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Gloranis Praesentation Gross Word 97 En (1)

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Presentation of our Forex Algo.

Presentation of our Forex Algo.


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  • 1. Systematic Currency-TradingThe most fascinating aspects of theforeign exchange market are itsliquidity, around-the-clock trading,zero transaction costs and theintelligent diversification of aportfolio.Page 1 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 2. Systematic Currency-TradingContentsGloranis 3Currency market 4Advantages 7Investment approach 8Gloria the currency robot 10Risk management 12Investment objective 14Track record 15Page 2 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 3. Systematic Currency-TradingGloranisGloranis GmbH is an independent investment advisor based in Zurich, specialising exclusively The result is impressive: this unique innovativein currency investments investments. investment style regularly generates substantial risk adjusted ris k- adjusted returns and additionally providesThe many years experience and passion of both founding partners for trading, combined with an efficient form of diversification forclients need for stable positive returns ( pure alpha) , were the main motivation for lpha) conventional asset classes such as equities anddeveloping the profitable trading strategy called Gloria. bonds.While respectfully and knowingly acknowledging the unpredictability of the markets and theirreturns, a fully automatic currency robot was developed. Now, for the first time, it is also automaticavailable to private investors.Page 3 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 4. Systematic Currency-TradingCurrency market / forexForex is short for foreign exchange and refers to the global market on which currencies aretraded. The daily trading volume of USD 4 trillion makes forex the worlds largest market, market,while ensuring liquid and fair trading.Page 4 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 5. Systematic Currency-TradingLow riskCurrencies are the least volatile asset class compared to equities and bonds. It is a widespreadmisunderstanding that foreign exchange is riskier than traditional asset classes. Equities - VIX Index: Chicago Board of Options Exchange Volatility Index Fixed Income USSV055 Index: USD Swaption 5 Year Fixed/Floating Volatility Index Currencies - CVIX Index: Deutsche Bank FX Volatility IndexPage 5 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 6. Systematic Currency-TradingCorrelationForeign exchange has little in common with the other asset classes (low correlation). Whilethe correlation between common asset classes has risen steadily in the past, leading toincreasing risks for investors, currencies have retained their independence. For this reason,currency investments are a valuable method of diversifying a portfolio and reducing risk. Currency: Deutsche Bank Currency Returns (DBCR) Index Fixed Income: JP Morgan U.S. Aggregate Bond Index Commodities: Deutsche Bank Liquid Commodities (DBLCI) Index Real Estate: NAREIT Index Equities: S&P 500 IndexPage 6 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 7. Systematic Currency-TradingAdvantagesThere are other advantages as well:Advantages FX market Equity market24-hour market Yes NoCommission-free trading Yes NoA currency cannot become bankrupt Yes NoShort strategies possible Yes NoFair prices through a high degree of liquidity Yes NoMarket manipulation not possible Yes NoFor the reasons indicated above, the foreign exchange market is ideally suited to the use of afully automatic trading system (algorithmic trading).Page 7 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 8. Systematic Currency-TradingInvestment approach / systematicThe investment strategy of Gloranis GmbH is purely systematic. It is based on the convictionthat better results can be obtained over the long term through a purely systematic tradingapproach – detached from feelings and emotions emotions.In a systematic or algorithmic investment approach, the buy or sell signals are generatedautomatically by a computer program and executed in a matter of seconds.The major advantages of a systematic approach are seen as two-fold: it dis ciplin es investors disciplinesand keeps them from being guided by feelings such as fear, greed or overestimation of theirown abilities.The human brain is not designed for systematic behaviour. Rational decisions are oftencontrary to intuition and prevent logical courses of action.Page 8 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 9. Systematic Currency-TradingSystematic trading> Information that is not in accord with the decision that was taken is ignored or The main advantage of an automated trading underweighted (selective perception). emotion. model is the absence of emotion> Realisation of losses is delayed since on-paper losses are viewed as a cost of the decision, while reversing the decision is equivalent to a pointless expense. This prevents investors from liquidating a position quickly and re-investing profitably.> Asymmetrical assessment of gains and losses leads to premature realisation of gains and a situation in which losses are realised too late.Page 9 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 10. Systematic Currency-TradingGloriaThe Gloria robot was developed in-house atGloranis GmbH, and is the result of many yearstrading experience combined with the latesttrading technologies.Gloria is a swing- trading program It identifies swing- rogram.and uses distinct price movements based on themean-reversion effect, taking volatility intoaccount.For 24 hours a day, 5 days a week, Gloriamonitors the candlestick charts of 12 currencypairs at present. When it finds promisingopportunities it implements them as buy and sellorders in a matter of seconds, using a unique lgorithm.algorithmPage 10 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 11. Systematic Currency-TradingGloria / swing-reversal tradingA position is only taken once a minimum pricetarget and the associated exit point have beendefined in advance. All the investments aretransparent and therefore easy to follow They follow.also form the basis for systematic riskmanagement.Application of all the parameters in the robot issubordinate to risk