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Short term correlation (By psnowfox )

Gain : -11.65%
Drawdown 41.42%
Pips: 1674.9
Trades 811
Type: Real
Leverage: 1:100
Trading: Automated

Short term correlation Discussion

Apr 16 2019 at 05:56
17 posts
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.
Andy Zatt (fastdrive55)
Aug 30 2019 at 09:35
103 posts
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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