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Forex pseudo beta index (Mundo) strategy

Here's an attempt to create currencies index and then trade on it. Usually, 10 pairs are needed, here are 6. Suggestions on how to reduce drawdowns are welcome :)
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Very cool stuff, if I understand the code correctly you're weighting your holdings by the std, so more volatile pairs are given a lighter share of the portfolio.
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Hey! Sorry for late reply, didn't got a notification. The idea is to get pseudo beta from pseudo benchmark, all based on standard deviation.

Tried to weigh according to portfolio deviation, but stats are same either way (increasing size with volatility or decreasing), so if this should be improved, some different signals should be used, etc. Maybe will try to find more later about FX market with some correctly done version. This one was found on one exotic TA books, haha.
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thanks for sharing your algo. All the best.

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If you're building an index you might improve your backtest by applying Principal Components Analysis to the set and using the first PC as your index. The process should significantly denoise the index.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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