2011 to present
The Systematic Intelligence Program (SI) is a fully systematic and globally diversified investment strategy. The strategy deploys assets globally by investing in 80 different equity, currency, commodity, interest rate and volatility markets via highly liquid instruments to maximize diversification and limit volatility.
Average holding periods range from 3-40 days per sub-strategy. Risk Exposures are adjusted daily and are reduced within 1-2 days in trend reversals. SI consists of 3 Sub-Strategies which are dynamically weighted, allowing complete de-allocation from an asset class and avoiding over fitting and a pre-established bias.
The SWARM Program (SWARM) is a fully systematic investment strategy based entirely on machine learning approaches. The strategy screens 400 assets globally and then builds positions via 25+ FX spot pairs on average. Various sub-strategies diversify trading approaches and contribute their inputs to their respective regularized neural networks.
The execution of the strategy is systematic, and all facets of the models, risk management and trade allocation are fully automated. Average holding periods approx. 1 day with the shortest average holding periods for pairs being less than 4 hours.
GRAB utilises a swing and trend focused trading methodology with a focus on elliptical cycles in financial markets. The algorithm detects tradeable patterns across 30 markets and trades them in the most suitable sub-strategy based on daily observations. The strategy makes use of entry and exit algorithms to detect regimes and employs an active drawdown limiting system.
The GRAB strategy was developed in 2013 and ongoing research has lead to further improvement implementations as recent as March 2019, leading to GRAB+
The EVEREST Program is a fully systematic, diversified trading strategy which was designed to achieve superior risk-adjusted returns regardless of overall market direction. It is live since March 2016 and has achieved a double digit annualized net return with a controlled level of volatility.
EVEREST is active in foreign exchange and precious metals markets employing a blend of complimentary market timing methodologies in order to diversify trading risk.
VIKING is a systematic macro strategy employing macro and sentiment variables to assess the level of financial market risk on multiple time horizons and has been live since 2014.
The strategy does not aim to forecast a specific trigger for a market drawdown (or rally). Rather, it forecasts the market sensitivity to such triggers, at a certain point in time.
VIKING is non-linear and asymmetric with a specific design to handle and pierce through the highly noisy nature of economic and financial data sets. The strategy does not rely on trend following / mean-reversal type of price pattern variables driving the returns.
AUXENTA is a systematic all-weather strategy with the ability to sustain shocks similar to auxentic materials. It consists of complementary medium frequency sub-strategies which digest data every millisecond.
The strategy does not solely rely on trend following components but rather reacts to short term market behavior via its adaptive hierarchical machine learning algorithms and risk models.
AUXENTA development started in 2016 with the initial strategy going live in June 2019.
ROCKET is a systematic high-to-medium-frequency algorithmic program that trades US futures on the main market indices. It tracks the instant changes of the available liquidity and reaction to these changes, to take advantage of either an excess of liquidity supplied by buyers or liquidity excess, supplied by sellers.
ROCKET focuses on market microstructure and liquidity changes caused by either recurring or unexpected liquidity events and utilizes holding periods ranging from 1 second to tens of minutes. The mathematical foundation of the ROCKET infrastructure consists of a series of specially developed data transformation mathematical algorithms, that take into account the non-ergodic character of the traded instrument dynamics (“memory”).
Average Holding Periods of the Leibniz Investment Strategies