What is the robot creation methodology for XIC?

What is the robot creation methodology for XIC?

Methodology that we follow to create robots for XIC is made up of several phases:

Analysis of the portfolio from the point of view of risk management

In this phase, how can we expand on How does XIC manage risk? we analyze the deviations in the different currencies that make up the portfolio from the point of view of exposure risk, that is, we try to measure the risk as distance to the stop in euros (taking into account the number of operations) that we assume annually in the different currencies is as balanced as possible. Weekly we update the exchange rates and decide the systems that we must disconnect for deviating from their operating premises, we can then evaluate the risk situation and select the pairs where we should increase our exposure to reduce the deviations.

Analysis of the systems that we have operating in the pair where we want to increase positions

In this phase we analyze the types of systems that we have operating in the pair, if we already have systems that operate with a 2 to 1 objective, (Take profit to Stop Loss) in sufficient number we will guide the generation of the new systems that we generate to objectives 1 to 1 or even 1 to 0.5 (seeking to have systems that "trade on the coast").

Selection of input and output variables

When we have decided the pair where we should increase exposure and the type of system we want to implement, we review which will be the ideal variables and / or generation ideas both from the point of view of entry (opening of operations) and exit (closing of operations), volatility (using averages of 100 and 300 ATR periods) and the levels of protection (stop loss) and targets (take profit) that we believe will work best in the specific pair.

Generation phase, back-test, robustness and correlation tests

It is XIC's base and greatest source of value contribution.

Real execution

Finally we will activate our robot in real, we will update the deviations of the exposure to the different currencies and we will carry out the constant evaluation of the performance of the system that you can expand in How is the process of continuous evaluation of XIC performance?