MODELLING

PROJECT
DERIVATIVES
 CONTENT
1. Background
2. Definitions and Strategies
3. Comparison of ITS and OTS
1. DAX Index
2. EUR/USD
4. Comparison Weight Moving Average
5. Conclusion
EUR/USD ITS MONTHLY PERFORMANCE
Monthly Performance Record for In-The-Sample (ITS) for year '15 - '19
10.00%

9.00%

8.00%

7.00%

6.00%

5.00%

4.00%

3.00%

2.00%

1.00%

0.00%
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

2015 2016 2017 2018 2019

EUR/USD OTS MONTHLY PERFORMANCE
Monthly Performance Record for Out-The-Sample (OTS) '10 - '14
12

10

0
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

-2

-4 2010 2011 2012 2013 2014

ITS ’15 – ‘19 SD (Return) Return
Ratio
Daily Average
NUM SD HWM MDD 0.27% 0.20% 12.12

Annual Annual
0.94 264.32% 0%  
4.38% 53.11%

OTS ’10 – ‘14 SD (Return) Return

Ratio
NUM SD HWM MDD Daily Average

0.29% 0.20% 10.74

0.94 253.84% -4%
Annual Annual
 
4.75% 51.00%
 ITS ’15 – ‘19 0TS ’10 – ‘14
Total Years 5 Total Years 5
Total Return 264.32% Total Return 253.84%
Standard Deviation 0.94 Standard Deviation 0.94

Annual Return 53.11% Annual Return 51.00%

Ratio 12.12 Ratio 10.74

Best Month 9.03% Best Month 9.95%

Worst Month 0.38% Worst Month -1.87%

MDD 0% MDD -4%

Best Day 1.78% Best Day 1.69%

Worst Day -0.21% Worst Day -1.21%

 STRATEGY DAX INDEX EUR/USD DAX INDEX EUR/USD DAX INDEX EUR/USD

Number of Years 5

Weighted Moving Average 5 DAYS 10 DAYS 15 DAYS

  ITS OTS ITS OTS ITS OTS ITS OTS ITS OTS ITS OTS

Standard Deviation 0.94 0.94 0.94 0.94 0.94 0.94 0.94 0.94 0.94 0.94 0.94 0.94

Daily STDEV 0.55% 0.37% 0.27% 0.29% 0.54% 0.45% 0.28% 0.30% 0.52% 0.43% 0.30% 0.31%

Annual STDEV 8.74% 5.90% 4.38% 4.75% 8.62% 7.17% 4.58% 4.92% 8.21% 6.83% 4.79% 4.95%

Daily Average Return 0.07% 0.05% 0% 0.20% 0.18% 0.23% 0.18% 0.18% 0.18% 0.24% 0.16% 0.16%

Annual Return 17.88% 12.95% 53.11% 51% 45.88% 58.90% 46.31% 46.15% 44.80% 60.13% 42.79% 42.68%

R.R Ratio 2.05 2.20 12.12 10.74 5.32 8.21 10.12 9.37 5.46 8.80 8.94 8.61

Total Return 88.92% 64.12% 264.32% 253.84% 227.34% 291.97% 229.58% 228.80% 221.19% 296.85% 211.34% 210.77%

Avg RRR 6.78 8.25 7.95

Performance Rank 3 1 2