Trading in Multiple Venues
OptiRisk is now supplying daily trading strategies actively in three global venues. The virtual execution of strategies are taking place through Interactive Brokers (IB) account. The daily trading portfolios are for S&P 500(US) and for Hang Seng (Hong Kong). In India the actual execution of strategies is taking place through SMC Capital. SMC Capital have many financial activities which may be succinctly put as Trading and Quantitative Investment Management. In the US we are providing live trading signals to Alfalab who are trading through Exante Brokers.
In summary:
Live Trading in India NIFTY 50
Strategies (SMC Capital)
Live Trading in US S&P 500
Strategies (AlfaLab) Brokers Exante
Virtual Trading in US S&P 500
Strategies (SMC Capital) Brokers (IB)
Virtual Trading in Hong Kong Hang
Seng ( Haitong Securities) Brokers (IB)
Our virtual trading portfolio on the Hang Seng index is now available to view on our Trade SES website. Follow our strategy and view performance measures such as:
(i)    Sharpe ratio
(ii)   Sortino ratio
(iii)  Maximum drawdown
(iv)  Days to recovery
(v)   Beta
(vi)  Turnover percentage
Retail Trading on NIFTY50
We, at OptiRisk, have developed ML models to predict market movement and trade on NIFTY Futures based on the model predictions. Our approach is an ensemble of expert human judgement and ML predictions to decide whether to take position in the market.
Our trading setup is that we enter market about 30-minutes before closing and liquidate next day morning, basically capitalizing on gap up and gap down. If our model predictions and human predictions match, e.g., both say market will go up, then we go take a position (long in this case), but if the model predictions and human judgement conflict, we do not take any position and stay in cash. Number of future contracts traded is decided by the confidence of prediction: in case of higher confidence, we take a large position, otherwise we take a conservative position.
We have been trading NIFTY Futures using this strategy on Tradetron since October 5, 2020.
Please click here to view the recording of our webinar explaining the strategy and how it can be deployed at Tradetron platform.
To get more information and to subscribe to our strategy kindly click here.
Feedback and Ratings
Umesh Ranglani 17 December, 2020
This strategy has intrigued me to no end. In the last 15 days, it has taken only 5 trades with a cumulative of in-market time of no more than 5 hours and ALL of them have been profitable. And whats really amazing is all of those were long futures, a trade which i wouldnt have been able to take manually at such levels. The secret sauce of ML used in this strategy is indeed something else.
AML Family of Products
Our in-house optimization modelling product AMPLDev, incorporates Linear Programming, Integer Programming and Stochastic Programming modelling features. We updated AMPLDevSP making it compatible with high-dpi displays. We have started testing a new version, a major revision based on AMPL API, which will include data modelling and a visualization tool. A beta version will be made available soon.
OptiRisk Systems is a partner of AMPL Optimization and also a contractor for the support and maintenance of AMPL IDE. The recent development of AMPL IDE includes major upgrades in the underneath platform. Many performance improvements and bugfixes are addressed for the next major release.
OptiRisk, in partnership with AMPL Optimization, is maintaining and enhancing six API for AMPL, enabling access of all AMPL features from C++, Java, .NET, Matlab, R and Python.
Online Workshop
We are working on an online version of our workshop on optimisation. Our course, delivered in multiple institutions across the globe, is about to become an e-course; the attendees will learn to formulate a model in the financial domain, express it in AMPL and solve it using our software (AMPLDev). It includes lectures on optimisation under uncertainty.
OptiRisk India
OptiRisk India was part of developing an Industry 4.0 application - In-line Conductivity Measurement System - for a leading tyre manufacturer. The System was developed with the concept of Smart Factory that makes the industrial production entirely automated & interconnected.
The In-line Conductivity measurement System is responsible for capturing tyre tread resistivity using high precision digital meters placed in the Production unit, processing the data and storing it in the Database. The captured data will be analyzed and displayed in a dashboard. This application is connected with PLC, which is in turn connected with Smart Factory command center. Bad patches of tyre treads are automatically identified and discarded by this integrated system.
