History of Kinkopf Capital Managed Account Programs
S&P Managed Account Inception in January 1999
The Core System 1 (CS1) is the primary trade decision maker. CS1 is the core "S&P managed account system". This system has not changed since its initial inception in January 1999. CS1 is multivariable non-price based complex system.
Volatility Scaling (VoS) Algorithm Introduced in December 2007
Volatility Scaling (VoS) was introduced in December of 2007. Volatility scaling dynamically modifies position sizing based on current market activity. Sizing varies between one (1) and seven ( 7) S&P 500 futures contracts based on a $100,000 account allocation.
Octagle Algorithm – Introduced in April 2014
System2 (S2) was added in April of 2014 to verify and assist CS1. S2 has additional trend following components and can, in some instances initiate, extend or exit a trade triggered by CS1.
The Core System1 (CS1) (prior to 4/1/2014) acted as a single system with awareness only of itself. With Octagle, CS1 can look at itself and remove itself from past, future or current action. That is synonymous with the view statements as follows and illustrated above:
Past View CS1:
From a market view positioned from yesterday, could the trade being considered today, be validated by probable actions from where the market is now.
Future View CS1:
From a market view positioned from tomorrow, could the trade considered today, still be viable by probable actions from where the market is now.
CS1 – no past –stateless:
This unique check disregards the current trade, future and past trades and checks for trade initiation regardless of loss or gain.
The same considerations are processed again for S2 for each view stated above. (Past View, Future View and No past – stateless) .
If there are disagreements then a trade would either not be placed or would be exited. S2 can on occasion initiate a trade independent of CS1. Trade duration, targets and stops can occur from any of the 8 views, hence the name Octagle.
S2 is a non complex input system while CS1 is multivariable non-price based complex system. S2 relays only on price with standard mathematical statistical massaging of data.
Octagle VoS Introduced in July 1, 2015
The S&P Managed Account program's Volatility Scaling component has been updated to integrate Octagle as its primary Volatility Scaling (VoS) Component. This change is effective 7/1/2015 and replaces the December 2007 component. The key change is trade selection is now scaled rather then by varying contract quantities. This component is also used in the S&P SELECT Managed Account program announced the same day.
NEW S&P "SELECT" Managed Account Program - Inception in July 2015
The S&P SELECT program started proprietary trading on 7/1/2015. Unlike the S&P program, S&P SELECT has a minimum investment of only $25,000. The key features of this program is it's designed to be less volatile using a smaller investment. Rather then using key market internals, price will be the primary deterministic component to initiate trades. A short term trend component allows for short term trend captures. Trades may occur less often but for longer durations. Only the top ranked trades categorized by Octagle are taken. Finally, volatility scaling will be performed by a trade selection process rather then contract quantities.