FX Brain 3.4.2/2021
Green Oliver- Strategies 1
- Copiers 570
- Total trades 1794
Time period
ROI
-29.41%
- All time Profit -745,934$
- Copiers funds 2,368,898$
- Equity 761,847$
- Balance 240,400$
Description
This trading system is a set of advanced developments in the field of machine learning based on the analysis of the maximum amount of incoming and historical data.
The concept of the strategy is very simple and is characterized as robotic statistical arbitrage. The first step is the formation period, in which a pair of financial instruments is determined, the prices of which maintained an accompanying relationship during a certain historical period of profitability. The second step is the trading period; during this period, when the two prices diverge abnormally and the spread reaches a predetermined threshold, short position at a leading price, long at a low price, hold positions in opposite directions at the same time, and then close positions when prices converge to equilibrium.
The strategy is fully automated and not risky; it trades in relatively small market volumes.
The concept of the strategy is very simple and is characterized as robotic statistical arbitrage. The first step is the formation period, in which a pair of financial instruments is determined, the prices of which maintained an accompanying relationship during a certain historical period of profitability. The second step is the trading period; during this period, when the two prices diverge abnormally and the spread reaches a predetermined threshold, short position at a leading price, long at a low price, hold positions in opposite directions at the same time, and then close positions when prices converge to equilibrium.
The strategy is fully automated and not risky; it trades in relatively small market volumes.
Commission
USD 5 per Mio
- Since 15 January 2021
- Copiers 570
- Trades 1794
- All Trades Buy Sell Profit Loss
- Trades 1,794 953 841 444 342
- Net profit (USD) -745,935 -308,332 -437,603 459,092 -1,205,027
- Maximum profit (USD) 27,839 5,021 27,839 - -
- Maximum loss (USD) -29,736 -27,013 -29,736 - -
- Maximum Drawdown 52% - - - -
- Profit Factor 0 0 0 - -
- Total Pips won 545,429 - - - -
- Volume Traded (lots) 1,975 - - - -
- Average PL in points 964 410 1,593 1,228 3,464
- Summary PL in points -639,340 -275,507 -363,833 545,429 1,184,769
- Average Trade Duration 62 h 2 min 94 h 9 min 36 h 59 min 53 h 47 min 72 h 53 min
- Sharpe Ratio 0 0 0 0 -1
- Expected Payoff -949 -1,129 -853 1,034 -3,523
Traded Symbols
NZDUSD
27%
EURCHF
27%
EURUSD
26%
USDCHF
21%
Profitability / Unprofitability Of Trades
Profitable
56%
Unprofitable
44%