Systematic FX Trading II

Discussion in 'Journals' started by mahras2, Feb 20, 2006.

  1. mahras2


    Well decided to start another journal on systematic FX trading. All trades will be determined by quantitative models. The models have sizably changed since the last journal. The models are volatility based which seek to capitalize on momentum. A lot of measures have been taken to keep account volatility at a minimum. The two pairs traded are EURUSD and GBPJPY.

    Performance will be posted as percentage returns on starting capital as of now.
  2. spersky


    Will you be posting the system criteria,or just the signals?

  3. mahras2


    None of the above. I simply can't post the signals as they are taken care of automatically and may be placed any time. Naturally I will not be posting the criteria. The goal of this journal is simply to keep a log for myself on the results and write down any ideas or thoughts I may have on the performance. I will also post weekly overviews of the market although they are not really used by the automated models.

    Pretty slow day. Account return: -0.41%
    Basically no sustained volatility in the markets. All the models are in the red slightly. Overall just an average losing day.
  4. mahras2


    Account returns: 0.00%

    Dead breakeven. I found an order management error on the GBPJPY model which could affect results negatively. So I am taking the GBPJPY models out of the market for now. So I have the two models trading EURUSD now. Hopefully it will start getting back on track to hit the monthly targets I set.
  5. mahras2


    Ended week with a positive tone. Account return: +0.16%. Heres to hoping for a good week!