Jeff Coppola

Jeff Coppola
I'm enjoying myself using my engineering, management and financial skills analyzing portfolios, finding alpha generating ideas, and handling business and marketing aspects of co-founding HotChili Analytics..

Overview

The SaaS Tech portfolio is created each week by running the the Micro Segment Algorithm, which is a member of the StratNgn Library. The Micro Segment Algorith is configured with the parameters:

  1. Universe                = SaasTech
  2. Leverage Factor   = 1.0
  3. Long Percentage  = 0.7
  4. Short Percentage = 0.3
  5. Initial Cash             = $30k
  6. Pro Rate percent    = 0.1 ( Maximum exposure per asset trade)

For the week of 2020-02-18, the computed portfolio distribution is given as a CSV fiile. which can be used to trade this portfolio if desired.

SaaS Tech Portfolio Distribution for 2020-02-18

Strategy Rationale

This strategy is one of the microsegment ones in the StratNgn Library, and is based on the economic thesis that the SaaS Tech micro sector is undervalued due to most investors not knowing how to value SaaS companies. Extensive backtesting was done on the strategy Factor which showed that a 70-30 (100%-30%) Long/Short split at either a daily or weekly trading rate was best to minimize drawdown, while maximizing the Sharpe ratio of the strategy.

Live Results

We have run this strategy live, using mostly daily trading with Interactive Broker(IB) Trader Work Station(TWS)-API or the IB-Gateway-API, all of the time driven by our Chili Trader GUI, which calls zipline-broker for direct hook-up to the IB APIs'. Extensive paper trading wea done first to validate and prove out the flow with our GUI and underlying trading software.(zipline-broker).

Running SaaS Tech Strategy Live: IB-TWS on Left, Chili Trader GUI on Right
  1. Initial Investment Date: 11/01/2019
  2. Intial Investment amount: $30k
  3. NetLiquidation Value as of EOD 02/19/2020: $31.2k

Click for : Multi-Year BackTest of This Strategy

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