Q] Since the strategy
is Market neutral, what’s the capacity to handle the large ticket size? And by
what period can it absorb the augmented ticket size?
Yes, Since the strategy is non-directional
bias, it can handle the higher ticket size very well. It can take care of $1mn to $5bn
with ease.
Further the strategy trades different time frames, M15, M30, H1 & H4 independently.
The trigger is volatility-volume index[VVI],
since this index varies for each time frame hence each time frame is an unique trading
opportunity. Although the trading cycle length for each time frame varies:
Q] What’s the monthly
returns? And the annualized return for
the strategy?
The returns are in direct relation with the underline volatility, the stress test showed the following performance: Liberal Risk.
Leverage
adjusted market returns - keeping the exposure constant. [5.5 mths]
Actual stats 5.5mths
|
Leverage adjusted
stats.
|
|||
Leverage
--->
|
1:500
|
1:300
|
1:100
|
1:50
|
Deposit
|
$10,000
|
$16,667
|
$50,000
|
$100,000
|
Abs. Gain %age [5.5mths]
|
219.58%
|
58.38%
|
19.46%
|
9.73%
|
Abs.
Profit $$$ [5.5mths]
|
$31,958.30
|
$9,730.12
|
$9,730.12
|
$9,730.12
|
Daily
Gain (Adjusted)
|
0.70%
|
0.19%
|
0.06%
|
0.03%
|
Monthly
Gain (Adjusted)
|
23.32%
|
19.46%
|
6.49%
|
3.24%
|
Annual
Gain (Adjusted)
|
257%
|
214%
|
71%
|
36%
|
Note:
a)
Major pairs traded EURUSD, GBPUSD, AUDUSD,
USDCHF, USDJPY & USDCAD.
b)
Hedging with Zero margin, with avg 0.6pips
EURUSD, USDJPY & avg 0.8pips spread
on other majors.[all inclusive]
c) * The Annualized returns post discounting for
historic low volatile months.
d)
The returns direct relation to volatility,
higher volatile months yields better.
e) Avg time to close the trade cycle
4hrs:43mins.
Note: We did the forward test under Moderate Risk conditions for one year. Kindly click on the Gain Chart on the right. The forward test results are uploaded on www.myfxbook.com
Q] Have you back
tested the strategy? What’s the back
test performance?
As said the NDfx strategy yield is in direct relation with the underline
volatility and the strategy is market neural. NDfx does not use any form of Technical Analysis to generate Alpha.
* Liberal Risk
Compare the NDfx profit-curve of the back-test with the Live-fwd test on the right panel. Harmony in both shows back-test results can be duplicated in live conditions as well.
CAUTION: Most of the Algos/EAs/Robots out there in the market, follow trend chasing strategies making use of the Technical Analysis[TA] in some form or the other. As said, market keeps changing and thus such Algos/EAs/Robots are not able to adapt to the change in the market conditions, although they look great for smaller time periods, however fail to yield same performance levels over longer period of time. I personally do not believe in back-test as most of the trend chasing Algos/EAs/Robots, which shows good performance on the back-test data are often curve-fitted.
Links showing the back-test performance: [Moderate Risk, without compounding]
* Liberal Risk
Compare the NDfx profit-curve of the back-test with the Live-fwd test on the right panel. Harmony in both shows back-test results can be duplicated in live conditions as well.
CAUTION: Most of the Algos/EAs/Robots out there in the market, follow trend chasing strategies making use of the Technical Analysis[TA] in some form or the other. As said, market keeps changing and thus such Algos/EAs/Robots are not able to adapt to the change in the market conditions, although they look great for smaller time periods, however fail to yield same performance levels over longer period of time. I personally do not believe in back-test as most of the trend chasing Algos/EAs/Robots, which shows good performance on the back-test data are often curve-fitted.
Q] You say the
strategy performance is directly related to the market volatility, What’s the
trading statistics such as Sharpe Ratio[SR], Standard Deviation[SD]?
Yes, the inherent volatility in Forex market results in better
returns. It is important to note:
- The strategy trades in
cycles. The trades are initiated with smaller lot-size rather trading one
single trade with higher lot.
- The strategy is
non-directional, hence the hedge trades are placed to handle the sudden market reversals.
Which means within the trade cycle, there are some loosing trades
& some winning trades. The strategy collapse the cycle in $$$ profit.
The statistical parameters such as Sharpe Ratio[SR] & Std
Deviation[SD] are best to evaluate the strategy which are traditional trend
following CTA-style.
Please find the
screenshot:
EURUSD -à http://bit.ly/Ndx_EurUsd
AUDUSD -à http://bit.ly/Ndx_AudUsd
USDCAD -à http://bit.ly/Ndx_UsdCad
USDCHF -à http://bit.ly/Ndx_UsdChf
EURUSD -à http://bit.ly/Ndx_EurUsd
AUDUSD -à http://bit.ly/Ndx_AudUsd
USDCAD -à http://bit.ly/Ndx_UsdCad
USDCHF -à http://bit.ly/Ndx_UsdChf
Generic queries addressed, in case of any specific query, please feel free to Contact us:
