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PC European

According to the scheme reached a trading system in the portfolio of PC European markets? What ongoing it requirements? Titus C. Castles: Supreme principle is that the investment strategies not on the past are optimized. New systems be tested initially on historical data, without that in it the data from the last year are included. Then, the system data of the last year will be verified. The risk-return profile is still within expectations, the system of 12 months is used in paper trading.

Only after successful completion of this test, the system for the portfolio universe of PC European markets is qualified. For inclusion in the current traded portfolio risk management is crucial. Risk return indicators, as for example the Calmar ratio, which is the yield in relation to the maximum loss and correlation values on a daily basis for the composition of the portfolios. What is the turnover of the trading systems in PC European markets? Titus C. Castles: the regular cycle is annual, in special cases can be changed also during the year subsystems. Which systems are used because in the current allocation? Titus C.

Castles: target is always a portfolio of subsystems to act, that correlate slightly with each other. This reduces the volatility of the portfolio, and makes a more stable growth. Is considered to be the correlation but on a very short-term basis, because we have found that shows the correlation analysis of longer periods, approximately monthly basis, glaring weaknesses (Note s news-reader/items/portfolio-concept-studie.html). In the PC European markets, including the trend following are combined with mean-reversion approaches. Certainly, a certain dominance of trend followers at the PC European markets is not uncommon, what is also currently confirmed. They said that 80% of the strategies systematically, but discretionary implemented to approximately 20%. How is that exactly? Titus C. Castles: basically, the PC European markets followed a systematic approach.

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