Notably, the CAD and MXN have come under increased pressure and have exhibited some erratic movements throughout the month. E.g. the USDCAD pair gapped up nearly 2% at the start of the month trading near 1.48 before falling back to 1.42 just days later:
As a barometer of market stress, gold showed significant gains, especially until mid of the month, surging past its all-time high. The non-yielding asset is often seen as a hedge against inflation and market downturns. This was also reflected in a drop of global equities across major markets, the SP500 ending the month below 6,000 points, a previous high reached in late 2024. With U.S. economic data releases and monetary policy signals expected from Washington and the European central bank, the direction of indices and the dollar remains uncertain with a bullish tendency.
System Specifics
R-400
R-400 showed below average growth during February, with a return of 1.17% as of writing.
AUDCAD, EURGBP, and EURUSD were the biggest contributors to the P/L of February. The system executed ±1,500 trades with a win rate of 73% and an average holding period of 48h. Especially trade sequences on EURGBP were cut short on risk limit constraint leading to negative impact from that pair. Beyond that, erratic market moves, paired with isolated tight consolidation across multiple pairs resulted in few opportunities for the system during February.
Despite adverse market conditions, the system did not experience any elevated drawdowns and stayed well within its risk parameters.
All subsystems have been reviewed and were optimized / re-calibrated this week to ensure consistency and optimal configuration. This includes adjustment of subsystem weights and replacement / addition of subsystems to maximize diversification and return. We do expect a pick-up in activity over the coming weeks. In addition to that, we see major benefits for R-400 added through the novel hedging module introduced on the last page of this report.
Current exposures are centered around AUDCAD long, NZDCAD long, and EURGBP long. With the recalibration of subsystems, we expect volumes to pick up in the near future, potentially leading to more opportunities.
R-50 & R-10
R-50 and R-10 showed below average growth during February, with a return of 0.68% and 1.49% respectively as of writing. Both system trade the same subsystems, but with a slight filtering on smaller trades to allow a low minimum deposit on R-10. Despite the R-50 being technically superior in diversification and return, R-10 outperformed this month. This mainly comes down to chance and is expected to reverse in the long-run. XAUUSD, NZDUSD, and EURGBP were the biggest contributors to the P/L of February. The system executed ±1,100 trades with a win rate of 73% and an average holding period of 72h. As with our other systems, also R-50 suffered from erratic market moves, paired with isolated tight consolidation across multiple pairs resulting in reduced opportunities.
As the month ends, all subsystems have been reviewed and were optimized / re-calibrated this week to ensure consistency and optimal configuration. This includes adjustment of subsystem weights and replacement / addition of subsystems to maximize diversification and return. We do expect a pick-up in activity over the coming weeks. In addition to that, we see major benefits for R-50 and R-10 added through the novel hedging module introduced on the last page of this report.
Current exposures are centered around AUDCAD long, NZDCAD long, and USDCAD short.
Roadmap
Our roadmap for the next weeks includes the following. Note that improvements are rolled out across all of our existing systems.
- Cooperation with one of the largest broker networks, increasing our pool of subsystems from 250,000 to over 1,000,000 across 350+ brokers. This helps find better and more diversified baskets of strategies by quadrupling the amount of data we can access.
- Smart-beta hedging module, allowing to reduce the impact of subsystems hitting risk thresholds by hedging and continuous dispersion at optimal market exits.
- Improved trade reporting with increased frequency. Delivery of strategy specific and general reports to sales partners for distribution.
- Implementation of OMS systems for proprietary trading algorithms as a test before roll-out across retails systems. Allowing to route orders smartly to different LPs based on availability of liquidity at desired price points.