plus
real time trade
management
Generate Alpha
consistently
Proprietary and Confidential ALPHAMATTERS
4
5. IndexMatters:(Index trading system)
Comprehensive intraday
trading system for NIFTY
(Indian Equity Index) from
entry till exit
Annualized yield:
~38%
Can be used as an alpha
generating input for hedged
strategies or as a Decision
Support System for intraday
hedging the Indian index
Nifty
Distributed through
Thomson Reuters and
several brokers in Indian
market
6. Instruments Nifty Futures (Current Month)
Net Winners’ Ratio 59%
Performance Metrics of IndexMatters
Time Period 2 years
Frequency of trades ~ 1.7 per day
Profitability (Post Transaction) 0.09% per trade
Max Drawdown 2.6% of Capital
Sharpe Ratio 2.9
Annualized Return 38%
Transaction Cost Assumed 0.06% per trade
Leverage Assumed 1x
7. Equity Curve of IndexMatters
900000
950000
1000000
1050000
1100000
1150000
1200000
1250000
1
6
11
16
21
26
31
36
41
46
51
56
61
66
71
76
81
86
91
96
101
106
111
116
121
126
131
Cumulative Capital versus Time in Days
9. Instruments Corn, Wheat, Soy Futures (2nd Month Continuous)
Net Winners’ Ratio 48%
Performance Metrics of CommodityMatters
Time Period 4 Years
Frequency of trades ~ 1 per day
Profitability (Post Transaction) ~ 0.1% per trade
Max Drawdown 14% of Capital
Sharpe Ratio 1.7
Annualized Return 29%
Transaction Cost Assumed 0.03% per trade
Leverage Assumed 1x
10. Instruments Corn, Wheat, Soy Futures (2nd month Continuous)
Net Winners’ Ratio 48%
Performance Metrics of CommodityMatters
Time Period 4 Years (Feb 2010 ton Jan 2014)
Frequency of trades ~ 1 per day
Profitability (Post Transaction) 0.09% per trade
Max Drawdown 12% of Capital
Sharpe Ratio 1.7
Annualized Return 29%
Transaction Cost Assumed 0.03% per trade
Leverage Assumed 1x
Equity Curve of CommodityMatters
500000
1000000
1500000
2000000
2500000
3000000
Cumulative Capital versus Time in Days
11. Proprietary Algorithms
Feature Selection
Algorithm to
identify the early
and confirmatory
indicators (like
implied vol, global
markets, broader
markets, high beta
indices, currency
etc.)
An advanced
classifier built on
top of SVM,
trained on 200k
samples & tailored
to financial
markets to
recognize when
“random walk”
breaks
Intelligent filter
designed to cut
the market noise
and identify 2 to3
real trends /
reversals in a day
and trail the trends
12. Tools
Algos
• Stat Arb
Paradigms
• Mean
Reversion
• Trade
Execution
• Factor Models
• Trend
Following
ToolExpertise
• Matlab / R /
Python,
• Excel / VBA,
• PHP
• MySQL
• C / C++ / Java
MathExpertise
• Time Series
Modelling
• Multivariate
Regression
• Neural
Networks
• Support Vector
Machines
• Decision Trees
• Markov Chains
• Monte Carlo
Simulations
