A small overview of the current state of our affairs.
At the moment, we use only high-frequency algorithms in trading, the drawdowns of which are as low as possible and are rather an exceptional event. Here is an example of the equity of an instance of one of the strategies, based on 100 thousand rubles of guarantee collateral:
The number of transactions per day of such a strategy can be estimated from the chart in the title.
The portfolio of algorithms that we traded last year (you can see the results here) is monitored only on tests. Since the beginning of 2017, it has shown results much worse than in 2016, although there were months with good growth. After several drawdowns that exceeded the calculated 7%, we temporarily stopped trading these strategies and switched to higher-frequency ones.
The deterioration of the indicators of last year’s strategies occurred due to a sharp decrease in the liquidity of the derivatives market of the Moscow Exchange, especially instant liquidity. I associate this with an increase in commissions, which is most likely why many participants changed their behavior, and some of the less effective ones left the market altogether.
As a result, there is an urgent need to develop more complex strategies that require very fine tuning. I had to carefully lick the warhead code, minimize tick-to-trade performance, take into account a huge number of nuances associated with the peculiarities of the exchange infrastructure functioning. At the moment, tick-to trade in our system varies from 2 to 8 μs, the spread depends on the number of running algorithm instances and the number of instruments used.
Nevertheless, the prospects for the development of the derivatives market are currently giving rise to serious concerns, and we are taking steps to move to foreign sites, where everything is in order with liquidity, and it only grows every year, and in some markets it is just at an accelerated pace. I think that in 1-2 months we will already have working strategies in these areas.
Maybe closer to autumn there will be some kind of revival on MOEX, we will try to use it to the maximum, especially since now you can load the entire deposit due to low drawdowns.
Thus, despite some difficulties, there are plans for development for a long time ahead, and we continue to make money exclusively on the market.