PR & Communications
Authors: Dina Baigurmanova, Gautam Mitra, Shrey Jhunjhunwala
The authors explain the importance of Market Microstructure in the study of the Financial Markets; and then describe the roles of Market Participants. They discuss how the investment community is related to the trading community; these the authors categorize as Mainstream Market Participants. The providers of information about the market have emerged in many ways; they are characterized as Tertiary Market Participants. The authors also report the rise of automated trading and 'Algo Trading' across different asset classes. News sentiment, social media sentiment (micro blogs) have gained importance in respect of how they influence the Market. Recently emerging Alternative Data as influencer of Market activities have been considered in the final section of the Whitepaper.
You can download the full version of the whitepaper by clicking here and selecting the first tile with this paper's title.
Awards and Recognitions
OptiRisk was in the top 10% of Authors on SSRN by total new downloads within the last 12 months.
OptiRisk is proud to announce that the whitepaper "Forecasting Crude Oil Futures Prices Using Global Macroeconomic News Sentiment" published in the IMA Journal of Management Mathematics as a research paper is the winner of the Best Paper Prize of 2020 for the journal.
This issue presents the Top 10 most recommended FinTech solution providers in 2020. Gautam Mitra, the CEO of OptiRisk Systems, was requested to share the company's strategy of delivering innovation to the financial analytic community. He also explained how the company organizes leading events focusing on the BFSI sector, exploits cutting-edge research, maintains and nurtures talents from multiple geographies and fosters a remote work culture.
You can view the online article here and the full digital magazine here.
1. Earlier in 2020, OptiRisk was a sponsor of:
Financial Evolution: AI, Machine Learning and Sentiment Analysis, 23-26 September 2020
Financial Evolution: AI, Machine Learning and Sentiment Analysis, 4-5 November 2020
2. OptiRisk team will present at:
Professor Mitra, Our CEO has been invited to present at GARP Risk Convention, 23 February 2021 in the session: Optimizing AI and Machine Learning in Risk Frameworks.
OptiRisk is a Knowledge Partner and a sponsor of the following Events.
Financial Evolution: AI, Machine Learning and Sentiment Analysis, 24-25 March 2021
Financial Evolution: AI, Machine Learning and Sentiment Analysis, 23-24 June 2021
1. EPAT (NS&A)
OptiRisk in collaboration with QuantInsti and UNICOM Seminars have developed and delivering Instructor led Online training: EPAT Specialization: News, Sentiment & Alternative Data Specialization. This programme is designed for finance professionals who are looking to develop their careers in modern methods of Algorithmic and Quantitative Trading.
Click here for more details -
Financial Risk Manager (FRM) is the leading certification for risk managers. It is consistently in demand by nearly every major bank and firm in the world, and is awarded only to professionals who demonstrate the knowledge and ability to anticipate, respond, and adapt to critical risk issues.
Click here for more details -
The Energy Risk Professional (ERP) is a globally recognized designation offered by GARP (Global Association of Risk Professionals) for energy market professionals.
Click here for more details -
Staff Changes
OptiRisk team is excited to welcome new staff members on board. They are:
Shrey Jhunjhunwala, Chief Business Development Officer
Kolkata, India
Dina Baigurmanova, Marketing & Business Development Intern
Hitesh Menghwani, Research Analyst & Software Engineer
Indore, India
Sarah Amin, Social Media Marketing & PR Executive
Kolkata, India
Yuanqi Chu, Sponsored Industry based PhD Candidate & Intern
London, UK
Ravi Kashyap, Senior Consultant & Quantitative Analyst (Associate)
Alexander Gladilin, Research Associate
London, UK
Share this Credits
This newsletter was compiled by Dina Baigurmanova and supported by Shradha Berry and Shrey Jhunjhunwala.