Our trading programs overlay a number of complementary strategies onto our core trend following strategy. These dynamic strategies perform well across a broad range of market conditions, including when the underlying trends are weak.
For example, the currency program incorporates a reversal overlay strategy that generates profits when currencies are showing short term mean reversion behaviour.
In addition, the program incorporates a volatility filter, which reduces exposure in high volatility environments, and a trading filter, which excludes assets with an adverse short-term risk.
An advantage of our currency program over many other systems is that trading decisions are taken on a portfolio basis, so that currencies are weighted according to the relative strength of the individual trends, and currency exposures and risks are managed at the portfolio level. This ensures that risk is allocated efficiently across all assets.