TRADERTALK


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“It is a common misconception that the behaviour of one


currency pair might be useful in forecasting the course of another.”


Tetra FX Macro strategy which has done extremely well since 2009 and puts us currently in the top echelon of the currency alpha manager universe, as surveyed over the last three years via Deutsche Bank’s FX Select platform.


Another project we have pursued since 2007 is designing and managing Dynex Dynamic Currency Alpha, a currency manager talent basket with dynamic allocation and daily liquidity. Tis project was made possible through Deutsche Bank, who pioneered the FX Select Platform in 2004. Today $5 billion are managed through this platform.


What style of trading do you undertake to execute your strategies? Do you have any particular preference for specific trading time horizons, such as medium to long term?


Our trading campaigns reach for intermediate targets within a week, but our trading horizon is also a function of volatility. Terefore risk measures may vary with the currency pair in question. We have extended our variable scale of risk windows to 8-hourly intervals, using proprietary statistical models surveying systematically 35 currency pairs, fully aware of the


188 | october 2011 e-FOREX


auto-correlation that this may entail. It is a common misconception that the behaviour of one currency pair might be useful in forecasting the course of another.


How do you go about back-testing your proprietary currency trading systems and signals to confirm that your strategies will perform and remain relevant to the performance criteria of the firm?


I had my first computer in 1977; the biggest storage medium was a single 8 inch floppy drive! By 1983, while commuting between Europe and Canada, I owned four portable Otrona Attache, each of them costing an arm and a leg by today’s standards, the first truly portable computer with a small CRT screen. NASA’s Jet Propulsion Laboratories loved these machines. Computer lore has it that an Otrona Attache even flew on the space shuttle and also appeared in a Bond movie.


We have done back testing galore. Over three decades. In the early years I did my own programming. It is obviously of great advantage to have programming ideas and trading experience housed in the same brain. Te trick with back testing is to have a perfect underlying data set (an impossibility). Instead of


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