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EurOil Index, Trading-by-Rotation and TbR logos © 2007/2008 Dimitrios D. Thomakos

 

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EurOil Index

Trends, Forecasts and Simulated Trading for Oil and the Euro

 

cube

 

 

Created and maintained by Dimitrios D. Thomakos

© 2007/2008

Last updated: 05/12/2008 -- Weeks running: 24

 

eurodollar2

Forecast and Trading updates available

 after Wed each week

 

Other content updates as indicated

oilbarrels

Figure on right updated on: 05/12/2008 – cumulative value of $1 over past 400 weeks, rolling window, no-cash rotation strategy

 

Visit two more simulated Trading-by-Rotation webpages: TbR with Greek banks and TbR with S&P500 and VIX

 

Click below to link on this webpage:

Latest News $, Summary of Trend Forecasts and Trading Recommendations $,

Introduction, Data, Methodology, Figures, Trends and Forecasts $, Simulated Trading $, Future Developments,

Commentary and additional material $

$ Indicates updated content

*         Latest news

05/12/2008We have reached a six month landmark!!! The EurOil Index has been running for six months now and we have done quite well. I have added a small table with some additional performance statistics, after the historical summary and real time recommendations, to compare the relative value of the rotation strategy vis-à-vis the two assets in the rotation. A major update is now being planned for all TbR websites that I am maintaining.

 

See past postings…

 

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*          Summary of Trend Forecasts and Trading Recommendations (scroll down for more, including graphs with the strategies information ratios)

The historical summary below until 05/05/2008 – color codes are: positive; unchanged; negative with respect to previous week. The recommendation is for the week after, i.e. 05/12/2008.

 

Historical Evaluation until 05/05/2008

Recommendation

for 05/12/2008

Cumulative Returns

Rotation #1 – no cash (24 weeks)

32.15%

Oil

Rotation #2 – optimal with cash (24 weeks)

28.94%#

Cash

Rotation #3 – no cash, re-optimized model (14 weeks)

8.39%

Euro

GMV portfolio* (24 weeks)

6.37%

 

Oil (24 weeks)

23.36%

Euro (24 weeks)

5.49%

 

Sign Success

Ratio

Rotation #1 – no cash (24 weeks)

66.66%

Weeks in Cash

Rotation #2 – optimal with cash (24 weeks)

1

*GMV == Global Minimum Variance

#Switch from #2 cash strategy to #1 cash strategy

 

Statistics on the 6-month performance of the TbR strategy and comparison with Oil and Euro

Summary Statistics

Oil

Euro

No-cash rotation

GMV portfolio

Average weekly  return (%)

0.97

0.23

1.34

0.27

Weekly std. deviation (%)

3.03

1.55

2.37

1.53

Weekly Sharpe ratio

0.32

0.15

0.56

0.17

Minimum realized return (%)

-7.70

-2.38

-5.06

-2.43

Maximum realized return (%)

4.42

2.63

4.42

2.58

 

Trend Forecast Summary for the week of 05/12/2008 (unchanged from previous week)

[1.] Oil. The level of the series is still above its upper prediction bound. The short-term outlook is for the level to move around its optimal trend but the medium-term (4 to 6 weeks ahead) outlook is now a reversal within the prediction bounds.

[2.] Euro. As predicted the Euro has returned within its optimal prediction bounds. The short-term outlook is to move around its optimal trend value.

 

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*         Introduction

Welcome to the EurOil Index website! Here you can find a real-time application of some advanced methods for modeling, forecasting and trading two widely known and highly liquid assets, crude oil and the euro currency. This is an outgrowth of my personal interest for an application of what I use in some of my academic research in a real life situation. I find it very stimulating to see how different methods work and to anticipate the actual outcomes of forecasts and trading strategies. The current focus of this effort is neither in the usual forecasting race approach or in technical analysis-based rules, nor in well-known portfolio trading strategies but rather in a couple of econometric, and possibly less well known, approaches for (1) modeling the stochastic trend components of time series that are characterized by unit roots and (2) trading assets by rotation. This will be an ongoing effort and updates will, hopefully, be frequent enough to maintain your interest (and mine!) I welcome your comments and suggestions, especially if you find that you know of related work that I am not using or citing. Please contact me at thomakos@uop.gr. 

