Mixed ETF/Stocks/FX Portfolio

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

  • FX majors, ETF's, Stocks pairs trading
  • Daily portfolio rebalancing.
  • Optimal F > 80%. Good historic return with minor draw-downs.
  • Sharpe ratio > 1.5
  • Conservative risk, 0.2% portfolio risk per position.
  • Cointegration better than 5% fractile

Performance metrics

Trade statistics (2012-03-02->2012-05-29)


  • Profitable trades: 73,7%
  • Number of closed trades: 209
  • Optimal F: 81%
  • Avg profit: 0.92%
  • Max profit: 8.16%
  • Max drawdown: -7.58%
  • Current number of open positions: 134


Return since 2012-03-02

Returns are added, no reinvestment, commission and slippage is included


Portfolio 1