Trading During the Euro-Crisis

MDFA-XT is our on-line real-time trading algorithm for the MSCI-emerging markets. I had a look at Friday's weekly up-date:

  • All three mid-filters are set on `buy'. Fastest and slowest are selling: the first one very recently, the second one since several months.
  • The overall performance … relative to the benchmark progresses favorably for all three mid-filters since the begin of the out-of-sample period (filters were estimated up to begin of October 2009). The fast filter had a recent contrarian trade, so let's see how it will evolve, and the slow filter is more or less on par yet.
    • I did not re-estimate filter parameters since October 2009 and it's not my intention to do so soon.
    • A pretty good noise generator could be obtained by updating parameters (too) frequently.

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