House Oversight — Estate records
HOUSE_OVERSIGHT_026011
Microsoft Word - Trading Algorithm by Gennady Mashtalyar
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Trading Algorithm by Gennady Mashtalyar Brexit day or how does my algorithm react to large one-side movements Dear Jeffrey, I was thinking how to better answer your question regarding risks associated with a large opposite side movement against my algorithm’s logic. I decided to test-run Brexit day on GBP/USD to provide you with a practical example of how my algorithm would react to a sudden 18 cents price movement down in a day*. **Red lines represent open and close positions for short contracts. Blue lines represent open and close positions for long contracts. As you can see from a picture above, pound was dropping for 7 consecutive hours from 1.50 to 1.32 against the dollar during Asian trading hours on June 24 th (during votes count in the UK). Seven hours long 18 cents movements are extremely rare in currency markets. However, 3 cents movements are very common and can be predicted beforehand. For instance, currency traders can expect increased volatility every time the Fed member speaks, U.S. releases unemployment data, Draghi talks about QE efficiency, or elections take place. These days and hours are well known beforehand. Professional and responsible investors must have case A and B planned out before any influential data release. *I can only test my algorithm for 24 hour timeframes from 00:00 to 23:59 of a day with my current hardware and software, thus this particular example includes short trades opened before the 18 cent drop and they are working well as a hedge. While this particular example above illustrates good results by the end of the day (+$7,848 and $1,600 maximum drawdown from starting balance), there are certainly markets situations that require large margins and can not be expected beforehand. These are usually terrorist attacks, sudden nature disasters, or even FOX News releasing FBI renewal investigation over Clinton and following speculation on Trump’s lead prior U.S. elections. The Brexit day example is certainly a good case scenario for […]