Hi
i am doing a research on a strategy. however, there are some components are missing.
i would be grateful if anyone here can help.
the strategy is as following:
the system works with arbitrarily selected currencies(EUR, USD, GBP, CHF, JPY, CAD, NZD, AUD, SEK, NOK and DKK)
The trading strategy is based on quantitative analysis
- a statistical concept. - 50% statistical arbitrage statistical and - 50% position size management.
Standard risk parameters employ an average combined leverage around 2.5 - 6:1 for the entire portfolio.
The system opens positions in opposite directions.
The system is USD neutral (i.e. USD bought = USDsold), although there is a long/short exposure in other currencies.
The risk is addressed by diversification and position size management.
The system rebalances portfolio by gradually buying/selling fractional currency lots.
No need for protective stops.
you can download the spreadsheet of 1 month track record from fx-quant.com/Fx10PositionsJan07.xls
I look forward for your help.