 

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*         Data

I use publicly available data from accessible and reliable sources. Please note that these are not necessarily the same data, in terms of frequency, timing etc., that a real market participant would use! Therefore all results presented below should be interpreted accordingly. The two main series that are currently in use are:

  1. Euro currency exchange rate, expressed in US dollars per euro. The source is the DEXUSEU series from the Federal Reserve Bank of St. Louis database (FRED.)  From the daily data I extract the Monday and Wednesday rates for use in weekly analysis. The Monday rates are currently in use since they can be updated along with the oil series that is described below.
  2. Spot price for crude oil, expressed in US dollars per barrel. The source is the Brent series from the Energy Information Administration. Again, from the daily data I extract the Monday and Wednesday prices for use in weekly analysis.

The data start on 01/04/1999 (euro availability) and are updated weekly for the analysis presented here.

 

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*         Methodology (including references)

Trends and Forecasts

Most price series in financial markets can be characterized as having stochastic (and possibly deterministic) trends, implying that can be adequately modeled by a process that has a unit root. It is well known that such processes cannot be predicted, the last observed value of the series being the best forecast using all available past information. Peter Phillips at Yale is a pioneer in the analysis of such processes and has made significant contributions to their understanding. In a strand of papers ([1], [2] and [3] - all available at this link) he shows how we can understand unit root processes via the Karhunen-Loeve decomposition and what the implications are for what is known as spurious regression and modeling. This line of his work has gone largely unnoticed although it provided us with a solid theoretical background for understanding and predicting trend components of unit root processes. I use the relevant prediction formulas from [3] to construct forecasts for the trend components of the two prices series and then to construct their empirical predictive distribution. For more information on this part of the methodology please consult the following references:

[1.] Spurious Regression Unmasked, CFDP 1135.

[2.] Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations, reprinted in Journal of Applied Econometrics (2001), 16: 389-413, CFDP 1219.

[3.] Challenges of Trending Time Series Econometrics, reprinted in Mathematics and Computers in Simulation (2005), 68: 401-416, CFDP 1472.

 

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Simulated Trading

Forecasting the price or the return of a financial time series can be fun! That is, if we move beyond the realm of purely statistical modeling and the difficulties associated with making statistically accurate predictions and get into trading action. The two assets I use in this project are highly liquid and tradable across the world and also highly related. It therefore makes sense to try to examine whether there is a profitable trading strategy for them. I use a modification of the rotation ideas found in [4] to construct and update a strategy that rotates, on a weekly basis, an initial investment between oil and the euro. The strategy gives long only signals. The results that are presented below do not take into account trading costs and should be interpreted accordingly.

[4.] Market timing and cap rotation, D. Thomakos, T. Wang and J. Wu, Mathematical and Computer Modeling (2007), 46: 278-291. (http://www.sciencedirect.com)

 

You can also visit the Trading-by-Rotation for Greek banks  and Trading-by-Rotation for S&P500 and VIX webpages that I am also maintaining for an additional real-time example of simulated trading.

 

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*         Figures, Trends and Forecasts  $ scroll down for updated content

The first set of figures below present the full sample sojourn densities for the oil and the euro prices. The sojourn densities are the analogue to a standard kernel density for the case of unit root processes and they measure the, so called, sojourn time: this is the time spent by the process (as a fraction of an appropriately scaled measure of total time) in various regions for a range of spatial values. We see below that both densities are bimodal and therefore the two underlying processes have spent a considerable amount of time around the corresponding modal values.

