TRADERTALK
using early pre-Microsoft spreadsheets such as SuperCalc, I coded each application including tables in C-Basic Compiler by Digital Research. T is was tedious but the output was faster than Excel today. Since the late 1980s we outsourced a lot to SnapDragon Systems in Oxford, England, whose principal, Adam Hartley, holds a PhD in T eoretical Atomic Physics at Oxford’s Balliol College and keeps reminding us that “every strategy has its Achilles heel”.
To what extent have you developed research agendas and analytical programmes to enhance your existing strategies and fi nd new ones?
We use statistical research as well as subjective sentiment-driven techniques. In 1988 we were fi rst in performing Rescaled Range Analysis and plotting the Hurst exponent of
fi ve IMM currencies, relying The trusty Otrona Attache
primarily on Jens Feder’s just published textbook Fractals. An ominous quirk of fate would have it that 23 years
What Risk Management frameworks have you developed and how do you apply them with respect to different strategies?
Our STP-linked in-house software refreshes risk limits in time slices after each transaction, in or out. Our risk tolerance is low. T is means that we use no leverage or operate at a marginal distance around the funded capital amount exposure. We also tend to step aside completely after our risk tolerance has been challenged in order to continue with a completely clean slate. Any account operated via a TRS is protected by a stop-loss amount monitored by Deutsche Bank, the counter-party to the TRS. A stop-loss protected Total Return Swap is more cost eff ective than Capital Guaranteed structures.
later Hans Feder, the author’s son, is leading the FX Select team at Deutsche Bank. We demonstrated the declining memory eff ect in currencies since 1973 – and thus the decreasing effi ciency of trading systems, leading to our concept of baby-markets being more useful for trading systems than mature markets (for example, emerging markets currencies are today’s baby markets). During that time we were also fi rst to point to the odd fact that currencies do not scale logarithmically like commodities or stocks. T ink about that for a while: it makes risk-scaling easier.
Today we concentrate on obtaining intelligence about market fl ows, positioning changes, contrary opinion reports and sentiment analyses. We pay particular attention to information off ered gratuitously. News media are often an excellent source for contrarian positioning. T eir gratuitous trading recommendations remain unpunished if they fail, since they escape the negative feedback from speculators who have followed them. When a particular market occupies a large part of public perception and becomes one- sided, alarm bells start to ring in tune with Bob Dylan’s lyrics that you don’t have to be a weatherman to know which way the wind’s blowin’.
190 | october 2011 e-FOREX
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88 |
Page 89 |
Page 90 |
Page 91 |
Page 92 |
Page 93 |
Page 94 |
Page 95 |
Page 96 |
Page 97 |
Page 98 |
Page 99 |
Page 100 |
Page 101 |
Page 102 |
Page 103 |
Page 104 |
Page 105 |
Page 106 |
Page 107 |
Page 108 |
Page 109 |
Page 110 |
Page 111 |
Page 112 |
Page 113 |
Page 114 |
Page 115 |
Page 116 |
Page 117 |
Page 118 |
Page 119 |
Page 120 |
Page 121 |
Page 122 |
Page 123 |
Page 124 |
Page 125 |
Page 126 |
Page 127 |
Page 128 |
Page 129 |
Page 130 |
Page 131 |
Page 132 |
Page 133 |
Page 134 |
Page 135 |
Page 136 |
Page 137 |
Page 138 |
Page 139 |
Page 140 |
Page 141 |
Page 142 |
Page 143 |
Page 144 |
Page 145 |
Page 146 |
Page 147 |
Page 148 |
Page 149 |
Page 150 |
Page 151 |
Page 152 |
Page 153 |
Page 154 |
Page 155 |
Page 156 |
Page 157 |
Page 158 |
Page 159 |
Page 160 |
Page 161 |
Page 162 |
Page 163 |
Page 164 |
Page 165 |
Page 166 |
Page 167 |
Page 168 |
Page 169 |
Page 170 |
Page 171 |
Page 172 |
Page 173 |
Page 174 |
Page 175 |
Page 176 |
Page 177 |
Page 178 |
Page 179 |
Page 180 |
Page 181 |
Page 182 |
Page 183 |
Page 184 |
Page 185 |
Page 186 |
Page 187 |
Page 188 |
Page 189 |
Page 190 |
Page 191 |
Page 192 |
Page 193 |
Page 194 |
Page 195 |
Page 196