Systematic Alpha

AUDUSD Systematic Trading Strategy (2023–2024)
What began as discretionary AUDUSD trading evolved into a fully systematic, rules-based strategy. I developed and backtested the rules in TradingView using PineScript, then engineered a cloud-based Python execution layer that runs 24/7—monitoring live price feeds, executing trades (via broker API), and reconciling positions autonomously, with real-time mobile alerts on any exceptions.

The Agile Fund (2013-2014)
Mean reversion systematic trading strategy with proprietary risk management framework. Generated alpha by trading equity derivatives. 24% return after fees with an alpha of 14%, Sharpe ratio 3x of the market (1.23)

Real Return Fund, (2020-2023)
Lead Portfolio Manager for the Real Return Fund (A$213m AUM), targeting CPI + 450bps. Researched, developed, and maintained a suite of systematic signals driving the fund’s alpha-generation sleeve. Signals were constructed market- and duration-neutral, equally risk-weighted, and expressed as a synthetic overlay with gross leverage of up to 800%. The signal framework was subject to formal annual review at minimum, please see an example of the signal writeup below. Approximately 1 in 5 ideas made it through to become a signal embedded in the process.

Signal ▲▼ Asset Class ▲▼ IR ▲▼ Frequency ▲▼ Premia Style ▲▼
Yield Curve AttractivenessRates (2y, 5y, 10y futures)0.922MonthlyCarry
Risk Adjusted Yield HarvestingRates (2y, 5y, 10y futures)1.115MonthlyCarry
Filtered CarryFX (forwards)0.962WeeklyCarry
Standardised Swap Rate ChangeFX (forwards)0.662MonthlyCarry
Normalised BackwardationCommodity (futures)0.665WeeklyCarry
Economic SurpriseFX (forwards)0.756WeeklyMacro
VixitivityCross-Assets (equity and rates)0.797MonthlyMacro
Fed ModelEquity (index futures)0.843WeeklyMacro
Volatility Smile (DM)Equity (index futures)0.900WeeklyMarket Structure
Seasonal SpikeEquity (index futures)0.908WeeklyMomentum
SeasonalityFX (forwards)0.843WeeklyMomentum
SkewCross-Assets (equity and rates)0.661MonthlyMarket Structure
Breadth ReversionEquity (index futures)0.877WeeklyMarket Structure
Swap SpreadsRates (2y, 5y, 10y futures)0.971MonthlyMarket Structure
Commitments of TradersCommodity (futures)0.720WeeklyMarket Structure
Bond Beta BreakdownEquity (index futures)1.063MonthlyMacro
Bond Yields MomentumEquity (index futures)0.813MonthlyMomentum
Equity AttractivenessFX (forwards)0.700WeeklyMomentum
Beta Adjusted ReversalCross-Assets (equity and rates)0.723MonthlyMomentum
EV/BVEquity (index futures)0.577WeeklyValue
Term Spread PremiumRates (10y futures)0.992MonthlyValue
Relative ValuationCross-Assets (equity and rates)0.803MonthlyValue