Trading Systems for Forex Portfolios
The currency market, also known as the forex market, is world's largest, most liquid financial market.
The quantitative trading systems we develop are for the world's major currencies as well as those of countries representing substantial financial centres:
- US dollar (USD)
- Euro (EUR)
- YEN (JPY)
- Pound sterling (GBP)
- Swiss franc (CHF)
- Canadian dollar (CAD)
- Australian dollar (AUD)
- New Zealand dollar (NZD)
Why use this kind of trading system?
Our forex trading systems represent a quantitative investment strategy for profit-enhancing risk-adjusted investment.
What is special about these forex trading systems?
In addition to utilising our proprietary forex forecasting, we have developed a special portfolio optimisation method used in our forex trading systems, featuring:
- Determination of the tangential portfolio (maximum Sharpe ratio) by mapping the efficiency frontier
- Construction of a robust portfolio having an attractive return profile using the Jorion method, and a robust covariance matrix using a proprietary method
- Sound risk adjustment techniques
- Factoring in of maximum net open positions
- Consideration of transaction costs
Who uses these kinds of trading systems?
Our forex trading systems are used by banks, asset managers and institutional investors to reduce trading risk.
Procedures and methods
Procedure for development of a quantitative forex trading system:
- Pre-assessment
- Forecastability of the currency pair under consideration
- Representativeness of the evaluation periods
- Relevant model classes for the forecasting layer
- Allow modelling of trends
- Allow modelling of levels
- Appropriate forecasting horizon and average signal duration
- Determining models for the individual currency pairs
- Transformations (filters and functions)
- AR and MA coefficients
- Model and frequency blending
- Determination of best forecasting models factoring in transaction costs and interest
- Portfolio optimisation
- Maximise information ratio
- Minimise drawdowns
Special portfolio optimisation requirements must be met:
- Time series content structure (triple)
- Maximum investment in line with net open positions
- Maximisation of information ratio
- Non-negativity condition
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