Overlay Capital Trading Program Daily Snapshot 2017/08/21

Topic: Trading Notes

Portfolio Performance for 2017/08/21

Daily Positions: 12
Profitable Positions (% of total): 66.67%
Maximum Drawdown: -0.52%
Daily Net Profit: 0.03%
YTD P&L: -2.6%

Commentary: The model got new parameters from the system today and saw positions move accordingly. The leverage used is now above 2x for the first time this year. The core position is short EUR against the CAD, GBP and USD. The model has been struggling since April and we continue to methodically run the system daily, building on the data we use for the machine learning process. We will be adding additional currencies next month and will layout those plans in the coming days.

CURRENT CURRENCY EXPOSURE FORE 2017/08/22

 

TYPE MARKET UNITS
Long CAD 6,940
Long GBP 6,547
Long USD 6,169
Short EUR 9,000
Short AUD 6,148
Short CHF 1,251
Short JPY 372,081

Comments (0)

Post Comment

Enter your information below to receive our market commentaries and the company updates.

* indicates required