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Seleukos Currency Overnight Portfolio SubSystem
STS is a very flexible system that chooses the best two averages for every instrument.
Relying on the last 55 market days, everyday STS establishes the averages pair which would have been the most profitable.
So the logic is: we will use the two averages to decide what to do today.
Tomorrow and after tomorrow, the decision can be fully different, and the two optimized averages probably will change: in fact, every day the last 55 days are different.
Why 55? On our research, a shorter period is less significative and a longer is too derivative. Obviously, we could use 54 or 56, but 55 seems the best.
This morning we observe that in the last 55 days, using for Eur/Usd the two averages 34 and 21 we gained 11% on a yearly basis. So, for today, the suggestion using the two averages is to go long. And so we will consider that the Eur/Usd should go up.
This is a general purpose engine: a normal system that is rebalanced, say, every three months, gives to the creator four moments of experience in a year: one every quarter.
The STS system gives us every day a new experience. Please do not forget this.
Every instruments has its own black-box were some math functions are described, in particular for the money management.
Sts general purpose engine. Black box engine.
Every black box has its money management: stop loss on a percent basis cannot be the same for Nasdaq and for t-Bond.
At this point you know the first release of STS
First problem: while the white box is surely blind (it could not be more blind than so) the black box engine is necessarily reflecting a reality of the past. Stop loss for Euro is really neutral or did it reflect the behaviour of last three years?
Second problem: the market can be a sideway one now, while it was trendy before. Volatile before and not volatile now…
Really we investigate and there are four markets
Solution of second problemTrending marketSideway market
A) Use large stops, buy on breaks
C) Use narrow stops loss and large stop profit, sell on breaks, waiting for reverse
B) Use narrow stops, buy on breaks
D) Very difficult. Perhaps the best is to stay out, working now on this.
As you can see, we are ready for three markets. The fourth (D) is very difficult.
The second release of STS is therefore:
So we solved the second problem. For Eur/Usd we have at this point a very good degree of robustness, where we have a return of 15% yearly about.
For Usd/Chf the same and for Usd/Jpy the same.
Very good. Very good. Too much good.
At this point, seriously, the third release was on the air…
INSTEAD OF FOUR BLACK BOXES FOR EVERY INSTRUMENT, FOUR BLACK BOXES FOR A GROUP OF INSTRUMENTS! This can help to be neutral on the future.
So Yen, Euro and Swiss have now the same, indentical, not-specialized black box for every kind of market. We call this collection of the twelve black boxes the KUR Pilot.
I.e.: the black box for the three currencies for market A (high volatility, trending market) is the same for the three and so on. This obviously costs a lot. The current track records historical performance yearly compounded is:
USD/EUR 11.01% Average 10.1133% From Jan 1, 2003
Can we guarantee what ?
In a certain approach we can say the following:
Yen against Euro fully blind inserted with no optimization in the Kur Pilot has a yearly return of 3.53%.
Cable fully blind inserted with no optimization in the Kur Pilot has a yearly return of 3.06%.
In our opinion, this means that the system is good.
Should the market be revolutioned badly, the three tested stars (jpy, chf and eur) should perform not worse than the two blind, so we can expect at least (3.53+3.06)/2 = 3.295%.
No one as the crystal ball, but we hope that this will be good, as demonstrated in practice from 2005, march. Remember that from March is an enormous experience for a system that is fully new every day, because it knows only the last 55 days.