Figures updated: 05/12/2008

The figures below give one week ahead rolling predictions of three trend components for the two series, evaluated for the last 200 weeks of the current sample. The shape of each trend depends on the fineness of the decomposition we are looking into, so the lower is the value of the parameter K the smoother will be the trend component we are predicting. It is important to stress that these trends are not moving averages and do not correspond to moving averages!!! They are exact, forward looking predictions of underlying components that form the original series, assuming that the series has a unit root (this is the basic, empirically viable assumption we make when analyzing these price series.) As such we can use them to infer something about the potential future trend behavior of the series (this is important: unless K is very large the corresponding predictions will not be about the actual level of the series!) Note that the analysis of such trend predictions offers an advantage in that it is plausible to assume that the underlying structure of the series will not change in the future, i.e. we will still have a unit root present. This is not the case in many other modeling instances that are plagued by problems of structural breaks inside and outside the estimation sample.

Figures updated: 05/12/2008

Selecting an optimal value for K $ updated content

A question of immediate practical interest is whether one can chose K, the number of trend components, in some optimal fashion. The notion of optimality here is very subjective and cannot be tied to the idea of making accurate point forecasts. In a standard forecasting setting making optimal point forecasts would be accomplished by minimizing the forecast error variance. Here, however, this would lead to a choice of K that is relatively large: the theory in [3] indicates that as K increases the series is reproduced with greater accuracy. To maintain the idea of trend, rather than point, prediction K should be kept relatively low and an appropriate value should be selected based on a different objective function than the forecast error variance. A suitable alternative could be the following. Assume that you would like to predict the correct trend on average. You would then expect to make about an equal amount of positive and negative errors: sometimes the price would be higher than the trend and sometimes it would be lower. Minimizing an appropriate function we can not only obtain a meaningful optimal value of K but we can also compute appropriate prediction bands using historical simulation. These bands can be very useful in devising trading strategies. We are adding a new section of trend forecasts and forecast error bands based on this methodology for the week starting in 12/10/2007. The figures and discussion below illustrate the application of this method using current data.

Figures updated: 05/12/2008

The figures above were computed using an evaluation period of the last 200 weeks in the sample. The red lines indicate one standard deviation prediction bands. The selected optimal values for K were K=12 for Oil and K=8 for Euro. The coverage of these prediction bands (% of times that the actual observations were within the bands) was 71% for Oil and 73% for Euro.

 

Trend Forecasts for the week of 05/12/2008

Series

K

Last

 Prediction

Current Prediction

Error Band Current Prediction

Oil

Optimal

108.11

109.32

+/- 5.60

Oil

10

105.60

106.90

+/- 5.49

Oil

15

113.20

114.60

+/- 4.46

Euro

Optimal

1.55

1.56

+/- 0.03

Euro

10

1.56

1.56

+/- 0.03

Euro

15

1.65

1.65

+/- 0.02

Notes:

[1.] Trend forecasts based on past 288 weeks.

[2.] Optimal K may change from week to week ,  see discussion above.

[3.] Error bands based on the standard error of trend deviations for the past 200 weeks.

[4.] Monday data used in calculations.

 

Trend Forecast Summary for the week of 05/12/2008

[1.] Oil. The level of the series is still above its upper prediction bound. The short-term outlook is for the level to move around its optimal trend but the medium-term (4 to 6 weeks ahead) outlook is now a reversal within the prediction bounds.

[2.] Euro. As predicted the Euro has returned within its optimal prediction bounds. The short-term outlook is to move around its optimal trend value.

 

Click here for past forecasts.

 

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*         Simulated Trading $ scroll down for updated content

Rotation Strategy with no Cash

The two figures below show the end-of-period wealth of one US dollar invested in the rotation strategy and in each asset separately (left) and the corresponding information ratios (right). Results are shown for evaluation periods ranging from the latest 25 weeks and up to the past 400 weeks and are color coded according to the legends. Information ratio is weekly (multiply by 7.2 to have an approximate annual ratio).

