systematic trading

Olivier Guiglionda : 

Olivier Guiglionda Systematic trading at Mashreq Bank

Why Mashreq Bank? : 

Investment Services Why Mashreq Bank?

Strong financials : 

Strong financials Review of Key Highlights 2005 - 2009

Bank ratings: : 

Bank ratings:

Account opening processus : 

Account opening processus

introducing the system: : 

introducing the system: The system does all the work for you: Our systems are watching and analyzing the markets 24/24, looking for the best opportunities to make profits. Reporting is sent monthly but we also sent a weekly automated report. Clients can also check their balance at any time

Going live. : 

Going live. When a client has deposited and has been accepted by the due diligence of Mashreq bank (Known as KYC (Know your client) ). The trading can finally start.

Mashreq or any client on the system have the same rules. : 

Mashreq or any client on the system have the same rules. Mashreq Bank not only is your depositary bank, Mashreq also allocates some of its own resources and trades the models. Mashreq deals on the same prices as its clients, and has the same risks. Unlike other products, we work together for a common goal: Generation of capital.

Mashreq multi feed trading : 

Mashreq multi feed trading Mashreq recognizes the risks of counterparties. Thus we employ multi feed for multiple reasons: Best Prices Reducing the risk on having a single counterparty in major events. Because we deal in Nostro accounts, we can take the best price of any feed and exit on another feed.

Management of risks: : 

Management of risks: Only through the management of risks can a system achieve and keep its performance. We have strict risk control on every trade: The model finds an opportunity and sends an order to one of feeds: The order comes always with a stop limiting losses. The order is tracked and updated tick by tick as the stops can move to decrease risks (when the trade is positive). The model has a feature in which in case of unnatural market conditions, all positions will be closed at market (in any of the feeds, that comes with the first price available). The model does not take more than a few positions till it has locked some of its positions in profits with stops raised to its entry, only then does it add more positions to the existing portfolio positions Example of a trade: Symbol: EURUSD OrderType: BUY Lots: 1M OpenPrice: 1.2733 OpenTime: 2010.09.07 20:19 Take Profit: 1.32010000 Stop loss: 1.2689

Framework : 

Framework

Model signal. : 

Symbol: EURUSD OrderType: BUY Lots: 1M OpenPrice: 1.2733 OpenTime: 2010.09.07 20:19 Take Profit: 1.32010000 Stop loss: 1.2689 Model signal.

The system in action : 

The system in action

Trade example : 

Trade example

Slide 15: 

Daily PNL EUR