Sal Abbasi | Co-Founder
Coatbridge Capital

Sal Abbasi, Co-Founder, Coatbridge Capital

Sal Abbasi is Co-Founder and Portfolio Manager at Coatbridge Capital, a quantitative hedge fund involved in algorithmic trading of US and international exchange traded futures, options and ETFs.
Prior to founding Coatbridge Capital, Mr. Abbasi served as Head of Quantitative Credit and Fundamental Credit Technology at Citadel. At Citadel, Mr. Abbasi designed and built algorithmic trading systems for Citadel’s Quantitative Credit business.
Mr. Abbasi was previously Head of Technology for Citadel’s Equity Statistical Arbitrage business. Mr. Abbasi also helped launch a business to trade same day natural gas options at Citadel.
Before Citadel, Mr. Abbasi worked at Morgan Stanley in New York, where he helped launch a profitable spread options trading strategy and a structured commodities trading strategy.
Mr. Abbasi has a Master of Business Administration from New York University, a Master of Science in Mechanical Engineering from Rensselaer Polytechnic Institute, and a Bachelor of Science from Lafayette College.


TSC 2018 - DAY 1 @ 14:10

The art of backtesting – best practices and war stories from practitioners

40-minute interactive roundtable discussion

TSC 2018 - DAY 1 @ 16:30

Building a quant strategy - VIX vs. S&P 500

  • Which futures should we trade? Front month, Second month...?
  • What “roll yield” should we enter / exit at?
  • How do we compute the hedge ratio of the VIX to S&P 500?
  • Is it better to trade ETFs (VXX, SPY) or futures (VIX and E-mini)?
  • Effect of transaction costs, short fees and commissions

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