ALPHA.ROM – Hedging against volatility

While markets are reeling under volatility spikes, the pairs are relatively stable. SIF2 VS SIF5 registered 20% gains last week and is now ruling at 15%. BETXT – SNP pair also dropped some profits and is at 10%. BET VS BRD remains the top pair with 25% returns. Overall we have a mix of performances both on minor and intermediate time frames.
ROMANIAN LONG/SHORT STANDS AT 3/20
BETNG IS UP 8%. TEL IS A FRESH SHORT. THE SYSTEM IS CLEARLY ON CAUTION GROUND.
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ALPHA is a pair trading, long only and short only strategy product based on TIME fractals. Time arbitrage, Time Triads, Time fractals are terms coined by Orpheus Research. The signals are carried over three different time frames viz. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). This is a daily signal product. The signals will be illustrated through tracker and running portfolios. Alpha can be used by fund managers for relative allocations, traders for leverage bets and high net worth clients for selective trades. This is a part of the time triads analytics developed by Orpheus Research.
TIME ARBITRAGE portfolio has five pairs now viz. BRD-BET, BETXT-SNP, SIF2-SIF5, BRD-BETXT, BET-SNP. The above tracker will be updated on a daily basis. The freshly opened trades will have the shortest holding periods. The type of trade will be depicted in the degree i.e. sub minor (2-3 days), minor (10-30 days) and intermediate (above 30 days). The legs should be risk weighted before any implementation. We are assuming a running stop loss of 4% per traded pair. BRD/BET means LONG BRD, SHORT BET. This also means +A-B. When the pair inverts to BET/BRD, it would mean SHORT BRD, LONG BET meaning -A+B.
LONG ONLY, SHORT ONLY portfolio covers SIF2, SIF5, BRD, ERST, TGN. BET, BETFI, BETNG, BETXT, SNP.
STOP LOSS AND EXITS are activated at 4%
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