What’s Nikkei 225 Katana Alfa System

The Katana system utilizes the low correlation among the strategies to allocate and manage the strategies as a single portfolio. By combining low-correlation strategies, we aim to maximize profits and reduce drawdown.
The system has been back-tested and forward-tested from January 2012 to January 2020 with ample actual data, and has produced the expected returns to date.
A key feature of the Katana Alfa System is that our logic is designed to avoid wasteful trading during trendless market periods. The result is lower trading costs and lower risk. With a market entry rate of about 66%, there may be many days when there are no trading signals at all, but this is the time to wait for the next trading opportunity.
The following is the allocation of each strategy that was optimized from the back testing.

Strategy TSS (50%): 5 contracts in mini futures (held for up to 3 days)
Strategy RBREAK (50%); 5 in mini-futures
Strategy NJUDGE (50%): 5 in mini-futures

For all strategies, we will take exposure to 15 mini futures contracts (5+5+5) when the signals are issued simultaneously.

The current (October 2020) futures margin for trading one mini contract is about 120,000 yen (1200 USD ), so you need to have at least a total of 5,000,000 yen (50,000 USD) (maximum margin balance of 2,000,000 yen (20,000 USD) plus margin of 3,000,000 yen or 30,000 USD) as a minimum margin balance.

So, when drawdown occurs from the start of the investment, the amount of cash on hand will be 5 million yen – 1.4 million yen = 3.6 million yen because the maximum drawdown so far is about 1.4 million yen. This is about 24% of the drawdown rate, so you can’t bear it mentally, and you can stop the operation. Therefore, it is better to use this strategy with 10 million yen of margin to avoid mental damage.
The following is the historical performance chart of Katana system.

If any questions, please contact us.