minimisation and isaccordingly weighted disproportionately. This isbecause the objective is not to generate a returnthat is as high as possible, but a return that is asstable as possible.Gloria provides our investors with an investmentapproach that is positively set apart from othertraditional forms of investment. It is not acomparison with the benchmark that counts, butthe results.Page 11 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 12. Systematic Currency-TradingRisk managementSuccessful investing requires effective risk management In order to trade systematically, an effective management. The normal stop-l oss aims to close a position stop-investor must have precise knowledge of the expected values applicable to his trading system when a pre-defined rate is reached, in order toin order that they can subsequently be parameterised in the robot. limit losses.To ensure that this is done as effectively as possible, several levels of risk management The trailing s top-l oss aims to safeguard gains. It trailing top-elements are applied. These are predefined as fixed values for each currency pair and moves in the same direction as a favourable rateintegrated directly in the algorithm: movement and is constantly adjusted.Each currency pair traded in our currency portfolio is given a candle-s top developed in- candle- in- The take-profit order closes a position when a take-house.house pre-defined profit threshold is reached.If the rate becomes highly unfavourable (e.g. intervention by a central bank) and when the The candle s top- loss limits the loss of a position candle top-candle-stop is reached, the open position is immediately closed and trading in this currency directly in the relevant candle of the currencypair is suspended for the time being. Unlike the conventional stop-loss, the candle-stop takes pair.effect directly in the relevant candle, i.e. much earlier, thus preventing greater losses (seefollowing chart).Page 12 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 13. Systematic Currency-TradingRisk management / candle-stopThe candle-stops that are used are different fromone currency pair to the other and are setdifferently (differing volatilities).The exact definition of the parameters is the keyto successful position management in order toobtain risk-adjusted returns.In addition, all the parameters are used toprepare an exact risk/return profile at thecurrency pair level. The purpose is to enable thealgorithm and its trading pattern to be checked atany time.Page 13 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 14. Systematic Currency-TradingInvestment objectiveThe primary aim of Gloranis is capital preservation and long- term capital growth and long- capital growth. targetedThe targeted return is 15% p.a. typical leverageThe typical l everage is 0.5 - 1.5 xPage 14 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 15. Systematic Currency-TradingTrack record Gold in SXI Real Gloranis in comparison Gloranis S&P 500 CHF Estate Return last 1 month 1.78% 3.87% -7.93% 1.10% Annualised return 32.01% -8.28% 11.64% 8.34% Annualised volatility 7.52% 20.7% 22.17% 7.29% Annual Sharpe ratio 3.86 -0.54 0.39 0.74% % positive month 94% 52% 63% 65% Maximum consecutive gain 155.62% 20.42% 26.47% 9.74% Maximum consecutive loss -5.02% -39.5% -14.23% -9.14% Best month 10.82% 9.83% 18.68% 3.98% Worst month -5.02% -14.05% -14.23% -9.14%Performance in back-testing / Dummy account Since inception: 303.68% Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year2008 2.19% 4.03% 2.78% 2.77% 1.52% 1.59% 2.65% 1.96% 2.20% 3.94% 0.90% 4.48% 35.73%2009 1.32% 1.96% 4.88% 2.66% 1.39% 3.15% 1.88% 1.56% 3.58% 2.64% 2.86% 3.69% 39.16%2010 0.98% 2.22% 2.22% 3.91% 1.58% - 2.28% 2.02% 3.37% 1.01% 1.87% 2.37% 26.54%2011 0.87% 2.39% 5.58% -5.02% 4.15% 1.62% 2.52% 10.82% -3.70% 2.90% 3.14% 1.78% 29.55%2012Page 15 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective
  • 16. Systematic Currency-Trading Thank you very much You are responsible not only for what you do, but also for what you do not do. So trade against the trend, systematically and successfully, withDISCLAIMER: The information presented above is intended for information purposes only and does not constitute an offer or preparation or solicitation of an offer to buy or sell an investment or financial instrument. This information must likewise not be construed as an invitation or offer to participate in a trading strategy. Inrelation to the performance data used in this document, every reader must know and understand that past performance is no guarantee of future results. Trading on the foreign exchange market bears a high level of risk and may not be suitable for all investors. It is possible that you could suffer a loss, which could include part orall of your deposit. For this reason you should only invest risk capital such that your personal financial circumstances would not be adversely affected in any way. These publications do not constitute an invitation to trade on financial markets. You should carefully consider your financial circumstances and make an appropriatedecision in view of your financial situation before you make an investment. Although the information presented above is based on sources that could be considered credible, Gloranis GmbH has not taken any steps to verify that this information, or parts thereof, is accurate, correct or complete. Neither Gloranis GmbH or any of itsaffiliated or subsidiary companies, nor any partners, employees, managers, members of management, directors or representatives make any representations or assurances whatsoever, either expressly or implied, and none of these parties shall be liable for any losses, damage, costs or expenses of whatever nature and form, inconnection with the adequacy, accuracy, due care, correctness or completeness of the information (or parts thereof) in this document or from the use of the reproduced information. Neither Gloranis GmbH nor its employees or managers are under any obligation to update, add to or improve the information in this document. Theinformation is indicative only and may be changed without notice. This document has not been reviewed by any higher-level supervisory authority.Page 16 || Gloranis GmbH || Forchstrasse 282 || CH-8008 Zürich || www.gloranis.ch || Thinking and trading from a new perspective