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Alternative Market Briefing

Walnut Investments launches new intraday futures strategy

Friday, December 29, 2017

Bailey McCann, Opalesque New York:

Paris-based Walnut Algorithms originally started as a research and development shop. Walnut Algorithms is comprised of a 15 person team using the latest machine learning tools build new algorithms. The goal, according to Walnut Algorithms CEO Guillaume Vidal, was to develop the next generation of quantitative investment strategies. But over time, Vidal and his research team decided to start trading with the algorithms themselves. This decision led to the formation of Walnut Investments Intraday Absolute Return Machine Learning Strategy - the firm's new flagship trading program.

Building on three years of research, Walnut Investments takes long and short positions in equity, commodity and bond futures on an intraday basis. The strategy trades for anywhere from a few minutes to a few hours, capturing trends and dislocations in the market. The program does not maintain overnight positions and stops trading when exchanges close. "We aren't high-frequency traders," Vidal contends in an interview with Opalesque. "We have a short holding period, but we aren't making hundreds of trades per second. We have built a system that trades on specific signals."

According to Vidal, Walnut Investments is a man and machine approach to quantitative investing rather than a black box. The research team is focused on validating the financial models and results provided by the algorithm in order to ensure that trading signals are strong and......................

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