Since July 2019, our automatic trading system Momentum Formula, built on oil and gold, has been in full operation. You can find more information here.
Below we present the results in real operation, including the market fees:
|Trading start||17 JULY 2019|
|Number of trading days||144*|
|Number of Trades||23 (10 MGCM20.CMX, 13 QMM20.NYM)|
|Value of capital (17 JULY 2019)||198 745,23 CZK|
|Value of capital (11 MAY 2020)||217 955,90 CZK (219 447,23 CZK including Forex)|
|Performance||9,7 % (10,4 %, including Forex)|
|Performance Challenge (Alfa)||Alfa (MGC/QM) = 9,7 % – ((17,5 %+(-20,2 %))/2) = 29,9 %
Alfa (S&P 500) = 9,7 % – (-1,8 %) = 11,5 %
|Benchmark Start Price||2984,42|
|Benchmark End Price||2929,80|
|Benchmark Yield to Date||-1,83 %|
The expected profit is 20 % p.a. In September 2019, we realized a larger loss due to an error of the MKT order type. ATS placed a Market order and, due to a weekend attack in the UAE, there was no counterparty to trade at the expected price, after the market was opened. The system was subsequently shut down and an updated version was deployed in March 2020, also with a new LMT Market order.
Head of FRS Development, Michal Dufek.