venerdì 16 marzo 2012

Trading algoritmico intraday nei mercati valutari...

...è la specialità di Eleuthera Capital, un hedge fund il cui fondatore Philippe Bonnefoy è intervistato nel video (cortesia di )  che vi propongo qui sotto. Il fondo Eleuthera Currency Fund investe nei principali cross-ratios con un CAGR-obiettivo del 15-25% con una volatilità annualizzata contenuta (10-15%). La maggior parte delle posizioni vengono mantenute in portafoglio per una durata compresa tra i 5 minuti e le 48 ore, troppo lunga per essere definita una strategia di HFT ma decisamente sufficientemente breve per distinguerla dalla maggior parte delle strategie macro o di carry trade

The fund uses a fully automated short-term systematic trading system. The system deploys two main computer models. One model trades in the direction of short-term market trends. The second model looks for mean reversion trading opportunities. Mean reversion trading opportunities often appear when markets become sharply oversold or overbought following the release of economic news, geo-political events or following central bank or governmental activity. This model attempts to profit form the likelihood that there will be an overreaction to “market moving” events and that these effects will have a transitory impact after which prices will return to their previous short-term range. The typical trade duration of all positions in the fund is between 15 minutes and 48 hours.

The computer models use a highly filtered screening methodology which analyses short term price action using technical analysis and pattern recognition techniques.

The trading system receives an electronic aggregated price feed from major banks and market counterparties through which it will execute transactions when all screening criteria are approved. 

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