The RHICON SYSTEMATIC CURRENCY Program is a short-term systematic strategy which focuses solely on currencies. The strategy generates pure alpha through the combination of 4 distinct quantitative sub-systems, each with its own trading mandate.
The strategy also benefits from the diversification nature of having each of the 4 sub-systems look to profit under different market conditions, and this is evident in the low daily correlation between each sub-system - with the highest being 0.40 between Sub-system 3 (BO) and Sub-system 4 (Trend).
Historically, the firm has placed a strong emphasis on utilising technically analysis as a tool to implement trade ideas across its various trading strategies. The Rhicon Systematic Currency Program achieves it objectives by capitalising on this experience, by bringing together the FX market/trading experience of the firm's principal (Peter Jacobson) with dedicated quantitative resources (Paul Liew).
System 1 (MR)
System 1 looks at overbought and oversold levels of the Relative Strength Index (RSI) with a trend filter to stop trading when the market is trending. It uses a Wilder Parabolic SAR (Parabolic) to trail profitable trades as well as a daily average true range (ATR) stop loss.
System 2 (MR)
System 2 is an Intraday Swing system that trades based on reversion towards a trend. Trend is identified by a Parabolic curve and entry signals occur when there is a greater than 2 standard deviation move in price delta normalized by the ATR, against the direction of the trend.
Profits and losses are determined by the level of the Parabolic curve.
System 3 (BO)
The Breakout trader goes long a currency pair based on higher lows and higher closes, in the direction of the Parabolic. Shorts are based on lower closes after prior higher highs also in the direction of the Parabolic. Profits are managed based on the Parabolic curve, while stops are determined by 1) parabolic curve, but if there is none, then 2) daily ATRs.
System 4 (Trend)
This system looks for a series of higher highs and higher lows to initiate longs, and lower highs and lower lows to open shorts. Stop losses and take profits are managed by minimum and maximum values depending on direction of trade.