Recent content by MattMLC

This guy doesn't hold any positions overnight. I noticed that he most of the trades are opened and closed between late Asian session to London close. Only on a few occasions has he closed his positions in the next Asian session. He is 100% out of the market over the weekends. Redemption...

Agree that it is best to have a "system basket" which will smooth out returns of individual components. e.g. intermediate term trend-following coupled with short-term trend-fading. In choppy markets, the price is usually whipsawing between extreme overbought/oversold levels. Systems based on...

1. I checked the trade by trade statement and cross-checked with the metrics. I don't think it is cooked. Plus I re-calculated the metrics by hand and by calculator. I too was expecting an inverse relationship. 2. How do you calculate exposure % for a fund that uses leverage? FM risks about...

Had the figures crunched on excel. No overstatement found. :)

1. This is how the FM calculates: Profit Factor: Gross Profit/Gross Loss Hit Rate: Winning Trades/(Winning+Losing Trades) 2. Can the lower returns be attributed to his "Profit Ratio" being < 1? Profit Ratio = Average Profit per Winning Trade / Average Loss per Losing Trade Profit Ratio = 0.39...

Fatowl, I asked the FM about the strategy: without revealing specifics, he said he trades like an institutional order-flow stop-hunter. My concern is this - is it a valid strategy on a long-term basis? How do I classify this (for performance benchmarking against peers using similar...

Brumby, I checked with the FM. The figure (annual return) currently stands at 25.42%. The FM prefers to "understate" annual returns rather than "overstate".:D

1. What you're saying makes sense. And I'm the investor actually. 2. How would you go about evaluating a new fund. Surely, there are many startup funds like PE, VC and hedge funds that raise capital without a long track record. How can I separate the wheat from the chaff? :)

Thanks for your response fatowl! 0. I am actually looking to invest in this fund along with some friends. How many min. trades and min. months/years does it take to be statistically significant? The backtested data (over a period of 2-3 years prior to going live) shows similar results. 1...

I went through systematic FX fund disclosure doc. It went live quite recently - in Feb 2013. As on June 2013, Style: High Frequency Trading Algorithm Instrument: EUR/USD Profit Factor: 6.48 Hit (Success) Ratio: 94.34% Expectation: +13.48% Target Annual Returns: 18-22% Max DD: 0.30% Total Trades...

Hi, Matt here. I'm a forex trader since 2004. I primarily trade the majors. Interested in connecting with talented traders, coders and quants/modelers. TC!