Basaraka statistical arbitrage system id:31078
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I provide the technique of the statistical arbitrage strategy used by the hedge fund.
"basaraka" means "exorbitant" in Japanese.
Statistical Arbitrage that buys the currency pair that sells a high currency pair easily is imaged.
It is filled and lack ..surging.. month if the wave pulls it.
It moves to the position should originally.
*** Feature of system ***
1. Content of operation
1. It has a long position and a short position in the same amount(relatively).
2. Standard of individual asset management
1. The risk management based on the quantitative analysis is done.
3. Operation target
1. It is assumed to be the first target to minimize maximum DD by taking the hedge position.
2. It aims at PF1.2 and the chance of success 75% as an operation policy.
4. Operation risk
1. Flexible Risk Control System.
2. The positions expand up to 5% one currency pair.
5. Range that can be invested
from yamakagasi.
STATISTICS (LAST CALCULATION ON 2010-05-03 09:00:01)
START TRADING SINCE 2010-04-21 20:21:36
TOTAL # OF WEEKS 2
THIS WEEK PIPS 1658
TOTAL PIPS 1616
AVERAGE PIPS PER WEEK 808
THIS WEEK USD 4508.64
TOTAL USD 4458.83
AVERAGE USD PER WEEK 2229.41
SIGNAL PERFORMANCE FACTOR (SPF) 0.01
ADVANCED STATISTICS (LAST CALCULATION ON 2010-05-03 15:32:50)
MAX LOT SIZE 1.76
MIN LOT SIZE 0.04
MAX ACTIVE TRADES 86
MIN ACTIVE TRADES 1
SUMMARY P/L 6458.69
NUMBER OF WINNING TRADES 92 (15870.04)
NUMBER OF LOSING TRADES 81 (-9411.35)
MAX SUMMARY P/L 6458.69
LARGEST LOSING TRADE -412.50 USD, -55 PIPS DETAILS
LARGEST WINNING TRADE 1381.60 USD, 78 PIPS DETAILS
MAX CONSECUTIVE WINS 5 (546.81)
MAX CONSECUTIVE LOSSES 4 (-273.01)
MAX CONSECUTIVE PROFIT 1381.60 (1)
MAX CONSECUTIVE LOSS -654.29 (3)
BALANCE MAX DRAWDOWN 1242.70
PROFIT FACTOR 1.69