FX MANAGERS
ES To a certain extent all strategies
will encounter losses that were not expected at the time they were first implemented. That is why continuous research is essential to the success
and longevity of trading system. Our leverage is quite low compared
JW Do
you use any form of
optimization? If so, how do you make sure it doesn’t create curve fitting and confirms robustness of the model?
ES S o m e
optimization is used. Caution is exercised so that over-optimization is avoided in creating signals. Rather, repeating levels are sought for entry and exit signals as opposed to optimal signals which do not repeat themselves as often.
JW Do you favor any particular time
frame in your strategies? What is your average trade duration and trading frequency?
ES Both
currency strategies trade
long and short term durations. The typical trading frequency can be from one day to two weeks with
to the industry. More often than not our leverage reflects approximately the utilization of 15% of available margin.
any
the average holding period lasting approximately three days.
JW What is the average leverage
that you normally use? And the maximum leverage?
FX
ES Our FX strategies are based on exchange and CSI data.
JW How does liquidity impact the efficiency of your strategies? Have you already explored to what AUM limit the strategies would allow you to grow to?
ES Liquidity has not impacted the efficiency of our strategies to date. It is our belief that we could bring our AUM up to $200 millions without any
additional changes.
JW What is the
biggest strength of your team?
way
JW How many execution brokers do
you use? How do you split execution between electronic and voice?
ES Presently we have two. All orders are voice execution.
JW Which historical data do you use
when developing your strategies? How important is that?
interact.
JW What’s the best advice you would
give to traders who want to enter the FX fund management industry?
ES Tat they are very patient and make
sure that the trading strategy they wish to employ is compatible with the interests of their client/clients.
ES The positive in which we
FX TRADER MAGAZINE October - December 2011 43
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