Backtest Period
2005-2014
Markets Traded
Currencies
Maximum Drawdown
Period of Rebalancing
Intraday
Return (Annual)
9%
Sharpe Ratio
1.7
Standard Deviation (Annual)
5%
Original paper
SSRN-id2419243.pdf1013.8KB
Abstract
This paper is the first of a series that aims to study in detail the ANANTA strategy, a short term systematic FX model using fixed income signals. We will focus in this part on outlining the context and an initial basic implementation of the methodology, from trading hypothesis to signal construction and results.
Keywords: interest rates, differential, momentum, systematic, quantitative, FX, strategy, currency, premium, tactical, Allocation, GTAA, trading, proprietary, Hedge, Volatility, Alpha, Beta, Efficient Markets, G10, G4, euro, dollar
Trading rules
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