Figures updated: 05/12/2008

Trading recommendation for Monday,

strategy without cash

(based on calculations using data of week before)

Asset

Realized Return %

Oil (for last trade)

Realized Return %

Euro (for last trade)

Success in Direction

Cumulative Value of $1

Cumulative Value of $1 for GMV portfolio

week of 11/26/2007

Oil

3.53

1.38

+

1.0353

1.0149

week of 12/03/2007

Euro

-7.70

-1.39

+

1.0214

0.9978

week of 12/10/2007

Oil

-0.59

0.39

-

1.0155

1.0012

week of 12/17/2007

Oil

3.37

-2.37

+

1.0492

0.9804

week of 12/24/2007

Euro

1.40

0.28

-

1.0520

0.9837

week of 12/31/2007

Oil

2.26

1.34

+

1.0746

0.9975

week of 01/07/2008

Oil

0.54

0.55

-

1.0800

1.0030

week of 01/14/2008

Euro

-1.72

1.30

+

1.0930

1.0145

week of 01/21/2008

Oil

-5.06

-1.82

-

1.0424

0.9947

week of 01/28/2008

Oil

3.24

1.22

+

1.0748

1.0079

week of 02/04/2008

Oil

0.20

0.29

-

1.0768

1.0107

week of 02/11/2008

Oil

3.07

-2.22

+

1.1075

0.9911

week of 02/18/2008

Oil

3.25

1.61

+

1.1400

1.0080

week of 02/25/2008

Oil

0.41

0.54

-

1.1441

1.0133

week of 03/03/2008

Oil

4.42

2.48

+

1.1883

1.0391

week of 03/10/2008

Oil

3.38

1.14

+

1.2221

1.0516

week of 03/17/2008

Euro

-0.88

2.54

+

1.2475

1.0753

week of 03/24/2008

Oil

-3.39

-2.38

-

1.2136

1.0510

week of 03/31/2008

Euro

1.38

2.63

+

1.2399

1.0767

week of 04/07/2008

Euro

3.50

-0.58

-

1.2340

1.0729

week of 04/14/2008

Oil

2.18

0.72

+

1.2558

1.0808

week of 04/21/2008

Oil

2.76

0.34

+

1.2834

1.0854

week of 04/28/2008

Oil

3.83

-1.48

+

1.3217

1.0733

week of 05/05/2008

Oil

-0.02

-1.01

+

1.3215

1.0637

week of 05/12/2008

Oil

 

 

 

 

 

Notes: 

[1.] The data quotes have different reporting times within the day and the trading strategy assumes that the trade is placed for the reporting time of each asset.

[2.] The realized return for each asset is the weekly return (from Monday to Monday) from the week before to the week of the trade – return measured as difference in log prices.

[3.] See the contributions section for a discussion on the GMV (Global Minimum Variance) portfolio weights; the weight assignment is 95% for Euro and 5% for Oil.

 

Rotation Strategies including Cash $ updated content

We introduce two additional strategies for our simulated trading exercise. The strategies rotate between Oil and the Euro but also they include a cash component so that there are periods that no trade is recommended. The wealth accumulated up to that point can be invested in a risk-free rate, which is taken to be the (appropriately scaled for a one-week horizon) one-month certificate of deposit series CD1M from the Federal Reserve Bank of St. Louis database (FRED.).

 

Strategy with Cash #1

The figures below give the end-of-period wealth and the corresponding information ratios, for the first strategy #1 that involves cash. The proportion of total time that the strategy stayed in cash, depending on the length of the evaluation period, was between 84% (25 weeks) and 41% (400 weeks). Note that the strategy still outperforms the two assets and has the highest information ratio for the longest evaluation period. 

