Portfolio 1

New positions in the portfolio are selected using the following parameters:


  • FX pairs trading, majors
  • Daily portfolio rebalancing. New positions are entered once a day. Automatic exit
  • Optimal F > 80%. Good historic return with minor draw-downs.
  • Sharpe ratio > 1.5
  • Aggresive risk, 5% portfolio risk per position.
  • Max 20% single FX exposure in portfolio.

Return

Portfolio 1



Portfolio 2

New positions in the portfolio are selected using the following parameters:


  • FX pairs trading, majors
  • Daily portfolio rebalancing. New positions are entered once a day. Automatic exit
  • Optimal F > 80%. Good historic return with minor draw-downs.
  • Sharpe ratio > 1.5
  • Aggresive risk, 5% portfolio risk per position.
  • Max 20% single FX exposure in portfolio.

Return

Portfolio 2



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