1 月黒で終了, USDCHF 混乱の余波は鼻の固体パンチを与えたが. It wasn’t the revaluation that got me. It was watching the chop and deciding that it was ok to turn the system back on.
Knowing what I knew at the time, the decision to turn the USDCHF trading back on was sensible and informed. The trouble came from the rumors of SNB intervention, which caused a 400 pip rally. Whether or not the SNB will institute a trading band for the franc against the euro is unclear.
I don’t want to get caught up in a market where the largest buyer’s goals are irrational. だから… QB Pro is not currently trading francs.
Total performance for the month was 7.23%. I’m sorry to see that some of the new investors joined just in time to catch the worst trade in the system’s history. That obviously doesn’t feel very nice for them or myself. I’m working hard to reduce the risk of that happening again.
I’ve long mentioned my interest in reducing the 8.5% monthly blow-up risk on the current leverage. QB プロ 2.0 is in the works, a system that
- Significantly reduces parameter sensitivity
- Trades the systems as a portfolio rather than individual currencies
My goal is to turn QB Pro from a robust strategy into an antifragile 戦略. 残念なことに, no charting package allows me to do portfolio level analysis in the way I wish. So.. I’ve spent the last two months writing a custom backtesting platform.
The initial results look excellent. But before I get too excited, I have one of my trusted developers reviewing the code to ensure that my out of sample tests are accurate. If the tests are indeed accurate, I hope to roll out the system live within the next 60 日. Stay tuned for updates to the system.
こんにちはショーン, have you managed to write a custom forex backtester?
[はい], we wrote a full fledged program in C#. The ideas that I pursued within it ultimately did not pan out.