Version 2.0

TRAITS version 2.0 was released in February 2008. It provides a number of improvements over version 1.5, including:

  • Ability to handle much larger stock universes (in the order of several thousand stocks).
  • Improved machine learning component: much improved procedure for finding useful trading rules during in-sample period.
  • Improved handling of exits and better monitoring of ongoing profitability of open positions.
  • Improved handling of open positions during periods of rapidly changing market conditions.

It is used to power live run LiveFrom11Mar2008.

Most recent news items for TRAITS version 2.0

Results update, 4 May 2009

The current "live run" of TRAITS continues to beat the market, showing a return of nearly 6% in 2009 to date.

Live Run Performance & Commentary, 28 April 2009

A brief summary of the latest TRAITS live run performance figures, with commentary on the underlying approach and rationale behind TRAITS.

Results update, 3 February 2009

The current "live run" of TRAITS posted a 16% return in 2008, and is off to a good start in 2009.

Live Run Performance Bulletin 2, 13 November 2008

A brief summary of the latest TRAITS live run performance figures, with comparisons to the benchmark and real funds, and some background information.

Results update, 30 September 2008

The current "live run" of TRAITS continues to perform well despite the current market turbulence. Year-to-date, it is up over 11%, and out-performing the FTSE EuroFirst 300 benchmark by over 40%.