Figures updated: 05/12/2008

Trading recommendation for Monday,

strategy #1 with cash , signal from past 88 weeks

(based on calculations using data of week before)

Asset

Realized Return %

Oil (for last trade)

Realized Return %

Euro (for last trade)

Success in Direction

Cumulative Value of $1

Cumulative Value of $1, cash earns

risk free rate

week of 11/26/2007

Oil

3.53

1.38

+

1.0353

1.0353

week of 12/03/2007

Euro

-7.70

-1.39

+

1.0214

1.0214

week of 12/10/2007

Oil

-0.59

0.39

-

1.0155

1.0155

week of 12/17/2007

Oil

3.37

-2.37

+

1.0492

1.0492

week of 12/24/2007

Cash

1.40

0.28

-

1.0492

1.0501

week of 12/31/2007

Oil

2.26

1.34

+

1.0748

1.0757

week of 01/07/2008

Oil

0.54

0.55

-

1.0802

1.0811

week of 01/14/2008

Cash

-1.72

1.30

-

1.0810

1.0819

week of 01/21/2008

Oil

-5.06

-1.82

-

1.0304

1.0313

week of 01/28/2008

Oil

3.24

1.22

+

1.0628

1.0637

week of 02/04/2008

Oil

0.20

0.29

-

1.0648

1.0657

week of 02/11/2008

Oil

3.07

-2.22

+

1.0955

1.0964

week of 02/18/2008

Oil

3.25

1.61

+

1.1280

1.1299

week of 02/25/2008

Cash

0.41

0.54

-

1.1280

1.1305

week of 03/03/2008

Oil

4.42

2.48

+

1.1722

1.1747

week of 03/10/2008

Oil

3.38

1.14

+

1.2060

1.2085

week of 03/17/2008

Cash

-0.88

2.54

-

1.2065

1.2090

week of 03/24/2008

Oil

-3.39

-2.38

-

1.1726

1.1751

week of 03/31/2008

Euro

1.38

2.63

+

1.1989

1.2014

week of 04/07/2008

Cash

3.50

-0.58

-

1.1994

1.2019

week of 04/14/2008

Oil

2.18

0.72

+

1.2212

1.2237

week of 04/21/2008

Oil

2.76

0.34

+

1.2488

1.2513

week of 04/28/2008

Oil

3.83

-1.48

+

1.2872

1.2896

week of 05/02/2008

Oil

-0.02

-1.01

-

1.2870

1.2894

week of 05/12/2008

Cash

 

 

 

 

 

 

Trading recommendation for Monday,

strategy #1 with cash , signal from past 288 weeks

(based on calculations using data of week before)

Asset

Realized Return %

Oil (for last trade)

Realized Return %

Euro (for last trade)

