Portfolio construction

Easy and convenient intraday strategies portfolio construction

Risk management

Premium risk managemnt


Ultra fast and reliable execution

Quantitative trading on NYSE and NASDAQ was never easier before!

Intraday trading is on decrease. People cannot compete with algorithms of large funds but the situation can be changed.

Trading robot we created can move you to the brand new level of trading.

No need to invent the bicycle, everything is already done!

The Box

People doing quantitative analysis and algorithmic trading are called quants. Quantum is the minimum amount of any physical entity involved in an interaction in physics and is the main subject in Quantum Mechanics – the science of the very small: the body of scientific principles that explains the behaviour of matter and its interactions with energy on the scale of atoms and subatomic particles.

The most famous and popular thing from Quantum Mechanics is the thought experiment described by Erwin Schrödinger.
The Schrödinger’s cat is put in the box with poison that is spread in the box in the moment when quantum state changes but according to Quantum Mechanics quantum state is not determined until it is measured so the cat can be dead and alive at the same time until the box is opened.

Algorithmic trading has some thing common with this experiment. When the robot is running you never know the result until you look at this. Trading algorithms are sometimes called the black boxes because nobody knows what’s going on inside.

We called our product The Box because it is open and transparent. There are many metrics allowing you to watch what is going on, our algorithms are open and well described, and the most important thing The Box does its best to keep the cat alive!

Alpha module

  • Simple but efficient intraday strategies
  • Open source strategies with Wealth-Lab code
  • Advanced R-link for custom strategies
Intraday trading has many advantages and disadvantages. One of the advantages is the thing, you shouldn’t worry about what can happen when market is closed. The worst problem is the commission.NYSE, NASDAQ and AMEX offers thousands of stocks suitable for making intraday profit, all you need is to find strategies working best with some stocks, and another strategies working best with others.

The Unshrodinger’s Box comes with the set of intraday strategies making many trades during the day monitoring large watchlist and choosing best signals. We believe that trader cannot trade this way without proper automation.

All strategies are documented, Wealth-Lab code is included so you know what happens inside.

You can build your own intraday strategies in R-language utilizing all advantages of this statical language. You can set your own rules or use machine learning algorithms built in various R-language libraries.

Optimization module

  • Multiple symbols backtest
  • Intelligible equity visualization
  • One-click from backtest to real-time trading
Backtesting and optimization module in The Unshrodinger’s Box is what makes this software very unique.In the most convenient way you can gather portfolio that works best for you.
Looking at multiple equity curves and performance metrics you can select best strategies and add it to you portfolio with just one click.

BackTesting all loaded stocks minimize the time trader spends selecting stocks. Fast and near optimization finds optimal parameters for chosen stock.

During the trading session it is possible to add more strategies for most active stocks and start trading immediately.

Portfolio management

  • Portfolio performance visualisation
  • Advanced portfolio construction rules
The Unshrodinger’s Box is focused on portfolio construction. This is the option that allows you to select strategies working best together.Backtesting and optimization allows to see how new tested strategies combine with your portfolio so you can easily find strategies minimizing your historical drawdown and improving overall performance.

Portfolio construction rules help to make your portfolio robust enough.

Order handling

  • Reliable order handling
  • Fast execution
  • Maximum possible paper and real congeniality
Proper orders execution is required for every automated trading system.Order handling module handles most difficult cases, such as partial execution and cancelled orders. It does it’s best to get each trade executed in the most convenient way and prevent any inconvenience while trading.

Real-time trading with The Unshrodinger’s box is very similar to paper tests.

Risk management

  • Real-time risk management
  • Overall risk management rules
  • Historical performance analysis
Risk management module is one of the most important thing in trading. This module allows to control overall risk you can take during the trading session.Basic risk management is what traders usually ignore. Proper risk management system is hardly to implement but as soon as you start using it, you will never trade without is again.

You can set maximum overall buying power, buying power per direction, maximum daily loss, maximum value at risk and other important metrics.

Proper risk management minimizes the risk for big loss, making the equity line much more attractive.

Real-time market data

  • Multiple market data provides
  • Advanced real-time data processing
  • Convenient visualization
Real-time market data module collects trades and quotes received from market data provider, joins it and send notifications to market index module and alpha module.Some advanced features are implemented in this module. As soon as new tick for the new bar for one symbol arrives, the module closes all bars for each traded symbol giving the alpha module the advantage making decision faster than systems waiting for new tick.

The Unshrodinger’s box interface allows you to see charts, recent trades and level 1 data for each ECN.

Performance analyzer

  • Trading performance to various metrics analysis
  • Setting additional filters according performance analysis
Performance analyzer is a module responsible for trading results vizaulization. You can check how your past trades performance depends on following metrics:

  • SPY change
  • SPY deviation
  • Market index change
  • Market index deviation
  • Market index position
  • Time of the day
  • Day of week
  • Some others metrics

Then you can apply additional filters to improve your trading performance.

Real-time visualization

  • Real-time trading visualization
  • Transparent process inside the black box
During the reading day you can watch what is going on inside the Unshrodinger’s box.You can check market index metrics, intraday equity, P&L, value and risk and see trading chart for each stock or see technical indicators and trades for chosen alpha algorithm.

Connection stability

  • Checks connections to broker and market data provider
  • Automatic switching to alternative market data provider
  • Stop trading and close positions in case of emergency
Connection stability is extremely important for every automated trading system. This module checks real-time date, broker API to prevent various undesirable situations and reacts if any.If something goes wrong with data provider, it is replaced with an alternative one, if broker API doesn’t response it tries to restart trading terminal, if connection fails it changes network routing.

In case of emergency it tries sending e-mail or SMS and close all positions.

Market index

  • Calculates various overall market metrics
  • Provides additional data for portfolio management module
Market index module collects all data for traded symbols joins and calculates various overall market metrics.Such metrics are extremely helpful when we need to apply additional filtering rules. Portfolio construction module handles overall market data to feel the market and choose optimal way to construct portfolio during the trading day.

Additional visualization allows to find symbols interesting for trading, backtest them and start trading immediately. For example, if some stocks seem overbought according to market, we can select mean reversal strategy and trade such stocks according to our trading rules.

Market replay

  • Market replay by bar
  • Order log market replay
Market replay module plays all collected data bar by bar. This allows you to test not just a single strategy performance, but also real-time risk management and portfolio construction rules.You can play all market data at once or set delay on a special date so all visualization will work just like real data is coming.

This module is extremely helpful for choosing appropriate risk management and portfolio construction rules.

The Unshrodinger’s box vs standard technical analysis program

Custom strategiesR language.C#

The Unshrodingers’s box Technical analysis program with the broker’s adapter
Orders Full control over ultra fast execution Delayed orders execution without feedback
Risk management Advanced real-time risk management Simple risk management on the brokers side
Portfolio Easy, convenient and fast portfolio construction Long portfolio construction and optimization procedure
Read-made strategies Intraday strategies set with open code. Many strategies, mostly not suitable for intraday.
Backtesting Full backtest with market replay. One by one backtesting

Pre-Order now

The Unshrodinger’s Box release date is scheduled to 1st of November 2014. In 2014 we will give out only 100 copies.

Pre-order it now, get your copy among first 100 people in the Universe and trade till the end of 2014 free of charges.

196084, Russia, Saint-Petersburg

Moskovskoe shosse, 46