Portfolio Performance for 2017/05/26
|Profitable Positions (% of total):||58.33%|
|Daily Net Profit:||-0.65%|
Comments: The long GBP against the USD and JPY were painful trades on Friday, pushing the month's return down near the lows. Friday close/ Sunday open saw the model scale back the short Yen exposure a slightly reduce the GBP longs. With US, China, Germany and UK markets (excluding FX) closed for holidays, we anticipate the currency markets to stabalize from recent uptick in currency volatility CVIX Index.
As you can see from the positions below, the model has exposure in all currencies, and we have the credit usage back up above 1. This would suggest the model is becoming more comfortable in predicting direction.
CURRENT CURRENCY EXPOSURE FORE 2017/05/29