Our FXSWING strategy ( http://www.collective2.com/details/98851357 ) gained some traction as we have started featuring it recently. We have received a few questions about the strategy and would like to summaries them here which is more efficient than direct emails.
Is there a backtest available?
We design our strategies on statistical measurements, thus there is no classical backtest available which would reflect real execution prices for this strategy. However we do measure variance and amplify these to the disadvantage of the strategy and thus can say that the C2 drawdown value should reflects the simulated drawdown within 2 standard deviations (95%). In other words there is a 5% chance the highest drawdown is higher then the C2 recorded so far (18% DD). This is of course still hypothetical as surprise events like the CHF shock could have an adverse effect on the strategy (though FXSWING would have been short EUR/CHF at this time).
Any questions regarding performance
We can not reveal Sharpe ratios and alike of the backtest. Also our implementation of this strategy is within an Equities portfolio which has different currency exposure.
Does the strategy currently outperform your expectation?
Slightly, it was a good start into 2016. However the high return comes from the high leverage as 10k USD starting capital is aggressive and results in apx. 1:28 leverage. High leverage = high risk.
Do you trade pegged Currencies?
No, SEK,NOK,HKD are not traded because of the potential tail risk. We had 1 USD/HKD trade in FXSWING which happened by mistake and was corrected on the same day as we monitor the strategy closely.
Please note that we will limit subscription once a certain amount of followers is reached, if you cant sign up please try again later.
Nice to see that you have TOS badges on all three of your systems, especially since they are relatively new.
Well we absolutely believe in our strategies and trade them in some way or another since a while. Additionally we hope to describe the involved risk in the strategy description sufficiently.
FXSWING will start to trade USD/CHF as of tonight. 30k base.
RE: INTRADAY USA
We had many new subscribers over the weekend - first of all thanks & welcome!
We just wanted to highlight that INTRADAY USA is currently performing above our long term expectations and thus would like to advise that you enjoy it carefully. INTRADAY USA requires high realized volatility which we recently had plenty of in the market and thus we see these outstanding results.
Another great week for FXSWNG with a weekly Performance of +5.7% and many new
Thanks everyone for the trust and being an early
subscriber to FXSWING and INTRADAY USA.
Both strategies performed well this
The US non-farm payroll days today came in solid, thus
giving the FED leeway to continue with the rather hawkish rate increase plan.
FXSWING was not perfectly aligned for this as the USD has gained strength
after the figure. However it is a good example of how the strategy absorbs
"shocks", specifically how the drawdowns are limited in such cases
(disclaimer: trading this strategy is still risky)
We received many
emails asking us about leverage for the FXSWING strategy and we would like to
emphasize again that the 10k USD initial funding is aggressive as drawdowns can
reach 20% or more on such high leverage (in fact there is a 5% chance for a
higher than 20% drawdown in our simulation when using a leverage of 1:25 or
Please be considerate when assigning capital to autotrade this
strategy, we suggest to initial fund more than the 10k USD in the model
We would also like to highlight that you please follow trading in
all currency pairs, even if some may unperformed in the recent executed
trades as their past performance is no indication for the future performance and
the strategy relies on the diversification and correlation of the currency
We will include USD/MXN into the strategy next week.
We will increase subscription price in regards to the performance of the
strategy, i.e. you will pay less when the strategy is not performing too
well as the normal subscription price will be increased according to the
performance and demand. Rest assured that we will value loyal clients and give
them several months on the price they subscribed. If you unsubscribe you will
lose that benefit.
So after month and so I check again I see that the win rate is more like play with dice (50-55%) so any simple strategy that cut loss and make the gains run will be profitable - but this is no magic or any special method.
When I check th w/l rate and compers is this longer term system ( my crazy option system) it also nor t so amazing 2.24/1 vs 2.7/1.
Buy the bug is the almost DD in the beginning - I can answer to any people that can risk X to gain 10x but here we just with new System that move down 20% very easily.
I respect any new systems, even when their developer doesn’t respect me.
Buy it is too easy to celebrate anything here.
be careful when using automatic system with Hugh DD at the start
This forum thread is for people subscribing to our strategies not for advertising your strategies.
Additionally I don’t understand most of what you are trying to say (aside that you play with dices?). Please use google translate or have someone with basic English skills helping you to translate - but not in this thread please.
The game is like that (fair):
I can write in your forum thread as much as you can do or did in my forum thread.
I didn’t say anything bad about you system but i put my point of view of new systems and let the public judge with more information.
you can’t go live in forum and ask sombody not to comment (did you hear about Facebook?).
you should be mature and respect other point of view.
the worse for you is no comment.
And you got my perpective as developer of leading systems for free…
I use Data and please respect the information inside. lets speak if 20% in first month or so is good?
As always i respect you and wish you great week, great results (really) and good life
USD/MXN has been added to the FXSWING portfolio. 30k Base.
Time flies… it’s Saturday again! Here goes our weekly roundup.
FXSWING performed well though the beginning of the week was a bit bumpy.
We were lucky (though luck should have nothing to do in trading!) when we implemented the first real exotic currency, the Mexican Peso. The Mexican Government decided to increase rates to 5.35% to counter the recent devaluation as the Mexican economy is solid (in emerging market terms). We have reduced the exposure from 30k to 20k USD as the currency had too big of an impact on the daily portfolio rebalancing. Next on the list for implementation are USD/HUF and EUR/ZAR, also with 20k base each.
We would like to advice that a funding of 25k USD is now optimal to run the FXSWING strategy as we have been adding currency pairs to further diversify the portfolio in the recent weeks. The model is aiming for a Sharpe of above 5 (we currently run above 6) and the more currency pairs the better the correlation matrix. Of course this Sharpe is theoretically and many factors can contribute to adverse effects. (Disclaimer: No guarantee for similar future results, it’s risky)
INTRADAY USA made some small gains this week, we mentioned in the past that we expect a Sharpe of apx. 1.5 and we currently are above that. (Disclaimer: No guarantee for similar future results, it’s risky)
We will be adding two new longer term strategies in the coming weeks, Dual Momentum and Factor ETF Portfolio.
The basic idea behind Dual momentum can be found in the following paper though we made a few amendments that adjust for the global economic environment. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2042750
The Factor ETF Portfolio is a well known hedge fund strategy, aiming to tilt the Portfolio towards factors that beat the market and has been studied intensively in the academic world, most famously by: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/biography.html
Since most of the C2 traders probably don’t have a multi million dollar portfolio we will use liquid ETF to generate the Factor portfolio tilt and use our proprietary algorithm to time specific factor exposure. That’s quiet important as the hyped “Value” factor is down 18% in the last 12 months.
Loyal subscribers to our strategies will enjoy several months of free subscription.
There will be no roundup next weekend as we have our Rebel Trading Offsite in a nice Ski resort.
Rebel Trading Team