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A Deutsche Bank technologist has made something very special

Warren Hughes Deutsche Bank

Why work when you can build a mechanism generates returns like this?

Do you want to earn extra money while you work without having to do too much?  A little side-project that doesn’t keep you up all night, keep you busy all weekend, or involving dealing with people? Warren Hughes, ‘technology professional’ at Deutsche Bank is onto something.

We know that Hughes is onto something because not long ago, he was proclaiming it for all to see. Impressively, he said he’d programmed an “automated systematic futures trading system,” based upon, “scalable, automated, news based alpha capture.”

The system, which uses spread bets to bet on European Index Futures, has been running since January 2016 (we assume it still is).

Hughes said it generated incredibly impressive returns, as follows:

  • Jan 2016 Net Return: 59%
  • Feb 2016 Net Return: 55%
  • March 2016 Net Return: -17%
  • April 2016 Net Return: 40%

Its winner ratio is 57% and its Sharpe ratio is 3.02 – in other words, excellent.

How did Hughes achieve this? We don’t know exactly. He’s now removed all details of the project from the public domain and declined to elaborate when we called. However, he said previously said that the system he’s developed isn’t a “news sentiment trader” and that it, “uses no off-the-shelf news signals or processing – it’s far better.”

Importantly, Hughes’ employer seems totally cool with all this. Deutsche Bank declined to comment, but Hughes previously wrote that everything was approved by the bank’s compliance team: “It is 100% my personal IP and property. As a tier two employee I have authorisation to trade futures with more than 20 underliers without pre-approval via a DB registered broker.”

With results like this, why isn’t Hughes working for a hedge fund? Maybe he intends to. In fact, he may be more than the mere “technology professional” he now proclaims himself to be: Hughes was EMEA head of systematic trading technology at Deutsche between 2013 and March this year, and until 2008 was a program trader in Deutsche’s proprietary trading group.

These days, Hughes is working on something called ‘Project Sparta’ in Deutsche’s wealth business. This appears to be about adapting Deutsche’s systems to new regulations like MiFID II.

The message (if there is one) from Hughes seems to be that getting ahead in banking now is mostly about implementing new regulations.If you want to program and operate a system that generates effortless alpha, you’ll need to do that in your own time. Banks have got other things to be getting on with.

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