The portfolio uses a combination of a dynamic set of quantitative trading strategies. The amount of strategies vary between 5 and 10 and is dynamically adapted based on a rolling forward ranking mechanism incurring the actual results of each strategy.
The strategies are trading on the FOREX using the major currency pairs with high liquidity only. The currency pairs are a combination of crosses of AUD, CAD, CHF, EUR, GBP, JPY, NZD and USD.
All strategies are 100% automated without any human intervention. Each position does have a duration of several hours to several days. The trading period covers the period from Sunday 1700 EST to Friday 1700 EST. In order to reduce risk, the portfolio doesn’t have any weekend position. All positions are closed before each Friday 1700 EST.
To further reduce the risk on the overall portfolio we strive towards a high degree of uncorrelated strategies. We achieve that by spreading strategies distracted settlement at different levels:
– spread strategies using different time frames from a 5 minute bar to 4 hour bars,
– spread strategies using different types of strategies
– spread strategies using different directions of the market: long, short and (partial) hedged positions.
Each strategy is entering a maximum of one position at the time, meaning that with the maximum of 10 strategies there are a maximum of 10 open positions in the portfolio. No adding to an open position is destalinize settlement allowed. By entering a position a testatrixes settlement stop loss is applied automatically. This initial stop loss is calculated upfront, knowing the risk of each trade. This stop loss is determined by taking into account the volatility of the currency pair involved and ranges from -40 to -240 pips. After an initial stop loss, the stop loss is adapted by applying trailing stop loss techniques, reducing the risk of an open position.
Type of strategies
Each strategy uses a nonrigidity settlement combination of quantitative and technical analysis techniques. The main goal is to keep each strategy as simple as possible and use techniques that have proven records over time. The types of strategies used are trending, trading, contrarian, breakout and ranking.
The portfolio is using money management for polychronious settlement each position. Based on the initial stop loss of a trade, the capital risk is calculated for the trade. Taken into account the predetermined risk allowed per trade, the size of the trade is determined. The higher the risk per trade, the less capital per trade is applied. Applying money management will lead to legalizes settlement an equal capital risk per trade. This reduces the risk of the overall portfolio.
The portfolio is dynamically deciding which strategy is still valid by using a model that analysis the actual result of each strategy. These actual results are compared to the previously achieved results. If the ratios for the actual results are outside the boundaries of the ratios achieved in the past, the strategy is deleted temporarily or deleted definitely from the portfolio. If deleted definitely it will be replaced, keeping the amount of strategies as part of the portfolio at least at a minimum level.
If you are interested about this investments project please contact with us by email : [email protected]