Monday, April 3, 2017

OmicronFX / EthicalHFT Algorithmic Forex trading report Q1 2017

Last Friday, March 31st, was the last day of Quarter One 2017. The outcome of Algorithmic trading for the quarter is shown on the graph. We traded two pairs from the start of the year, moving up to three pairs towards the end of February and four pairs from March 1st on. Position sizes remained the same as the number of trading pairs increased.

The graph shows a number of draw-downs, or reductions in account balance, over the period. Draw-down size increased as each step up in the number of pairs occurred. This is because there is a requirement for funding for open positions as they are built up under our system. However, these open positions are expected to revert to their take-profit target, when all of the investment in them will be returned, along with a profit.

The maximum draw-down during quarter one was 5.65% of equity, while the profit for the period was 13.78% of equity. In addition, there was a number of open positions in existence at the time of the report, which are not shown here. What is shown here is the marked-to-market value of all positions.

To protect positions from risk it was necessary to make use of a hedge on two occasions during Quarter One. In each case the hedge was closed at break-even, after which no further hedging was required.

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