Tue, Apr 24, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Sequoia takes Facebook stake as shares slide in data controversy, $1.4b hedge fund sees intact fundamentals for Facebook, Jim Cramer reveals some 'suggested hedge fund trades' amid the Trump tariffs[more]

    Sequoia takes Facebook stake as shares slide in data controversy From Bloomberg.com: The $4.2 billion Sequoia Fund bought a small position in Facebook Inc. as the stock slid late in the first quarter, investment manager Ruane, Cunniff & Goldfarb told clients. "The recent controversy enab

  2. Activist Investors - Blue Sky-owned Wild Breads faces uncertain future[more]

    From AFR.com: A Blue Sky private equity investment in artisan-style baker Wild Breads enjoyed multiple valuation upgrades despite losing millions and breaching its lending covenants, accounts lodged with the regulator last week show. Wild Breads lost $2.4 million in 2017, but Blue Sky ascribed a hig

  3. Opalesque Exclusive: Barnegat to close hedge fund to outside investors on weak opportunities[more]

    Komfie Manalo, Opalesque Asia: Bob Treue's Barnegat Fund Management said it is closing its $666m fixed income relative value hedge fund to outside investors. "The negative side to gains in Fixed Income Arbitrage is that unless we find new opportunit

  4. Investing - Hedge fund makes a big bet on malls, British hedge fund manager Odey short UK government bonds on QE bet[more]

    Hedge fund makes a big bet on malls From Barrons.com: The dominant narrative on American shopping malls is that they're dead. Crushed by Amazon.com, many brick-and-mortar retail stores are destined for bankruptcy. And where is the most retail, clustered all together? Malls. From a

  5. Performance - Hedge funds suffer first back-to-back loss in two years, Netflix performance burns hedge fund short sellers, Macro hedge fund up 14.5% in first quarter sees dollar falling, Renaissance Technologies rebounds across hedge funds in March[more]

    Hedge funds suffer first back-to-back loss in two years From Bloomberg.com: Hedge Fund returns sank for a second straight month in March, the first back-to-back loss since the first two months of 2016, as trade wars, tech-sector woes and a Fed rate hike dragged down the S&P 500 from its