Annanay Kapila
Quant Researcher
ex-Tower Research · ex-Flow Traders
Signal research, feature construction and book design.
Built by quants,
managed for you.
A market-neutral perpetual futures book, run systematically on QFEX. Long and short in the same pool. Flat at 16:00 ET every day. Your collateral never leaves your account.
249 live sessions on the production model, net of fees, unlevered, out of sample. Not the audited return of a pooled vehicle. Past performance is not indicative of future results.
APY · Net · 1 year out of sample
29.6%
Cumulative net
+0.00%
Best day +3.08% Worst day −3.01%
59.0% of days positive.
Return profile
Equity-like return, without equity beta.
Production model on live market data, 2 September 2025 to 14 August 2026.
Net
Gross
New high water mark on 40 sessions
Worst peak-to-trough −8.2%
249 trading days
Annualised return
29.6%net
32.9% gross
Sharpe ratio
3.01net
3.35 gross
Sortino ratio
4.64net
5.22 gross
Annualised volatility
9.8%net
9.8% gross
Daily hit rate
59.0%net
60.6% gross
Max daily drawdown
−3.01%net
−3.00% gross
Index beta
0.00net
0.00 gross
Unlevered. Gross is before fees and financing.
The people behind the book.
Joshua Wharton
Quant Developer
ex-Citadel
Execution, exchange connectivity and production risk systems.
With researchers and engineers from
How the book is built
Systematic end to end, no discretion.
Step 01
Features generated from
MomentumReversionVolatilityMarket relationLiquidity
200+ features
Step 02
Forecast
The model targets intraday dislocations, normalised across the cross-section so every name is measured on the same scale.
Robust loss, refit monthly
Step 03
Rank and size
Top long and short perps are pair traded. Portfolio weights are scaled by magnitude of dislocation and inverse volatility, then capped.
Long Short Balanced
Step 04
Neutralise
The whole book is projected onto zero dollar exposure and zero index beta before a single order leaves the box.
net = 0, beta = 0Flat at 16:00 ET, every day. Nothing is held overnight.
Why perpetual futures
More book per dollar of collateral.
Why the same signal is worth more on perpetual futures.
Prime brokerQFEX perps
Margin
Per-account requirement, held long and short separately
One cross-margined collateral pool across the whole book
Shorting
Locate, borrow cost, recall risk
Symmetric with the long side. No locate, no borrow
Hours
Regular session, plus thin extended hours
Continuous 24/7 market
Rebalancing
Each leg re-margined on its own
Deep liquidity, tight spreads and low fees
Gross notional per dollar of equity
2 – 4×
A market-neutral book is cheap to margin when longs and shorts offset in a single pool. The same book at a broker ties up materially more capital.
Why it matters here
An active market-neutral book lives or dies on two things: how much gross it can carry per dollar of collateral, and how much depth it can move through. QFEX improves both at once, which is why the same signal is worth more here.
Structure
Managed accounts, open now.
Separately managed
Collateral stays in the client's own QFEX account. Trading access only, no withdrawal rights.
Trading access onlyPriced every night
Positions are visible in real time and the book is flat every night, so NAV is unambiguous daily.
Daily NAVLiquid by construction
The strategy holds nothing overnight, so an account can be stood down in a single session.
No lock-up
Capacity is finite.
The book is sized to the liquidity it can move through, and the allocation closes when it fills.
You are on the list.
We review the waitlist weekly and reach out on Telegram first. The full tearsheet, fee schedule and onboarding terms come with that message.