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
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