Can you help interpret this Deutche Bank Forex FX quant trading strategy?

(Last Updated On: May 16, 2014)

Can you help interpret this Deutche Bank Forex FX quant trading strategy?

Help out if you can with this complex strategy. Even Dr Ernie Chan has challenges with it

Source:

http://stats.lse.ac.uk/kalogeropoulos/LD_1103.pdf#sthash.rKAZDewb.dpuf

Question for y’all for ernie

Answer by Ernie Chan mupad_comments

Can you answer these by commenting below with deail?

Thanks

Join our FREE newsletter as we answer to get this into an open source project

 

Please refer to our posting on the forum at:

http://quantlabs.net/academy/forum/quant-academy-forum/who-wants-to-help-out-interpret-the-math-of-this-deutsche-bank-forex-fx-strategy-ernie-chan-answers-with-video-included-for-fun/#p456

P.S.  Our first response just came in

Bryan,

 

I ended up slightly different:

image001

 

Which puts out result below

 

image002

Could this possibility be correct?

I’m no mathematician

 

Greetings from the Netherlands,

—> Any thoughts from anyone ??

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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs