‘Kalashnikov Gun Machine’ strategy

“‘Kalashnikov Gun Machine’ is a fully automated strategy. It yields results which coincide with the expected return in 95% of cases. The strategy almost always copes with the tasks it is assigned for. It is as reliable as the Russian machine gun”.

Alexander Butmanov
Founder of the FinTech company DTI Algorithmic

The strategy is well-suited for investors, who would prefer to follow the overall market trend and avoid being caught on the short-term price fluctuations.

Recommended time horizon for the investment is 6 months

Minimum deposit: 50000
Currency USD
Recommended time horizon for the investment is 6 months
Risk level: minimum
Expected return is 18%* per annum.
Strategy goal:

The goal of the strategy is to make continuous returns on both bull and bear markets.

Key points:
  • An automated strategy;
  • 500+ NYSE stocks and the most liquid ETFs;
  • The combination of technical, quantitative and fundamental analysis;
  • A predicative model that distinguishes fundamental economic changes from the “white noise”.
Investment philosophy of the strategy:

The best way to make money is to minimize losses during market falls. Investor has always remember that in order to recover from a 50% fall, he should make 100% gains.
Therefore, it is crucially important for the portfolio to have protection from a big drawdown.

The process:

Historical data suggests the inverse correlation between S&P500 and Volatility Index VIX, which is also referred to as the ‘Fear Index’ or the ‘Investor Fear Gauge’.

Our signal-triggering algorithm, which monitors the dynamics of the VIX, identifies points in time when the portfolio should have more long positions and when it should have more short positions. Trading frequency depends on market volatility. The strategy can be terminated at any time during trading session without any liquidity problems or synchronization restrictions.

Yield indicators:
Monthly standard deviation: 4,63%
Annual standard deviation: 16.05%
Best monthly return: 13,7%
Worst monthly return: -12,01%
The ratio of positive to negative months: 66,96%
Maximum consecutive positive months: 8
Maximum consecutive negative months: 3
Ratios:
The Sharpe ratio: 2.2
The Sortino ratio: 2,42

When the strategy does not recognize market trend it keeps cash holdings only.

Yield
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Kalashnikov
Gun Machine
S&P500
2017 4.31% 4.22% -0.66% -0.72% 1.78% 1.65% -2.48% 2.34% 3.21% 3.65% 4.13% 12.96% 34.39% 18.42%
2016 3.05% 2.00% -2.05 2.70% 4.85% -1.25% 2.91% 0.10% 0.06% 3.4% -4.13% 1.36% 13.00% 11.96%
2015 -3.09% 5.34% -1.49 2.20% 1.23% 1.92% 1.85% -5.82% 5.60% 6.63% 0.34% 2.15% 16.86 1.38%
2014 -3.35% 4.32% 0.79% 0.66% 1.93% 1.96% -1.33 3.74%% -1.31% -1.54% -2.61% -2.45 6.03% 13.69
2013 3.69% 1.21% 3.61% 1.83% 3.54% -1.79% 4.48% -0.65% 2.53% 4.40% 2.82% 2.45% 28.12% 32.39%
2012 3.15% 4.12% 3.06% 2.63% -5.71% 1.48% 2.91% 2.38% 2.71% -1.73% 0.54% 0.85% 16.09% 16.00
2011 2.22% 3.30% -2.50% 2.74% -1.06% -7.74% -2.51% 5.53% 5.30% 5.09% -2.43% 5.23% 13.44% 2.11%
2010 -3.18% 2.49% 5.79% 1.47% 7.16 -5.07% 5.94% -0.30% -0.79% 3.62% 0.00% 6.39% 23.49% 15.06%
2009 -12.01% 18.89% 5.00% 9.43% 5.56% 3.81% -9.20% 3.51% 3.36% -1.83% 5.86% 2.29% 28.67% 26.46%
2008 12.54% -1.34% 3.37% 2.66% 1.43% -7.93% 13.17% 1.47% 11.12% 11.80% -7.21% 5.00% 46.08% -37.00%
2007 0.99% -1.86% 1.10% 4.21% 3.22% -1.39% 0.32% 7.60% 4.00% 1.60% -3.19% -4.35% 12.25% 5.49%
Terms:

2/20
Management fee: 2% of Net Asset Value per annum. Charged quarterly at the rate of 0.5%.
Success fee: 20% of profit. Charged quarterly. Brokerage and exchange fees, taxes are not included.

Recommended time horizon for the investment is 6 months. Clients will be able to disconnect from our strategies at any time

Minimum deposit required to open an account with Interactive Brokers is $50000.

Transferring or withdrawing funds from the account is not restricted in any form

* Future returns are not guaranteed. Investing in the stock market always bears a certain type of risk, which is difficult to foresee. Future returns are calculated and based on our historical performance. DTI Algorithmic reserves the right to use investment tools other than mentioned above in order to protect investors from potential losses. The minimum period of time to be invested in our strategies is 6 months after initial funding.Minimum deposit is $50,000 or equivalent amount in the other currencies. Only the clients themselves have the authority to transfer or withdraw funds, as our strategies are run on their own brokerage accounts.