October 2013 performance review for the 3pm Danica

Written by Forex Automaton   
Monday, 11 November 2013 07:02

The Danica trading system was deployed for the promising 3pm ET time window for the first time on August 6, 2013. This is the same version of the system which currently trades the 9am time window. The same policy of monthly performance reports is being followed for both systems.This is the second monthly performance update for the 3pm system.

Person correlation for close shown as a histogram. EUR/USD, GBP/USD, USD/JPY, EUR/GBP, EUR/JPY, GBP/JPY,  October 2013 Strategy P&L expressed as a histogram. EUR/USD, GBP/USD, USD/JPY, EUR/GBP, EUR/JPY, GBP/JPY,  October 2013

Fig. 1. Top panel: correlation coefficients between forecasts and reality. Bottom panel: strategy P&L for the last 50 updates in relative units as a per-update average, with its uncertainty shown by one standard deviation vertical bars.

Strategy P&L expressed as a histogram. EUR/USD, GBP/USD, USD/JPY, EUR/GBP, EUR/JPY, GBP/JPY,  October 2013

Fig. 2. Strategy P&L in relative units as a per-trade average, with its uncertainty shown by one standard deviation vertical bars, since inception (since going live on the web).

This version of the system reports and keeps track of two types of figures of merit:

  1. Pearson correlation coefficient between the predicted and real logarithmic returns.
  2. strategy P&L in relative units (P&L in the quote units relative to the price quote) as a per-trade average, with an uncertainty estimate.

By construction, the Pearson correlation coefficient is a quantity bounded between -1 (the forecast move and reality are total opposites) and 1 (the forecast is perfect). A success or lack thereof on every trading day makes a contribution to this quantity.

In order to make a large positive contribution, one needs a coincidence of a large move in a currency pair with a large forecast move in the same direction. Since a hypothetic rational operator of the system will not pursue small forecast moves, understanding this to be a noisy system, where a forecast with large magnitude is more likely to result in a successful trade.

Performance for close and not for high and low is of primary importance, since even in random walk, a hypothetic process driven by diffusion, positively correlated forecasts for the extremes can be obtained.

Performance charts

The following charts use colored bars to illustrate performance.

EUR/USD bar chart for October 2013 color-coded according to the degree of success in the forecast for close GBP/USD bar chart for October 2013 color-coded according to the degree of success in the forecast for close USD/JPY bar chart for October 2013 color-coded according to the degree of success in the forecast for close EUR/GBP bar chart for October 2013 color-coded according to the degree of success in the forecast for close EUR/JPY bar chart for October 2013 color-coded according to the degree of success in the forecast for close GBP/JPY bar chart for October 2013 color-coded according to the degree of success in the forecast for close

 

Forecast direction

up

down

Market agrees

yes

   

no

   

Fig. 2. Bar charts for October 2013, color-coded according to the degree of success in the forecast for close.

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Last Updated ( Sunday, 15 December 2013 14:28 )
 

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