Dukre Asset Management SA

Long/Short Trading System

Long Only Trading System

Short Only Trading System

	English

	Русский

	Français

	Deutch

	Italiano

	Español

Description

Over the years we have developped a wide range of mathematical and statistical models purely based on market prices.
They can be absolute return models (long/short) or directional models (long only or short only).
Time horizons is also a relevant factor: we have intraday, daily and weekly trading systems.
Some of the models have very specific characteristics like trailing stops or absolute exit points.
A strict risk management with precise stop loss/stop profit or entry point is a must in our model structuring.
Our analysis considers every market individually and computer will determine the most appropriate parameters, to obtain our predefined risk/return results.

Systems

DTS System - daily trading system: trend-following with reversal feature, with absolute pre-defined stop loss and stop profit (long/short, long only and short only).
ITS System - intraday trading system (long/short)

Markets

Currencies (EUR/USD, USD/CHF, USD/YEN, YEN/CHF, EUR/CHF, GBP/CHF, etc.);
Interest Rates (10Y US T-Notes, 30Y US Treasury Note, Bunds, etc.);
Equities (S&P, Nasdaq, SMI, CAC-40, MIB30, FTSE, DAX, E-50, etc.);
Commodities (Gold, Silver, Crude Oil, Natural Gas, Copper, Wheat, Coffee, etc.)

We are constantly adding new markets and we can study any market as far as we have sufficient database, depending on client specific needs.

Test Performance

Our models are extensively tested before they are used in real trading. Back testing for up to 1000 days are applied for our daily system and blind test for last 233 days. Adapted for every individual market they have some specific characteristics in terms of drawdowns, percentage of profitable trades and time to recover. Analysis of results is also performed. Our scientific approach is reducing as much as possible human intervention to preserve our objective evaluation process.

We then compare consistantly and very carefully real trading results with test result characteristics, and if needed we intervene and look for new parameters as soon as we detect non-matchning of results behavior.