About Carlo
Carlo Zarattini, originally from Italy, currently resides in Lugano, Switzerland. After completing his mathematics degree in Padova, he pursued a dual master’s in quantitative finance at Imperial College London and USI Lugano. He formerly served as a quantitative analyst at BlackRock, where he developed volatility and trend-following trading strategies. Mr. Zarattini later established Concretum Research, assisting institutional clients with both high and medium-frequency quantitative strategies in stocks, futures, and options. Additionally, he founded R-Candles.com, the first backtester for discretionary technical traders.
Carlo's Videos
We introduce a new, highly effective intraday momentum strategy for trading SPY, a premier ETF tracking the S&P 500. Unlike traditional strategies that focus on the last 30 minutes of trading, our approach captures momentum throughout the day by identifying abnormal demand and supply imbalances. This strategy employs dynamic trailing stops to minimize losses while maximizing gains. Between 2007 and early 2024, our intraday momentum strategy achieved an impressive total return of 1,985% (net of costs), with an annualized return of 19.6% and a Sharpe Ratio of 1.33. We rigorously test its performance across different market volatility regimes, analyze daily profitability concerning day-of-the-week effects, and compare it against established technical patterns. Additionally, we examine the impact of commissions and slippage on overall profitability. Join us to explore how this innovative strategy can enhance your trading performance.
TRADING
