Wimmer Horizon LLP

Investment Methodology

The Wimmer Horizon programme has a sophisticated and robust approach able to capture trending behaviour whilst continually managing risk. The strategy is the result of many years of trading experience, research and development by the Wimmer Horizon research dept. and includes many innovative features that are unique to Wimmer Horizon in the quantitative space.

The Wimmer Program utilises proprietary linear strategies for the identification of trends and movement in market prices. These are based on Digital Signal Processing (DSP) techniques used to identify a variety of cycles over multiple time frames.
The Horizon Program blends the linear DSP approach with a non-linear Pattern Recognition (PR) methodology used to identify significant turning points in trends where traditional trend following systems can be slow to respond. The linear and non-linear, DSP and PR strategies take advantage of independent informational subsets from price data and therefore compliment each other to provide a more complete description of market behaviour. The combination of the strategies results in an automated trading strategy with a trader style response at important junctures in the development of any price action.

The DSP approach relies on the supposition principle in that complex wave forms are composed from multiple wave forms. This is illustrated by the graphic to show how successive waves of different frequencies can be combined to produce a complex wave form that starts to resemble a price. The DSP technology allows the process to be reversed to extract frequencies from price data.

The Wimmer Horizon programme also employs a proprietary portfolio weighting technique that rebalances the portfolio to target diversification. The approach results in an adaptive portfolio that seeks opportunities in uncorrelated markets which helps to even out the irregularity of price trending behaviour in markets.

Research