Algorithmic Trading: Swing Trading Based on Machine learning

I Know First LogoTime Period: July 1st, 2014 – June 30th, 2015
Stocks (60%), Interest Rates (30%), Currencies 10xG10 (10%)

Swing Trading Model Breakdown

Following the development of Dr. Lipa Roitmans understanding of relying on the 5 day simple moving average as a secondary trigger for entry and exit, the I Know First R&D team has developed a complementary model to support his thesis. The results were positive, and combining the 5 day SMA trigger allows us to design day trading strategies which maximize profits and minimize risks. The following portfolio invests in the best stocks, interest rate ETF’s, and currency pairs as identified by the algorithm. The positions are adjusted daily before the market opens and held for the next 24 hours. Good opportunities are continuously replaced by even better opportunities to ensure the portfolio is always running at full throttle. Both long and short positions are used to maximize returns, regardless of market direction and trend. The equity is decided 60% in stocks, 30% in interest rates, and 10% in G10 currencies leveraged to 10x. No asset will hold more than 25% of the equity within its respective class. The overall return in the one year period from July 1st, 2014 to June 30th, 2015 yielded and overall return of 83% while the S&P500 rose by 5.2% during the same period.

Swing Trading Fund

Here one can inspect the individual performance of each of the funds elements. Currency information is divided between leveraged and un-leveraged performance. Moreover, the complete fund performance is also divided between when the 10% share in currency is leveraged or not.

Fund Risk Breakdown

The charts below demonstrate the individual development of the stocks, interest rates, and leveraged currencies over time.

Stocks Swing Trading


Interest Rates Swing Trading


Currencies Swing Trading

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