LondiniumFX Quant Models: Sep. to Nov. 2016

This article has been updated on January 10, 2017 and now includes data from September to December 15, 2016.

In this article, we look at the signals generated by the LondiniumFX Quantitative models between September and December 15, 2016. Specifically, we follow up on the 52 ideas presented in the “In the Spotlight” section of our bi-weekly updates.

Please note that the returns below are not based on actual trading, rather they are hypothetical returns as if one would have traded each of the 52 ideas presented in our bi-weekly updates. It is also worth mentioning that past performances are not indicative of future returns.

 

The Results

The format of the ideas in our articles are not presented as ‘buy or sell’ signals, however we do highlight a key technical level which acts like a stop loss (black line). We also show where the market should be trading according to the quantitative model, see ‘green line’ below.

With the help of the key technical level, we can therefore clearly define the risk of each idea. The entry price of these hypothetical trades is the prevailing price when we published the respective idea. Below you will find the chart from the publication day and a chart showing the development of price after the publication date.

29 out of the 52 ideas managed to return their initial risk, e.g. if one idea needed a 200 pips stop loss to open the trade then it produced a gain of 200 pips.

  • With this benchmark, we can conclude that 56% of these hypothetical trades were profitable.
  • In percentage terms, the return was 23.93% using no leverage.
  • The average loss was 1.40% or 154 pips, while the average gain was 189 pips or 1.94%.

While these hypothetical returns are good, the uncapped returns of these trades were even better as you will see in the charts below.

Letting the trades “run” until they reach their stop loss level or reached their maximum return before reversing produced a net return of 8016 pips or 88.77%. This outcome is based on having perfect foresight and closing the trades at the optimal price level, something that is impossible to attain but the measure highlights the maximum possible return over the sample.

In the rest of the article, you will see how each market looked like when we the idea vs. how the market price developed after publication.

We hope this article provides you with a better understanding of the quantitative models. Read more about them here and sign up for a free two-week trial.

*Please note that the performance in this article is purely hypothetical and created with hindsight. Past performance is not indicative of future performance. Read our risk disclaimer at the bottom of this page.

GBPCAD

Produced a positive return of 1.8%, vs. the 1.8% stop loss needed to open the position, while the max gain of 7.84% was attained 30 days after the publication date*.

At article publication date

After article publication date

GBPCHF

Produced a positive return of 1.71%, vs. the 1.71% stop loss needed to open the position, while the max gain of 8.1% was attained 27 days after the publication date*.

At article publication date

After article publication date

GBPUSD

Produced a positive return of 2.57%, vs. the 2.57% stop loss needed to open the position, while the max gain of 13.72% was attained 24 days after the publication date*.

At article publication date

After article publication date

NZDJPY

Produced a positive return of 2.71%, vs. the 2.71% stop loss needed to open the position, while the max gain of 3.62% was attained 15 days after the publication date*.

At article publication date

After article publication date

AUDNZD

Produced a negative return of 1.33%, which was the stop loss needed to open the position. We can see that the position was stopped out as price traded below horizontal support level before heading higher.

At article publication date

After article publication date

USDCHF

Produced a positive return of 1.59%, vs. the 1.59% stop loss needed to open the position, while the max gain of 1.59% was attained 3 days after the publication date*.

At article publication date

After article publication date

EURCAD

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USDCAD

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USDCAD

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CADJPY

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USDCHF

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AUDCAD

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USDJPY

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DAX 30

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USDCAD

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USDMXN

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EURGBP

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AUDCAD

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Gold

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GBPJPY

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NZDUSD

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NZDJPY

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USDCAD

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EURUSD

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USDJPY

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USDCHF

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USDCHF

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USDMXN

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DAX30

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USDCHF

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EURCAD

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EURUSD

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ASX 200

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EURAUD

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AUDJPY

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NZDJPY

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DAX 30

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About the Author

Alejandro Zambrano

Alejandro Zambrano combines extensive professional experience and a common-sense attitude to offer LondiniumFX members a strategy that focuses on making fewer, smarter trades and building members’ understanding of the markets and the rationale behind investing. He is also the Chief Market Analyst with TradeCaptain.com, and before founding LondiniumFX, Mr. Zambrano was Head Analyst at FXCM’s London desk.