Currency Models

Learn how our quantitative research framework identifies patterns and evaluates market behavior.

Morgan Group

At Morgan Group

Currency Market Coverage

We model a basket of 30 currency pairs, including AUD, CAD, CHF, EUR, GBP, NOK, NZD, SEK, SGD, USD, and ZAR.

Research and Risk Monitoring

  • We monitor total exposure, correlation, and expected drawdown.

  • We have over 4 years of experience researching and validating these currencies.

System Characteristics

  • This system has an average hold of 45 days, with significant capacity.

Risk management concept with digital graphics
Analyzing data on futuristic digital dashboard

Modeling and Back-Testing Results

Our modeling and back-testing indicate that these currencies can be traded with an estimated risk-adjusted return of ~4.0 x holding the S&P and an average correlation to the S&P of 0.09 for the 10-year period shown.

Currency Model Results

Financial performance metrics table

Hypothetical performance results have many inherent limitations. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.