FX Statistical Arbitrage Mean Reversion strategy that trades in USD, CAD, EUR, GBP, CHF, JPY, AUD, and NZD.
- The model looks for the most extreme levels within thousands of possible combinations within the universe of 28 pairs. Through the years we have allocated to more than 2.700 “slots of risk” which were a 1% percentile event or lower.
- Once the opportunity has been identified, the system, through a probabilistic and statistical model pushes the probability to lose to the extreme in any of the selected trades (this is what we call Total Protection at every “slot of risk”. The probability of locking down a loss of 2,5% at the portfolio level is lower than 0.01%)
- This process has led to a 99.8% success ratio per "combination" (the system establishes combinations of trades for every currency pair when opportunities show up) since inception in Jan 2014.
- And this has been achieved with historical average leverage of only 130%.