Short term correlation (Por psnowfox)
| Ganho : | -11.65% |
| Drawdown | 41.42% |
| Pips: | 1674.9 |
| Trades | 811 |
| Ganhou : |
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| Perdeu : |
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| Digitar : | Real |
| Alavancagem: | 1:100 |
| Trading : | Automatizado |
Discussão Short term correlation
Feb 27, 2019 at 03:43
538 Visualizações
1 Replies
Membro Desde Dec 21, 2018
17 postagens
Apr 16, 2019 at 05:56
Dear investors,
This is fully automated statistical arbitrage system uses to seek high profit with low risk via:
- It uses multivariate modelling and machine learning find short term cointegration relationship among various high-volatile pairs.
- Trade when one pair diverges from its theoretical modelling price, and take profit once it converges back.
- Work for 6-7 pairs at the same time depends on market situation and volatility of each pair. Currently, the model is applied working with AUDUSD, AUDCAD, EURGBP, USDCHF, GBPCHF and EURAUD.
- Fully back-test over a year (160,000 data points) with range profit 70% to 120% each pairs, maximum drawdown range from 11-14%. Forward tested for 3 months (January - 31st March 2019) with 38% profit and 12% max drawdown.
This is fully automated statistical arbitrage system uses to seek high profit with low risk via:
- It uses multivariate modelling and machine learning find short term cointegration relationship among various high-volatile pairs.
- Trade when one pair diverges from its theoretical modelling price, and take profit once it converges back.
- Work for 6-7 pairs at the same time depends on market situation and volatility of each pair. Currently, the model is applied working with AUDUSD, AUDCAD, EURGBP, USDCHF, GBPCHF and EURAUD.
- Fully back-test over a year (160,000 data points) with range profit 70% to 120% each pairs, maximum drawdown range from 11-14%. Forward tested for 3 months (January - 31st March 2019) with 38% profit and 12% max drawdown.
Membro Desde Jun 27, 2014
103 postagens
Aug 30, 2019 at 09:35
Looks like the back couldn't prevent a loss of almost 10% ... no trading ceased. What we can learn from it?
You haven't been around lately.
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