I will give updates in this thread on a regular basis. First of all, I will give a bit of personal background.
I am 33 years old and live in the Netherlands. I studied MSc Applied Physics and eventually got a PhD in Fluid Dynamics at the University of Cambridge. After that, my girlfriend and I did some traveling through Tanzania (Kilimanjaro, Serengeti), Nepal (Everest Base Camp), Jordan (Dead Sea) and Australia (Great Barrier Reef). We decided to live in the Netherlands where I got a job offer at a high tech company. Seven years later I am still working in this company as an architect / system engineer. Both the academic experience at Cambridge and the architectural / system engineering approach learned at the high tech company have been key in the design of our trading system.
The trading system consists of 11 strategies: both breakout and mean reversion. All the strategies have been backtested over a period of >20 years, demo tested >1yr (2018-2019) and went successfully live in May 2019. The performance is monitored carefully: performance per strategy, performance per currency/commodity, slippage, …
Two significant updates have been executed over the last year:
- november 2019: Improved risk management by limiting total VAR per currency / commodity. This limits upward potential, but more important, this also limits sudden big losses as seen during august 2019 period.
- december 2019: Improved take profit strategy. By carefully following trades I got some inspiration of new take-profit strategies. I have backtested them (>20 years of data) and found them statistically significant.