Success in Direction

Cumulative Value of $1

Cumulative Value of $1, cash earns

risk free rate

week of 11/26/2007

Cash

3.53

1.38

-

1.0000

1.0009

week of 12/03/2007

Euro

-7.70

-1.39

-

0.9861

0.9870

week of 12/10/2007

Cash

-0.59

0.39

-

0.9861

0.9880

week of 12/17/2007

Oil

3.37

-2.37

+

1.0198

1.0217

week of 12/24/2007

Cash

1.40

0.28

-

1.0207

1.0226

week of 12/31/2007

Cash

2.26

1.34

-

1.0216

1.0235

week of 01/07/2008

Cash

0.54

0.55

-

1.0224

1.0243

week of 01/14/2008

Euro

-1.72

1.30

+

1.0355

1.0373

week of 01/21/2008

Cash

-5.06

-1.82

+

1.0362

1.0380

week of 01/28/2008

Cash

3.24

1.22

-

1.0368

1.0386

week of 02/04/2008

Oil

0.20

0.29

-

1.0388

1.0406

week of 02/11/2008

Oil

3.07

-2.22

+

1.0695

1.0713

week of 02/18/2008

Oil

3.25

1.61

+

1.1012

1.1038

week of 02/25/2008

Cash

0.41

0.54

-

1.1012

1.1044

week of 03/03/2008

Cash

4.42

2.48

-

1.1018

1.1050

week of 03/10/2008

Cash

3.38

1.14

-

1.1024

1.1056

week of 03/17/2008

Euro

-0.88

2.54

+

1.1278

1.1310

week of 03/24/2008

Cash

-3.39

-2.38

+

1.1283

1.1315

week of 03/31/2008

Euro

1.38

2.63

+

1.1547

1.1578

week of 04/07/2008

Cash

3.50

-0.58

-

1.1552

1.1583

week of 04/14/2008

Cash

2.18

0.72

-

1.1557

1.1588

week of 04/21/2008

Oil

2.76

0.34

+

1.1833

1.1865

week of 04/28/2008

Oil

3.83

-1.48

+

1.2216

1.2248

week of 05/02/2008

Cash

-0.02

-1.01

+

1.2221

1.2253

week of 05/12/2008

Cash

 

 

 

 

 

Notes: 

[1.] The data quotes have different reporting times within the day and the trading strategy assumes that the trade is placed for the reporting time of each asset.

[2.] The realized return for each asset is the weekly return (from Monday to Monday) from the week before to the week of the trade – return measured as difference in log prices.

 

Strategy with Cash #2

The figures below give the end-of-period wealth and the corresponding information ratios, for the second strategy #2 that involves cash. The proportion of total time that the strategy stayed in cash, depending on the length of the evaluation period, was between 4% (25 weeks) and 16% (400 weeks), significantly lower than that of strategy #1. This is reflected in the higher performance of the strategy, compared to the first strategy with cash discussed above.

Figures updated: 05/12/2008

Trading recommendation for Monday,

strategy #2 with cash , signal from past 88 weeks

(based on calculations using data of week before)

Asset

Realized Return %

Oil (for last trade)

Realized Return %

Euro (for last trade)

Success in Direction

Cumulative Value of $1

Cumulative Value of $1, cash earns

risk free rate

week of 11/26/2007

Euro

3.53

1.38

-

1.0138

1.0138

week of 12/03/2007

Euro

-7.70

-1.39

-

1.0000

1.0000

week of 12/10/2007

Oil

-0.59

0.39

-

0.9941

0.9941

week of 12/17/2007

Oil

3.37

-2.37

+

1.0278

1.0278

week of 12/24/2007

Euro

1.40

0.28

-

1.0306

1.0306

week of 12/31/2007

Oil

2.26

1.34

+

1.0532

1.0532

week of 01/07/2008

Oil

0.54

0.55

-

1.0586

1.0586

week of 01/14/2008

Cash

-1.72

1.30

-

1.0594

1.0594

week of 01/21/2008

Oil

-5.06

-1.82

-

1.0088

1.0088

week of 01/28/2008

Oil

3.24

1.22

+

1.0412

1.0412

week of 02/04/2008

Oil

0.20

0.29

-

1.0432

1.0432

week of 02/11/2008

Oil

3.07

-2.22

+

1.0739

1.0739

week of 02/18/2008

Oil

3.25

1.61

+

1.1064

1.1064

week of 02/25/2008

Oil

0.41

0.54

-

1.1105

1.1105

week of 03/03/2008

Oil

4.42

2.48

+

1.1547

1.1547

week of 03/10/2008

Oil

3.38

1.14

+

1.1885

1.1885

week of 03/17/2008

Cash

-0.88

2.54

-

1.1890

1.1890

week of 03/24/2008

Oil

-3.39

-2.38

-

1.1551

1.1551

week of 03/31/2008

Cash

1.38

2.63

-

1.1556

1.1556

week of 04/07/2008

Euro

3.50

-0.58

-

1.1497

1.1497

week of 04/14/2008

Oil

2.18

0.72

+

1.1715

1.1715

week of 04/21/2008

Oil

2.76

0.34

+

1.1991

1.1991

week of 04/28/2008

Euro

3.83

-1.48

-

1.1843

1.1843

week of 05/02/2008

Oil

-0.02

-1.01

-

1.1841

1.1841

week of 05/12/2008

Oil

 

 

 

 

 

 

Trading recommendation for Monday,

strategy #2 with cash , signal from past 288 weeks

(based on calculations using data of week before)

Asset

Realized Return %

Oil (for last trade)

Realized Return %

Euro (for last trade)

Success in Direction

Cumulative Value of $1

Cumulative Value of $1, cash earns

risk free rate

week of 11/26/2007

Oil

3.53

1.38

+

1.0353

1.0353

week of 12/03/2007

Euro

-7.70

-1.39

+

1.0214

1.0214

week of 12/10/2007

Oil

-0.59

0.39

-

1.0155

1.0155

week of 12/17/2007

Oil

3.37

-2.37

+

1.0492

1.0492

week of 12/24/2007

Euro

1.40

0.28

-

1.0520

1.0520

week of 12/31/2007

Oil

2.26

1.34

+

1.0746

1.0746

week of 01/07/2008

Oil

0.54

0.55

-

1.0800

1.0800

week of 01/14/2008

Cash

-1.72

1.30

-

1.0808

1.0808

week of 01/21/2008

Oil

-5.06

-1.82

-

1.0302

1.0302

week of 01/28/2008

Oil

3.24

1.22

+

1.0626

1.0626

week of 02/04/2008

Oil

0.20

0.29

-

1.0646

1.0646

week of 02/11/2008

Oil

3.07

-2.22

+

1.0933

1.0933

week of 02/18/2008

Oil

3.25

1.61

+

1.1258

1.1258

week of 02/25/2008

Oil

0.41

0.54

-

1.1299

1.1299

week of 03/03/2008

Oil

4.42

2.48

+

1.1741

1.1741

week of 03/10/2008

Oil

3.38

1.14

+

1.2079

1.2079

week of 03/17/2008

Euro

-0.88

2.54

+

1.2333

1.2333

week of 03/24/2008

Oil

-3.39

-2.38

-

1.1994

1.1994

week of 03/31/2008

Euro

1.38

2.63

+

1.2257

1.2257

week of 04/07/2008

Euro

3.50

-0.58

-

1.2198

1.2198

week of 04/14/2008

Oil

2.18

0.72

+

1.2416

1.2416

week of 04/21/2008

Oil

2.76

0.34

+

1.2692

1.2692

week of 04/28/2008

Euro

3.83

-1.48

-

1.2544

1.2544

week of 05/02/2008

Oil

-0.02

-1.01

-

1.2542

1.2542

week of 05/12/2008

Oil

 

 

 

 

 

Notes: 

[1.] The data quotes have different reporting times within the day and the trading strategy assumes that the trade is placed for the reporting time of each asset.

[2.] The realized return for each asset is the weekly return (from Monday to Monday) from the week before to the week of the trade – return measured as difference in log prices.

 

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*         Future developments

[1.] Trading based on smoothed trends.

[2.] Combination of long-short signals & alternative trading strategies.

[3.] Additional measures of trading performance.

[4.] Introduction of transaction costs.

 

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Acknowledgements: I would like to thank, without implicating, my colleagues Timotheos Angelidis, Kostas Nikolopoulos,  Greg Siourounis and Viki Skintzi for stimulating discussions on the theoretical and practical aspects of financial markets and real-time trading.

 

Disclaimer: The contents of this webpage are provided for information purposes only. Prices shown in this webpage are indicative and the author is not offering to buy or sell or soliciting offers to buy or sell any financial instrument. The views in this publication are those of the author alone and are subject to change at any time, and he has no obligation to update the opinions or the information in this webpage. The author of this webpage does not accept any liability whatsoever for any direct or consequential loss arising from any use of the information provided. The information in this webpage is not intended to predict actual results, which may differ substantially from those presented.

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