Chart 1 - Model Performance and Statistics
Based on a scale from 0 to 100, with 100 being the most and 0 being the most , our latest model reading for EUR/USD is 93.06. The average return of the trades is 13.42% and the annualized return of the trades is 8.57%. Measuring the risk-adjusted performance, the model has produced a Sharpe Ratio of 0.93, which is driven by the model's standard deviation of 9.26%. For comparison purpose, the Sharpe Ratio of the buy and hold strategy for EUR/USD is 0.07. The Sortino Ratio, which measures the relative returns of the model over its downside deviation of 4.78%, is at 1.26. The Calmar Ratio, which is the ratio of the average return over the maximum drawdown, is at 0.91. The calculation of the model for EUR/USD took 2.85 hours per CPU core to complete at our central computation workstations, which are a group of powerful computers that perform statistical computation continuously 24 hours day and 7 days a week to produce real-time trading signals for EUR/USD .
Chart 2 - Current Model Level
Our current model shows that the market supply/demand situation is now asymmetric, and we would expect the level of EUR/USD to rise. Accordingly, our investing view of EUR/USD is . The table below shows selected drivers that have significant recent updates. They are among the large macro database on which we perform statistical analysis to project future price trends and develop investment views. We do not rely only on any single factor to model our investments. Instead, the cross relationships of all the factors and time series are researched back over many market cycles in both periods of secular and trends. The goal of our algorithm is to identify profitable buy and sell opportunities and optimize the risk/return profile for EUR/USD .
Chart 3 - Analysis of Recently Updated Drivers
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