Short term correlation (由 psnowfox)

收益 : -11.65%
缩减 41.42%
点: 1674.9
交易 811
类型: 真实
杠杆率: 1:100
交易: 自动的

Short term correlation讨论

Feb 27, 2019 at 03:43
1 Replies
会员从Dec 21, 2018开始   17帖子
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.
会员从Jun 27, 2014开始   103帖子
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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