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Forex Trading > Trading Picks     Correlations     Trading Picks

Trading Picks

quantf research Strategies

Currencies Currencies Currencies
EUR/HUF USD/HUF GBP/JPY
EUR/JPY USD/JPY CHF/JPY
AUD/JPY CAD/JPY NZD/JPY
TRY/JPY USD/CZK GBP/ZAR
EUR/ZAR CHF/ZAR EUR/SEK

Historical Cumulative Return

Performance Evaluation

Statistics Quantf EUR/USD GBP/USD USD/JPY USD/CHF
Average 0.25 -0.04 -0.03 0.04 0.02
Volatility 0.08 0.06 0.07 0.07 0.08
Sharpe 2.97 -0.66 -0.48 0.62 0.28
Max 0.06 0.02 0.02 0.03 0.02
Min -0.06 -0.02 -0.08 -0.03 -0.10
Cumulative 3.61 -0.24 -0.19 0.30 0.13
Drawdown 0.15 0.28 0.30 0.16 0.16
Duration 164.00 844.00 695.00 379.00 737.00
Profit/Loss 1.27 0.88 0.95 1.04 0.96
Win Rate 0.57 0.44 0.42 0.47 0.45
Expectation 0.29 -0.18 -0.17 -0.04 -0.11

What is the quantf research FOREX Trading Picks all about?

The quantf research FOREX Trading Picks is a product of quantf research website (www.quantf.com). It provides a FOREX currency pairs portfolio recommendation with daily repositioning. This is an equally weighted portfolio with varying composition from day to day. 

What is the point of constructing a currency portfolio?

Investing in the FOREX market allows for low transaction costs, high liquidity and high levels of leverage. Our trading strategy is to select a number of currency pairs which exhibit such characteristics so as to maximize the risk-adjusted, cumulative return performance in backtesting. A FOREX currency portfolio with long only positions that comes with some hedging characteristics can provide the means to successful day trading. 

How do I read the quantf research FOREX Strategies table? What is the strategy here?

The quantf research FOREX Strategies table provides the daily composition of the equally weighted FOREX currency portfolio. Important: care should be exercised in choosing the units of currency bought in constructing the portfolio. 

How do I read the Historical Cumulative Return figure?

The quantf research Historical Cumulative Return Figure illustrates the cumulative return an investor has by investing in the suggested FOREX currency portfolio. The following major currency pairs are also included to act as benchmarks: EUR/USD, GBP/USD, USD/JPY, USD/CHF.

What do all the statistics mean?

  • Average: the annualised arithmetic mean return of the respective strategy. The typical investor wishes for large average values.
  • Volatility: the annualized standard deviation of the respective strategy. The typical investor wishes for small volatility values.
  • Sharpe: the ratio of average over volatility. The typical investor wishes for large Sharpe Ratio values.
  • Max: the maximum daily return of the respective strategy.
  • Min: the minimum daily return of the respective strategy.
  • Cumulative: the cumulative return of the respective strategy. The typical investor wishes for large Cumulative values. This is expressed in decimals instead of percentage; e.g. 1.00 instead of 100%.
  • Drawdown: the maximum drawdown of the respective strategy. The maximum drawdown could be simply interpreted as the largest decline in ETF value in percent from a historical peak. The typical investor wishes for small drawdown values.
  • Profit/Loss: the ratio of the arithmetic mean of positive returns over the (absolute value) of the arithmetic mean of negative returns. The typical investor wishes for large Profit/Loss values.
  • Win Rate: the percentage of time that the strategy exhibits positive returns.
  • Expectation: indicator of anticipated performance computed as (1+Profit/Loss)*(Win Rate) – 1.

 

Why are the last 11 periods used?

A fixed rolling window period of 11 past observations is used for two reasons: first, an extensive backtesting indicates that this number is a reasonable one in terms of robustness to alternatives and overall performance and risk management; second, it is meant to account for short-term changes in asset behaviour in a time frame that is consistent with trading strategies suggested elsewhere on quantf research website. One would, of course, get different results from the use of another rolling window. 

How often are new trading picks suggested?

New trading picks are provided on a daily basis (US holidays and all other dates where NYSE market is closed are excluded – even if the FOREX markets on those days operate normally).

What is the source of the data used?

In all computations the data is collected from OANDA (http://www.oanda.com/). quantf research is not responsible for the accuracy of the data. quantf research does not redistribute the data. It has to be noted here that OANDA provides the average daily price for each currency pair and this information is thus used in all quantf research website calculations.

What are the FOREX currency pairs used?

Here follows a list of al currency pairs used in the quantf research FOREX Correlations product. Data is accessible on OANDA's website (http://www.oanda.com/currency/historical-rates/).

 

AUD/CAD, AUD/JPY, AUD/NZD, AUD/SGD, AUD/USD, CAD/CHF, CAD/JPY, CAD/SGD, CHF/JPY, CHF/ZAR, EUR/AUD, EUR/CAD, EUR/CHF, EUR/CZK, EUR/DKK, EUR/GBP, EUR/HUF, EUR/JPY, EUR/NOK, EUR/NZD, EUR/PLN, EUR/SEK, EUR/SGD, EUR/TRY, EUR/USD, EUR/ZAR, GBP/AUD, GBP/CAD, GBP/CHF, GBP/JPY, GBP/NZD, GBP/PLN, GBP/SGD, GBP/USD, GBP/ZAR, NZD/CAD, NZD/JPY, NZD/SGD, NZD/USD, SGD/JPY, TRY/JPY, USD/CAD, USD/CHF, USD/CNY, USD/CZK, USD/DKK, USD/HKD, USD/HUF, USD/INR, USD/JPY, USD/MXN, USD/NOK, USD/PLN, USD/SAR, USD/SEK, USD/SGD, USD/THB, USD/TRY, USD/TWD, USD/ZAR, ZAR/JPY.

References

Papailias, F., Thomakos, D. D. (2011a). An Improved Moving Average Technical Trading Rule. quantf research working paper series.

Papailias, F., Thomakos, D. D.. (2011b). An Improved Moving Average Technical Trading Rule II: Short Sales Allowed. quantf research working paper series.

Papailias, F., Thomakos, D. D. (2012). Improved Moving Average (IMA) Strategies. STA Market Technician, The Journal of the Society for Technical Analysis (UK), 72, 12-17.

Papailias, F., Thomakos, D. D. (2013a). Trading Energy ETFs with an Improved Moving Average Strategy. International Journal of Energy and Statistics, 1-1, 31-43.

Thomakos, D. D., Papailias, F. (2013b). Covariance Averaging for Improved Estimation and Portfolio Allocation. quantf research working paper series.

  
F. Papailias - D. Thomakos, (c) 2014
 
 
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Disclaimer: The contents of quantf research (c) website (http://www.quantf.com) are provided for research and information purposes only. Prices, returns, strategy recommendations and all statistical estimates in general shown in this webpage are indicative and the authors are not offering to buy or sell or soliciting offers to buy or sell any financial instrument. The views in this website are those of the authors alone and are subject to change at any time. The authors of this webpage do not accept any liability whatsoever for any direct or consequential loss arising from any use of the information provided. The information in this webpage is not intended to predict actual results, which may differ substantially from those presented.