Uploaded byYoshiyuki Hongoh
Dynamic+arms+fx100128
1. The document discusses Dynamic ARMS, which uses auto-regressive models and statistical edges to trade currencies. It analyzes 24 currency pairs and can trade over 100,000 units of each pair. 2. Dynamic ARMS provides a web-based service at d-arms.com and tweets signals from the Twitter account @yoshiyuki_hongo. It has traded GBP/JPY, EUR/JPY, and GBP/USD with over 260,000 units traded total. 3. The method seeks to generate profits by detecting short-term movements in currency pairs using statistical algorithms. It analyzes high-frequency price data to find trading opportunities.
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Dynamic+arms+fx100128
- 1. 2010 1 28 1
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- 5. 1 2 RSI MACD 2 5
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- 8. • • • ●● • 20 • • EBT (Evidence-based Trading) TM 8
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- 16. EXCEL 16
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- 20. 93.6105791505791 0.22095741817381 93.641 90.001 3.55597311397643 12.6449447873233 -1.13028828500927 0.0790229964857671 14.583 86.383 100.966 24245.14 259 20
- 21. 2009 USDJPY 21
- 22. EXCEL • • C Y • C=a+bY • y=ax+b • 22
- 23. EXCEL R 0.977311184421718 R2 0.955137151195781 R2 0.95496258758176 0.75464931815529 259 F 1 3116.035388 3116.035388 5471.5706737 2.978E-175 257 146.3603675 0.569495593 258 3262.395755 t P- 95% 95% 95.0% 95.0% 2.3925448588935 1.234066182 1.938749229 0.0536266382 -0.0376245 4.822714186 -0.03762447 4.822714186 0.97466148800168 0.013176431 73.97006607 2.97783E-175 0.94871397 1.00060901 0.948713966 1.00060901 23
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- 30. ( )Universa Investments • � • http://www.universa.net/ • Universa Investments L.P. is an investment management firm that specializes in hedging tail risks for its clients. • Universa Investments L.P. is an investment management firm that specializes in protecting its clients' portfolios against extreme risks – i.e. universal fat tail risks or Black Swans 30
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- 38. Dynamic ARMS Dynamic Auto Regressive Model ARM Statistical Edge S 38
- 39. Dynamic ARMS FX • • 24 FX • • • • FX 24 • 39
- 40. Dynamic ARMS FX •GBP/JPY • EUR/JPY • GBP/USD 40
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- 47. Dynamic ARMS Web • • URL http://d-arms.com 47
- 48. • • Dynamic ARMS 48
- 49. twitter yoshiyuki_hongo 49
- 50. Dynamic ARMS FX • GBP/JPY 102,900 • EUR/JPY 102,900 • GBP/USD 102,900 • 260,400 3 20 50
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- 52. Dynamic ARMSFX 4 1. FX 2. FX 3. FX 4. Dynamic ARMS FX HP 52
- 53. • • Indepa • Independent Person • • • URL http://indepa.net 53
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- 55. FX ● ● ● 1 10 ● ● 1 0.5 / 1 100 1 10,000 5,000 1 20,000 1 10,000 ● ● 8 18 0120-86-9686 E-mail sts@sec.himawari-group.co.jp 150 55
- 56. FX ● FX ● FX ● ● ● ● ● 10,000 10,000 10,000 20,000 ● ● 8 18 0120-86-9686 E-mail sts@sec.himawari-group.co.jp 150 56