It has been some time since we last published our composite model results compared to spot FX % performance, we're working on developing a way we can publish the model monthly updates + live moves on the basket performance
January had a decent hit ratio on both our long and shorts. All long signals turned positive, while the shorts came in line except JPY. Despite the relative strength, the yen did not perform better than our top long signals (GBP and EUR)
A basket of our top long vs short signals performed 1.3% on the month. However, it did not reach this level without a decent standard deviation, H: +1.5%, L: -1.2%
The G10FX spot FX % performance and our Cable FX Macro G10FX Composite model turned an R^2 of 0.31 in January, not bad
Cable FX Macro G10FX Composite model is made of equal weighted scores from volatility, carry and momentum factors. For access to our baskets, subscribe at cablefxm.co.uk/members or reach us at contact@cablefxm.co.uk for more information
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