Short term correlation (Theo psnowfox)
| Mức sinh lời : | -11.65% |
| Mức sụt vốn | 41.42% |
| Pip: | 1674.9 |
| Giao dịch | 811 |
| Đã thắng: |
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| Thua: |
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| Loại: | Thực |
| Đòn bẩy: | 1:100 |
| Giao dịch: | Tự động |
Short term correlationThảo luận
Feb 27, 2019 at 03:43
388Lượt xem
1 Replies
Tham gia từ Dec 21, 2018
17bài viết
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.
Tham gia từ Jun 27, 2014
103bài viết
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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