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Strategy Replication with Genetic Algorithms

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 Jonathan Kinlay, Quantitative Research and Trading | Leading Expert in Quantitative Algorithmic Trading Strategies

 Wednesday, August 6, 2014

I'm working on a research paper on replicating funds using genetic algorithms. I am looking for suggestions of funds (long only, long/short or CTA) to try to replicate. I would need a monthly performance record of at least 3-5 years, ideally longer. Why would you do this? Because, for example: 1) The fund is closed to new investments, or capacity is limited 2) Fees are too high 3) Liquidity terms aren't acceptable 4) Your investment mandate doesn't permit an investment in the types of assets traded by the strategy (e.g. you would like an ETF version of a CTA futures product) 5) You, or your investors, need further convincing that the track record is valid and replicable 6) You like the product, but don't trust the management team 7) You want to stress test the strategy in ways that the fund manager hasn't, or isn't willing to share with you 8) You want to transport the alpha to a different market, or product


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